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Add more profit measures #61

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alecloudenback opened this issue Jan 19, 2022 · 6 comments · May be fixed by #91
Open
1 of 2 tasks

Add more profit measures #61

alecloudenback opened this issue Jan 19, 2022 · 6 comments · May be fixed by #91
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good first issue Good for newcomers hacktoberfest

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@alecloudenback
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alecloudenback commented Jan 19, 2022 •
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There's already breakeven, irr, embedded_value (via pv) Add
@alecloudenback alecloudenback mentioned this issue Jan 30, 2022
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@alecloudenback alecloudenback moved this to New features in JuliaActuary Planner Jun 1, 2022
@leeyuntien
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Has mirr been implemented? If not maybe i can take a stab.

@alecloudenback
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Has mirr been implemented? If not maybe i can take a stab.

Nope, it hasn't! Go for it :)

@KuldeepBorkar
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@alecloudenback could you please tell me where npv (net present value) is implemented so that I can use it to implement mirr

@alecloudenback
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@alecloudenback could you please tell me where npv (net present value) is implemented so that I can use it to implement mirr

ActuaryUtilities.jl/src/financial_math.jl

Lines 1 to 136 in bf6e13b

"""
present_value(interest, cashflows::Vector, timepoints)
present_value(interest, cashflows::Vector)
Discount the `cashflows` vector at the given `interest_interestrate`, with the cashflows occurring
at the times specified in `timepoints`. If no `timepoints` given, assumes that cashflows happen at times 1,2,...,n.
The `interest` can be an `InterestCurve`, a single scalar, or a vector wrapped in an `InterestCurve`.
# Examples
```julia-repl
julia> present_value(0.1, [10,20],[0,1])
28.18181818181818
julia> present_value(Yields.Forward([0.1,0.2]), [10,20],[0,1])
28.18181818181818 # same as above, because first cashflow is at time zero
```
Example on how to use real dates using the [DayCounts.jl](https://github.com/JuliaFinance/DayCounts.jl) package
```jldoctest
using DayCounts
dates = Date(2012,12,31):Year(1):Date(2013,12,31)
times = map(d -> yearfrac(dates[1], d, DayCounts.Actual365Fixed()),dates) # [0.0,1.0]
present_value(0.1, [10,20],times)
# output
28.18181818181818
```
"""
function present_value(yc::T, cashflows, timepoints) where {T <: Yields.AbstractYield}
s = 0.0
for (cf,t) in zip(cashflows,timepoints)
v = discount(yc,t)
@muladd s = s + v * cf
end
# sum(discount(yc,t) * cf for (t,cf) in zip(timepoints, cashflows))
s
end
function present_value(yc::T, cashflows) where {T <: Yields.AbstractYield}
present_value(yc,cashflows,1:length(cashflows))
end
function present_value(i, x)
v = 1.0
v_factor = discount(i,0,1)
pv = 0.0
for (t,cf) in enumerate(x)
v = v * v_factor
@muladd pv = pv + v * cf
end
return pv
end
function present_value(i, v, times)
return present_value(Yields.Constant(i), v, times)
end
# Interest Given is an array, assume forwards.
function present_value(i::AbstractArray, v)
yc = Yields.Forward(i)
return sum(discount(yc, t) * cf for (t,cf) in enumerate(v))
end
# Interest Given is an array, assume forwards.
function present_value(i::AbstractArray, v, times)
yc = Yields.Forward(i, times)
return sum(discount(yc, t) * cf for (cf, t) in zip(v,times))
end
"""
pv()
An alias for `present_value`.
"""
pv = present_value
"""
present_value(interest, cashflows::Vector, timepoints)
present_value(interest, cashflows::Vector)
Efficiently calculate a vector representing the present value of the given cashflows at each period prior to the given timepoint.
# Examples
```julia-repl
julia> present_values(0.00, [1,1,1])
[3,2,1]
julia> present_values(Yields.Forward([0.1,0.2]), [10,20],[0,1])
2-element Vector{Float64}:
28.18181818181818
18.18181818181818
```
"""
function present_values(interest, cashflows)
pvs = Vector{Float64}(undef,length(cashflows))
pvs[end] = Yields.discount(interest, lastindex(cashflows) - 1, lastindex(cashflows)) * cashflows[end]
for (t, cf) in Iterators.reverse(enumerate(cashflows[1:end - 1]))
pvs[t] = Yields.discount(interest, t - 1, t) * (cf + pvs[t + 1])
end
return pvs
end
function present_values(interest,cashflows,times)
present_values_accumulator(interest,cashflows,times)
end
function present_values_accumulator(interest,cashflows,times,pvs=[0.0])
from_time = length(times) == 1 ? 0. : times[end-1]
pv = discount(interest,from_time,last(times)) *(first(pvs) + last(cashflows))
pvs = pushfirst!(pvs,pv)
if length(cashflows) > 1
new_cfs = @view cashflows[1:end-1]
new_times = @view times[1:end-1]
return present_values_accumulator(interest,new_cfs,new_times,pvs)
else
# last discount and return
return pvs[1:end-1] # end-1 get rid of trailing 0.0
end
end
# if given a vector of rates, assume that it should be a forward discount yield
function present_values(y::Vector{T}, cfs, times) where {T <: Real}
return present_values(Yields.Forward(y), cfs, times)
end

@KuldeepBorkar
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@alecloudenback I was able to find PV there but I was not able to find NPV.
Is NPV implemented seperately or should I be using PV only????
Could you please elaborate a bit😿

@alecloudenback
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present_value is a more flexible and generic version of what other languages (python, Excel) call NPV, see #27

@KuldeepBorkar KuldeepBorkar linked a pull request Oct 27, 2022 that will close this issue
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good first issue Good for newcomers hacktoberfest
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JuliaActuary Planner
Status: New features
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Added mirr function in financial_math.jl KuldeepBorkar/ActuaryUtilities.jl
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@alecloudenback @leeyuntien @KuldeepBorkar