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<?php |
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namespace PhpOffice\PhpSpreadsheet\Calculation\Financial\Securities; |
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use PhpOffice\PhpSpreadsheet\Calculation\DateTimeExcel; |
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use PhpOffice\PhpSpreadsheet\Calculation\Exception; |
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use PhpOffice\PhpSpreadsheet\Calculation\Financial\Constants as FinancialConstants; |
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use PhpOffice\PhpSpreadsheet\Calculation\Financial\Helpers; |
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use PhpOffice\PhpSpreadsheet\Calculation\Functions; |
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class Yields |
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{ |
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/** |
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* YIELDDISC. |
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* |
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* Returns the annual yield of a security that pays interest at maturity. |
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* |
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* @param mixed $settlement The security's settlement date. |
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* The security's settlement date is the date after the issue date when the security |
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* is traded to the buyer. |
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* @param mixed $maturity The security's maturity date. |
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* The maturity date is the date when the security expires. |
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* @param mixed $price The security's price per $100 face value |
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* @param mixed $redemption The security's redemption value per $100 face value |
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* @param mixed $basis The type of day count to use. |
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* 0 or omitted US (NASD) 30/360 |
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* 1 Actual/actual |
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* 2 Actual/360 |
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* 3 Actual/365 |
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* 4 European 30/360 |
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* |
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* @return float|string Result, or a string containing an error |
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*/ |
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public static function yieldDiscounted( |
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$settlement, |
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$maturity, |
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$price, |
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$redemption, |
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$basis = FinancialConstants::BASIS_DAYS_PER_YEAR_NASD |
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) { |
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$settlement = Functions::flattenSingleValue($settlement); |
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$maturity = Functions::flattenSingleValue($maturity); |
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$price = Functions::flattenSingleValue($price); |
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$redemption = Functions::flattenSingleValue($redemption); |
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$basis = ($basis === null) |
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? FinancialConstants::BASIS_DAYS_PER_YEAR_NASD |
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: Functions::flattenSingleValue($basis); |
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try { |
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$settlement = SecurityValidations::validateSettlementDate($settlement); |
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$maturity = SecurityValidations::validateMaturityDate($maturity); |
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SecurityValidations::validateSecurityPeriod($settlement, $maturity); |
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$price = SecurityValidations::validatePrice($price); |
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$redemption = SecurityValidations::validateRedemption($redemption); |
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$basis = SecurityValidations::validateBasis($basis); |
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} catch (Exception $e) { |
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return $e->getMessage(); |
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} |
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$daysPerYear = Helpers::daysPerYear(DateTimeExcel\DateParts::year($settlement), $basis); |
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if (!is_numeric($daysPerYear)) { |
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return $daysPerYear; |
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} |
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$daysBetweenSettlementAndMaturity = Functions::scalar(DateTimeExcel\YearFrac::fraction($settlement, $maturity, $basis)); |
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if (!is_numeric($daysBetweenSettlementAndMaturity)) { |
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// return date error |
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return $daysBetweenSettlementAndMaturity; |
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} |
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$daysBetweenSettlementAndMaturity *= $daysPerYear; |
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return (($redemption - $price) / $price) * ($daysPerYear / $daysBetweenSettlementAndMaturity); |
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} |
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/** |
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* YIELDMAT. |
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* |
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* Returns the annual yield of a security that pays interest at maturity. |
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* |
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* @param mixed $settlement The security's settlement date. |
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* The security's settlement date is the date after the issue date when the security |
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* is traded to the buyer. |
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* @param mixed $maturity The security's maturity date. |
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* The maturity date is the date when the security expires. |
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* @param mixed $issue The security's issue date |
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* @param mixed $rate The security's interest rate at date of issue |
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* @param mixed $price The security's price per $100 face value |
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* @param mixed $basis The type of day count to use. |
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* 0 or omitted US (NASD) 30/360 |
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* 1 Actual/actual |
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* 2 Actual/360 |
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* 3 Actual/365 |
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* 4 European 30/360 |
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* |
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* @return float|string Result, or a string containing an error |
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*/ |
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public static function yieldAtMaturity( |
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$settlement, |
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$maturity, |
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$issue, |
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$rate, |
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$price, |
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$basis = FinancialConstants::BASIS_DAYS_PER_YEAR_NASD |
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) { |
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$settlement = Functions::flattenSingleValue($settlement); |
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$maturity = Functions::flattenSingleValue($maturity); |
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$issue = Functions::flattenSingleValue($issue); |
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$rate = Functions::flattenSingleValue($rate); |
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$price = Functions::flattenSingleValue($price); |
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$basis = ($basis === null) |
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? FinancialConstants::BASIS_DAYS_PER_YEAR_NASD |
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: Functions::flattenSingleValue($basis); |
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try { |
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$settlement = SecurityValidations::validateSettlementDate($settlement); |
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$maturity = SecurityValidations::validateMaturityDate($maturity); |
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SecurityValidations::validateSecurityPeriod($settlement, $maturity); |
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$issue = SecurityValidations::validateIssueDate($issue); |
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$rate = SecurityValidations::validateRate($rate); |
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$price = SecurityValidations::validatePrice($price); |
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$basis = SecurityValidations::validateBasis($basis); |
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} catch (Exception $e) { |
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return $e->getMessage(); |
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} |
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$daysPerYear = Helpers::daysPerYear(DateTimeExcel\DateParts::year($settlement), $basis); |
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if (!is_numeric($daysPerYear)) { |
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return $daysPerYear; |
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} |
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$daysBetweenIssueAndSettlement = Functions::scalar(DateTimeExcel\YearFrac::fraction($issue, $settlement, $basis)); |
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if (!is_numeric($daysBetweenIssueAndSettlement)) { |
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// return date error |
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return $daysBetweenIssueAndSettlement; |
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} |
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$daysBetweenIssueAndSettlement *= $daysPerYear; |
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$daysBetweenIssueAndMaturity = Functions::scalar(DateTimeExcel\YearFrac::fraction($issue, $maturity, $basis)); |
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if (!is_numeric($daysBetweenIssueAndMaturity)) { |
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// return date error |
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return $daysBetweenIssueAndMaturity; |
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} |
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$daysBetweenIssueAndMaturity *= $daysPerYear; |
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$daysBetweenSettlementAndMaturity = Functions::scalar(DateTimeExcel\YearFrac::fraction($settlement, $maturity, $basis)); |
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if (!is_numeric($daysBetweenSettlementAndMaturity)) { |
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// return date error |
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return $daysBetweenSettlementAndMaturity; |
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} |
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$daysBetweenSettlementAndMaturity *= $daysPerYear; |
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return ((1 + (($daysBetweenIssueAndMaturity / $daysPerYear) * $rate) - |
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(($price / 100) + (($daysBetweenIssueAndSettlement / $daysPerYear) * $rate))) / |
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(($price / 100) + (($daysBetweenIssueAndSettlement / $daysPerYear) * $rate))) * |
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($daysPerYear / $daysBetweenSettlementAndMaturity); |
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} |
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} |
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PHPOffice /
PhpSpreadsheet
