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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\Coupons; |
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use PhpOffice\PhpSpreadsheet\Calculation\Financial\Helpers; |
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use PhpOffice\PhpSpreadsheet\Calculation\Functions; |
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use PhpOffice\PhpSpreadsheet\Calculation\Information\ExcelError; |
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use PhpOffice\PhpSpreadsheet\Shared\StringHelper; |
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class Price |
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{ |
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/** |
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* PRICE. |
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* |
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* Returns the price per $100 face value of a security that pays periodic interest. |
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* |
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* @param mixed $settlement The security's settlement date. |
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* The security 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 $rate the security's annual coupon rate |
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* @param mixed $yield the security's annual yield |
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* @param mixed $redemption The number of coupon payments per year. |
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* For annual payments, frequency = 1; |
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* for semiannual, frequency = 2; |
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* for quarterly, frequency = 4. |
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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 price( |
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mixed $settlement, |
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mixed $maturity, |
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mixed $rate, |
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mixed $yield, |
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mixed $redemption, |
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mixed $frequency, |
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mixed $basis = FinancialConstants::BASIS_DAYS_PER_YEAR_NASD |
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): string|float { |
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$settlement = Functions::flattenSingleValue($settlement); |
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$maturity = Functions::flattenSingleValue($maturity); |
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$rate = Functions::flattenSingleValue($rate); |
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$yield = Functions::flattenSingleValue($yield); |
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$redemption = Functions::flattenSingleValue($redemption); |
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$frequency = Functions::flattenSingleValue($frequency); |
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$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, $maturity); |
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$rate = SecurityValidations::validateRate($rate); |
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$yield = SecurityValidations::validateYield($yield); |
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$redemption = SecurityValidations::validateRedemption($redemption); |
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$frequency = SecurityValidations::validateFrequency($frequency); |
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$basis = SecurityValidations::validateBasis($basis); |
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} catch (Exception $e) { |
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return $e->getMessage(); |
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} |
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$dsc = (float) Coupons::COUPDAYSNC($settlement, $maturity, $frequency, $basis); |
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$e = (float) Coupons::COUPDAYS($settlement, $maturity, $frequency, $basis); |
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$n = (int) Coupons::COUPNUM($settlement, $maturity, $frequency, $basis); |
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$a = (float) Coupons::COUPDAYBS($settlement, $maturity, $frequency, $basis); |
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$baseYF = 1.0 + ($yield / $frequency); |
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$rfp = 100 * ($rate / $frequency); |
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$de = $dsc / $e; |
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$result = $redemption / $baseYF ** (--$n + $de); |
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for ($k = 0; $k <= $n; ++$k) { |
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$result += $rfp / ($baseYF ** ($k + $de)); |
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} |
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$result -= $rfp * ($a / $e); |
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return $result; |
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} |
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/** |
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* PRICEDISC. |
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* |
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* Returns the price per $100 face value of a discounted security. |
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* |
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* @param mixed $settlement The security's settlement date. |
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* The security 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 $discount The security's discount rate |
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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 priceDiscounted( |
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mixed $settlement, |
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mixed $maturity, |
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mixed $discount, |
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mixed $redemption, |
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mixed $basis = FinancialConstants::BASIS_DAYS_PER_YEAR_NASD |
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) { |
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$settlement = Functions::flattenSingleValue($settlement); |
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$maturity = Functions::flattenSingleValue($maturity); |
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$discount = Functions::flattenSingleValue($discount); |
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$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, $maturity); |
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$discount = SecurityValidations::validateDiscount($discount); |
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$redemption = SecurityValidations::validateRedemption($redemption); |
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$basis = SecurityValidations::validateBasis($basis); |
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} catch (Exception $e) { |
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return $e->getMessage(); |
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} |
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$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 StringHelper::convertToString($daysBetweenSettlementAndMaturity); |
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} |
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return $redemption * (1 - $discount * $daysBetweenSettlementAndMaturity); |
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} |
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/** |
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* PRICEMAT. |
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* |
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* Returns the price per $100 face value 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 |
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* security 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 $yield The security's annual yield |
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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 priceAtMaturity( |
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mixed $settlement, |
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mixed $maturity, |
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mixed $issue, |
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mixed $rate, |
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mixed $yield, |
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mixed $basis = FinancialConstants::BASIS_DAYS_PER_YEAR_NASD |
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) { |
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$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($rate); |
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$yield = Functions::flattenSingleValue($yield); |
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$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($rate); |
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$yield = SecurityValidations::validateYield($yield); |
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$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(Functions::scalar(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 StringHelper::convertToString($daysBetweenIssueAndSettlement); |
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} |
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$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 StringHelper::convertToString($daysBetweenIssueAndMaturity); |
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} |
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$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 StringHelper::convertToString($daysBetweenSettlementAndMaturity); |
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} |
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$daysBetweenSettlementAndMaturity *= $daysPerYear; |
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return (100 + (($daysBetweenIssueAndMaturity / $daysPerYear) * $rate * 100)) |
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/ (1 + (($daysBetweenSettlementAndMaturity / $daysPerYear) * $yield)) |
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- (($daysBetweenIssueAndSettlement / $daysPerYear) * $rate * 100); |
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} |
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/** |
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* RECEIVED. |
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* |
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* Returns the amount received at maturity for a fully invested Security. |
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* |
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* @param mixed $settlement The security's settlement date. |
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* The security 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 $investment The amount invested in the security |
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* @param mixed $discount The security's discount rate |
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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 received( |
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mixed $settlement, |
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mixed $maturity, |
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mixed $investment, |
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mixed $discount, |
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mixed $basis = FinancialConstants::BASIS_DAYS_PER_YEAR_NASD |
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) { |
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$settlement = Functions::flattenSingleValue($settlement); |
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$maturity = Functions::flattenSingleValue($maturity); |
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$investment = Functions::flattenSingleValue($investment); |
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$discount = Functions::flattenSingleValue($discount); |
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$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, $maturity); |
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$investment = SecurityValidations::validateFloat($investment); |
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$discount = SecurityValidations::validateDiscount($discount); |
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$basis = SecurityValidations::validateBasis($basis); |
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} catch (Exception $e) { |
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return $e->getMessage(); |
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} |
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if ($investment <= 0) { |
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return ExcelError::NAN(); |
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} |
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$daysBetweenSettlementAndMaturity = DateTimeExcel\YearFrac::fraction($settlement, $maturity, $basis); |
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if (!is_numeric($daysBetweenSettlementAndMaturity)) { |
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// return date error |
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return StringHelper::convertToString(Functions::scalar($daysBetweenSettlementAndMaturity)); |
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} |
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return $investment / (1 - ($discount * $daysBetweenSettlementAndMaturity)); |
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} |
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} |
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