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<?php
namespace PhpOffice\PhpSpreadsheet\Calculation\Financial;
use DateTime;
use PhpOffice\PhpSpreadsheet\Calculation\DateTimeExcel;
use PhpOffice\PhpSpreadsheet\Calculation\Exception;
use PhpOffice\PhpSpreadsheet\Calculation\Financial\Constants as FinancialConstants;
use PhpOffice\PhpSpreadsheet\Calculation\Functions;
use PhpOffice\PhpSpreadsheet\Calculation\Information\ExcelError;
use PhpOffice\PhpSpreadsheet\Shared\Date;
class Coupons
{
private const PERIOD_DATE_PREVIOUS = false;
private const PERIOD_DATE_NEXT = true;
/**
* COUPDAYBS.
*
* Returns the number of days from the beginning of the coupon period to the settlement date.
*
* Excel Function:
* COUPDAYBS(settlement,maturity,frequency[,basis])
*
* @param mixed $settlement The security's settlement date.
* The security settlement date is the date after the issue
* date when the security is traded to the buyer.
* @param mixed $maturity The security's maturity date.
* The maturity date is the date when the security expires.
* @param mixed $frequency The number of coupon payments per year (int).
* Valid frequency values are:
* 1 Annual
* 2 Semi-Annual
* 4 Quarterly
* @param mixed $basis The type of day count to use (int).
* 0 or omitted US (NASD) 30/360
* 1 Actual/actual
* 2 Actual/360
* 3 Actual/365
* 4 European 30/360
*
* @return float|string
*/
public static function COUPDAYBS(
$settlement,
$maturity,
$frequency,
$basis = FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
) {
$settlement = Functions::flattenSingleValue($settlement);
$maturity = Functions::flattenSingleValue($maturity);
$frequency = Functions::flattenSingleValue($frequency);
$basis = ($basis === null)
? FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
: Functions::flattenSingleValue($basis);
try {
$settlement = FinancialValidations::validateSettlementDate($settlement);
$maturity = FinancialValidations::validateMaturityDate($maturity);
self::validateCouponPeriod($settlement, $maturity);
$frequency = FinancialValidations::validateFrequency($frequency);
$basis = FinancialValidations::validateBasis($basis);
} catch (Exception $e) {
return $e->getMessage();
}
$daysPerYear = Helpers::daysPerYear(Functions::scalar(DateTimeExcel\DateParts::year($settlement)), $basis);
if (is_string($daysPerYear)) {
return ExcelError::VALUE();
}
$prev = self::couponFirstPeriodDate($settlement, $maturity, $frequency, self::PERIOD_DATE_PREVIOUS);
if ($basis === FinancialConstants::BASIS_DAYS_PER_YEAR_ACTUAL) {
return abs((float) DateTimeExcel\Days::between($prev, $settlement));
}
return (float) DateTimeExcel\YearFrac::fraction($prev, $settlement, $basis) * $daysPerYear;
}
/**
* COUPDAYS.
*
* Returns the number of days in the coupon period that contains the settlement date.
*
* Excel Function:
* COUPDAYS(settlement,maturity,frequency[,basis])
*
* @param mixed $settlement The security's settlement date.
* The security settlement date is the date after the issue
* date when the security is traded to the buyer.
* @param mixed $maturity The security's maturity date.
* The maturity date is the date when the security expires.
* @param mixed $frequency The number of coupon payments per year.
* Valid frequency values are:
* 1 Annual
* 2 Semi-Annual
* 4 Quarterly
* @param mixed $basis The type of day count to use (int).
* 0 or omitted US (NASD) 30/360
* 1 Actual/actual
* 2 Actual/360
* 3 Actual/365
* 4 European 30/360
*
* @return float|string
*/
public static function COUPDAYS(
$settlement,
$maturity,
$frequency,
$basis = FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
) {
$settlement = Functions::flattenSingleValue($settlement);
$maturity = Functions::flattenSingleValue($maturity);
$frequency = Functions::flattenSingleValue($frequency);
$basis = ($basis === null)
? FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
: Functions::flattenSingleValue($basis);
try {
$settlement = FinancialValidations::validateSettlementDate($settlement);
$maturity = FinancialValidations::validateMaturityDate($maturity);
self::validateCouponPeriod($settlement, $maturity);
$frequency = FinancialValidations::validateFrequency($frequency);
$basis = FinancialValidations::validateBasis($basis);
} catch (Exception $e) {
return $e->getMessage();
}
switch ($basis) {
case FinancialConstants::BASIS_DAYS_PER_YEAR_365:
// Actual/365
return 365 / $frequency;
case FinancialConstants::BASIS_DAYS_PER_YEAR_ACTUAL:
// Actual/actual
if ($frequency == FinancialConstants::FREQUENCY_ANNUAL) {
$daysPerYear = (int) Helpers::daysPerYear(Functions::scalar(DateTimeExcel\DateParts::year($settlement)), $basis);
return $daysPerYear / $frequency;
}
$prev = self::couponFirstPeriodDate($settlement, $maturity, $frequency, self::PERIOD_DATE_PREVIOUS);
$next = self::couponFirstPeriodDate($settlement, $maturity, $frequency, self::PERIOD_DATE_NEXT);
return $next - $prev;
default:
// US (NASD) 30/360, Actual/360 or European 30/360
return 360 / $frequency;
}
}
/**
* COUPDAYSNC.
*
* Returns the number of days from the settlement date to the next coupon date.
*
* Excel Function:
* COUPDAYSNC(settlement,maturity,frequency[,basis])
*
* @param mixed $settlement The security's settlement date.
* The security settlement date is the date after the issue
* date when the security is traded to the buyer.
* @param mixed $maturity The security's maturity date.
* The maturity date is the date when the security expires.
* @param mixed $frequency The number of coupon payments per year.
* Valid frequency values are:
* 1 Annual
* 2 Semi-Annual
* 4 Quarterly
* @param mixed $basis The type of day count to use (int) .
* 0 or omitted US (NASD) 30/360
* 1 Actual/actual
* 2 Actual/360
* 3 Actual/365
* 4 European 30/360
*
* @return float|string
*/
public static function COUPDAYSNC(
$settlement,
$maturity,
$frequency,
$basis = FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
) {
$settlement = Functions::flattenSingleValue($settlement);
$maturity = Functions::flattenSingleValue($maturity);
$frequency = Functions::flattenSingleValue($frequency);
$basis = ($basis === null)
? FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
: Functions::flattenSingleValue($basis);
try {
$settlement = FinancialValidations::validateSettlementDate($settlement);
$maturity = FinancialValidations::validateMaturityDate($maturity);
self::validateCouponPeriod($settlement, $maturity);
$frequency = FinancialValidations::validateFrequency($frequency);
$basis = FinancialValidations::validateBasis($basis);
} catch (Exception $e) {
return $e->getMessage();
}
/** @var int */
$daysPerYear = Helpers::daysPerYear(DateTimeExcel\DateParts::year($settlement), $basis);
$next = self::couponFirstPeriodDate($settlement, $maturity, $frequency, self::PERIOD_DATE_NEXT);
if ($basis === FinancialConstants::BASIS_DAYS_PER_YEAR_NASD) {
$settlementDate = Date::excelToDateTimeObject($settlement);
$settlementEoM = Helpers::isLastDayOfMonth($settlementDate);
if ($settlementEoM) {
++$settlement;
}
}
return (float) DateTimeExcel\YearFrac::fraction($settlement, $next, $basis) * $daysPerYear;
}
/**
* COUPNCD.
*
* Returns the next coupon date after the settlement date.
*
* Excel Function:
* COUPNCD(settlement,maturity,frequency[,basis])
*
* @param mixed $settlement The security's settlement date.
* The security settlement date is the date after the issue
* date when the security is traded to the buyer.
* @param mixed $maturity The security's maturity date.
* The maturity date is the date when the security expires.
* @param mixed $frequency The number of coupon payments per year.
* Valid frequency values are:
* 1 Annual
* 2 Semi-Annual
* 4 Quarterly
* @param mixed $basis The type of day count to use (int).
* 0 or omitted US (NASD) 30/360
* 1 Actual/actual
* 2 Actual/360
* 3 Actual/365
* 4 European 30/360
*
* @return mixed Excel date/time serial value, PHP date/time serial value or PHP date/time object,
* depending on the value of the ReturnDateType flag
*/
public static function COUPNCD(
$settlement,
$maturity,
$frequency,
$basis = FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
) {
$settlement = Functions::flattenSingleValue($settlement);
$maturity = Functions::flattenSingleValue($maturity);
$frequency = Functions::flattenSingleValue($frequency);
$basis = ($basis === null)
? FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
: Functions::flattenSingleValue($basis);
try {
$settlement = FinancialValidations::validateSettlementDate($settlement);
$maturity = FinancialValidations::validateMaturityDate($maturity);
self::validateCouponPeriod($settlement, $maturity);
$frequency = FinancialValidations::validateFrequency($frequency);
$basis = FinancialValidations::validateBasis($basis);
} catch (Exception $e) {
return $e->getMessage();
}
return self::couponFirstPeriodDate($settlement, $maturity, $frequency, self::PERIOD_DATE_NEXT);
}
/**
* COUPNUM.
*
* Returns the number of coupons payable between the settlement date and maturity date,
* rounded up to the nearest whole coupon.
*
* Excel Function:
* COUPNUM(settlement,maturity,frequency[,basis])
*
* @param mixed $settlement The security's settlement date.
* The security settlement date is the date after the issue
* date when the security is traded to the buyer.
* @param mixed $maturity The security's maturity date.
* The maturity date is the date when the security expires.
* @param mixed $frequency The number of coupon payments per year.
* Valid frequency values are:
* 1 Annual
* 2 Semi-Annual
* 4 Quarterly
* @param mixed $basis The type of day count to use (int).
* 0 or omitted US (NASD) 30/360
* 1 Actual/actual
* 2 Actual/360
* 3 Actual/365
* 4 European 30/360
*
* @return int|string
*/
public static function COUPNUM(
$settlement,
$maturity,
$frequency,
$basis = FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
) {
$settlement = Functions::flattenSingleValue($settlement);
$maturity = Functions::flattenSingleValue($maturity);
$frequency = Functions::flattenSingleValue($frequency);
$basis = ($basis === null)
? FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
: Functions::flattenSingleValue($basis);
try {
$settlement = FinancialValidations::validateSettlementDate($settlement);
$maturity = FinancialValidations::validateMaturityDate($maturity);
self::validateCouponPeriod($settlement, $maturity);
$frequency = FinancialValidations::validateFrequency($frequency);
$basis = FinancialValidations::validateBasis($basis);
} catch (Exception $e) {
return $e->getMessage();
}
$yearsBetweenSettlementAndMaturity = DateTimeExcel\YearFrac::fraction(
$settlement,
$maturity,
FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
);
return (int) ceil((float) $yearsBetweenSettlementAndMaturity * $frequency);
}
/**
* COUPPCD.
*
* Returns the previous coupon date before the settlement date.
*
* Excel Function:
* COUPPCD(settlement,maturity,frequency[,basis])
*
* @param mixed $settlement The security's settlement date.
* The security settlement date is the date after the issue
* date when the security is traded to the buyer.
* @param mixed $maturity The security's maturity date.
* The maturity date is the date when the security expires.
* @param mixed $frequency The number of coupon payments per year.
* Valid frequency values are:
* 1 Annual
* 2 Semi-Annual
* 4 Quarterly
* @param mixed $basis The type of day count to use (int).
* 0 or omitted US (NASD) 30/360
* 1 Actual/actual
* 2 Actual/360
* 3 Actual/365
* 4 European 30/360
*
* @return mixed Excel date/time serial value, PHP date/time serial value or PHP date/time object,
* depending on the value of the ReturnDateType flag
*/
public static function COUPPCD(
$settlement,
$maturity,
$frequency,
$basis = FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
) {
$settlement = Functions::flattenSingleValue($settlement);
$maturity = Functions::flattenSingleValue($maturity);
$frequency = Functions::flattenSingleValue($frequency);
$basis = ($basis === null)
? FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
: Functions::flattenSingleValue($basis);
try {
$settlement = FinancialValidations::validateSettlementDate($settlement);
$maturity = FinancialValidations::validateMaturityDate($maturity);
self::validateCouponPeriod($settlement, $maturity);
$frequency = FinancialValidations::validateFrequency($frequency);
$basis = FinancialValidations::validateBasis($basis);
} catch (Exception $e) {
return $e->getMessage();
}
return self::couponFirstPeriodDate($settlement, $maturity, $frequency, self::PERIOD_DATE_PREVIOUS);
}
private static function monthsDiff(DateTime $result, int $months, string $plusOrMinus, int $day, bool $lastDayFlag): void
{
$result->setDate((int) $result->format('Y'), (int) $result->format('m'), 1);
$result->modify("$plusOrMinus $months months");
$daysInMonth = (int) $result->format('t');
$result->setDate((int) $result->format('Y'), (int) $result->format('m'), $lastDayFlag ? $daysInMonth : min($day, $daysInMonth));
}
private static function couponFirstPeriodDate(float $settlement, float $maturity, int $frequency, bool $next): float
{
$months = 12 / $frequency;
$result = Date::excelToDateTimeObject($maturity);
$day = (int) $result->format('d');
$lastDayFlag = Helpers::isLastDayOfMonth($result);
while ($settlement < Date::PHPToExcel($result)) {
self::monthsDiff($result, $months, '-', $day, $lastDayFlag);
}
if ($next === true) {
self::monthsDiff($result, $months, '+', $day, $lastDayFlag);
}
return (float) Date::PHPToExcel($result);
}
private static function validateCouponPeriod(float $settlement, float $maturity): void
{
if ($settlement >= $maturity) {
throw new Exception(ExcelError::NAN());
}
}
}
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