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<?php
namespace PhpOffice\PhpSpreadsheet\Calculation\Financial\Securities;
use PhpOffice\PhpSpreadsheet\Calculation\DateTimeExcel;
use PhpOffice\PhpSpreadsheet\Calculation\Exception;
use PhpOffice\PhpSpreadsheet\Calculation\Financial\Constants as FinancialConstants;
use PhpOffice\PhpSpreadsheet\Calculation\Financial\Coupons;
use PhpOffice\PhpSpreadsheet\Calculation\Financial\Helpers;
use PhpOffice\PhpSpreadsheet\Calculation\Functions;
use PhpOffice\PhpSpreadsheet\Calculation\Information\ExcelError;
class Price
{
/**
* PRICE.
*
* Returns the price per $100 face value of a security that pays periodic interest.
*
* @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 $rate the security's annual coupon rate
* @param mixed $yield the security's annual yield
* @param mixed $redemption The number of coupon payments per year.
* For annual payments, frequency = 1;
* for semiannual, frequency = 2;
* for quarterly, frequency = 4.
* @param mixed $frequency
* @param mixed $basis The type of day count to use.
* 0 or omitted US (NASD) 30/360
* 1 Actual/actual
* 2 Actual/360
* 3 Actual/365
* 4 European 30/360
*
* @return float|string Result, or a string containing an error
*/
public static function price(
$settlement,
$maturity,
$rate,
$yield,
$redemption,
$frequency,
$basis = FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
) {
$settlement = Functions::flattenSingleValue($settlement);
$maturity = Functions::flattenSingleValue($maturity);
$rate = Functions::flattenSingleValue($rate);
$yield = Functions::flattenSingleValue($yield);
$redemption = Functions::flattenSingleValue($redemption);
$frequency = Functions::flattenSingleValue($frequency);
$basis = ($basis === null)
? FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
: Functions::flattenSingleValue($basis);
try {
$settlement = SecurityValidations::validateSettlementDate($settlement);
$maturity = SecurityValidations::validateMaturityDate($maturity);
SecurityValidations::validateSecurityPeriod($settlement, $maturity);
$rate = SecurityValidations::validateRate($rate);
$yield = SecurityValidations::validateYield($yield);
$redemption = SecurityValidations::validateRedemption($redemption);
$frequency = SecurityValidations::validateFrequency($frequency);
$basis = SecurityValidations::validateBasis($basis);
} catch (Exception $e) {
return $e->getMessage();
}
$dsc = Coupons::COUPDAYSNC($settlement, $maturity, $frequency, $basis);
$e = Coupons::COUPDAYS($settlement, $maturity, $frequency, $basis);
$n = Coupons::COUPNUM($settlement, $maturity, $frequency, $basis);
$a = Coupons::COUPDAYBS($settlement, $maturity, $frequency, $basis);
$baseYF = 1.0 + ($yield / $frequency);
$rfp = 100 * ($rate / $frequency);
$de = $dsc / $e;
$result = $redemption / $baseYF ** (--$n + $de);
for ($k = 0; $k <= $n; ++$k) {
$result += $rfp / ($baseYF ** ($k + $de));
}
$result -= $rfp * ($a / $e);
return $result;
}
/**
* PRICEDISC.
*
* Returns the price per $100 face value of a discounted security.
*
* @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 $discount The security's discount rate
* @param mixed $redemption The security's redemption value per $100 face value
* @param mixed $basis The type of day count to use.
* 0 or omitted US (NASD) 30/360
* 1 Actual/actual
* 2 Actual/360
* 3 Actual/365
* 4 European 30/360
*
* @return float|string Result, or a string containing an error
*/
public static function priceDiscounted(
$settlement,
$maturity,
$discount,
$redemption,
$basis = FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
) {
$settlement = Functions::flattenSingleValue($settlement);
$maturity = Functions::flattenSingleValue($maturity);
$discount = Functions::flattenSingleValue($discount);
$redemption = Functions::flattenSingleValue($redemption);
$basis = ($basis === null)
? FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
: Functions::flattenSingleValue($basis);
try {
$settlement = SecurityValidations::validateSettlementDate($settlement);
$maturity = SecurityValidations::validateMaturityDate($maturity);
SecurityValidations::validateSecurityPeriod($settlement, $maturity);
$discount = SecurityValidations::validateDiscount($discount);
$redemption = SecurityValidations::validateRedemption($redemption);
$basis = SecurityValidations::validateBasis($basis);
} catch (Exception $e) {
return $e->getMessage();
}
$daysBetweenSettlementAndMaturity = Functions::scalar(DateTimeExcel\YearFrac::fraction($settlement, $maturity, $basis));
if (!is_numeric($daysBetweenSettlementAndMaturity)) {
// return date error
return $daysBetweenSettlementAndMaturity;
}
return $redemption * (1 - $discount * $daysBetweenSettlementAndMaturity);
}
/**
* PRICEMAT.
*
* Returns the price per $100 face value of a security that pays interest at maturity.
*
* @param mixed $settlement The security's settlement date.
* The security's 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 $issue The security's issue date
* @param mixed $rate The security's interest rate at date of issue
* @param mixed $yield The security's annual yield
* @param mixed $basis The type of day count to use.
* 0 or omitted US (NASD) 30/360
* 1 Actual/actual
* 2 Actual/360
* 3 Actual/365
* 4 European 30/360
*
* @return float|string Result, or a string containing an error
*/
public static function priceAtMaturity(
$settlement,
$maturity,
$issue,
$rate,
$yield,
$basis = FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
) {
$settlement = Functions::flattenSingleValue($settlement);
$maturity = Functions::flattenSingleValue($maturity);
$issue = Functions::flattenSingleValue($issue);
$rate = Functions::flattenSingleValue($rate);
$yield = Functions::flattenSingleValue($yield);
$basis = ($basis === null)
? FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
: Functions::flattenSingleValue($basis);
try {
$settlement = SecurityValidations::validateSettlementDate($settlement);
$maturity = SecurityValidations::validateMaturityDate($maturity);
SecurityValidations::validateSecurityPeriod($settlement, $maturity);
$issue = SecurityValidations::validateIssueDate($issue);
$rate = SecurityValidations::validateRate($rate);
$yield = SecurityValidations::validateYield($yield);
$basis = SecurityValidations::validateBasis($basis);
} catch (Exception $e) {
return $e->getMessage();
}
$daysPerYear = Functions::scalar(Helpers::daysPerYear(DateTimeExcel\DateParts::year($settlement), $basis));
if (!is_numeric($daysPerYear)) {
return $daysPerYear;
}
$daysBetweenIssueAndSettlement = Functions::scalar(DateTimeExcel\YearFrac::fraction($issue, $settlement, $basis));
if (!is_numeric($daysBetweenIssueAndSettlement)) {
// return date error
return $daysBetweenIssueAndSettlement;
}
$daysBetweenIssueAndSettlement *= $daysPerYear;
$daysBetweenIssueAndMaturity = Functions::scalar(DateTimeExcel\YearFrac::fraction($issue, $maturity, $basis));
if (!is_numeric($daysBetweenIssueAndMaturity)) {
// return date error
return $daysBetweenIssueAndMaturity;
}
$daysBetweenIssueAndMaturity *= $daysPerYear;
$daysBetweenSettlementAndMaturity = Functions::scalar(DateTimeExcel\YearFrac::fraction($settlement, $maturity, $basis));
if (!is_numeric($daysBetweenSettlementAndMaturity)) {
// return date error
return $daysBetweenSettlementAndMaturity;
}
$daysBetweenSettlementAndMaturity *= $daysPerYear;
return (100 + (($daysBetweenIssueAndMaturity / $daysPerYear) * $rate * 100)) /
(1 + (($daysBetweenSettlementAndMaturity / $daysPerYear) * $yield)) -
(($daysBetweenIssueAndSettlement / $daysPerYear) * $rate * 100);
}
/**
* RECEIVED.
*
* Returns the amount received at maturity for a fully invested Security.
*
* @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 $investment The amount invested in the security
* @param mixed $discount The security's discount rate
* @param mixed $basis The type of day count to use.
* 0 or omitted US (NASD) 30/360
* 1 Actual/actual
* 2 Actual/360
* 3 Actual/365
* 4 European 30/360
*
* @return float|string Result, or a string containing an error
*/
public static function received(
$settlement,
$maturity,
$investment,
$discount,
$basis = FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
) {
$settlement = Functions::flattenSingleValue($settlement);
$maturity = Functions::flattenSingleValue($maturity);
$investment = Functions::flattenSingleValue($investment);
$discount = Functions::flattenSingleValue($discount);
$basis = ($basis === null)
? FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
: Functions::flattenSingleValue($basis);
try {
$settlement = SecurityValidations::validateSettlementDate($settlement);
$maturity = SecurityValidations::validateMaturityDate($maturity);
SecurityValidations::validateSecurityPeriod($settlement, $maturity);
$investment = SecurityValidations::validateFloat($investment);
$discount = SecurityValidations::validateDiscount($discount);
$basis = SecurityValidations::validateBasis($basis);
} catch (Exception $e) {
return $e->getMessage();
}
if ($investment <= 0) {
return ExcelError::NAN();
}
$daysBetweenSettlementAndMaturity = DateTimeExcel\YearFrac::fraction($settlement, $maturity, $basis);
if (!is_numeric($daysBetweenSettlementAndMaturity)) {
// return date error
return $daysBetweenSettlementAndMaturity;
}
return $investment / (1 - ($discount * $daysBetweenSettlementAndMaturity));
}
}
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