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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\Helpers;
use PhpOffice\PhpSpreadsheet\Calculation\Functions;
class Yields
{
/**
* YIELDDISC.
*
* Returns the annual yield 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 $price The security's price per $100 face value
* @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 yieldDiscounted(
$settlement,
$maturity,
$price,
$redemption,
$basis = FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
) {
$settlement = Functions::flattenSingleValue($settlement);
$maturity = Functions::flattenSingleValue($maturity);
$price = Functions::flattenSingleValue($price);
$redemption = Functions::flattenSingleValue($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);
$price = SecurityValidations::validatePrice($price);
$redemption = SecurityValidations::validateRedemption($redemption);
$basis = SecurityValidations::validateBasis($basis);
} catch (Exception $e) {
return $e->getMessage();
}
$daysPerYear = Helpers::daysPerYear(DateTimeExcel\DateParts::year($settlement), $basis);
if (!is_numeric($daysPerYear)) {
return $daysPerYear;
}
$daysBetweenSettlementAndMaturity = Functions::scalar(DateTimeExcel\YearFrac::fraction($settlement, $maturity, $basis));
if (!is_numeric($daysBetweenSettlementAndMaturity)) {
// return date error
return $daysBetweenSettlementAndMaturity;
}
$daysBetweenSettlementAndMaturity *= $daysPerYear;
return (($redemption - $price) / $price) * ($daysPerYear / $daysBetweenSettlementAndMaturity);
}
/**
* YIELDMAT.
*
* Returns the annual yield 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 $price The security's price 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 yieldAtMaturity(
$settlement,
$maturity,
$issue,
$rate,
$price,
$basis = FinancialConstants::BASIS_DAYS_PER_YEAR_NASD
) {
$settlement = Functions::flattenSingleValue($settlement);
$maturity = Functions::flattenSingleValue($maturity);
$issue = Functions::flattenSingleValue($issue);
$rate = Functions::flattenSingleValue($rate);
$price = Functions::flattenSingleValue($price);
$basis = ($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);
$price = SecurityValidations::validatePrice($price);
$basis = SecurityValidations::validateBasis($basis);
} catch (Exception $e) {
return $e->getMessage();
}
$daysPerYear = Helpers::daysPerYear(DateTimeExcel\DateParts::year($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 *= $daysPerYear;
return ((1 + (($daysBetweenIssueAndMaturity / $daysPerYear) * $rate) -
(($price / 100) + (($daysBetweenIssueAndSettlement / $daysPerYear) * $rate))) /
(($price / 100) + (($daysBetweenIssueAndSettlement / $daysPerYear) * $rate))) *
($daysPerYear / $daysBetweenSettlementAndMaturity);
}
}
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