ref #65: new formula function ODDFPRICE
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e0c6fa1beb
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277
calc.go
277
calc.go
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@ -504,6 +504,7 @@ type formulaFuncs struct {
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// OCT2DEC
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// OCT2HEX
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// ODD
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// ODDFPRICE
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// OR
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// PDURATION
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// PERCENTILE.EXC
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@ -9849,10 +9850,8 @@ func (fn *formulaFuncs) COUPNUM(argsList *list.List) formulaArg {
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if args.Type != ArgList {
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return args
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}
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maturity, dateValue := timeFromExcelTime(args.List[1].Number, false), fn.COUPPCD(argsList)
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date := timeFromExcelTime(dateValue.Number, false)
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months := (maturity.Year()-date.Year())*12 + int(maturity.Month()) - int(date.Month())
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return newNumberFormulaArg(float64(months) * args.List[2].Number / 12.0)
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frac := yearFrac(args.List[0].Number, args.List[1].Number, 0)
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return newNumberFormulaArg(math.Ceil(frac.Number * args.List[2].Number))
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}
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// COUPPCD function returns the previous coupon date, before the settlement
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@ -10748,6 +10747,276 @@ func (fn *formulaFuncs) NPV(argsList *list.List) formulaArg {
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return newNumberFormulaArg(val)
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}
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// aggrBetween is a part of implementation of the formula function ODDFPRICE.
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func aggrBetween(startPeriod, endPeriod float64, initialValue []float64, f func(acc []float64, index float64) []float64) []float64 {
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s := []float64{}
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if startPeriod <= endPeriod {
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for i := startPeriod; i <= endPeriod; i++ {
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s = append(s, i)
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}
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} else {
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for i := startPeriod; i >= endPeriod; i-- {
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s = append(s, i)
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}
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}
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return fold(f, initialValue, s)
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}
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// fold is a part of implementation of the formula function ODDFPRICE.
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func fold(f func(acc []float64, index float64) []float64, state []float64, source []float64) []float64 {
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length, value := len(source), state
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for index := 0; length > index; index++ {
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value = f(value, source[index])
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}
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return value
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}
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// changeMonth is a part of implementation of the formula function ODDFPRICE.
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func changeMonth(date time.Time, numMonths float64, returnLastMonth bool) time.Time {
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offsetDay := 0
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if returnLastMonth && date.Day() == getDaysInMonth(date.Year(), int(date.Month())) {
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offsetDay--
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}
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newDate := date.AddDate(0, int(numMonths), offsetDay)
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if returnLastMonth {
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lastDay := getDaysInMonth(newDate.Year(), int(newDate.Month()))
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return timeFromExcelTime(daysBetween(excelMinTime1900.Unix(), makeDate(newDate.Year(), newDate.Month(), lastDay))+1, false)
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}
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return newDate
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}
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// datesAggregate is a part of implementation of the formula function
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// ODDFPRICE.
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func datesAggregate(startDate, endDate time.Time, numMonths, basis float64, f func(pcd, ncd time.Time) float64, acc float64, returnLastMonth bool) (time.Time, time.Time, float64) {
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frontDate, trailingDate := startDate, endDate
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s1 := frontDate.After(endDate) || frontDate.Equal(endDate)
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s2 := endDate.After(frontDate) || endDate.Equal(frontDate)
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stop := s2
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if numMonths > 0 {
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stop = s1
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}
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for !stop {
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trailingDate = frontDate
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frontDate = changeMonth(frontDate, numMonths, returnLastMonth)
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fn := f(frontDate, trailingDate)
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acc += fn
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s1 = frontDate.After(endDate) || frontDate.Equal(endDate)
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s2 = endDate.After(frontDate) || endDate.Equal(frontDate)
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stop = s2
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if numMonths > 0 {
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stop = s1
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}
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}
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return frontDate, trailingDate, acc
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}
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// coupNumber is a part of implementation of the formula function ODDFPRICE.
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func coupNumber(maturity, settlement, numMonths, basis float64) float64 {
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maturityTime, settlementTime := timeFromExcelTime(maturity, false), timeFromExcelTime(settlement, false)
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my, mm, md := maturityTime.Year(), maturityTime.Month(), maturityTime.Day()
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sy, sm, sd := settlementTime.Year(), settlementTime.Month(), settlementTime.Day()
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couponsTemp, endOfMonthTemp := 0.0, getDaysInMonth(my, int(mm)) == md
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endOfMonth := endOfMonthTemp
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if !endOfMonthTemp && mm != 2 && md > 28 && md < getDaysInMonth(my, int(mm)) {
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endOfMonth = getDaysInMonth(sy, int(sm)) == sd
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}
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startDate := changeMonth(settlementTime, 0, endOfMonth)
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coupons := couponsTemp
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if startDate.After(settlementTime) {
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coupons++
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}
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date := changeMonth(startDate, numMonths, endOfMonth)
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f := func(pcd, ncd time.Time) float64 {
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return 1
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}
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_, _, result := datesAggregate(date, maturityTime, numMonths, basis, f, coupons, endOfMonth)
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return result
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}
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// prepareOddfpriceArgs checking and prepare arguments for the formula
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// function ODDFPRICE.
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func (fn *formulaFuncs) prepareOddfpriceArgs(argsList *list.List) formulaArg {
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dateValues := fn.prepareDataValueArgs(4, argsList)
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if dateValues.Type != ArgList {
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return dateValues
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}
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settlement, maturity, issue, firstCoupon := dateValues.List[0], dateValues.List[1], dateValues.List[2], dateValues.List[3]
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if issue.Number >= settlement.Number {
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return newErrorFormulaArg(formulaErrorNUM, "ODDFPRICE requires settlement > issue")
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}
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if settlement.Number >= firstCoupon.Number {
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return newErrorFormulaArg(formulaErrorNUM, "ODDFPRICE requires first_coupon > settlement")
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}
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if firstCoupon.Number >= maturity.Number {
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return newErrorFormulaArg(formulaErrorNUM, "ODDFPRICE requires maturity > first_coupon")
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}
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rate := argsList.Front().Next().Next().Next().Next().Value.(formulaArg).ToNumber()
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if rate.Type != ArgNumber {
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return rate
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}
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if rate.Number < 0 {
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return newErrorFormulaArg(formulaErrorNUM, "ODDFPRICE requires rate >= 0")
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}
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yld := argsList.Front().Next().Next().Next().Next().Next().Value.(formulaArg).ToNumber()
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if yld.Type != ArgNumber {
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return yld
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}
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if yld.Number < 0 {
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return newErrorFormulaArg(formulaErrorNUM, "ODDFPRICE requires yld >= 0")
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}
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redemption := argsList.Front().Next().Next().Next().Next().Next().Next().Value.(formulaArg).ToNumber()
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if redemption.Type != ArgNumber {
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return redemption
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}
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if redemption.Number <= 0 {
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return newErrorFormulaArg(formulaErrorNUM, "ODDFPRICE requires redemption > 0")
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}
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frequency := argsList.Front().Next().Next().Next().Next().Next().Next().Next().Value.(formulaArg).ToNumber()
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if frequency.Type != ArgNumber {
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return frequency
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}
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if !validateFrequency(frequency.Number) {
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return newErrorFormulaArg(formulaErrorNUM, formulaErrorNUM)
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}
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basis := newNumberFormulaArg(0)
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if argsList.Len() == 9 {
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if basis = argsList.Back().Value.(formulaArg).ToNumber(); basis.Type != ArgNumber {
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return newErrorFormulaArg(formulaErrorNUM, formulaErrorNUM)
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}
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}
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return newListFormulaArg([]formulaArg{settlement, maturity, issue, firstCoupon, rate, yld, redemption, frequency, basis})
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}
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// ODDFPRICE function calculates the price per $100 face value of a security
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// with an odd (short or long) first period. The syntax of the function is:
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//
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// ODDFPRICE(settlement,maturity,issue,first_coupon,rate,yld,redemption,frequency,[basis])
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//
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func (fn *formulaFuncs) ODDFPRICE(argsList *list.List) formulaArg {
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if argsList.Len() != 8 && argsList.Len() != 9 {
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return newErrorFormulaArg(formulaErrorVALUE, "ODDFPRICE requires 8 or 9 arguments")
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}
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args := fn.prepareOddfpriceArgs(argsList)
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if args.Type != ArgList {
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return args
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}
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settlement, maturity, issue, firstCoupon, rate, yld, redemption, frequency, basisArg :=
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args.List[0], args.List[1], args.List[2], args.List[3], args.List[4], args.List[5], args.List[6], args.List[7], args.List[8]
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if basisArg.Number < 0 || basisArg.Number > 4 {
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return newErrorFormulaArg(formulaErrorNUM, "invalid basis")
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}
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issueTime := timeFromExcelTime(issue.Number, false)
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settlementTime := timeFromExcelTime(settlement.Number, false)
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maturityTime := timeFromExcelTime(maturity.Number, false)
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firstCouponTime := timeFromExcelTime(firstCoupon.Number, false)
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basis := int(basisArg.Number)
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monthDays := getDaysInMonth(maturityTime.Year(), int(maturityTime.Month()))
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returnLastMonth := monthDays == maturityTime.Day()
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numMonths := 12 / frequency.Number
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numMonthsNeg := -numMonths
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mat := changeMonth(maturityTime, numMonthsNeg, returnLastMonth)
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pcd, _, _ := datesAggregate(mat, firstCouponTime, numMonthsNeg, basisArg.Number, func(d1, d2 time.Time) float64 {
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return 0
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}, 0, returnLastMonth)
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if !pcd.Equal(firstCouponTime) {
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return newErrorFormulaArg(formulaErrorNUM, formulaErrorNUM)
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}
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fnArgs := list.New().Init()
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fnArgs.PushBack(settlement)
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fnArgs.PushBack(maturity)
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fnArgs.PushBack(frequency)
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fnArgs.PushBack(basisArg)
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e := fn.COUPDAYS(fnArgs)
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n := fn.COUPNUM(fnArgs)
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m := frequency.Number
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dfc := coupdays(issueTime, firstCouponTime, basis)
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if dfc < e.Number {
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dsc := coupdays(settlementTime, firstCouponTime, basis)
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a := coupdays(issueTime, settlementTime, basis)
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x := yld.Number/m + 1
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y := dsc / e.Number
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p1 := x
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p3 := math.Pow(p1, n.Number-1+y)
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term1 := redemption.Number / p3
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term2 := 100 * rate.Number / m * dfc / e.Number / math.Pow(p1, y)
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f := func(acc []float64, index float64) []float64 {
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return []float64{acc[0] + 100*rate.Number/m/math.Pow(p1, index-1+y)}
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}
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term3 := aggrBetween(2, math.Floor(n.Number), []float64{0}, f)
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p2 := rate.Number / m
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term4 := a / e.Number * p2 * 100
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return newNumberFormulaArg(term1 + term2 + term3[0] - term4)
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}
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fnArgs.Init()
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fnArgs.PushBack(issue)
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fnArgs.PushBack(firstCoupon)
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fnArgs.PushBack(frequency)
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nc := fn.COUPNUM(fnArgs)
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lastCoupon := firstCoupon.Number
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aggrFunc := func(acc []float64, index float64) []float64 {
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lastCouponTime := timeFromExcelTime(lastCoupon, false)
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earlyCoupon := daysBetween(excelMinTime1900.Unix(), makeDate(lastCouponTime.Year(), time.Month(float64(lastCouponTime.Month())+numMonthsNeg), lastCouponTime.Day())) + 1
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earlyCouponTime := timeFromExcelTime(earlyCoupon, false)
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nl := e.Number
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if basis == 1 {
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nl = coupdays(earlyCouponTime, lastCouponTime, basis)
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}
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dci := coupdays(issueTime, lastCouponTime, basis)
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if index > 1 {
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dci = nl
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}
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startDate := earlyCoupon
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if issue.Number > earlyCoupon {
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startDate = issue.Number
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}
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endDate := lastCoupon
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if settlement.Number < lastCoupon {
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endDate = settlement.Number
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}
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startDateTime := timeFromExcelTime(startDate, false)
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endDateTime := timeFromExcelTime(endDate, false)
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a := coupdays(startDateTime, endDateTime, basis)
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lastCoupon = earlyCoupon
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dcnl := acc[0]
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anl := acc[1]
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return []float64{dcnl + dci/nl, anl + a/nl}
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}
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ag := aggrBetween(math.Floor(nc.Number), 1, []float64{0, 0}, aggrFunc)
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dcnl, anl := ag[0], ag[1]
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dsc := 0.0
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fnArgs.Init()
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fnArgs.PushBack(settlement)
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fnArgs.PushBack(firstCoupon)
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fnArgs.PushBack(frequency)
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if basis == 2 || basis == 3 {
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d := timeFromExcelTime(fn.COUPNCD(fnArgs).Number, false)
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dsc = coupdays(settlementTime, d, basis)
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} else {
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d := timeFromExcelTime(fn.COUPPCD(fnArgs).Number, false)
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a := coupdays(d, settlementTime, basis)
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dsc = e.Number - a
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}
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nq := coupNumber(firstCoupon.Number, settlement.Number, numMonths, basisArg.Number)
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fnArgs.Init()
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fnArgs.PushBack(firstCoupon)
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fnArgs.PushBack(maturity)
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fnArgs.PushBack(frequency)
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fnArgs.PushBack(basisArg)
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n = fn.COUPNUM(fnArgs)
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x := yld.Number/m + 1
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y := dsc / e.Number
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p1 := x
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p3 := math.Pow(p1, y+nq+n.Number)
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term1 := redemption.Number / p3
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term2 := 100 * rate.Number / m * dcnl / math.Pow(p1, nq+y)
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f := func(acc []float64, index float64) []float64 {
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return []float64{acc[0] + 100*rate.Number/m/math.Pow(p1, index+nq+y)}
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}
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term3 := aggrBetween(1, math.Floor(n.Number), []float64{0}, f)
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term4 := 100 * rate.Number / m * anl
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return newNumberFormulaArg(term1 + term2 + term3[0] - term4)
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}
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// PDURATION function calculates the number of periods required for an
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// investment to reach a specified future value. The syntax of the function
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// is:
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29
calc_test.go
29
calc_test.go
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@ -1443,6 +1443,7 @@ func TestCalcCellValue(t *testing.T) {
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// COUPNUM
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"=COUPNUM(\"01/01/2011\",\"10/25/2012\",4)": "8",
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"=COUPNUM(\"01/01/2011\",\"10/25/2012\",4,0)": "8",
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"=COUPNUM(\"09/30/2017\",\"03/31/2021\",4,0)": "14",
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// COUPPCD
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"=COUPPCD(\"01/01/2011\",\"10/25/2012\",4)": "40476",
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"=COUPPCD(\"01/01/2011\",\"10/25/2012\",4,0)": "40476",
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@ -1503,6 +1504,14 @@ func TestCalcCellValue(t *testing.T) {
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"=NPER(0.06/4,-2000,60000,30000,1)": "52.794773709274764",
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// NPV
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"=NPV(0.02,-5000,\"\",800)": "-4133.025759323337",
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// ODDFPRICE
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"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"12/01/2016\",\"03/31/2017\",5.5%,3.5%,100,2)": "107.69183025662932",
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"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"12/01/2016\",\"03/31/2017\",5.5%,3.5%,100,4,1)": "106.76691501092883",
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"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"12/01/2016\",\"03/31/2017\",5.5%,3.5%,100,4,3)": "106.7819138146997",
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"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"12/01/2016\",\"03/31/2017\",5.5%,3.5%,100,4,4)": "106.77191377246672",
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"=ODDFPRICE(\"11/11/2008\",\"03/01/2021\",\"10/15/2008\",\"03/01/2009\",7.85%,6.25%,100,2,1)": "113.59771747407883",
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"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"12/01/2016\",\"09/30/2017\",5.5%,3.5%,100,4,0)": "106.72930611878041",
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"=ODDFPRICE(\"11/11/2008\",\"03/29/2021\", \"08/15/2008\", \"03/29/2009\", 0.0785, 0.0625, 100, 2, 1)": "113.61826640813996",
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// PDURATION
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"=PDURATION(0.04,10000,15000)": "10.33803507150765",
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// PMT
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@ -3013,6 +3022,26 @@ func TestCalcCellValue(t *testing.T) {
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// NPV
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"=NPV()": "NPV requires at least 2 arguments",
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"=NPV(\"\",0)": "strconv.ParseFloat: parsing \"\": invalid syntax",
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// ODDFPRICE
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"=ODDFPRICE()": "ODDFPRICE requires 8 or 9 arguments",
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"=ODDFPRICE(\"\",\"03/31/2021\",\"12/01/2016\",\"03/31/2017\",5.5%,3.5%,100,2)": "#VALUE!",
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"=ODDFPRICE(\"02/01/2017\",\"\",\"12/01/2016\",\"03/31/2017\",5.5%,3.5%,100,2)": "#VALUE!",
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"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"\",\"03/31/2017\",5.5%,3.5%,100,2)": "#VALUE!",
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"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"12/01/2016\",\"\",5.5%,3.5%,100,2)": "#VALUE!",
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"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"12/01/2016\",\"03/31/2017\",\"\",3.5%,100,2)": "strconv.ParseFloat: parsing \"\": invalid syntax",
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"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"12/01/2016\",\"03/31/2017\",5.5%,\"\",100,2)": "strconv.ParseFloat: parsing \"\": invalid syntax",
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"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"12/01/2016\",\"03/31/2017\",5.5%,3.5%,\"\",2)": "strconv.ParseFloat: parsing \"\": invalid syntax",
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"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"12/01/2016\",\"03/31/2017\",5.5%,3.5%,100,\"\")": "strconv.ParseFloat: parsing \"\": invalid syntax",
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"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"02/01/2017\",\"03/31/2017\",5.5%,3.5%,100,2)": "ODDFPRICE requires settlement > issue",
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"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"12/01/2016\",\"02/01/2017\",5.5%,3.5%,100,2)": "ODDFPRICE requires first_coupon > settlement",
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"=ODDFPRICE(\"02/01/2017\",\"02/01/2017\",\"12/01/2016\",\"03/31/2017\",5.5%,3.5%,100,2)": "ODDFPRICE requires maturity > first_coupon",
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"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"12/01/2016\",\"03/31/2017\",-1,3.5%,100,2)": "ODDFPRICE requires rate >= 0",
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"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"12/01/2016\",\"03/31/2017\",5.5%,-1,100,2)": "ODDFPRICE requires yld >= 0",
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||||
"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"12/01/2016\",\"03/31/2017\",5.5%,3.5%,0,2)": "ODDFPRICE requires redemption > 0",
|
||||
"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"12/01/2016\",\"03/31/2017\",5.5%,3.5%,100,2,\"\")": "#NUM!",
|
||||
"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"12/01/2016\",\"03/31/2017\",5.5%,3.5%,100,3)": "#NUM!",
|
||||
"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"12/01/2016\",\"03/30/2017\",5.5%,3.5%,100,4)": "#NUM!",
|
||||
"=ODDFPRICE(\"02/01/2017\",\"03/31/2021\",\"12/01/2016\",\"03/31/2017\",5.5%,3.5%,100,2,5)": "invalid basis",
|
||||
// PDURATION
|
||||
"=PDURATION()": "PDURATION requires 3 arguments",
|
||||
"=PDURATION(\"\",0,0)": "strconv.ParseFloat: parsing \"\": invalid syntax",
|
||||
|
|
|
|||
Loading…
Reference in New Issue