<?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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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 $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 $daysBetweenIssueAndSettlement;
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}
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$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 $daysBetweenIssueAndMaturity;
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}
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$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 $daysBetweenSettlementAndMaturity;
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}
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$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 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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