mcs/class/Microsoft.VisualBasic/Microsoft.VisualBasic/Financial.cs

   1 //
   2 // Financial.cs
   3 //
   4 // Author:
   5 //   Chris J Breisch (cjbreisch@altavista.net)
   6 //
   7 // (C) 2002 Chris J Breisch
   8 //
   9
  10 //
  11 // Copyright (c) 2002-2003 Mainsoft Corporation.
  12 // Copyright (C) 2004 Novell, Inc (http://www.novell.com)
  13 //
  14 // Permission is hereby granted, free of charge, to any person obtaining
  15 // a copy of this software and associated documentation files (the
  16 // "Software"), to deal in the Software without restriction, including
  17 // without limitation the rights to use, copy, modify, merge, publish,
  18 // distribute, sublicense, and/or sell copies of the Software, and to
  19 // permit persons to whom the Software is furnished to do so, subject to
  20 // the following conditions:
  21 //
  22 // The above copyright notice and this permission notice shall be
  23 // included in all copies or substantial portions of the Software.
  24 //
  25 // THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
  26 // EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
  27 // MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
  28 // NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE
  29 // LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION
  30 // OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION
  31 // WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
  32 //
  33
  34 using System;
  35 using System.Runtime.InteropServices;
  36 using Microsoft.VisualBasic.CompilerServices;
  37
  38 namespace Microsoft.VisualBasic
  39 {
  40         [StandardModule]
  41         sealed public class Financial {
  42                 // Declarations
  43                 // Constructors
  44                 private Financial() {} // prevent public default constructor
  45                 // Properties
  46                 // Methods
  47                 public static double DDB (double Cost, double Salvage, double Life, double Period,
  48                                           [Optional, __DefaultArgumentValue(2)] double Factor)
  49                 {
  50                         // LAMESPEC: MSDN says Life and Factor only throws exception if < 0, but Implementation throws exception if <= 0
  51                         if (Cost < 0
  52                             || Salvage < 0
  53                             || Life <= 0
  54                             || Period < 0
  55                             || Factor <= 0
  56                             || Period > Life)
  57                                 throw new ArgumentException (Utils.GetResourceString ("Argument_InvalidValue1", "Factor"));
  58
  59                         return (((Cost - Salvage) * Factor) / Life) * Period;
  60                 }
  61
  62                 public static double FV (double Rate, double NPer, double Pmt,
  63                                          [Optional, __DefaultArgumentValue(0)] double PV,
  64                                          [Optional, __DefaultArgumentValue(0)] DueDate Due)
  65                 {
  66                         Pmt = -Pmt;
  67                         PV = -PV;
  68                         double currentRate = Math.Pow (Rate + 1, NPer);
  69                         double sum = 0;
  70
  71                         if (Rate != 0)
  72                                 sum = Pmt * ((currentRate - 1) / Rate);
  73                         else
  74                                 sum = Pmt * NPer;
  75
  76                         if (Due == DueDate.BegOfPeriod)
  77                                 sum *= (1 + Rate);
  78
  79                         return PV * currentRate + sum;
  80                 }
  81
  82                 public static double IPmt (double Rate, double Per, double NPer, double PV,
  83                                            [Optional, __DefaultArgumentValue(0)] double FV,
  84                                            [Optional, __DefaultArgumentValue(0)] DueDate Due)
  85                 {
  86                         double totalFutureVal;
  87                         double totalPaymentValue;
  88                         double numberOfPeriods;
  89
  90                         if ((Per <= 0) || (Per >= (NPer + 1)))
  91                                 throw new ArgumentException (Utils.GetResourceString ("Argument_InvalidValue1", "Per"));
  92                         if ((Due == DueDate.BegOfPeriod) && (Per == 1))
  93                                 return 0;
  94
  95                         totalPaymentValue = Pmt (Rate, NPer, PV, FV, Due);
  96                         if (Due == DueDate.BegOfPeriod)
  97                                 PV = (PV + totalPaymentValue);
  98
  99                         numberOfPeriods = Per - ((int)Due) - 1;
 100                         totalFutureVal =
 101                                 Financial.FV (Rate, numberOfPeriods, totalPaymentValue, PV, DueDate.EndOfPeriod);
 102
 103                         return (totalFutureVal * Rate);
 104                 }
 105
 106                 public static double IRR (ref double[] ValueArray, [Optional, __DefaultArgumentValue(0.1)] double Guess)
 107                 {
 108                         double origPV, updatedPV, updateGuess, tmp;
 109                         double rateDiff = 0.0;
 110                         double pvDiff = 0.0;
 111                         int length;
 112
 113                         // MS.NET 2.0 docs say that Guess may not be <= -1
 114                         if (Guess <= -1)
 115                                 throw new ArgumentException (Utils.GetResourceString ("Argument_InvalidValue1", "Guess"));
 116                         try {
 117                                 length = ValueArray.GetLength(0);
 118                         }
 119                         catch {
 120                                 throw new ArgumentException (Utils.GetResourceString ("Argument_InvalidValue1", "ValueArray"));
 121                         }
 122                         if (length < 2)
 123                             throw new ArgumentException (Utils.GetResourceString ("Argument_InvalidValue1", "ValueArray"));
 124
 125                         origPV = NPV (Guess, ref ValueArray);
 126                         updateGuess = (origPV > 0) ? Guess + 0.00001 : Guess - 0.00001;
 127
 128                         if (updateGuess < -1)
 129                             throw new ArgumentException (Utils.GetResourceString ("Argument_InvalidValue1", "Rate"));
 130
 131                         rateDiff =  updateGuess - Guess;
 132                         updatedPV = NPV (updateGuess, ref ValueArray);
 133                         pvDiff = updatedPV - origPV;
 134                         for (int i = 0; i < 20; i++) {
 135                                 Guess = (updateGuess > Guess) ? (Guess - 0.00001) : (Guess + 0.00001);
 136                                 origPV = NPV (Guess, ref ValueArray);
 137                                 rateDiff =  updateGuess - Guess;
 138                                 pvDiff = updatedPV - origPV;
 139                                 if (pvDiff == 0)
 140                                         throw new ArgumentException (Utils.GetResourceString ("Argument_InvalidValue"));
 141                                 Guess = updateGuess - (rateDiff * updatedPV / pvDiff);
 142                                 if (Guess < -1)
 143                                 Guess = -1;
 144                                 origPV = NPV (Guess, ref ValueArray);
 145                                 if ((Math.Abs (origPV) < 0.0000001) && (Math.Abs (rateDiff) < 0.00001))
 146                                         return Guess;
 147
 148                                 tmp = Guess;
 149                                 Guess = updateGuess;
 150                                 updateGuess = tmp;
 151                                 tmp = origPV;
 152                                 origPV = updatedPV;
 153                                 updatedPV = tmp;
 154                         }
 155                         double origPVAbs = Math.Abs (origPV);
 156                         double updatedPVAbs = Math.Abs (updatedPV);
 157                         if ((origPVAbs < 0.0000001) && (updatedPVAbs < 0.0000001))
 158                             return (origPVAbs < updatedPVAbs) ? Guess : updateGuess;
 159                         else if (origPVAbs < 0.0000001)
 160                             return  Guess;
 161                         else if (updatedPVAbs < 0.0000001)
 162                             return updateGuess;
 163                         else
 164                             throw new ArgumentException(Utils.GetResourceString ("Argument_InvalidValue"));
 165                 }
 166
 167                 public static double MIRR (ref double[] ValueArray, double FinanceRate, double ReinvestRate)
 168                 {
 169                         double [] array = ValueArray;
 170                         double loansVal = 0;
 171                         double assetsVal = 0;
 172                         double currentLoanRate = 1;
 173                         double currentAssetsRate = 1;
 174                         double totalInterestRate = 0;
 175                         int arrayLength = 0;
 176                         if (array.Rank != 1)
 177                                 throw new ArgumentException (Utils.GetResourceString ("Argument_RankEQOne1", "ValueArray"));
 178                         else if (FinanceRate == -1)
 179                                 throw new ArgumentException (Utils.GetResourceString ("Argument_InvalidValue1", "FinanceRate"));
 180                         else if (ReinvestRate == -1)
 181                                 throw new ArgumentException (Utils.GetResourceString ("Argument_InvalidValue1", "ReinvestRate"));
 182
 183                         arrayLength = array.Length;
 184                         if (arrayLength < 2)
 185                                 throw new ArgumentException (Utils.GetResourceString ("Argument_InvalidValue1", "ValueArray"));
 186
 187                         for (int i = 0; i < arrayLength; i++) {
 188                                 currentLoanRate *= (1 + FinanceRate);
 189                                 currentAssetsRate *= (1 + ReinvestRate);
 190                                 if (array [i] < 0)
 191                                 loansVal += (array [i] / currentLoanRate);
 192                                 else if (array [i] > 0)
 193                                 assetsVal += (array [i] / currentAssetsRate);
 194                         }
 195
 196                         if (loansVal == 0)
 197                                 throw new DivideByZeroException (Utils.GetResourceString ("Financial_CalcDivByZero"));
 198
 199                         totalInterestRate =
 200                                 ((-assetsVal * Math.Pow (ReinvestRate + 1, arrayLength))
 201                                 / (loansVal * (FinanceRate + 1)));
 202                         if (totalInterestRate < 0)
 203                                 throw new ArgumentException (Utils.GetResourceString ("Argument_InvalidValue"));
 204
 205                         return (Math.Pow (totalInterestRate, 1 / (double) (arrayLength - 1))) - 1;
 206                 }
 207
 208                 public static double NPer (double Rate, double Pmt, double PV,
 209                                            [Optional, __DefaultArgumentValue(0)] double FV,
 210                                            [Optional, __DefaultArgumentValue(0)] DueDate Due)
 211                 {
 212                         double totalIncomeFromFlow, sumOfPvAndPayment, currentValueOfPvAndPayment;
 213                         if (Rate == 0 && Pmt == 0)
 214                                 throw new ArgumentException (Utils.GetResourceString ("Argument_InvalidValue1", "Pmt"));
 215                         else if (Rate == 0)
 216                                 return (- (PV + FV) / Pmt);
 217                         // MainSoft had Rate < -1, but MS.NET 2.0 Doc says Rate should not be <= -1
 218                         else if (Rate <= -1)
 219                                 throw new ArgumentException(Utils.GetResourceString ("Argument_InvalidValue1", "Rate"));
 220                         totalIncomeFromFlow = (Pmt / Rate);
 221                         if (Due == DueDate.BegOfPeriod)
 222                         totalIncomeFromFlow *= (1 + Rate);
 223
 224                         sumOfPvAndPayment = (-FV + totalIncomeFromFlow);
 225                         currentValueOfPvAndPayment = (PV + totalIncomeFromFlow);
 226                         if ((sumOfPvAndPayment < 0) && (currentValueOfPvAndPayment < 0)) {
 227                                 sumOfPvAndPayment = -sumOfPvAndPayment;
 228                                 currentValueOfPvAndPayment = -currentValueOfPvAndPayment;
 229                         }
 230                         else if ((sumOfPvAndPayment <= 0) || (currentValueOfPvAndPayment < 0))
 231                                 throw new ArgumentException (Utils.GetResourceString ("Financial_CannotCalculateNPer"));
 232
 233                         double totalInterestRate = sumOfPvAndPayment / currentValueOfPvAndPayment;
 234                         return Math.Log (totalInterestRate) / Math.Log (Rate + 1);
 235                 }
 236
 237                 public static double NPV (double Rate, ref double[] ValueArray)
 238                 {
 239                         if (ValueArray == null)
 240                                 throw new ArgumentException (Utils.GetResourceString ("Argument_InvalidNullValue1", "ValueArray"));
 241
 242                         double [] arr = ValueArray;
 243                         if (arr.Rank != 1)
 244                                 throw new ArgumentException (Utils.GetResourceString ("Argument_RankEQOne1", "ValueArray"));
 245                         if (Rate == -1)
 246                                 throw new ArgumentException (Utils.GetResourceString ("Argument_InvalidValue1", "Rate"));
 247                         int length = arr.Length;
 248                         if (length < 0)
 249                                 throw new ArgumentException (Utils.GetResourceString ("Argument_InvalidValue1", "ValueArray"));
 250
 251                         double currentValue = 0;
 252                         double currentRate = 1;
 253                         double sum = 0;
 254                         for (int index = 0; index < length; index++) {
 255                                 currentValue = arr [index];
 256                                 currentRate *= (1 + Rate);
 257                                 sum += (currentValue / currentRate);
 258                         }
 259                         return sum;
 260                 }
 261
 262                 public static double Pmt (double Rate, double NPer, double PV,
 263                                           [Optional, __DefaultArgumentValue(0)] double FV,
 264                                           [Optional, __DefaultArgumentValue(0)] DueDate Due)
 265                 {
 266                         PV = -PV;
 267                         FV = -FV;
 268                         if (NPer == 0)
 269                                 throw new ArgumentException (Utils.GetResourceString ("Argument_InvalidValue1", "NPer"));
 270
 271                         double totalFutureVal = 0;
 272                         double geometricSum = 0;
 273                         if (Rate == 0) {
 274                                 totalFutureVal = FV + PV;
 275                                 geometricSum = NPer;
 276                         }
 277                         else if (Due == DueDate.EndOfPeriod) {
 278                                 double totalRate = Math.Pow (Rate + 1, NPer);
 279                                 totalFutureVal = FV + PV * totalRate;
 280                                 geometricSum = (totalRate - 1) / Rate;
 281                         }
 282                         else if (Due == DueDate.BegOfPeriod) {
 283                                 double totalRate = Math.Pow (Rate + 1, NPer);
 284                                 totalFutureVal = FV + PV * totalRate;
 285                                 geometricSum = ((1 + Rate) * (totalRate - 1)) / Rate;
 286                         }
 287                         return (totalFutureVal) / geometricSum;
 288                 }
 289
 290                 public static double PPmt (double Rate, double Per, double NPer, double PV,
 291                                            [Optional, __DefaultArgumentValue(0)] double FV,
 292                                            [Optional, __DefaultArgumentValue(0)] DueDate Due)
 293                 {
 294                         if ((Per <= 0) || (Per >= (NPer + 1)))
 295                                 throw new ArgumentException(Utils.GetResourceString ("PPMT_PerGT0AndLTNPer", "Per"));
 296                         double interestPayment = IPmt (Rate, Per, NPer, PV, FV, Due);
 297                         double totalPayment = Pmt (Rate, NPer, PV, FV, Due);
 298                         return (totalPayment - interestPayment);
 299                 }
 300
 301                 public static double PV (double Rate, double NPer, double Pmt,
 302                                          [Optional, __DefaultArgumentValue(0)] double FV,
 303                                          [Optional, __DefaultArgumentValue(0)] DueDate Due)
 304                 {
 305                         Pmt = -Pmt;
 306                         FV = -FV;
 307                         double currentRate = 1;
 308                         double sum = 0;
 309                         for (int index = 1; index <= NPer; index++) {
 310                                 currentRate *= (1 + Rate);
 311                                 sum += (Pmt / currentRate);
 312                         }
 313
 314                         if (Due == DueDate.BegOfPeriod)
 315                                 sum *= (1 + Rate);
 316                         return sum + FV / currentRate;
 317                 }
 318
 319                 public static double Rate (double NPer, double Pmt, double PV,
 320                                            [Optional, __DefaultArgumentValue(0)] double FV,
 321                                            [Optional, __DefaultArgumentValue(0)] DueDate Due,
 322                                            [Optional, __DefaultArgumentValue(0.1)] double Guess)
 323                 {
 324                         double updatedGuess, tmp, origFv, updatedFv;
 325                         double rateDiff = 0.0;
 326                         double fvDiff = 0.0;
 327
 328                         if (NPer < 0)
 329                                 throw new ArgumentException (Utils.GetResourceString ("Rate_NPerMustBeGTZero"));
 330                         origFv = -Financial.FV (Guess, NPer, Pmt, PV, Due) + FV;
 331                         updatedGuess = (origFv > 0) ? (Guess / 2) : (Guess * 2);
 332                         rateDiff = updatedGuess - Guess;
 333                         updatedFv = -Financial.FV (updatedGuess, NPer, Pmt, PV, Due) + FV;
 334                         fvDiff = updatedFv - origFv;
 335                         for (int i = 0; i < 20; i++) {
 336                                 Guess += (updatedGuess > Guess) ? -0.00001 : 0.00001;
 337                                 origFv = -Financial.FV (Guess, NPer, Pmt, PV, Due) + FV;
 338                                 rateDiff = updatedGuess - Guess;
 339                                 fvDiff = updatedFv - origFv;
 340                                 if (fvDiff == 0)
 341                                         throw new ArgumentException (Utils.GetResourceString ("Financial_CalcDivByZero"));
 342                                 Guess = updatedGuess - (rateDiff * updatedFv / fvDiff);
 343                                 origFv = -Financial.FV (Guess, NPer, Pmt, PV, Due) + FV;
 344                                 if (Math.Abs (origFv) < 0.0000001)
 345                                         return Guess;
 346                                 tmp = Guess;
 347                                 Guess = updatedGuess;
 348                                 updatedGuess = tmp;
 349                                 tmp = origFv;
 350                                 origFv = updatedFv;
 351                                 updatedFv = tmp;
 352                         }
 353                         double origFVAbs = Math.Abs (origFv);
 354                         double updatedFVAbs = Math.Abs (updatedFv);
 355                         if ((origFVAbs < 0.0000001) && (updatedFVAbs < 0.0000001))
 356                                 return (origFVAbs < updatedFVAbs) ? Guess : updatedGuess;
 357                         else if (origFVAbs < 0.0000001)
 358                                 return Guess;
 359                         else if (updatedFVAbs < 0.0000001)
 360                                 return updatedGuess;
 361                         else
 362                                 throw new ArgumentException (Utils.GetResourceString ("Financial_CannotCalculateRate"));
 363                 }
 364
 365                 public static double SLN (double Cost, double Salvage, double Life)
 366                 {
 367                         if (Life == 0)
 368                                 throw new ArgumentException (Utils.GetResourceString ("Financial_LifeNEZero"));
 369
 370                         return (Cost - Salvage) / Life;
 371                 }
 372
 373                 public static double SYD (double Cost, double Salvage, double Life, double Period)
 374                 {
 375                         if (Period <= 0)
 376                                 throw new ArgumentException (Utils.GetResourceString("Financial_ArgGTZero1", "Period"));
 377                         else if (Salvage < 0)
 378                                 throw new ArgumentException (Utils.GetResourceString("Financial_ArgGEZero1", "Salvage"));
 379                         else if (Period > Life)
 380                                 throw new ArgumentException (Utils.GetResourceString("Financial_PeriodLELife"));
 381
 382                         double depreciation =  (Cost - Salvage);
 383                         double sumOfDigits = (Life + 1) * Life / 2;
 384                         double currentPeriodPart = Life + 1 - Period ;
 385
 386                         return depreciation * currentPeriodPart / sumOfDigits;
 387                 }
 388                 // Events
 389         }
 390 }