311 lines
16 KiB
C#
311 lines
16 KiB
C#
using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Text;
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using MarketData.DataAccess;
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using MarketData.Numerical;
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using MarketData.MarketDataModel;
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using MarketData.Utils;
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namespace MarketData.Generator
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{
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public class DCFGenerator
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{
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private DCFGenerator()
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{
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}
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// This just calculates the WACC
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public static double CalculateWACC(String symbol,DateTime asOf)
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{
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try
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{
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DCFValuation dcfValuation = new DCFValuation();
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dcfValuation.Symbol = symbol;
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Fundamental fundamental = FundamentalDA.GetFundamentalMaxDate(symbol,asOf);
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if (null == fundamental) {return double.NaN; }
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if (!CalculateCostOfEquity(dcfValuation,asOf)) return double.NaN;
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if (!CalculateCostOfDebt(dcfValuation,fundamental.TotalDebt,asOf)) return double.NaN;
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dcfValuation.MarketValueOfDebt = fundamental.TotalDebt;
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dcfValuation.MarketValueOfEquity = fundamental.MarketCap;
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dcfValuation.OutstandingShares = fundamental.SharesOutstanding;
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dcfValuation.TotalCapitalInvested = dcfValuation.MarketValueOfDebt + dcfValuation.MarketValueOfEquity;
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if (!CalculateWACC(dcfValuation)) return double.NaN;
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return dcfValuation.WACC;
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}
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catch(Exception)
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{
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return double.NaN;
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}
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}
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// This calculates the full discounted cashflow
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public static DCFValuation GenerateDCFValuation(String symbol)
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{
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DCFValuation dcfValuation = new DCFValuation();
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dcfValuation.Symbol = symbol;
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Fundamental fundamental = FundamentalDA.GetFundamental(symbol);
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if (null == fundamental) { dcfValuation.Message = "Missing fundamental data."; return dcfValuation; }
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if (!CalculateCostOfEquity(dcfValuation)) return dcfValuation;
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if (!CalculateCostOfDebt(dcfValuation, fundamental.TotalDebt)) return dcfValuation;
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dcfValuation.MarketValueOfDebt = fundamental.TotalDebt;
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dcfValuation.MarketValueOfEquity = fundamental.MarketCap;
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dcfValuation.OutstandingShares = fundamental.SharesOutstanding;
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dcfValuation.TotalCapitalInvested = dcfValuation.MarketValueOfDebt + dcfValuation.MarketValueOfEquity;
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if (!CalculateWACC(dcfValuation)) return dcfValuation;
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if (!Discount(dcfValuation)) return dcfValuation;
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EnhanceValuation(dcfValuation,fundamental); // add ROIC, EPSGrowth, EarningsGrowth
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dcfValuation.success = true;
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return dcfValuation;
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}
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public static void EnhanceValuation(DCFValuation dcfValuation,Fundamental fundamental)
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{
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TimeSeriesCollection bookValuePerShareCollection = HistoricalDA.GetTimeSeries(dcfValuation.Symbol, TimeSeriesElement.ElementType.BVPS);
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TimeSeriesCollection roicCollection = HistoricalDA.GetTimeSeries(dcfValuation.Symbol, TimeSeriesElement.ElementType.ROIC);
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TimeSeriesCollection revenueCollection = HistoricalDA.GetTimeSeries(dcfValuation.Symbol, TimeSeriesElement.ElementType.Revenue);
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TimeSeriesCollection epsCollection = HistoricalDA.GetTimeSeries(dcfValuation.Symbol, TimeSeriesElement.ElementType.EPS);
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YieldCurve yieldCurve=YieldCurveDA.GetYieldCurve();
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if (null != roicCollection && 0 != roicCollection.Count)
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{
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dcfValuation.Enhancements.ROICGrowth = Numerics.AverageReturn(roicCollection);
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dcfValuation.Enhancements.ROIC = roicCollection[0].Value/100.00;
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}
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dcfValuation.Enhancements.DebtLoad = fundamental.Revenue * 3 > fundamental.TotalDebt ? true : false;
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dcfValuation.Enhancements.EPSGrowth = Numerics.AverageReturn(epsCollection);
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dcfValuation.Enhancements.RevenueGrowth = Numerics.AverageReturn(revenueCollection);
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dcfValuation.Enhancements.BVPS = fundamental.BookValuePerShare;
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if (null == dcfValuation.CurrentPrice || double.NaN.Equals(dcfValuation.CurrentPrice.Close)) dcfValuation.Enhancements.PBVPS = double.NaN;
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else dcfValuation.Enhancements.PBVPS = dcfValuation.CurrentPrice.Close / dcfValuation.Enhancements.BVPS;
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dcfValuation.Enhancements.EPS = fundamental.EPS;
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dcfValuation.Enhancements.PE = fundamental.PE;
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dcfValuation.Enhancements.PEG = fundamental.PEG;
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dcfValuation.Enhancements.MOS = dcfValuation.StockPriceValuation * .5;
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dcfValuation.Enhancements.MOS80 = dcfValuation.StockPriceValuation * .8;
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dcfValuation.Enhancements.IntrinsicValue = GrahamGenerator.IntrinsicValue(fundamental.EPS,dcfValuation.Enhancements.EPSGrowth);
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if (null == yieldCurve || double.NaN.Equals(yieldCurve[0].Yr20)) dcfValuation.Enhancements.IntrinsicValueRevised = double.NaN;
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else dcfValuation.Enhancements.IntrinsicValueRevised = GrahamGenerator.IntrinsicValueRevised(fundamental.EPS,dcfValuation.Enhancements.EPSGrowth,yieldCurve[0].Yr30);
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if (null == dcfValuation.CurrentPrice || double.NaN.Equals(dcfValuation.CurrentPrice.Close)) dcfValuation.Enhancements.RGVIntrinsic = double.NaN;
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else dcfValuation.Enhancements.RGVIntrinsic = dcfValuation.Enhancements.IntrinsicValue / dcfValuation.CurrentPrice.Close;
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if (null == dcfValuation.CurrentPrice || double.NaN.Equals(dcfValuation.CurrentPrice.Close)) dcfValuation.Enhancements.RGVIntrinsicRevised = double.NaN;
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else dcfValuation.Enhancements.RGVIntrinsicRevised = dcfValuation.Enhancements.IntrinsicValueRevised / dcfValuation.CurrentPrice.Close;
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}
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private static bool Discount(DCFValuation dcfValuation,int years=10)
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{
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List<Element> sourceElements = new List<Element>();
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List<Element> destElements = null;
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// pull cashflow history from database and apply filters
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TimeSeriesCollection freeCashflows = HistoricalDA.GetTimeSeries(dcfValuation.Symbol, TimeSeriesElement.ElementType.FreeCashflow);
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if (null == freeCashflows || 0 == freeCashflows.Count) { dcfValuation.Message = "Missing Freecashflows"; return false; }
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dcfValuation.FreeCashflowGrowth = Numerics.AverageReturnWithSpline(freeCashflows,dcfValuation.ReturnItems); // if free cashflow growth > 100% perform an average throwing away all returns in the set > 100%
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if (dcfValuation.FreeCashflowGrowth.Equals(double.NaN)) { dcfValuation.Message = "Freecashflow growth is undefined"; return false; }
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// set up spline parameters. Apply 3% cap to freecashflow growth in the 10th year and spline to that.
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sourceElements.Add(new Element(1, dcfValuation.FreeCashflowGrowth));
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sourceElements.Add(new Element(years, .03 < dcfValuation.FreeCashflowGrowth ? .03 : dcfValuation.FreeCashflowGrowth));
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// set the starting date and the initial freecashflow value, run interpolation
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DateTime startingDate = freeCashflows[0].AsOf;
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double runningCashflow = freeCashflows[0].Value;
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for (int year = 1; year <= years; year++)
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{
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startingDate = new DateTime(startingDate.Year + 1, startingDate.Month, startingDate.Day);
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destElements = new List<Element>();
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destElements.Add(new Element(year, 0));
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CatmullRom.PerformSpline((Element[])sourceElements.ToArray(), (Element[])destElements.ToArray());
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double cashflowGrowth = destElements[0].Row;
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if (year < years) runningCashflow = runningCashflow * (1.00 + cashflowGrowth);
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else runningCashflow = (runningCashflow * (1.00 + cashflowGrowth)) / (Math.Abs(dcfValuation.WACC - cashflowGrowth));
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dcfValuation.Cashflows.Add(new CashflowElement(startingDate, runningCashflow));
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}
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// Discount cashflows by WACC
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for (int index = 0; index < dcfValuation.Cashflows.Count; index++)
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{
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dcfValuation.Cashflows[index].Cashflow /= Math.Pow(1.00 + dcfValuation.WACC, index + 1);
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}
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// sum up the discounted values to get the present value;
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dcfValuation.PresentValue = 0.00;
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for (int index = 0; index < dcfValuation.Cashflows.Count; index++)
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{
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dcfValuation.PresentValue += dcfValuation.Cashflows[index].Cashflow;
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}
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// subtract debt
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dcfValuation.PresentValue -= dcfValuation.TotalDebt;
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// divide by outstanding shares
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dcfValuation.StockPriceValuation=dcfValuation.PresentValue/dcfValuation.OutstandingShares;
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// Apply validation filters
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if (dcfValuation.PresentValue.Equals(double.NaN)) { dcfValuation.Message = "PresentValue is undefined"; return false; }
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if (dcfValuation.StockPriceValuation.Equals(double.NaN)) { dcfValuation.Message = "Stock price valuation is undefined"; return false; }
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return true;
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}
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// Calculate the WACC
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private static bool CalculateWACC(DCFValuation dcfValuation)
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{
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dcfValuation.WACC=((dcfValuation.MarketValueOfEquity/dcfValuation.TotalCapitalInvested)*dcfValuation.CostOfEquity)+
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((dcfValuation.MarketValueOfDebt/dcfValuation.TotalCapitalInvested)*dcfValuation.CostOfDebt*(1.00-dcfValuation.CorporateTaxRate));
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return true;
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}
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private static bool CalculateCostOfEquity(DCFValuation dcfValuation)
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{
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String marketSymbol = "SPY";
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Prices stockPrices = null;
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Prices marketPrices=null;
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// calculate 3-year beta of stock vs SP500
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stockPrices = PricingDA.GetPrices(dcfValuation.Symbol, 365 * 3);
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if (null == stockPrices || 0 == stockPrices.Count)
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{
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dcfValuation.Message = "Missing prices for symbol.";
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return false;
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}
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dcfValuation.CurrentPrice = stockPrices[0];
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marketPrices=PricingDA.GetPrices(marketSymbol,stockPrices.Count);
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if (null == stockPrices || 0 == stockPrices.Count || null == marketPrices || 0 == marketPrices.Count)
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{
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dcfValuation.Message = "Missing prices for market.";
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return false;
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}
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dcfValuation.Beta = BetaGenerator.Beta(dcfValuation.Symbol, PricingDA.GetLatestDate(dcfValuation.Symbol));
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// get the risk free rate, 90 day treasury note
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dcfValuation.RiskFreeRate = YieldCurveDA.GetRiskFreeRate();
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dcfValuation.RiskFreeRate /= 100.00;
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// calculate historic market returns
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if (dcfValuation.UseMarketReturn)
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{
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marketPrices = PricingDA.GetPrices(marketSymbol);
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float[] marketPricesArray = marketPrices.GetPrices();
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dcfValuation.MarketReturn = Numerics.AnnualReturn(ref marketPricesArray);
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}
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else dcfValuation.MarketReturn = DCFValuation.MARKET_RETURN;
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// calculate cost of equity
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dcfValuation.CostOfEquity = dcfValuation.RiskFreeRate + dcfValuation.Beta * (dcfValuation.MarketReturn - dcfValuation.RiskFreeRate);
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return true;
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}
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private static bool CalculateCostOfEquity(DCFValuation dcfValuation,DateTime asOf)
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{
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String marketSymbol = "SPY";
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Prices stockPrices = null;
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Prices marketPrices=null;
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// calculate 3-year beta of stock vs SP500
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stockPrices = PricingDA.GetPrices(dcfValuation.Symbol,asOf, 365 * 3);
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if (null == stockPrices || 0 == stockPrices.Count)
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{
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dcfValuation.Message = "Missing prices for symbol.";
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return false;
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}
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dcfValuation.CurrentPrice = stockPrices[0];
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marketPrices=PricingDA.GetPrices(marketSymbol,asOf,stockPrices.Count);
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if (null == stockPrices || 0 == stockPrices.Count || null == marketPrices || 0 == marketPrices.Count)
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{
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dcfValuation.Message = "Missing prices for market.";
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return false;
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}
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//float[] stockPricesArray=stockPrices.GetPrices();
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//float[] marketPricesArray = marketPrices.GetPrices();
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//dcfValuation.Beta = Numerics.Beta(ref stockPricesArray, ref marketPricesArray);
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dcfValuation.Beta = BetaGenerator.Beta(dcfValuation.Symbol, PricingDA.GetLatestDate(dcfValuation.Symbol));
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// get the risk free rate, 90 day treasury note
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dcfValuation.RiskFreeRate = YieldCurveDA.GetRiskFreeRate(asOf);
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dcfValuation.RiskFreeRate /= 100.00;
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// calculate historic market returns
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if (dcfValuation.UseMarketReturn)
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{
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marketPrices = PricingDA.GetPricesOnOrBefore(marketSymbol,asOf);
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float[] marketPricesArray = marketPrices.GetPrices();
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dcfValuation.MarketReturn = Numerics.AnnualReturn(ref marketPricesArray);
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}
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else dcfValuation.MarketReturn = DCFValuation.MARKET_RETURN;
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// calculate cost of equity
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dcfValuation.CostOfEquity = dcfValuation.RiskFreeRate + dcfValuation.Beta * (dcfValuation.MarketReturn - dcfValuation.RiskFreeRate);
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return true;
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}
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// **YAHOO InterestExpense is totally wrong for some stocks. AER is a good example
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// This prioritizes MorningStar InterestExpense number over Yahoo Interest Expense number
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private static bool CalculateCostOfDebt(DCFValuation dcfValuation,double totalDebt)
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{
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TimeSeriesCollection interestExpenseSeries = HistoricalDA.GetTimeSeries(dcfValuation.Symbol, TimeSeriesElement.ElementType.InterestExpense);
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if (null == interestExpenseSeries || 0 == interestExpenseSeries.Count)
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{
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IncomeStatement incomeStatement = IncomeStatementDA.GetIncomeStatement(dcfValuation.Symbol, IncomeStatement.PeriodType.Annual);
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if(null!=incomeStatement&&incomeStatement.InterestExpense.Equals(double.NaN))
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{
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dcfValuation.InterestExpense=0.00;
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}
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else if(null==incomeStatement)
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{
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dcfValuation.Message = "Missing IncomeStatement or Interest Expense ";
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return false;
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}
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else dcfValuation.InterestExpense=incomeStatement.InterestExpense;
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}
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else
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{
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if(interestExpenseSeries[0].Value.Equals(double.NaN))dcfValuation.InterestExpense=0.00;
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else dcfValuation.InterestExpense=interestExpenseSeries[0].Value;
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}
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TimeSeriesCollection timeSeriesCollection = HistoricalDA.GetTimeSeries(dcfValuation.Symbol, TimeSeriesElement.ElementType.TaxRate);
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if (null == timeSeriesCollection || 0 == timeSeriesCollection.Count) timeSeriesCollection.Add(new TimeSeriesElement() {Value=37 });
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TimeSeriesElement timeSeriesElement = timeSeriesCollection[0];
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dcfValuation.CorporateTaxRate = timeSeriesElement.Value / 100.00;
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dcfValuation.TotalDebt = totalDebt;
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if(0.00==totalDebt)
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{
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dcfValuation.InterestRate=0.00;
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dcfValuation.CostOfDebt=0.00;
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}
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else
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{
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dcfValuation.InterestRate=dcfValuation.InterestExpense/dcfValuation.TotalDebt;
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dcfValuation.CostOfDebt=dcfValuation.InterestRate*(1-dcfValuation.CorporateTaxRate);
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}
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return true;
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}
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private static bool CalculateCostOfDebt(DCFValuation dcfValuation,double totalDebt,DateTime asOf)
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{
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TimeSeriesCollection interestExpenseSeries = HistoricalDA.GetTimeSeriesMaxAsOf(dcfValuation.Symbol,asOf, TimeSeriesElement.ElementType.InterestExpense);
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if (null == interestExpenseSeries || 0 == interestExpenseSeries.Count)
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{
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IncomeStatement incomeStatement = IncomeStatementDA.GetIncomeStatementMaxAsOf(dcfValuation.Symbol,asOf, IncomeStatement.PeriodType.Annual);
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if(null!=incomeStatement&&incomeStatement.InterestExpense.Equals(double.NaN))
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{
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dcfValuation.InterestExpense=0.00;
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}
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else if(null==incomeStatement)
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{
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dcfValuation.Message = "Missing IncomeStatement or Interest Expense ";
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return false;
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}
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else dcfValuation.InterestExpense=incomeStatement.InterestExpense;
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}
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else
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{
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if(interestExpenseSeries[0].Value.Equals(double.NaN))dcfValuation.InterestExpense=0.00;
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else dcfValuation.InterestExpense=interestExpenseSeries[0].Value;
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}
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TimeSeriesCollection timeSeriesCollection = HistoricalDA.GetTimeSeriesMaxAsOf(dcfValuation.Symbol,asOf, TimeSeriesElement.ElementType.TaxRate);
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if (null == timeSeriesCollection || 0 == timeSeriesCollection.Count) timeSeriesCollection.Add(new TimeSeriesElement() {Value=37 });
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TimeSeriesElement timeSeriesElement = timeSeriesCollection[0];
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dcfValuation.CorporateTaxRate = timeSeriesElement.Value / 100.00;
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dcfValuation.TotalDebt = totalDebt;
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if(0.00==totalDebt)
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{
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dcfValuation.InterestRate=0.00;
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dcfValuation.CostOfDebt=0.00;
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}
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else
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{
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dcfValuation.InterestRate=dcfValuation.InterestExpense/dcfValuation.TotalDebt;
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dcfValuation.CostOfDebt=dcfValuation.InterestRate*(1-dcfValuation.CorporateTaxRate);
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}
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return true;
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}
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}
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}
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