added more functions

libs/utils/src/calculations/basic-calculations.ts

@@ -233,3 +233,170 @@ export function modifiedDuration(
   const macDuration = macaulayDuration(faceValue, couponRate, yieldToMaturity, periodsToMaturity, paymentsPerYear);
   return macDuration / (1 + yieldToMaturity / paymentsPerYear);
 }
+
+/**
+ * Calculate bond convexity
+ */
+export function bondConvexity(
+  faceValue: number,
+  couponRate: number,
+  yieldToMaturity: number,
+  periodsToMaturity: number,
+  paymentsPerYear: number = 2
+): number {
+  const couponPayment = (faceValue * couponRate) / paymentsPerYear;
+  const discountRate = yieldToMaturity / paymentsPerYear;
+  
+  let convexity = 0;
+  const bondPriceValue = bondPrice(faceValue, couponRate, yieldToMaturity, periodsToMaturity, paymentsPerYear);
+  
+  for (let i = 1; i <= periodsToMaturity; i++) {
+    const presentValue = couponPayment / Math.pow(1 + discountRate, i);
+    convexity += (i * (i + 1) * presentValue) / Math.pow(1 + discountRate, 2);
+  }
+  
+  const faceValuePV = faceValue / Math.pow(1 + discountRate, periodsToMaturity);
+  convexity += (periodsToMaturity * (periodsToMaturity + 1) * faceValuePV) / Math.pow(1 + discountRate, 2);
+  
+  return convexity / (bondPriceValue * paymentsPerYear * paymentsPerYear);
+}
+
+/**
+ * Calculate dollar duration
+ */
+export function dollarDuration(
+  faceValue: number,
+  couponRate: number,
+  yieldToMaturity: number,
+  periodsToMaturity: number,
+  paymentsPerYear: number = 2,
+  basisPointChange: number = 0.01 // 1 basis point = 0.01%
+): number {
+  const modifiedDur = modifiedDuration(faceValue, couponRate, yieldToMaturity, periodsToMaturity, paymentsPerYear);
+  const bondPriceValue = bondPrice(faceValue, couponRate, yieldToMaturity, periodsToMaturity, paymentsPerYear);
+  return modifiedDur * bondPriceValue * basisPointChange;
+}
+
+/**
+ * Calculate accrued interest
+ */
+export function accruedInterest(
+  faceValue: number,
+  couponRate: number,
+  daysSinceLastCoupon: number,
+  daysInCouponPeriod: number
+): number {
+  return (faceValue * couponRate) * (daysSinceLastCoupon / daysInCouponPeriod);
+}
+
+/**
+ * Calculate clean price
+ */
+export function cleanPrice(dirtyPrice: number, accruedInterestValue: number): number {
+  return dirtyPrice - accruedInterestValue;
+}
+
+/**
+ * Calculate dirty price
+ */
+export function dirtyPrice(cleanPriceValue: number, accruedInterestValue: number): number {
+  return cleanPriceValue + accruedInterestValue;
+}
+
+/**
+ * Calculate dividend discount model (DDM)
+ */
+export function dividendDiscountModel(
+  currentDividend: number,
+  growthRate: number,
+  discountRate: number
+): number {
+  if (discountRate <= growthRate) return NaN; // Indeterminate
+  return currentDividend * (1 + growthRate) / (discountRate - growthRate);
+}
+
+/**
+ * Calculate weighted average cost of capital (WACC)
+ */
+export function weightedAverageCostOfCapital(
+  costOfEquity: number,
+  costOfDebt: number,
+  equityWeight: number,
+  debtWeight: number,
+  taxRate: number
+): number {
+  return (equityWeight * costOfEquity) + (debtWeight * costOfDebt * (1 - taxRate));
+}
+
+/**
+ * Calculate capital asset pricing model (CAPM)
+ */
+export function capitalAssetPricingModel(
+  riskFreeRate: number,
+  beta: number,
+  marketRiskPremium: number
+): number {
+  return riskFreeRate + beta * marketRiskPremium;
+}
+
+/**
+ * Calculate Treynor ratio
+ */
+export function treynorRatio(
+  portfolioReturn: number,
+  riskFreeRate: number,
+  beta: number
+): number {
+  return (portfolioReturn - riskFreeRate) / beta;
+}
+
+/**
+ * Calculate hurdle rate
+ */
+export function hurdleRate(
+  costOfCapital: number,
+  riskPremium: number
+): number {
+  return costOfCapital + riskPremium;
+}
+
+/**
+ * Calculate degree of operating leverage (DOL)
+ */
+export function degreeOfOperatingLeverage(
+  contributionMargin: number,
+  operatingIncome: number
+): number {
+  return contributionMargin / operatingIncome;
+}
+
+/**
+ * Calculate degree of financial leverage (DFL)
+ */
+export function degreeOfFinancialLeverage(
+  ebit: number,
+  earningsBeforeTax: number
+): number {
+  return ebit / earningsBeforeTax;
+}
+
+/**
+ * Calculate degree of total leverage (DTL)
+ */
+export function degreeOfTotalLeverage(
+  dol: number,
+  dfl: number
+): number {
+  return dol * dfl;
+}
+
+/**
+ * Calculate economic value added (EVA)
+ */
+export function economicValueAdded(
+  netOperatingProfitAfterTax: number,
+  capitalInvested: number,
+  wacc: number
+): number {
+  return netOperatingProfitAfterTax - (capitalInvested * wacc);
+}