/** * Calculate the # of periods to break-even on an initial investment, * given some array of cash flows for as many periods. * * Returns -1 if never break even. */ function payback_period(initial, flows = []) { let balance = -initial; let periods = 0; for ( const flow of flows ) { console.log({flow, balance, periods}) if ( balance + flow > 0 ) { periods += (Math.abs(balance)) / flow; return periods; } else { balance += flow; periods += 1; } } return -1; } /** * Calculate the portfolio weights (roughtly) required to reach a target * beta for a portfolio composed of 2 stocks, given their betas. */ function portfolio_weights(stock_a_beta, stock_b_beta, target_beta = 1, resolution = 0.0001) { let stock_a_weight = 1 let stock_b_weight = 0 let target = (a_w, b_w) => (stock_a_beta * a_w) + (stock_b_beta * b_w) let roughly = value => (value < (target_beta + (2 * resolution))) && (value > (target_beta - (2 * resolution))) while ( stock_a_weight >= 0 && !roughly(target(stock_a_weight, stock_b_weight)) ) { stock_b_weight += resolution stock_a_weight -= resolution } if ( stock_a_weight < 0 ) return false return { stock_a_weight, stock_b_weight } } module.exports = exports = { payback_period, portfolio_weights }