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