finrb

CI CodeQL RuboCop

Ruby gem for financial calculations/modeling.

finrb forked from the ruby finance gem.

Overview

Features

Currently implemented features include:

  • Uses the flt gem to ensure precision decimal arithmetic in all calculations.
  • Fixed-rate mortgage amortization (30/360).
  • Interest rates
  • Various cash flow computations, such as NPV and IRR.
  • Adjustable rate mortgage amortization.
  • Payment modifications (i.e., how does paying an additional $75 per month affect the amortization?)

  • Utils class provides basic financial calculation utilities (ported from R's FinCal library):

    • Basic Earnings Per Share
    • Bond-equivalent yield (BEY), 2 x the semiannual discount rate
    • Calculate the net increase in common shares from the potential exercise of stock options or warrants
    • Calculate weighted average shares - weighted average number of common shares
    • Cash ratio - Liquidity ratios measure the firm's ability to satisfy its short-term obligations as they come due.
    • Computing Coefficient of variation
    • Computing HPR, the holding period return
    • Computing IRR, the internal rate of return
    • Computing NPV, the PV of the cash flows less the initial (time = 0) outlay
    • Computing Roy's safety-first ratio
    • Computing Sampling error
    • Computing Sharpe Ratio
    • Computing TWRR, the time-weighted rate of return
    • Computing bank discount yield (BDY) for a T-bill
    • Computing money market yield (MMY) for a T-bill
    • Computing the future value of an uneven cash flow series
    • Computing the present value of an uneven cash flow series
    • Computing the rate of return for each period
    • Convert a given continuous compounded rate to a norminal rate
    • Convert a given norminal rate to a continuous compounded rate
    • Convert holding period return to the effective annual rate
    • Convert stated annual rate to the effective annual rate (with continuous compounding)
    • Cost of goods sold and ending inventory under three methods (FIFO,LIFO,Weighted average)
    • Current ratio - Liquidity ratios measure the firm's ability to satisfy its short-term obligations as they come due.
    • Debt ratio - Solvency ratios measure the firm's ability to satisfy its long-term obligations.
    • Depreciation Expense Recognition - Straight-line depreciation (SL) allocates an equal amount of depreciation each year over the asset's useful life
    • Depreciation Expense Recognition - double-declining balance (DDB), the most common declining balance method, which applies two times the straight-line rate to the declining balance.
    • Diluted Earnings Per Share
    • Equivalent/proportional Interest Rates
    • Estimate future value (fv) (of a single sum)
    • Estimate future value of an annuity
    • Estimate period payment
    • Estimate present value (pv) (of a single sum) (of an annuity)
    • Estimate present value of a perpetuity
    • Estimate the number of periods
    • Financial leverage - Solvency ratios measure the firm's ability to satisfy its long-term obligations.
    • Geometric mean return
    • Gross profit margin - Evaluate a company's financial performance
    • Harmonic mean, average price
    • Long-term debt-to-equity - Solvency ratios measure the firm's ability to satisfy its long-term obligations.
    • Net profit margin - Evaluate a company's financial performance
    • Quick ratio - Liquidity ratios measure the firm's ability to satisfy its short-term obligations as they come due.
    • Rate of return for a perpetuity
    • Total debt-to-equity - Solvency ratios measure the firm's ability to satisfy its long-term obligations.
    • Weighted mean as a portfolio return

Configuration

In config/initializers/finrb.rb Finrb allows to set tolerance (eps) and default guess for IRR and XIRR calculations, such as:

Finrb.configure do |config|
  config.eps = '1.0e-12'
  config.guess = 0.5
  config.business_days = false # only relevant when using Transaction object, skips weekends
  config.periodic_compound = false # only relevant when using Transaction object
end

API and examples

See api.md

Resources

Acknowledgements

  • Martin Bjeldbak Madsen (@martinbjeldbak), Bill Kranec (@wkranec) - original finance gem maintainers.
  • Yanhui Fan (@felixfan) - maintainer of FinCal library.

License

See COPYING and COPYING.LESSER