def debt(
stock: str,
date: datetime = datetime.now(),
lookback_period: timedelta = timedelta(days=0),
period: str = '',
only_interest_expense=False, # any interest-bearing liability to qualify
all_liabilities=False, # including accounts payable and deferred income
long_term_debt=True, # and its associated currently due portion (measures capital structure)
exclude_current_portion_long_term_debt=False # if true then also above should be true
):
if long_term_debt:
if not exclude_current_portion_long_term_debt:
return fi.total_long_term_debt(stock=stock,
date=date,
lookback_period=lookback_period,
period=period)
else:
return fi.long_term_debt_excluding_current_portion(
stock=stock,
date=date,
lookback_period=lookback_period,
period=period)
if all_liabilities:
return fi.total_liabilities(stock=stock,
date=date,
lookback_period=lookback_period,
period=period)
if only_interest_expense:
return fi.interest_expense(stock=stock,
date=date,
lookback_period=lookback_period,
period=period)
def cost_of_debt(stock,
date=datetime.now(),
lookback_period=timedelta(days=0),
period: str = 'FY'):
interest_rate = fi.interest_expense(
stock=stock, date=date, lookback_period=lookback_period, period=period
) / fi.total_long_term_debt(
stock=stock, date=date, lookback_period=lookback_period, period=period)
tax_rate = fi.income_tax_expense(
stock=stock, date=date, lookback_period=lookback_period, period=period
) / me.earnings_before_taxes(
stock=stock, date=date, lookback_period=lookback_period, period=period)
return abs(interest_rate * (1 - tax_rate))
def weighted_average_cost_of_capital(
stock,
date=datetime.now(),
lookback_period: timedelta = timedelta(days=0),
lookback_lookback_period: timedelta = timedelta(days=365 * 5),
period: str = 'FY',
beta_period='Monthly',
benchmark: str = '^GSPC'):
from_date = date - lookback_period - lookback_lookback_period
to_date = date - lookback_period
dictio = {
'Common Equity':
(cost_of_equity_capm(stock=stock,
from_date=from_date,
to_date=to_date,
beta_period=beta_period,
benchmark=benchmark),
fi.total_shareholders_equity(stock=stock,
date=date,
lookback_period=lookback_period,
period=period)),
'Preferred Equity':
(cost_of_preferred_stock(stock=stock,
date=date,
lookback_period=lookback_period,
period=period),
fi.preferred_stock_value(stock=stock,
date=date,
lookback_period=lookback_period,
period=period)),
'Debt': (cost_of_debt(stock=stock,
date=date,
lookback_period=lookback_period,
period=period),
fi.total_long_term_debt(stock=stock,
date=date,
lookback_period=lookback_period,
period=period))
}
capitals = [np.nan_to_num(v[1]) for k, v in dictio.items()]
weights = [part / sum(capitals) for part in capitals]
costs = [np.nan_to_num(v[0]) for k, v in dictio.items()]
return np.sum([weight * cost for weight, cost in zip(weights, costs)])
def enterprise_value(stock: str, date: datetime = datetime.now(), lookback_period: timedelta = timedelta(days=0),
period: str = ''):
"""
:param stock:
:param date:
:param lookback_period:
:param period:
:return:
"""
# TODO check for unfunded pension liabilities and other debt-deemed provisions, and value of associate companies
output = market_capitalization(stock=stock, date=date, lookback_period=lookback_period, period=period) \
+ fi.total_long_term_debt(stock=stock, date=date, lookback_period=lookback_period, period=period) \
+ np.nan_to_num(
fi.minority_interest(stock=stock, date=date, lookback_period=lookback_period, period=period)) \
+ np.nan_to_num(
fi.preferred_stock_value(stock=stock, date=date, lookback_period=lookback_period, period=period)) \
- fi.cash_and_cash_equivalents(stock=stock, date=date, lookback_period=lookback_period, period=period)
print('Enterprise Value for {} on the {} is: {}'.format(stock, date, output))
return output
def beneish_m_score(stock: str,
date: datetime = datetime.now(),
lookback_period: timedelta = timedelta(days=0),
period: str = 'TTM',
describe=False):
current_net_accounts_receivable = fi.net_accounts_receivable(
stock=stock, date=date, lookback_period=lookback_period, period=period)
current_net_sales = fi.net_sales(stock=stock,
date=date,
lookback_period=lookback_period,
period=period)
current_receivables_to_sales = current_net_accounts_receivable / current_net_sales
previous_net_accounts_receivable = fi.net_accounts_receivable(
stock=stock,
date=date - timedelta(days=365 if period == 'FY' else 90),
lookback_period=lookback_period,
period=period)
previous_net_sales = fi.net_sales(
stock=stock,
date=date - timedelta(days=365 if period == 'FY' else 90),
lookback_period=lookback_period,
period=period)
previous_receivables_to_sales = previous_net_accounts_receivable / previous_net_sales
DSRI = current_receivables_to_sales / previous_receivables_to_sales
previous_gross_profit_margin = ratios.gross_profit_margin(
stock=stock,
date=date - timedelta(days=365 if period == 'FY' else 90),
lookback_period=lookback_period,
period=period)
current_gross_profit_margin = ratios.gross_profit_margin(
stock=stock, date=date, lookback_period=lookback_period, period=period)
GMI = previous_gross_profit_margin / current_gross_profit_margin
current_asset_quality = 1 - (fi.total_current_assets(
stock=stock, date=date, lookback_period=lookback_period, period=period
) + fi.net_property_plant_equipment(
stock=stock, date=date, lookback_period=lookback_period, period=period
) + fi.current_marketable_securities(
stock=stock, date=date, lookback_period=lookback_period,
period=period))
previous_asset_quality = 1 - (fi.total_current_assets(
stock=stock,
date=date - timedelta(days=365 if period == 'FY' else 90),
lookback_period=lookback_period,
period=period) + fi.net_property_plant_equipment(
stock=stock,
date=date - timedelta(days=365 if period == 'FY' else 90),
lookback_period=lookback_period,
period=period) + fi.current_marketable_securities(
stock=stock,
date=date - timedelta(days=365 if period == 'FY' else 90),
lookback_period=lookback_period,
period=period))
AQI = current_asset_quality / previous_asset_quality
SGI = fi.net_sales(stock=stock, date=date, lookback_period=lookback_period, period=period) \
/ fi.net_sales(stock=stock, date=date - timedelta(days=365 if period == 'FY' else 90),
lookback_period=lookback_period, period=period)
current_depreciation = fi.accumulated_depreciation_amortization(stock=stock, date=date,
lookback_period=lookback_period, period=period) \
/ (fi.net_property_plant_equipment(stock=stock, date=date, lookback_period=lookback_period,
period=period)
+ fi.accumulated_depreciation_amortization(stock=stock, date=date,
lookback_period=lookback_period,
period=period))
previous_depreciation = fi.accumulated_depreciation_amortization(stock=stock,
date=date - timedelta(
days=365 if period == 'FY' else 90),
lookback_period=lookback_period, period=period) \
/ (fi.net_property_plant_equipment(stock=stock,
date=date - timedelta(
days=365 if period == 'FY' else 90),
lookback_period=lookback_period, period=period)
+ fi.accumulated_depreciation_amortization(stock=stock, date=date - timedelta(
days=365 if period == 'FY' else 90), lookback_period=lookback_period, period=period))
DEPI = previous_depreciation / current_depreciation
SGAI = (fi.selling_general_administrative(stock=stock, date=date, lookback_period=lookback_period, period=period)
/ fi.net_sales(stock=stock, date=date, lookback_period=lookback_period, period=period)) \
/ (fi.selling_general_administrative(stock=stock, date=date - timedelta(days=365 if period == 'FY' else 90),
lookback_period=lookback_period, period=period)
/ fi.net_sales(stock=stock, date=date - timedelta(days=365 if period == 'FY' else 90),
lookback_period=lookback_period, period=period))
previous_leverage = (fi.total_current_liabilities(stock=stock,
date=date - timedelta(days=365 if period == 'FY' else 90),
lookback_period=lookback_period, period=period) +
fi.total_long_term_debt(stock=stock, date=date - timedelta(days=365 if period == 'FY' else 90),
lookback_period=lookback_period, period=period)) \
/ fi.total_assets(stock=stock, date=date - timedelta(days=365 if period == 'FY' else 90),
lookback_period=lookback_period, period=period)
current_leverage = (fi.total_current_liabilities(stock=stock, date=date, lookback_period=lookback_period,
period=period)
+ fi.total_long_term_debt(stock=stock, date=date, lookback_period=lookback_period,
period=period)) \
/ fi.total_assets(stock=stock, date=date, lookback_period=lookback_period, period=period)
LVGI = current_leverage / previous_leverage
TATA = (fi.operating_income(stock=stock, date=date, lookback_period=lookback_period, period=period)
- fi.cash_flow_operating_activities(stock=stock, date=date, lookback_period=lookback_period, period=period)) \
/ fi.total_assets(stock=stock, date=date, lookback_period=lookback_period, period=period)
if not describe:
return -4.84 + 0.92 * DSRI + 0.528 * GMI + 0.404 * AQI + 0.892 * SGI + 0.115 * DEPI - 0.172 * SGAI + 4.679 * TATA - 0.327 * LVGI
else:
return {'Inputs': {}}