io.github.simonmak-ascent/fair-value

Tools

• calculate_actuarial_pv

  Actuarial present value engine. Discount expected cash flows with mortality, survival, and risk adjustment for insurance and benefit obligations, generalising IFRS 17 (fulfilment cash flows), IAS 19 (employee benefits), IFRS 2 (share-based payments), and IAS 37 (provisions). Use this for regulated IFRS/HKFRS obligations only; it does NOT do generic project or scenario probability weighting (use calculate_expected_value). Methods: ifrs17_gmm: cash_flows, discount_rate, risk_adjustment; ifrs17_paa: premiums, claims_cash, acquisition_cash_flows, coverage_periods; ifrs17_vfa: cash_flows, discount_rate, underlying_items_return, risk_adjustment; ias19_puc: projected_benefits, discount_rate, attribution_years; ias37_provision: outcomes, probabilities, discount_rate, periods. Supply exactly one method with its declared inputs (no defaults). An unknown method, a missing input, or an extra field returns an error envelope (code INVALID_ARGUMENT) instead of raising.

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• calculate_convertible_bond

  Convertible-bond engine. Value callable and puttable convertible or exchangeable bonds with credit risk using a Tsiveriotis-Fernandes lattice (equity discounted at the risk-free rate, debt at a credit spread), with conversion, issuer call, holder put, coupon schedule, and a straight-bond floor. Use this for convertible and exchangeable bonds; for a plain bond or rate curve use calculate_fixed_income, and for a standalone option or warrant use calculate_option. The lattice_tsf, lattice_intensity, finite_difference, lsmc and quantlib methods are alternative numerical schemes for the same valuation and take identical inputs (Tsiveriotis-Fernandes is the reference, lsmc is Monte Carlo, quantlib needs the optional engine); choose one. Methods: lattice_tsf/lattice_intensity/finite_difference/lsmc/quantlib: spot, face, coupon_rate, maturity, conversion_ratio, volatility, risk_free, credit_spread, call_schedule, put_schedule, rights_priority. Supply exactly one method with its declared inputs (no defaults). An unknown method, a missing input, or an extra field returns an error envelope (code INVALID_ARGUMENT) instead of raising.

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• calculate_credit_loss

  Credit-risk engine (IFRS 9 / HKFRS 9). Compute 12-month, lifetime, and staged expected credit loss, PD/LGD/EAD, provision matrices, hazard rates, and CVA/DVA. Use this for impairment, fair-value credit adjustment, and loan-loss provisioning; for the credit component of a specific convertible bond use calculate_convertible_bond, and for liquidity, control or marketability discounts rather than credit loss use calculate_fair_value_adjustment. Methods: ecl_12m: ead, pd, lgd; ecl_lifetime: ead, pd_lifetime, lgd; ecl_staged: ead, pd_12m, pd_lifetime, lgd, stage; provision_matrix: receivables_ageing, loss_rates; pd_from_spread: credit_spread, recovery, tenor_years; cumulative_pd: annual_pd, years; hazard: hazard_rate, tenor_years; cva_dva: exposure_profile, pd, lgd, discount_rate. Supply exactly one method with its declared inputs (no defaults). An unknown method, a missing input, or an extra field returns an error envelope (code INVALID_ARGUMENT) instead of raising.

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• calculate_dcf

  Discounted cash flow valuation engine. Choose a method and supply its exact inputs to value a business from projected free cash flows, dividends, residual income, or economic profit. Covers FCFF/FCFE DCF, NPV/IRR, terminal values, and multi-stage growth. Use this for going-concern cash-flow businesses; for asset-anchored or financial firms use calculate_residual, for peer-based pricing use calculate_market_multiple, and for pre-profit companies use calculate_loss_making_company. Methods: dcf/npv: cash_flows, discount_rate; annuity: payment, discount_rate, periods; growing_annuity: payment, discount_rate, growth_rate, periods; perpetuity: payment, discount_rate; terminal_gordon: final_cash_flow, discount_rate, perpetual_growth; terminal_multiple: final_cash_flow, exit_multiple; viu_pre_tax: cash_flows, pre_tax_discount_rate; rnpv: cash_flows, discount_rate, probabilities; lease_pv: lease_payments, incremental_borrowing_rate. Supply exactly one method with its declared inputs (no defaults). An unknown method, a missing input, or an extra field returns an error envelope (code INVALID_ARGUMENT) instead of raising.

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• calculate_discount_rate

  Cost-of-capital engine. Compute WACC, cost of equity (CAPM), cost of debt, unlevered/relevered beta, and country or size premiums from an explicit capital structure and market inputs. Use this to derive the discount rate an income-approach valuation needs; it returns a rate, not a valuation, so feed the result to calculate_dcf, or to calculate_residual for IFRS-basis measurement. Methods: wacc: equity_weight, debt_weight, cost_equity, cost_debt, tax_rate; capm: risk_free, beta, market_return; startup_capm: risk_free, beta, market_risk_premium, size_premium, illiquidity_premium; build_up: risk_free, equity_risk_premium, size_premium, industry_premium, specific_premium; currency_adjusted: base_rate, currency_risk_premium, country_risk_premium; country_risk: sovereign_yield, us_risk_free; esg: base_rate, esg_risk_premium, esg_opportunity_discount; portfolio_beta: weights, betas; ibr: risk_free, credit_spread, tenor_years. Supply exactly one method with its declared inputs (no defaults). An unknown method, a missing input, or an extra field returns an error envelope (code INVALID_ARGUMENT) instead of raising.

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• calculate_expected_value

  Expected-value engine. Compute expected values over discrete, continuous, simulated, or tree-structured uncertainty, plus football-field ranges. Use this for generic probability weighting of scenarios, Monte-Carlo and decision trees; it does NOT perform IFRS/HKFRS measurement of provisions, insurance or employee-benefit obligations (use calculate_actuarial_pv), and it does not price path-dependent payoffs (use calculate_structured_product). Methods: discrete: outcomes, probabilities; continuous: distribution, mean, std, lower, upper; scenario: scenarios; monte_carlo: iterations, distributions, base_params, seed; decision_tree: tree; football_field: estimates. Supply exactly one method with its declared inputs (no defaults). An unknown method, a missing input, or an extra field returns an error envelope (code INVALID_ARGUMENT) instead of raising.

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• calculate_fair_value_adjustment

  Fair-value-adjustment engine (IFRS 13). Compute exit-price adjustments including credit, liquidity, control and marketability discounts, blockage, and the fair-value hierarchy level. Use this to move from an indicated value to the fair value recognised in the accounts; for liquidity/marketability inputs of a listed instrument prefer calculate_market_multiple, and for expected credit loss use calculate_credit_loss. Methods: dlom: base_value, restricted_period, volatility, risk_free; dloc: base_value, transaction_cost_pct; control_premium: base_value, control_premium_pct; minority_discount: base_value, minority_discount_pct; highest_best_use: base_value, alternative_use_values; hierarchy_level: inputs. Supply exactly one method with its declared inputs (no defaults). An unknown method, a missing input, or an extra field returns an error envelope (code INVALID_ARGUMENT) instead of raising.

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• calculate_fixed_income

  Fixed-income engine. Price plain coupon bonds, solve for yield to maturity, measure interest-rate sensitivity via Macaulay and modified duration and convexity, and build a HIBOR/HKD-style term structure: bootstrap a zero curve from par rates, infer forward rates, and discount cash flows on the curve. Use this for vanilla bonds, rate risk and discount curves; for convertibles use calculate_convertible_bond and for structured payoffs use calculate_structured_product. Methods: bond_price/duration/convexity: face, coupon_rate, years, ytm, frequency; bond_yield: face, coupon_rate, years, price, frequency; matrix_pricing: target_tenor, benchmark_tenors, benchmark_yields; discount_factor: rate, years, frequency; zero_curve: par_rates, tenors, frequency; forward_rate: zero_rates, tenors, t1, t2; pv_curve: cash_flows, times, zero_rates, tenors. Supply exactly one method with its declared inputs (no defaults). An unknown method, a missing input, or an extra field returns an error envelope (code INVALID_ARGUMENT) instead of raising.

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• calculate_loss_making_company

  Loss-making-company engine. Value currently unprofitable companies with margin-ramp DCF, revenue multiples, Merton structural equity, the VC method, distressed waterfalls, bank residual income, and SPAC deals; every method returns a central value plus a dispersion (sigma, percentiles, long-tail). Use this when earnings-based multiples break down; for standalone probability weighting of arbitrary scenarios use calculate_expected_value, and for a single going-concern DCF use calculate_dcf. Methods: margin_ramp_dcf: revenue, growth_rate, start_margin, target_margin, ramp_years, discount_rate, years, shares_outstanding, net_debt, range_method; revenue_multiple: revenue, ev_revenue_multiple, net_debt, shares_outstanding, range_method; merton_equity: firm_value, firm_volatility, debt, risk_free, maturity, range_method; vc_method: terminal_value, target_return, investment, shares_outstanding, range_method; distressed_waterfall: enterprise_value, claims, range_method; bank_residual_income: book_value, net_income, cost_equity, growth_rate, range_method; spac_deal: trust_cash, shares_outstanding, redemption_price, range_method. Supply exactly one method with its declared inputs (no defaults). An unknown method, a missing input, or an extra field returns an error envelope (code INVALID_ARGUMENT) instead of raising.

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• calculate_market_multiple

  Market-multiple engine. Apply peer multiples (P/E, P/B, EV/EBITDA, EV/Sales, PEG and more) or derive implied multiples to price a company on a comparable basis. Use this for market-approach pricing where peers exist; it does peer multiples only — for intrinsic cash-flow value use calculate_dcf, and for residual-income or IFRS-basis measurement use calculate_residual. Methods: ev_revenue: revenue, ev_revenue_multiple; ev_ebitda: ebitda, ev_ebitda_multiple; ev_arr: arr, ev_arr_multiple; ev_gmv: gmv, ev_gmv_multiple; pe: eps, pe_multiple; pb: book_value_per_share, pb_multiple; ps: sales_per_share, ps_multiple; cap_rate: net_operating_income, cap_rate; regression: intercept, growth_rate, growth_coefficient, market_maturity, maturity_coefficient; royalty_cap: revenue, royalty_rate, discount_rate; ddm: dividend_per_share, cost_equity, growth_rate. Supply exactly one method with its declared inputs (no defaults). An unknown method, a missing input, or an extra field returns an error envelope (code INVALID_ARGUMENT) instead of raising.

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• calculate_option

  Option-pricing engine. Price European and American options and warrants (Black-Scholes, Black-76, CRR binomial, Garman-Kohlhagen FX, digital, range, share-based) and their greeks. Use this for a single contingent claim or warrant on one underlying; it does NOT price listed structured payoffs such as CBBCs, inline/derivative warrants or autocallables (use calculate_structured_product). Methods: black_scholes: spot, strike, maturity, risk_free, volatility, option_type; black76: forward, strike, maturity, risk_free, volatility, option_type; binomial_american: spot, strike, maturity, risk_free, volatility, option_type, steps; garman_kohlhagen: spot, strike, maturity, domestic_rate, foreign_rate, volatility, option_type; barrier_first_passage: spot, strike, maturity, risk_free, volatility, option_type, barrier, barrier_type; asian_average: spot, strike, maturity, risk_free, volatility, option_type, average_type; digital: spot, strike, maturity, risk_free, volatility, cash_payout; range: spot, lower_strike, upper_strike, maturity, risk_free, volatility, payout; share_based: share_price, exercise_price, expected_life, volatility, risk_free, dividend_yield. Supply exactly one method with its declared inputs (no defaults). An unknown method, a missing input, or an extra field returns an error envelope (code INVALID_ARGUMENT) instead of raising.

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• calculate_residual

  IFRS/HKFRS measurement engine. Compute goodwill and purchase-price allocation, impairment (IAS 36), inventory net realisable value, held-for-sale, debt waterfalls, cap tables, sum-of-the-parts and SPAC redemption; residual income and justified price-to-book; and non-financial asset fair value: investment property (IAS 40 / HKAS 40), PP&E revaluation via depreciated replacement cost (IAS 16) and biological assets at fair value less costs to sell (IAS 41). Use this for accounting-basis measurement of assets and equity; for going-concern cash flow use calculate_dcf and for peer multiples use calculate_market_multiple. Methods: goodwill: purchase_price, fair_value_net_identifiable_assets; ppa: purchase_price, tangible_assets_fv, identified_intangibles_fv; impairment_fvlcd: carrying_value, fair_value_less_costs_to_dispose; impairment_viu: carrying_value, value_in_use; inventory_nrv: carrying_value, net_realisable_value; held_for_sale: carrying_value, fair_value_less_costs_to_sell; debt_waterfall/cap_table: enterprise_value, claims; sotp: segments, net_debt, holding_discount; spac_redemption: trust_cash, shares_outstanding, redemption_price; investment_property: noi, cap_rate; ppe_revaluation: replacement_cost, accumulated_depreciation; biological_asset: expected_price, quantity, costs_to_sell; residual_income: book_value, net_income, cost_equity; justified_pb: roe, cost_equity, growth_rate; relief_from_royalty: revenue, royalty_rate, discount_rate, periods; mpeem: cash_flows, contributory_charges, discount_rate; with_without: with_cash_flows, without_cash_flows, discount_rate; recoverable_amount: fair_value_less_costs_to_dispose, value_in_use; liability_fulfilment: fulfilment_costs, mark_up, discount_rate; inventory_residual: selling_price, costs_to_complete, profit_allowance; development_residual: gross_development_value, development_costs, developer_profit. Supply exactly one method with its declared inputs (no defaults). An unknown method, a missing input, or an extra field returns an error envelope (code INVALID_ARGUMENT) instead of raising.

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• calculate_sector_metrics

  Sector-metric engine. Compute the metrics that anchor valuation in specific industries: SaaS (ARR, NRR, magic number, Rule of 40), marketplaces (take rate, GMV multiple), lending (LTV/CAC), and crypto (NVT, Metcalfe). It returns operating metrics, not a valuation; use them as inputs to calculate_market_multiple or calculate_dcf. Methods: ltv: arpu, gross_margin, churn_rate; cac: sales_marketing_expense, new_customers; arr: subscription_values; nrr: starting_revenue, ending_revenue, expansion_revenue; magic_number: net_new_arr, sales_marketing_expense_prior; rule_of_40: growth_rate, profit_margin; take_rate: revenue, gmv; gmv_multiple: gmv, ev_gmv_multiple; retention: retained_customers, starting_customers; trl: market_size, market_share, margin, exit_multiple, trl_discount; break_even: fixed_costs, asp, variable_cost; gross_margin: asp, variable_cost; token: transaction_volume, price_per_tx, velocity, supply; nvt: market_cap, transaction_volume; metcalfe: n, coefficient. Supply exactly one method with its declared inputs (no defaults). An unknown method, a missing input, or an extra field returns an error envelope (code INVALID_ARGUMENT) instead of raising.

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• calculate_structured_product

  Structured-product engine. Value HKEX-listed and OTC structures: CBBCs, derivative and inline warrants, equity-linked notes and investments, autocallables, accumulators and decumulators, credit-linked notes, TRS, and CFDs. Use this for equity-linked and credit-linked payoff structures; for a plain option or warrant use calculate_option, for a convertible or exchangeable bond use calculate_convertible_bond, and for a vanilla bond or term structure use calculate_fixed_income. Methods: cbbc: notional, spot, strike, barrier, barrier_type, maturity, risk_free, volatility, option_type; cbbc_residual: notional, spot, call_price, entitlement, barrier, barrier_type, maturity, risk_free, volatility, option_type; derivative_warrant: notional, spot, strike, maturity, risk_free, volatility, average_type, option_type; inline_warrant: notional, spot, lower_strike, upper_strike, maturity, risk_free, volatility, payout; inline_warrant_avg: notional, spot, lower_strike, upper_strike, maturity, risk_free, volatility, payout, fixing_days; eli/eln: notional, spot, strike, maturity, risk_free, volatility, coupon_rate; autocallable: notional, spot, knock_out_level, observation_dates, coupon_rate_structured, maturity, risk_free, volatility; credit_linked_note: notional, credit_spread, recovery, maturity, risk_free, coupon_rate_structured; accumulator/decumulator: notional, spot, strike, knock_out_level, observation_dates, risk_free, volatility; trs: notional, spot, maturity, risk_free, dividend_yield; cfd: notional, spot, strike, maturity, risk_free. Supply exactly one method with its declared inputs (no defaults). An unknown method, a missing input, or an extra field returns an error envelope (code INVALID_ARGUMENT) instead of raising.

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