feat: 增加 DCF 等估值工具

2026-10-22 15:43:17 +08:00
parent f646ee6718
commit a46de853a0
22 changed files with 2645 additions and 3 deletions
@@ -0,0 +1,50 @@
+import { calculateDCF } from './dcf-math.js';
+import { calculate as calculateReturn } from './stock-return-math.js';
+
+// Cash amounts: 亿元; shares: 亿股; prices/dividends: 元/股; rates: decimals.
+export function calculateDCFCrosscheck(dcfInput, assumptions) {
+  const dcf = calculateDCF(dcfInput);
+  if (dcf.perShare <= 0) throw new Error('无正的 DCF 每股股权价值，无法进行双价格验证');
+  if (!Number.isFinite(assumptions.price) || assumptions.price <= 0) throw new Error('请在股价区填写大于 0 的当前股价');
+  if (!['manual', 'estimate'].includes(assumptions.profitMode)) throw new Error('请选择归母净利润来源');
+  let profit;
+  if (assumptions.profitMode === 'estimate') {
+    if (dcfInput.basis !== 'fcfe') throw new Error('FCFF 口径不能直接估算归母净利润，请手动填写');
+    if (!Number.isFinite(assumptions.conversion) || assumptions.conversion <= 0) throw new Error('基期现金转化率须大于 0');
+    profit = dcfInput.fcf / assumptions.conversion;
+  } else profit = assumptions.profit;
+  if (!Number.isFinite(profit) || profit <= 0) throw new Error('基期归母净利润须大于 0');
+  for (const pe of [assumptions.peLow, assumptions.pe, assumptions.peHigh]) {
+    if (!Number.isFinite(pe) || pe <= 0) throw new Error('悲观、基准和乐观退出 PE 均须大于 0');
+  }
+  if (assumptions.peLow > assumptions.pe || assumptions.pe > assumptions.peHigh) throw new Error('退出 PE 请按悲观 ≤ 基准 ≤ 乐观填写');
+  const model = {base_year: dcfInput.year, base_profit_100m: profit, shares_100m: dcfInput.shares,
+    years: assumptions.years, growth_rate: assumptions.profitGrowth, target_return: assumptions.target,
+    annual_dividend_per_share: assumptions.dividend, dividend_growth_rate: assumptions.dividendGrowth,
+    annual_dilution_rate: assumptions.dilution,
+    // Use the standalone calculator's safety-margin convention for both price and growth.
+    // Actual IRR still uses the actual buy price, without a synthetic price adjustment.
+    safety_margin: dcfInput.margin};
+  const scenario = (price, exitPe) => {
+    const result = calculateReturn({...model, price, exit_pe: exitPe});
+    return {pe: exitPe, irr: result.holding_period_irr,
+      requiredGrowth: result.required_growth_with_safety_margin.required_growth_rate,
+      requiredGrowthWithoutMargin: result.required_growth.required_growth_rate,
+      maxPrice: result.max_purchase_price_at_target_return,
+      maxPriceWithMargin: result.max_purchase_price_with_safety_margin,
+      meetsSafetyMargin: result.meets_safety_margin,
+      meetsTarget: result.holding_period_irr + 1e-10 >= assumptions.target};
+  };
+  const rows = [
+    {name: '当前股价买入', price: assumptions.price},
+    {name: 'DCF 参考价买入', price: dcf.entryPrice},
+  ].map(row => ({...row, scenarios: [assumptions.peLow, assumptions.pe, assumptions.peHigh].map(pe => scenario(row.price, pe))}));
+  rows.forEach(row => { row.base = row.scenarios[1]; });
+  const returnCeiling = rows[0].base.maxPriceWithMargin;
+  const jointCeiling = Math.min(dcf.entryPrice, returnCeiling);
+  const dcfCondition = assumptions.price <= dcf.entryPrice + 1e-10;
+  const returnCondition = rows[0].base.meetsSafetyMargin;
+  return {profit, estimated: assumptions.profitMode === 'estimate', dcf, rows, returnCeiling, jointCeiling,
+    dcfCondition, returnCondition, dcfDiscount: 1 - assumptions.price / dcf.perShare,
+    growthGap: rows[0].base.requiredGrowth === null ? null : assumptions.profitGrowth - rows[0].base.requiredGrowth};
+}