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 +1,71 @@
+// Segmented, year-end cash-flow DCF. Rates are decimals; cash amounts are 亿元, shares 亿股.
+export function calculateDCF(p) {
+  const finite = (value, label) => {
+    if (typeof value !== 'number' || !Number.isFinite(value)) throw new Error(`${label}须为有效数字`);
+  };
+  if (!['fcff', 'fcfe'].includes(p.basis)) throw new Error('请选择现金流口径');
+  for (const [key, label] of Object.entries({fcf: '基期自由现金流', shares: '当前总股本', rate: '折现率', terminal: '永续增长率', margin: '安全边际'})) finite(p[key], label);
+  if (p.fcf <= 0) throw new Error('本模型要求基期可持续自由现金流大于 0');
+  if (p.shares <= 0) throw new Error('请填写该公司的当前总股本（亿股），且须大于 0');
+  if (!Number.isInteger(p.year) || p.year < 1900 || p.year > 2200) throw new Error('基期年份须为 1900—2200 的整数');
+  if (p.rate <= -1 || p.terminal <= -1 || p.terminal >= p.rate) throw new Error('永续增长率须小于折现率，且两者均须大于 −100%');
+  if (p.margin < 0 || p.margin >= 1) throw new Error('安全边际须大于等于 0% 且小于 100%');
+  if (!Array.isArray(p.stages) || p.stages.length < 1 || p.stages.length > 5) throw new Error('请设置 1—5 个增长阶段');
+  let years = 0;
+  for (const stage of p.stages) {
+    if (!Number.isInteger(stage.years) || stage.years < 1) throw new Error('每阶段年数须为正整数');
+    finite(stage.growth, '阶段增长率');
+    if (stage.growth <= -1) throw new Error('阶段增长率须大于 −100%');
+    years += stage.years;
+  }
+  if (years > 30) throw new Error('显式预测期合计最多 30 年');
+  let adjustment = 0;
+  if (p.basis === 'fcff') {
+    for (const [key, label] of Object.entries({debt: '净债务', assets: '非经营资产净额', minority: '少数股东权益'})) finite(p[key], label);
+    adjustment = -p.debt + p.assets - p.minority;
+  }
+  let cash = p.fcf, t = 0, forecastPV = 0;
+  const rows = [];
+  p.stages.forEach((stage, i) => {
+    for (let y = 0; y < stage.years; y++) {
+      t++;
+      cash *= 1 + stage.growth;
+      const factor = (1 + p.rate) ** -t;
+      const presentValue = cash * factor;
+      forecastPV += presentValue;
+      rows.push({year: p.year + t, stage: i + 1, growth: stage.growth, cash, factor, presentValue});
+    }
+  });
+  const terminalCash = cash * (1 + p.terminal);
+  const terminalValue = terminalCash / (p.rate - p.terminal);
+  const terminalPV = terminalValue / (1 + p.rate) ** years;
+  const operatingValue = forecastPV + terminalPV;
+  const equityValue = operatingValue + adjustment;
+  const perShare = equityValue / p.shares;
+  const entryPrice = perShare * (1 - p.margin);
+  const terminalWeight = terminalPV / operatingValue;
+  const result = {years, rows, terminalCash, terminalValue, forecastPV, terminalPV, operatingValue,
+    adjustment, equityValue, perShare, entryPrice, terminalWeight};
+  if (![terminalCash, terminalValue, forecastPV, terminalPV, operatingValue, equityValue, perShare,
+    entryPrice, terminalWeight, ...rows.flatMap(row => [row.cash, row.factor, row.presentValue])].every(Number.isFinite)) {
+    throw new Error('参数超出有效计算范围，请缩小参数');
+  }
+  return result;
+}
+
+// The price bands are user-defined discounts/premiums around this DCF scenario.
+export function calculateDCFPriceRange({perShare, margin, premium}) {
+  if (!Number.isFinite(perShare) || perShare <= 0) throw new Error('无正的每股股权价值，无法划分股价区间');
+  if (!Number.isFinite(margin) || margin < 0 || margin >= 1) throw new Error('低估折价须大于等于 0% 且小于 100%');
+  if (!Number.isFinite(premium) || premium < 0 || premium > 10) throw new Error('高估溢价阈值须为 0%—1000%');
+  const low = perShare * (1 - margin);
+  const high = perShare * (1 + premium);
+  if (![low, high].every(Number.isFinite)) throw new Error('区间超出有效数值范围');
+  return {low, high, perShare};
+}
+
+export function classifyDCFPrice(price, range) {
+  if (!Number.isFinite(price) || price <= 0) throw new Error('当前股价须为大于 0 的有效数字');
+  const zone = price < range.low ? '低估' : price > range.high ? '高估' : '合理';
+  return {zone, deviation: price / range.perShare - 1};
+}