R524809
51 lines
3.5 KiB
JavaScript
51 lines
3.5 KiB
JavaScript
import { calculateDCF } from './dcf-math.js';
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import { calculate as calculateReturn } from './stock-return-math.js';
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// Cash amounts: 亿元; shares: 亿股; prices/dividends: 元/股; rates: decimals.
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export function calculateDCFCrosscheck(dcfInput, assumptions) {
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const dcf = calculateDCF(dcfInput);
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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');
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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');
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if (!['manual', 'estimate'].includes(assumptions.profitMode)) throw new Error('请选择归母净利润来源');
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let profit;
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if (assumptions.profitMode === 'estimate') {
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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');
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if (!Number.isFinite(assumptions.conversion) || assumptions.conversion <= 0) throw new Error('基期现金转化率须大于 0');
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profit = dcfInput.fcf / assumptions.conversion;
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} else profit = assumptions.profit;
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if (!Number.isFinite(profit) || profit <= 0) throw new Error('基期归母净利润须大于 0');
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for (const pe of [assumptions.peLow, assumptions.pe, assumptions.peHigh]) {
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if (!Number.isFinite(pe) || pe <= 0) throw new Error('悲观、基准和乐观退出 PE 均须大于 0');
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}
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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');
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const model = {base_year: dcfInput.year, base_profit_100m: profit, shares_100m: dcfInput.shares,
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years: assumptions.years, growth_rate: assumptions.profitGrowth, target_return: assumptions.target,
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annual_dividend_per_share: assumptions.dividend, dividend_growth_rate: assumptions.dividendGrowth,
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annual_dilution_rate: assumptions.dilution,
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// Use the standalone calculator's safety-margin convention for both price and growth.
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// Actual IRR still uses the actual buy price, without a synthetic price adjustment.
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safety_margin: dcfInput.margin};
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const scenario = (price, exitPe) => {
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const result = calculateReturn({...model, price, exit_pe: exitPe});
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return {pe: exitPe, irr: result.holding_period_irr,
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requiredGrowth: result.required_growth_with_safety_margin.required_growth_rate,
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requiredGrowthWithoutMargin: result.required_growth.required_growth_rate,
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maxPrice: result.max_purchase_price_at_target_return,
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maxPriceWithMargin: result.max_purchase_price_with_safety_margin,
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meetsSafetyMargin: result.meets_safety_margin,
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meetsTarget: result.holding_period_irr + 1e-10 >= assumptions.target};
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};
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const rows = [
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{name: '当前股价买入', price: assumptions.price},
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{name: 'DCF 参考价买入', price: dcf.entryPrice},
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].map(row => ({...row, scenarios: [assumptions.peLow, assumptions.pe, assumptions.peHigh].map(pe => scenario(row.price, pe))}));
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rows.forEach(row => { row.base = row.scenarios[1]; });
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const returnCeiling = rows[0].base.maxPriceWithMargin;
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const jointCeiling = Math.min(dcf.entryPrice, returnCeiling);
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const dcfCondition = assumptions.price <= dcf.entryPrice + 1e-10;
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const returnCondition = rows[0].base.meetsSafetyMargin;
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return {profit, estimated: assumptions.profitMode === 'estimate', dcf, rows, returnCeiling, jointCeiling,
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dcfCondition, returnCondition, dcfDiscount: 1 - assumptions.price / dcf.perShare,
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growthGap: rows[0].base.requiredGrowth === null ? null : assumptions.profitGrowth - rows[0].base.requiredGrowth};
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}
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