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export type DcfInputs = {
baseFcf: number;
/** enterprise_value - equity_value; holds net_debt + preferred + minority interest */
equityBridge: number;
sharesOutstanding: number;
};
export type DcfParams = {
wacc: number;
terminalGrowth: number;
projectionYears: number;
growthRate: number;
};
export type DcfComputed = {
intrinsicValuePerShare: number;
enterpriseValue: number;
equityValue: number;
fcfPvSum: number;
terminalValuePv: number;
};
export type AdvancedDcfInputs = {
baseRevenue: number;
revenueGrowth: number[];
ebitdaMargin: number[];
dnaPctRevenue: number[];
capexPctRevenue: number[];
nwcPctDeltaRev: number[];
taxRate: number[];
};
export type AdvancedDcfParams = {
wacc: number;
terminalGrowth: number;
projectionYears: number;
sharesOutstanding: number;
equityBridge: number;
};
export function computeDcf(
inputs: DcfInputs,
params: DcfParams
): DcfComputed | { error: string } {
const { baseFcf, equityBridge, sharesOutstanding } = inputs;
const { wacc, terminalGrowth, projectionYears, growthRate } = params;
if (wacc <= 0) return { error: "WACC must be greater than 0%." };
if (terminalGrowth >= wacc) return { error: "Terminal growth must be lower than WACC." };
if (baseFcf <= 0) return { error: "DCF not meaningful with zero or negative base FCF." };
const projected = Array.from(
{ length: projectionYears },
(_, i) => baseFcf * (1 + growthRate) ** (i + 1)
);
const fcfPvSum = projected.reduce(
(sum, fcf, i) => sum + fcf / (1 + wacc) ** (i + 0.5),
0
);
const terminalFcf = projected[projected.length - 1] * (1 + terminalGrowth);
const terminalValue = terminalFcf / (wacc - terminalGrowth);
const terminalValuePv = terminalValue / (1 + wacc) ** (projectionYears - 0.5);
const enterpriseValue = fcfPvSum + terminalValuePv;
const equityValue = enterpriseValue - equityBridge;
const intrinsicValuePerShare = equityValue / sharesOutstanding;
return { intrinsicValuePerShare, enterpriseValue, equityValue, fcfPvSum, terminalValuePv };
}
export function computeAdvancedDcf(
inputs: AdvancedDcfInputs,
params: AdvancedDcfParams
): DcfComputed | { error: string } {
const {
baseRevenue,
revenueGrowth,
ebitdaMargin,
dnaPctRevenue,
capexPctRevenue,
nwcPctDeltaRev,
taxRate,
} = inputs;
const { wacc, terminalGrowth, projectionYears, sharesOutstanding, equityBridge } = params;
if (wacc <= 0) return { error: "WACC must be greater than 0%." };
if (terminalGrowth >= wacc) return { error: "Terminal growth must be lower than WACC." };
if (baseRevenue <= 0) return { error: "Base revenue must be greater than 0." };
if (sharesOutstanding <= 0) return { error: "Shares outstanding must be greater than 0." };
const assumptions = [
revenueGrowth,
ebitdaMargin,
dnaPctRevenue,
capexPctRevenue,
nwcPctDeltaRev,
taxRate,
];
if (assumptions.some((arr) => arr.length < projectionYears)) {
return { error: "Projection assumptions must cover every projection year." };
}
let revenue = baseRevenue;
const projectedFcf: number[] = [];
for (let year = 0; year < projectionYears; year++) {
const priorRevenue = revenue;
revenue = priorRevenue * (1 + revenueGrowth[year]);
const ebitda = revenue * ebitdaMargin[year];
const dna = revenue * dnaPctRevenue[year];
const ebit = ebitda - dna;
const nopat = ebit * (1 - taxRate[year]);
const capex = revenue * capexPctRevenue[year];
const deltaRev = year === 0 ? 0 : revenue - priorRevenue;
const nwcChange = deltaRev * nwcPctDeltaRev[year];
projectedFcf.push(nopat + dna - capex - nwcChange);
}
const fcfPvSum = projectedFcf.reduce(
(sum, fcf, i) => sum + fcf / (1 + wacc) ** (i + 0.5),
0
);
const terminalFcf = projectedFcf[projectedFcf.length - 1] * (1 + terminalGrowth);
const terminalValue = terminalFcf / (wacc - terminalGrowth);
const terminalValuePv = terminalValue / (1 + wacc) ** (projectionYears - 0.5);
const enterpriseValue = fcfPvSum + terminalValuePv;
const equityValue = enterpriseValue - equityBridge;
const intrinsicValuePerShare = equityValue / sharesOutstanding;
return { intrinsicValuePerShare, enterpriseValue, equityValue, fcfPvSum, terminalValuePv };
}
export type SensitivityGrid = {
wacc: number[];
terminalGrowth: number[];
impliedPrices: (number | null)[][];
};
export function computeSensitivityGrid(
baseWacc: number,
baseTerminalGrowth: number,
priceFor: (wacc: number, terminalGrowth: number) => number | null
): SensitivityGrid {
const waccValues = [
Math.max(0.03, baseWacc - 0.02),
Math.max(0.03, baseWacc - 0.01),
baseWacc,
baseWacc + 0.01,
baseWacc + 0.02,
];
const terminalGrowthValues = [
Math.max(0, baseTerminalGrowth - 0.015),
Math.max(0, baseTerminalGrowth - 0.01),
baseTerminalGrowth,
baseTerminalGrowth + 0.01,
baseTerminalGrowth + 0.015,
];
const impliedPrices = waccValues.map((w) =>
terminalGrowthValues.map((g) => {
if (g >= w) return null;
try {
return priceFor(w, g);
} catch {
return null;
}
})
);
return { wacc: waccValues, terminalGrowth: terminalGrowthValues, impliedPrices };
}
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