Kazuma
228 lines
11 KiB
TypeScript
228 lines
11 KiB
TypeScript
import type { MappedData } from '../types';
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// Internal: Yahoo Finance API response shape
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type YahooSummary = Record<string, Record<string, unknown>>;
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export class DataMapper {
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// ── Public entry point ────────────────────────────────────────────────────
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static mapToStandardFormat(ticker: string, summary: YahooSummary): MappedData {
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const quoteType = summary.price?.quoteType as string | undefined;
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const category = ((summary.assetProfile?.category as string) || '').toLowerCase();
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const yieldVal = (summary.summaryDetail?.trailingAnnualDividendYield as number) ?? 0;
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const isBond =
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category.includes('bond') ||
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category.includes('fixed income') ||
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category.includes('treasury') ||
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(quoteType === 'ETF' && yieldVal > 0.02 && category === '');
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if (quoteType === 'ETF') {
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return isBond
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? { type: 'BOND', ticker, ...DataMapper.mapBondData(summary) }
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: { type: 'ETF', ticker, ...DataMapper.mapEtfData(summary) };
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}
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return { type: 'STOCK', ticker, ...DataMapper.mapStockData(summary) };
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}
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// ── Stock ─────────────────────────────────────────────────────────────────
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private static mapStockData(summary: YahooSummary) {
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const fd = (summary.financialData ?? {}) as Record<string, number | null>;
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const ks = (summary.defaultKeyStatistics ?? {}) as Record<string, number | null>;
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const sd = (summary.summaryDetail ?? {}) as Record<string, number | null>;
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const pr = (summary.price ?? {}) as Record<string, number | null>;
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const currentPrice = pr.regularMarketPrice ?? 0;
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const sharesOutstanding = ks.sharesOutstanding ?? 0;
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const operatingCashflow = fd.operatingCashflow ?? 0;
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const freeCashflow = fd.freeCashflow ?? 0;
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// P/FFO proxy — used for REIT scoring
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const pFFO =
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operatingCashflow > 0 && sharesOutstanding > 0
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? (currentPrice as number) / (operatingCashflow / sharesOutstanding)
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: null;
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// FCF yield — negative FCF preserved so cash-burning companies fail the gate
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const fcfYield =
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freeCashflow !== 0 && sharesOutstanding > 0 && (currentPrice as number) > 0
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? ((freeCashflow as number) / (sharesOutstanding as number) / (currentPrice as number)) *
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100
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: null;
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// PEG: prefer Yahoo's value, fall back to trailingPE / earningsGrowth
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const yahoosPEG = ks.pegRatio ?? null;
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const trailingPE = sd.trailingPE ?? null;
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const earningsGrowth = fd.earningsGrowth != null ? (fd.earningsGrowth as number) * 100 : null;
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const computedPEG =
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trailingPE != null && earningsGrowth != null && earningsGrowth > 0
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? +((trailingPE as number) / earningsGrowth).toFixed(2)
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: null;
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const pegRatio = yahoosPEG ?? computedPEG;
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// Quick ratio — fall back to currentRatio when missing
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const quickRatio = fd.quickRatio ?? fd.currentRatio ?? null;
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// ── 52-week movement ──────────────────────────────────────────────────
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const week52High = sd.fiftyTwoWeekHigh ?? null;
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const week52Low = sd.fiftyTwoWeekLow ?? null;
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const week52Change =
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ks['52WeekChange'] != null ? +((ks['52WeekChange'] as number) * 100).toFixed(1) : null;
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const week52FromHigh =
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week52High != null && week52High > 0 && (currentPrice as number) > 0
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? +(((currentPrice - week52High) / week52High) * 100).toFixed(1)
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: null;
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const week52FromLow =
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week52Low != null && week52Low > 0 && (currentPrice as number) > 0
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? +(((currentPrice - week52Low) / week52Low) * 100).toFixed(1)
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: null;
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// ── Analyst consensus ─────────────────────────────────────────────────
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const analystRating = fd.recommendationMean ?? null;
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const analystTargetPrice = fd.targetMeanPrice ?? null;
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const numberOfAnalysts =
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fd.numberOfAnalystOpinions != null ? Math.round(fd.numberOfAnalystOpinions as number) : null;
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const analystUpside =
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analystTargetPrice != null && (currentPrice as number) > 0
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? +(((analystTargetPrice - currentPrice) / currentPrice) * 100).toFixed(1)
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: null;
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// ── Gross margin ──────────────────────────────────────────────────────
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const grossMargin =
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fd.grossMargins != null ? +((fd.grossMargins as number) * 100).toFixed(1) : null;
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// ── DCF intrinsic value ───────────────────────────────────────────────
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const revenueGrowthDecimal = fd.revenueGrowth != null ? (fd.revenueGrowth as number) : null;
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const earningsGrowthDecimal = fd.earningsGrowth != null ? (fd.earningsGrowth as number) : null;
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const dcfGrowthRate =
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earningsGrowthDecimal ?? (revenueGrowthDecimal != null ? revenueGrowthDecimal * 0.7 : null);
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const dcf = DataMapper.computeDCF(
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freeCashflow as number,
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sharesOutstanding as number,
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currentPrice as number,
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dcfGrowthRate,
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);
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return {
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peRatio: trailingPE ?? ks.forwardPE,
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trailingPE,
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pegRatio,
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priceToBook: ks.priceToBook ?? null,
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evToEbitda: ks.enterpriseToEbitda ?? null,
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grossMargin,
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netProfitMargin: fd.profitMargins != null ? (fd.profitMargins as number) * 100 : null,
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operatingMargin: fd.operatingMargins != null ? (fd.operatingMargins as number) * 100 : null,
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returnOnEquity: fd.returnOnEquity != null ? (fd.returnOnEquity as number) * 100 : null,
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revenueGrowth: fd.revenueGrowth != null ? (fd.revenueGrowth as number) * 100 : null,
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earningsGrowth,
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debtToEquity: fd.debtToEquity != null ? (fd.debtToEquity as number) / 100 : null,
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quickRatio,
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fcfYield,
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pFFO,
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dividendYield:
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sd.trailingAnnualDividendYield != null
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? (sd.trailingAnnualDividendYield as number) * 100
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: null,
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beta: sd.beta ?? null,
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week52High,
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week52Low,
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week52Change,
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week52FromHigh,
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week52FromLow,
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marketCap: pr.marketCap ?? null,
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analystRating,
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analystTargetPrice,
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analystUpside,
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numberOfAnalysts,
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dcfIntrinsicValue: dcf?.intrinsicValue ?? null,
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dcfMarginOfSafety: dcf?.marginOfSafety ?? null,
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currentPrice,
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assetProfile: summary.assetProfile || {},
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};
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}
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// ── ETF ───────────────────────────────────────────────────────────────────
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private static mapEtfData(summary: YahooSummary) {
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return {
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expenseRatio: ((summary.summaryDetail?.expenseRatio as number) ?? 0) * 100,
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totalAssets: (summary.summaryDetail?.totalAssets as number) ?? 0,
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yield: ((summary.summaryDetail?.trailingAnnualDividendYield as number) ?? 0) * 100,
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fiveYearReturn: ((summary.defaultKeyStatistics?.fiveYearAverageReturn as number) ?? 0) * 100,
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volume:
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(summary.summaryDetail?.averageVolume as number) ??
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(summary.price?.averageVolume as number) ??
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0,
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currentPrice: (summary.price?.regularMarketPrice as number) ?? 0,
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};
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}
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// ── Bond ──────────────────────────────────────────────────────────────────
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private static mapBondData(summary: YahooSummary) {
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return {
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yieldToMaturity: ((summary.summaryDetail?.yield as number) ?? 0) * 100,
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duration: DataMapper.inferDuration(summary.assetProfile?.category as string),
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creditRating: DataMapper.inferCreditRating(summary.assetProfile?.category as string),
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currentPrice: (summary.price?.regularMarketPrice as number) ?? 0,
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};
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}
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private static inferCreditRating(category: string | undefined): string {
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const cat = (category || '').toLowerCase();
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if (cat.includes('government') || cat.includes('treasury')) return 'AAA';
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if (cat.includes('muni')) return 'AA';
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if (cat.includes('high yield') || cat.includes('junk')) return 'BB';
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if (cat.includes('corporate') || cat.includes('investment grade')) return 'A';
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return 'BBB';
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}
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private static inferDuration(category: string | undefined): number {
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const cat = (category || '').toLowerCase();
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if (cat.includes('short') || cat.includes('ultrashort') || cat.includes('1-3')) return 2;
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if (cat.includes('intermediate') || cat.includes('3-7') || cat.includes('3-10')) return 5;
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if (cat.includes('long') || cat.includes('10+') || cat.includes('20+')) return 18;
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if (cat.includes('target maturity') || cat.includes('defined maturity')) return 4;
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return 6;
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}
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// ── DCF ───────────────────────────────────────────────────────────────────
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// Two-stage model:
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// Stage 1 — FCF/share grows at `growthRate` for 5 years, discounted at 9.5% WACC.
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// Stage 2 — Terminal value via Gordon Growth Model at 2.5% perpetuity rate.
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// Only fires when TTM FCF per share is positive.
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private static computeDCF(
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freeCashflow: number,
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sharesOutstanding: number,
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currentPrice: number,
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growthRate: number | null,
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riskFreeRate = 0.04,
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): { intrinsicValue: number; marginOfSafety: number } | null {
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if (!freeCashflow || freeCashflow <= 0) return null;
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if (!sharesOutstanding || sharesOutstanding <= 0) return null;
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if (!currentPrice || currentPrice <= 0) return null;
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const fcfPerShare = freeCashflow / sharesOutstanding;
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if (fcfPerShare <= 0) return null;
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const discountRate = riskFreeRate + 0.055; // WACC proxy
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const terminalGrowth = 0.025; // long-run GDP growth
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const years = 5;
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const g = Math.min(Math.max(growthRate ?? 0.08, -0.05), 0.3);
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let pv = 0;
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let fcfT = fcfPerShare;
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for (let t = 1; t <= years; t++) {
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fcfT *= 1 + g;
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pv += fcfT / Math.pow(1 + discountRate, t);
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}
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const terminalValue = (fcfT * (1 + terminalGrowth)) / (discountRate - terminalGrowth);
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pv += terminalValue / Math.pow(1 + discountRate, years);
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const intrinsicValue = +pv.toFixed(2);
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const marginOfSafety = +(((intrinsicValue - currentPrice) / intrinsicValue) * 100).toFixed(1);
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return { intrinsicValue, marginOfSafety };
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}
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}
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