FinanceLib

Financial mathematics domain covering time value of money, bonds, NPV/IRR, depreciation, option pricing, ratio analysis, and risk metrics.

Depends on: MathBase

Learning routes

Beginner route

Copy and run the double-real loan-schedule quick start. Its checked output includes the first and final payments. The schedule is a newly allocated managed array; scalar financial calls return Double values.

Common tasks and algorithm choice

Advanced route

Run example 04 for a complete cash-flow, IRR, bond, option, ratio, and amortisation walkthrough. It uses the same double-real rates and cash-flow arrays as the beginner call; no destination or workspace conversion is required.

Units

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Core Types

Exception

EFinanceError = class(Exception);

Option Type

TOptionType = (otCall, otPut);

Used by the Black-Scholes option pricing methods.

Result Records

The amortization types are nested in TFinanceKit and are named by qualifying them with the class:

var

  Payment: TFinanceKit.TAmortizationPayment;

  Schedule: TFinanceKit.TAmortizationArray;

Callers using FinanceLib.Bonds can name the same types as TBondPayment and TBondSchedule.

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TFinanceKit — Static Methods

All methods are class ... static — no instance required.

Time Value of Money

// $1,000 received in 5 years at 8%

PV := TFinanceKit.PresentValue(1000, 0.08, 5);   // ≈ 680.5832



// Monthly payment on a $200,000 30-year mortgage at 4.5% p.a.

PMT := TFinanceKit.Payment(200000, 0.045/12, 360); // ≈ 1013.3706

Net Present Value & IRR

CashFlows := TDoubleArray.Create(20000, 25000, 30000, 35000, 40000);

NPV := TFinanceKit.NetPresentValue(100000, CashFlows, 0.10);

// NPV ≈ 10124.7431; IRR ≈ 13.4531%

IRR := TFinanceKit.InternalRateOfReturn(100000, CashFlows);

Depreciation

Bond Calculations

// $1,000 bond, 6% coupon (semi-annual), 4.5% YTM, 10 years

Price := TFinanceKit.BondPrice(1000, 0.06, 0.045, 2, 10); // ≈ 1119.7278

Option Pricing (Black-Scholes)

Investment & Return Metrics

Financial Ratio Analysis

Risk-Adjusted Performance

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Unit Aliases

FinanceLib.Bonds and FinanceLib.NPV are intentionally small focused entry units. The formulas remain in FinanceLib.Interest; the focused units export aliases and do not maintain duplicate implementations:

// In FinanceLib.Bonds:

TBondKit      = TFinanceKit;

EBondError    = EFinanceError;

TBondPayment  = TFinanceKit.TAmortizationPayment;

TBondSchedule = TFinanceKit.TAmortizationArray;



// In FinanceLib.NPV:

TNPVKit       = TFinanceKit;

ENPVError     = EFinanceError;

TNPVCashFlows = TDoubleArray;

Because TBondKit and TNPVKit are aliases of the complete TFinanceKit class, all its methods remain technically accessible. The intended domain APIs are BondPrice, BondYieldToMaturity, ModifiedDuration, and AmortizationSchedule through TBondKit, and NetPresentValue and InternalRateOfReturn through TNPVKit.

These examples need only the focused unit in their uses clause:

uses FinanceLib.Bonds;



var

  Schedule: TBondSchedule;

begin

  Schedule := TBondKit.AmortizationSchedule(1000, 0.01, 3, 2);

end;

uses FinanceLib.NPV;



var

  CashFlows: TNPVCashFlows;

  Rate: Double;

begin

  CashFlows := TNPVCashFlows.Create(120);

  Rate := TNPVKit.InternalRateOfReturn(100, CashFlows); // 0.2000

end;

---

Quick Start

uses FinanceLib.Interest;



var

  Schedule: TFinanceKit.TAmortizationArray;

  I: Integer;

begin

  Schedule := TFinanceKit.AmortizationSchedule(200000, 0.045/12, 360);

  for I := 0 to High(Schedule) do

    Writeln(Schedule[I].PaymentNumber, #9,

            Schedule[I].Principal:0:2, #9,

            Schedule[I].Interest:0:2, #9,

            Schedule[I].RemainingBalance:0:2);

end.

Expected output contains:

1	263.37	750.00	199736.63

360	1009.58	3.79	0.02

Design Notes

• All rates are decimals (e.g. 0.05 for 5 %).
• Time is measured in periods or years (Integer/Double) — no TDateTime.
• Most calculations use discrete period compounding; Black-Scholes uses continuous compounding.
• The optional ADecimals parameter (default 4) uses SimpleRoundTo, which rounds halfway values away from zero. Structured result fields and amortization schedule amounts use the same requested precision. NPV sums unrounded discounted cash flows and rounds the final result.
• Undefined ratios raise EFinanceError instead of returning a fabricated zero. This includes zero divisors such as current liabilities, working capital, interest expense, portfolio standard deviation, beta, tracking error, EBIT, revenue, assets, equity, or capital employed, as applicable.
• InternalRateOfReturn requires a positive initial investment and at least one positive future cash flow. It raises EFinanceError when it cannot bracket or converge on a rate. Cash-flow patterns with multiple mathematical IRRs are inherently ambiguous; the method returns the root within the sign-changing bracket it establishes.
• Other invalid inputs—including negative periods, an empty cash-flow array, or non-convergence of an iterative method—also raise EFinanceError.

Common mistakes

• Rates are decimals. Pass 0.05, not 5, for a 5% rate, and measure time in periods or years — never TDateTime.
• IRR has assumptions. InternalRateOfReturn requires a positive initial investment and at least one positive future cash flow, and raises EFinanceError when it cannot bracket or converge on a rate.
• Compounding conventions differ. Most calculations use discrete period compounding; Black-Scholes uses continuous compounding. Do not mix the two.
• Undefined ratios raise. Metrics with a zero denominator (such as beta or portfolio standard deviation) raise EFinanceError instead of returning a fabricated zero.