
Re: Cashflow and TimeValue Question
Posted:
Jul 2, 2013 12:31 AM


This will happen whenever the next period occurs in a leap year:
(Debug) In[2]:= cf = Cashflow[{{{2003, 12, 29}, a}, {{2003, 12, 30}, b}, {{2003, 12, 31}, c}}]; (Debug) In[3]:= Rationalize[TimeValue[cf, r, cf[[1, 1, 1]]], 0] (Debug) Out[3]= a + c/(1 + r)^(1/183) + b/(1 + r)^(1/366)
This is of course correct if you want to compute the time value at {2004,12,31} of this cash flow whereas using 365 is not correct. So the real question is what happens for the defined cash flow in 2005?
(Debug) In[15]:= Rationalize[TimeValue[cf, r, {2005, 12, 31}], 0] (Debug) Out[15]= c (1 + r)^2 + b (1 + r)^(731/365) + a (1 + r)^(732/365)
I suspect this will disagree with a simple spreadsheet's answer but is more correct, assuming daily compounding.
Regards, Sseziwa
On Jul 1, 2013, at 5:47 AM, Dana DeLouis <dana01@icloud.com> wrote:
> Hello. When doing NetPresent value types of problems, I seem to > occasionaly get slightly different answers when compared to a very > popular spreadsheet program. The Spreadsheet program uses a standard > 365 day year, yet I don't see anything in the Mathematica documentation > on this. > I've reduced the issue down to these two simple examples. > > 1. 3 simple daily cash flows in a row. > cf[[1,1,1]] is returning the start date, or time 0. > The days per year is a fraction, so I use Rationalize to return > the values used for easy viewing. > > cf=Cashflow[{ > {{2009,12,29},a}, > {{2009,12,30},b}, > {{2009,12,31},c} > }]; > > Rationalize[TimeValue[cf,r,cf[[1,1,1]]],0] > > a + b/(r+1)^(1/365) + c/(r+1)^(2/365) > > It appears the program uses 365 days/year also. This example would most > likely match. > We just note that the year 2009 is not a leap year. > > 2. However, If I change the year to 2007, which is also not a leap > year, it appears that the program is using a 366 day year. These types > of problems are giving slightly different answers then spreadsheets that > use a constant 365 day year. > > > cf=Cashflow[{ > {{2007,12,29},a}, > {{2007,12,30},b}, > {{2007,12,31},c} > }]; > > Rationalize[TimeValue[cf,r,cf[[1,1,1]]],0] > > a + b/(r+1)^(1/366) + c/(r+1)^(1/183) > > Note: it's using 366 day year... > {1,2}/366 > {1/366,1/183} > > Does anyone have any insight? I'm not sure what the standard convention is. > I just note that both years are non leap years, yet different methods of calculations. > It appears to me that the random use of 366 is causing the slightly different answers. > > > Thanks in advance. :>) > Mac, and Mathematical v 9. >

