Berechnung stochastischer Unternehmenswert

README.md

Hi Flo,

git clone https://gist.github.com/beevelop/075981c168d84150632aa43e3cba14c7 stocha
cd stocha
npm i

ausführen mithilfe von

node index.js 100 50 5 0.42

da purzelt dann die algo.json raus. Die kann mithilfe von Tableau analysiert werden.

index.js

'use strict'
const _ = require('lodash')
const fs = require('fs')
const winston = require('winston')
winston.remove(winston.transports.Console)
winston.add(winston.transports.Console, { 'timestamp': true })

winston.info('Starting')

let defaultUe = _.toInteger(process.argv[ 2 ]) // 100
let defaultKosten = _.toInteger(process.argv[ 3 ]) // 50

let sprungwert = _.toInteger(process.argv[ 4 ]) // 15
let p = 0.42
let gkk = 0.1 // gewogene Kapitalkosten

winston.info({ defaultUe, defaultKosten, sprungwert, p })

let history = []
let years = 10

let max = 20 * 100000
for (let i = 0; i < max; i++) {
  let ue = defaultUe
  let kosten = defaultKosten
  let uw = 0
  let cf = 0

  for (let j = 1; j <= years; j++) {
    let rw = Math.random()
    if (rw > 1 - p) {
      ue = ue + sprungwert
    } else {
      ue = ue - sprungwert
    }

    rw = Math.random()
    if (rw > 1 - p) {
      kosten = kosten + sprungwert
    } else {
      kosten = kosten - sprungwert
    }

    cf = ue - kosten
    uw = uw + cf / Math.pow(1 + gkk, j)
  }

  let restwert = cf / gkk
  uw = uw + restwert / Math.pow(1 + gkk, years)

  history.push({ uw, ue, kosten })
}

fs.writeFileSync('algo.json', JSON.stringify(history))

winston.info('Done')

package.json

{
  "name": "stocha",
  "version": "0.0.1",
  "private": true,
  "scripts": {
    "start": "node ./index.js 100 50 5 0.42"
  },
  "dependencies": {
    "debug": "~2.6.3",
    "lodash": "^4.17.4",
    "winston": "^2.3.1"
  }
}