From octave-sources-request at bevo dot che dot wisc dot edu Mon Jan 27 14:06:56 2003
Subject: finance/capm.m
From: Stefan Burger <s dot burger at debitel dot net>
To: octave-sources at bevo dot che dot wisc dot edu
Date: Mon, 27 Jan 2003 06:56:01 -0600


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Hello,=20

Wanted to share some m-files I created with you.=20

Category: Finance,=20
Functions:
=09capm, capital asset pricing method,
=09wacc, weight-adjusted cost of capital,
=09effir, =09effective interest rate,
=09nomir, nominal interest rate

capm.m attached,=20
rest will follow in separate mails.=20

Best regards,=20

Stefan Burger
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## Copyright (C) 2003 Stefan Burger
##
## This file is part of Octave.
##
## Octave is free software; you can redistribute it and/or modify it
## under the terms of the GNU General Public License as published by the
## Free Software Foundation; either version 2, or (at your option) any
## later version.
##
## Octave is distributed in the hope that it will be useful, but WITHOUT
## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
## FITNESS FOR A PARTICULAR PURPOSE.  See the GNU General Public License
## for more details.
##
## You should have received a copy of the GNU General Public License
## along with Octave; see the file COPYING.  If not, write to the Free
## Software Foundation, 59 Temple Place, Suite 330, Boston, MA 02111 USA.

## -*- texinfo -*-
##  at deftypefn {Function File} {} capm (@var{r_riskfree}, @var{r_market}, @var{beta})
## Calculate the equity cost according to CAPM capital asset pricing method.
## Inputs:
##       at var{r_riskfree} :  risk-free cost of capital,
##       at var{r_market} :   return on market index,
##       at var{beta} :    beta factor.
##
## Note: r_riskfree and r_market values are entered as fractions, 
## e.g., 0.12 for an interest rate of 12%.
##  at end deftypefn
##  at seealso{wacc}

## Author: Stefan Burger <Stefan dot Burger at stud dot tu-muenchen dot de>
## Description: CAPM capital asset pricing method.

function r = capm (r_riskfree, r_market, beta)

  if (nargin != 3)
    usage("capm (r_riskfree, r_market, beta)");
  endif

  if(size(r_riskfree)!=size(r_market))
    error("capm: r_riskfree and r_market have to be of same dimensions!");
  elseif(!isscalar(beta))
    if ( (!isscalar(r_riskfree)) && (size(beta)!=size(r_riskfree)))
      error("capm: if both, r_riskfree and beta, are not scalar, then they have to be of same dimensions!");
    endif
  endif

  r = r_riskfree + (r_market - r_riskfree) * beta;

endfunction

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