Institutional-Intrinsic-Valuation-Engine/wacc_automation.py at main · devc2255/Institutional-Intrinsic-Valuation-Engine · GitHub

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import yfinance as yf
import numpy as np

def fetch_live_wacc_inputs(ticker_symbol: str, erp_assumption: float = 0.055) -> dict:
    """
    Fetches real-time market risk parameters via yfinance and calculates WACC.
    Applies strict institutional fallbacks if API data points return NaN or None.
    """
    print(f"[WACC Automation] Scanning live market risk profile for {ticker_symbol.upper()}...")
    ticker = yf.Ticker(ticker_symbol)

    # ---------------------------------------------------------
    # 1. Risk-Free Rate (Rf) Fetching & Fallback
    # ---------------------------------------------------------
    try:
        tnx = yf.Ticker("^TNX")
        # Pull latest close for 10-Yr US Treasury Yield
        rf = tnx.history(period="1d")['Close'].iloc[-1] / 100
        if np.isnan(rf) or rf <= 0:
            rf = 0.0425  # Fallback to historical baseline (4.25%)
    except Exception:
        rf = 0.0425

    # ---------------------------------------------------------
    # 2. Beta (β) Fetching & Fallback
    # ---------------------------------------------------------
    try:
        beta = ticker.info.get('beta')
        if beta is None or np.isnan(beta) or beta <= 0:
            beta = 1.10  # Fallback to mature large-cap tech average
    except Exception:
        beta = 1.10

    # ---------------------------------------------------------
    # 3. Capital Structure Metrics
    # ---------------------------------------------------------
    try:
        market_cap = ticker.info.get('marketCap')
        if market_cap is None or np.isnan(market_cap):
            market_cap = 2_500_000_000_000  # Proxy baseline if missing
    except Exception:
        market_cap = 2_500_000_000_000

    # Total Debt extraction from balance sheet
    try:
        bs = ticker.balance_sheet
        if 'Long Term Debt' in bs.index:
            total_debt = bs.loc['Long Term Debt'].iloc[0]
        else:
            total_debt = market_cap * 0.05  # Standard conservative debt proxy
        if np.isnan(total_debt):
            total_debt = market_cap * 0.05
    except Exception:
        total_debt = market_cap * 0.05

    # ---------------------------------------------------------
    # 4. Cost of Debt & Effective Tax Rate
    # ---------------------------------------------------------
    try:
        inc_stmt = ticker.financials
        ebit = inc_stmt.loc['EBIT'].iloc[0] if 'EBIT' in inc_stmt.index else 1.0
        tax_prov = inc_stmt.loc['Tax Provision'].iloc[0] if 'Tax Provision' in inc_stmt.index else 0.0

        tax_rate = tax_prov / ebit if ebit > 0 else 0.21
        if np.isnan(tax_rate) or tax_rate < 0 or tax_rate > 0.5:
            tax_rate = 0.21  # Standard US Corporate Tax baseline fallback
    except Exception:
        tax_rate = 0.21

    cost_of_debt = rf + 0.015  # Institutional assumption: Risk-Free + 150 bps credit spread

    # ---------------------------------------------------------
    # 5. Core WACC Mathematical Blend
    # ---------------------------------------------------------
    cost_of_equity = rf + (beta * erp_assumption)

    total_capital = market_cap + total_debt
    weight_of_equity = market_cap / total_capital
    weight_of_debt = total_debt / total_capital

    # Blended After-Tax WACC formula
    calculated_wacc = (weight_of_equity * cost_of_equity) + (weight_of_debt * cost_of_debt * (1 - tax_rate))

    # Ultimate sanity check gatekeeper
    if np.isnan(calculated_wacc):
        calculated_wacc = 0.090  # 9.0% standard discount anchor to keep pipeline alive

    # ---------------------------------------------------------
    # 6. Comprehensive Return Dictionary
    # ---------------------------------------------------------
    return {
        'Calculated WACC': float(calculated_wacc),
        'Cost of Equity': float(cost_of_equity),
        'Cost of Debt': float(cost_of_debt),
        'Tax Rate': float(tax_rate),
        'Total Debt': float(total_debt),
        'Market Cap (Equity Value)': float(market_cap),

        # Extended keys required by Phase 3B and Phase 4
        'Risk Free Rate': float(rf),
        'Risk-Free Rate': float(rf),
        'Beta': float(beta),
        'ERP': float(erp_assumption),
        'Equity Risk Premium': float(erp_assumption),

        # Capital structure weights explicitly required by dcf_valuation.py
        'Weight of Equity': float(weight_of_equity),
        'Weight of Debt': float(weight_of_debt)
    }