Popular recipes tagged "finance"

Monte Carlo Engine : How to find the optimised wager for next bet, following a recent loss. (Python)

2014-04-28T08:41:49-07:00

Python recipe 578869 by alexander baker (finance, optimise, python, tree).

Simple Engine to help understand how to best wager your next bet, given that you just made a loss. The engine uses the modified Powell method to optimise the weight to apply to your wager on the next position.

{'My Simple Heads And Tails Model': <BackTest.Simulation object at 0x0583D410>} participants [100] survivors [90.0%] losers [10.0%] weight [0.073858] solving for r: [ 0.07385806] simulations 100, trials 100 starting pot 1000 calling initialise {'My Simple Heads And Tails Model': <BackTest.Simulation object at 0x0583D430>} participants [100] survivors [86.0%] losers [14.0%] weight [0.072220] solving for r: [ 0.07221954] Optimization terminated successfully. Current function value: 8.000000 Iterations: 2 Function evaluations: 30 highest survivability following loss, multiply wager by 7.2949 %

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Ran 2 tests in 25.545s

Multidimensional Pareto front (Python)

2012-10-13T23:26:12-07:00

Python recipe 578287 by Jamie Bull (engineering, finance, optimal, pareto, pareto_front, pareto_frontier, pareto_set). Revision 2.

Method for finding non-dominated options in multi-dimensional data.

zero curve bootstrapping and forward curve generation (Python)

2012-09-10T08:07:56-07:00

Python recipe 578257 by alexander baker (finance, matplotlib, sympy).

example of a bootstrapping and forward curve generation this can be used to build a set of curves for different currencies

Pareto front (Python)

2012-08-01T09:04:04-07:00

Python recipe 578230 by Jamie Bull (engineering, finance, optimal, pareto_front, pareto_frontier, pareto_set).

Function for finding a 2D Pareto frontier given two lists of matched length.

Script that compares various Interest Rate term structure models. (Python)

2012-09-10T08:02:34-07:00

Python recipe 578256 by alexander baker (finance, matplotlib, python).

A common model used in the financial industry for modelling the short rate (think overnight rate, but actually an infinitesimally short amount of time) is the Vasicek model. # Although it is unlikely to perfectly fit the yield curve, it has some nice properties that make it a good model to work with. The dynamics of the Vasicek model are describe below.

In this model, the parameters are constants, and the random motion is generated by the Q measure Brownian motion . An important property of the Vasicek model is that the interest rate is mean reverting to , and the tendency to revert is controlled by . Also, this process is a diffusion process, hence Markovian, which will lead to some nice closed form formulas. Finally, the future value of the interest rate is normally distributed with the distribution .

Yahoo Stock Information (Python)

2012-08-25T17:16:47-07:00

Python recipe 577989 by Alexander James Wallar (computation, corey_goldberg, finance, information, python, realtime, stock, yahoo). Revision 3.

This recipe is solely due to the programming of Corey Goldberg (corey@goldb.org). The only thing I did to it was make it into a class. I thought that by uploading it here that more people would come across it and more people could use it. It is really good. It gives you stock information.

NPV / IRR / Payback Analysis (Python)

2013-09-06T23:04:55-07:00

Python recipe 576686 by Alia Khouri (finance). Revision 18.

A few financial functions for quick analysis of an investment opportunity and a series of associated cashflows.

As a module, it currently provides straightforward and easy to understand implementations of the Net Present Value (NPV), Internal Rate of Return (IRR), and Payback Period functions.

As a script, it provides a simple command line interface which integrates the above functions into a concise analysis of the investment opportunity.

    usage: invest discount_rate [cashflow0, cashflow1, ..., cashflowN]
        where 
            discount_rate is the rate used to discount future cashflows 
                             to their present values
            cashflow0 is the investment (always a negative value)
            cashflow1 .. cashflowN values can be positive (net inflows) 
                                                 or
                                                 negative (net outflows)

Here is an example of actual usage and output:

$ ./invest 0.05 -10000 6000 6000 6000
----------------------------------------------------------------------
year      0        1      2      3     
cashflow  -10,000  6,000  6,000  6,000 

Discount Rate: 5.0%

Payback: 1.67 years
    IRR: 36.31%
    NPV: 6339.49

==> Approve Investment of 10,000
----------------------------------------------------------------------

Note: A check of the output of the Microsoft Excel NPV function against that of the function implemented here reveals a curious discrepancy/bug in the way Excel calculates its NPV. For further details see: http://www.tvmcalcs.com/blog/comments/the_npv_function_doesnt_calculate_net_present_value/

Furthermore, the method used to calculate the IRR is rough to say the least and fails at fewer than 3 entries. Please use the secant method along the lines of the following haskell code from (http://www.haskell.org/haskellwiki/Haskell_Quiz/Internal_Rate_of_Return/Solution_Dolio) for greater accuracy.

secant :: (Double -> Double) -> Double -> Double
secant f delta = fst $ until err update (0,1)
  where
    update (x,y) = (x - (x - y) * f x / (f x - f y), x)
    err (x,y) = abs (x - y) < delta

npv :: Double -> [Double] -> Double
npv i = sum . zipWith (\t c -> c / (1 + i)**t) [0..]

irr :: [Double] -> Double
irr cashflows = secant (`npv` cashflows) (0.1**4)

Brownian Motion of Stock (Python)

2009-05-19T05:16:29-07:00

Python recipe 576760 by alexander baker (finance).

Brownian Motion of a Stock

get a stock historical value from google finance (Python)

2008-09-07T12:03:11-07:00

Python recipe 576495 by bussiere bussiere (finance, google, historical, value).

how to get a stock historical value from google finance