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finance-0.2502
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مشاهده بیشترتوضیحات
finance - Financial Risk Calculations. Optimized for ease of use through class construction and operator overload
| ویژگی | مقدار |
|---|---|
| سیستم عامل | - |
| نام فایل | finance-0.2502 |
| نام | finance |
| نسخه کتابخانه | 0.2502 |
| نگهدارنده | [] |
| ایمیل نگهدارنده | [] |
| نویسنده | Niels Henrik Bruun |
| ایمیل نویسنده | niels.henrik.bruun@gmail.com |
| آدرس صفحه اصلی | http://www.bruunisejs.dk/PythonHacks/ |
| آدرس اینترنتی | https://pypi.org/project/finance/ |
| مجوز | http://www.opensource.org/licenses/PythonSoftFoundation.php |
##########################
finance - long description
##########################
The purpose of this project is to deliver ease of use python code for financial
risk calculations.
This code is not unconsious reproduction of textbook material.
It's about developing `abstract data types <http://en.wikipedia.org/wiki/Abstract_data_type>`_ as objects to ease financial calculations and code
development.
At this point the code is by no means optimized for speed.
Financial and mathematical concepts are developed on the PythonHacks homepage.
* `To see more <http://www.bruunisejs.dk/PythonHacks/rstFiles/300%20Thoughts%20on%20finance.html>`_
=====================================
Part 1 - Simple time dependent assets
=====================================
Time is generic like a period such as eg 1 month and non-generic like a specific date.
In part both types are implemented with a heavy use of operator overload.
This means that questions like: How many days are there between a date 2009-12-27
and 3 months ahead can be calculated like:
>>> from finance import bankdate
>>> t1 = bankdate('2009-12-27')
>>> print t1 + '3m'
2010-03-27
>>> print t1 + '3m' - t1
90
* `To see more on bankdate <http://www.bruunisejs.dk/PythonHacks/rstFiles/200%20PythonHacks.html#finance.bankdate>`_
* `To see more on timeperiods <http://www.bruunisejs.dk/PythonHacks/rstFiles/200%20PythonHacks.html#finance.timeperiod>`_
Further a vector-like structure handling future payments - a dateflow - is
implemented as a class.
Through method overload it is easy to build even very complex cashflows (= dateflow)
* `To see more on dateflows <http://www.bruunisejs.dk/PythonHacks/rstFiles/200%20PythonHacks.html#finance.dateflow>`_
Generators of standard dateflows is also a part of the package.
* `To see more on daterange <http://www.bruunisejs.dk/PythonHacks/rstFiles/200%20PythonHacks.html#finance.daterange>`_
* `To see more on daterangeiter <http://www.bruunisejs.dk/PythonHacks/rstFiles/200%20PythonHacks.html#finance.daterangeiter>`_
* `To see more on standarddateflowgenerator <http://www.bruunisejs.dk/PythonHacks/rstFiles/200%20PythonHacks.html#finance.standarddateflowgenerator>`_
Before any calculations on a dateflow can be made dates has to be converted into
times. For this the class datetotime is created.
* `To see more on datetotime <http://www.bruunisejs.dk/PythonHacks/rstFiles/200%20PythonHacks.html#finance.datetotime>`_
Finally simpel calculations like present value and different sorts of duration
can be made though the class timeflow
* `To see more on timeflow <http://www.bruunisejs.dk/PythonHacks/rstFiles/200%20PythonHacks.html#finance.timeflow>`_
How to install
--------------
Just run setup.py install command. Or in windows use the windows installer.
Documentation, etc
------------------
Visit my `homepage <http://www.bruunisejs.dk/PythonHacks/>`_ to see more on how
to use and the research behind the code. It's a blog like place on finance, math
and scientific computing.
==================
Changes in 0.2502:
==================
There were still some problems with ultimo dates which now should be solved.
Thank you to Johan Uys for bringing it to my attention.
==================
Changes in 0.2501:
==================
Problems with generating ultimo dates has been solved. Thank you to Ankush Sahai
for bringing it to my attention.
================
Changes in 0.25:
================
Code has been rewritten to isolate strickt mathematical strucktures like e.g. DecimalVector in separate packages.
There have been slight modifications to yieldcurves.
================
Changes in 0.20:
================
Now discount curves based on benchmark zero bonds where the rates are continous forward rates.
It is possible to get standard yieldcalculations done like:
Instantiate:
>>> import finance
>>> ns = finance.yieldcurves.NelsonSiegel(0.061, -0.01, -0.0241, 0.275)
See the settings:
>>> ns
Nelson Siegel (level=0.061, slope=-0.01, curvature=-0.0241, scale=0.275)
Get the discountfactors at times 1, 2, 5, 10:
>>> times = [1, 2, 5, 10]
>>> ns(times)
DecimalVector([0.9517121708497056177816078083, 0.9072377300179418172521412527, 0.7844132592062346545344544940, 0.6008958407659500402742872859])
Get the zero coupon rate at time 5 and 7
>>> r5, r7 = ns.zero_coupon_rate([5, 7])
>>> r5, r7
(Decimal('0.049762403554685553400657196'), Decimal('0.050625188777310061599365592'))
Get the forward rate between time 5 and 7
>>> f5_7 = ns.discrete_forward_rate(5, 7)
>>> f5_7
Decimal('0.052785255470657667493924028')
As shown above yieldcurves are made using the DecimalVector concept. Especially
all outputs will be Decimal or DecimalVector.
For now there are 3 different yield curve types:
* The Nelson Siegel
* The natural cubic spline
* The financial cubic spline
This way the finance package covers a large part of yieldcurves in use.
Since it is easy to add more yieldcurves due to the design more will come.
Yieldcurves are of course integrated into the timeflow. **So now it is possible
to do most fixed income calculations**.
**A tutorial on fixed income calculations in the finance package is on its way**.
Risk calculations based on linearily decomposable discountcurves is postponed
intil later.
######################
Planned added contents
######################
The planned development so far is:
Planned added content of version 0.3:
Currencies, implementing Markowitz etc
Planned added content of version 0.4:
Optionality though (binomial) trees
Planned added content of version 0.5:
Bootstrapping from timeflows to get a base of benchmark zero bonds
Planned added content of version 0.6:
Concept of portfolios, eg structured products
نحوه نصب
نصب پکیج whl finance-0.2502:
pip install finance-0.2502.whl
نصب پکیج tar.gz finance-0.2502:
pip install finance-0.2502.tar.gz