finance

FINANCE

This module contains an implementation of Markowitz algorithm for the portfolio optimization, a routine for retrieving historical prices from Yahoo, statistical information for stocks and a routine for calculating options smile using Black and Scholes formula.

Example

See examples directory.

Installation

To install with npm:

npm install finance

Tested with node 0.4.12 and tested results with R 2.13.1.

Notes

Before using crm methods, you need to configure the details of the persistence system. The portfolios are saved on a CouchDB instance. The configuration allows a live and testing system.

finance.crm.configure({
    liveDomain: "x.x.x",
    liveUrl: "http://key1:[e-mail]",
    liveDb: "myLiveDBName",
    testingUrl: "http://key2:[e-mail]",
    testingDb: "myTestingDBName",
    design: "designName",
});

If you use crm module, in lib/couchdb there is the file containing the code for the views to inject to CouchDB instance.

Methods

portfolio.getOptimalPortfolio(params, callback, config)

It creates an optimal portfolio. If config is defined, the method call a Rserve instance, otherwise a native implementation is used.

Params

• prods vector of symbols.

• referenceDate reference date (String).

• targetReturn weekly target return, if undefined, the mean of returns.

• lows vector of constraints.

• highs vector of constraints.

Callback response

• perf performances vector.

• message error message, if empty the optimization is fine.

• optim details of quadprog response.

  • solution vector of weights.

  • value the value of the quadratic function at the solution.

  • unconstrained_solution vector of the unconstrained minimizer.

  • iterations the number of iterations the algorithm needed.

  • iact vector with the indices of the active constraints at the solution.

  • message error message, if empty the optimization is fine.

  • pm portfolio return.

  • ps portfolio risk.

Config

• host hostname or ip address of R instance.

• port port of Rserve instance.

• user username for remote connection of Rserve instance.

• password password for remote connection of Rserve instance.

portfolio.getQuotesFromYahoo(symbol, refDate, callback)

It retrieves the prices from Yahoo! finance.

Arguments

• symbol asset symbol.

• refDate reference date (Date).

Callback response

• error calback error.

• symbol asset symbol.

• prices

  • beforeRefDate CSV string of prices before reference date.

  • afterRefDate CSV string of prices after reference date.

portfolio.getReturns(symbols, refDate, callback)

It retrieves the prices from Yahoo! finance and calculates the log returns of the close prices.

Arguments

• symbols vector containing the symbols of the assets.

• refDate reference date (String).

Callback response

• returns

  • message message error.

  • beforeRefDate vector of log returns of close prices before reference date.

  • afterRefDate vector of log returns of close prices after reference date.

portfolio.getKeyStatistics(params, callback)

It retrieves the key statistics for the stocks and returns an array of objects to create an uneditable form on front-end side.

Params

• symbol asset symbol.

Callback response

• stats array of statistics objects

  • type set to 'uneditable'.

  • inputParams

    • label the label of the field.

    • value the value of the field.

portfolio.getOptionChainFromYahoo(symbol, callback)

It retrieves the strike values for calls and puts from Yahoo! Finance.

Arguments

• symbol asset symbol.

Callback response

• optionChain

  • strike strike value of the asset.

  • expDateStr expire date (string).

  • expDate expire date (Date).

  • now Date.

  • calls vector of call values.

  • puts vector of put values.

portfolio.getRiskFreeRateFromYahoo(callback)

It retrieves the risk free rate from Yahoo! Finance.

Callback response

• riskfree risk free rate.

performances.getPerformances(x, weights)

It calculates the weighted performance for a matrix.

Arguments

• x matrix containing the values (i.e. the asset returns).

• weights the weights

Returns a vector containing the weighted perfomance of the matrix.

volatility.getImpliedVolatility(params, callback)

It calculates the implied volatility for an option using Black and Scholes formula.

Arguments

• symbol asset symbol.

Callback response

• option

  • strike strike of the asset.

  • riskfree risk free rate.

  • expDate expire date (string).

  • callVolatility implied volatility for the calls.

  • putVolatility implied volatility for the puts.

crm.configure(params)

It configure CRM database instance (i.e. a CouchDB instance). The user can configure a testing and live instance.

Params

• liveDomain url for the live domain.

• liveUrl url for the live instance, eventually with the credentials.

• liveDb name of live instance.

• testingUrl url for the testing instance, eventually with the credentials

• testingDb name of testing instance.

• design name of design document.

crm.putPortfolioOnCRM(params, callback)

It saves a portfolio and his stats to CRM database.

Params

• symbols portfolio assets.

• weights weights of the portfolio assets.

• ref reference date (string).

• ret target return of the portfolio.

• risk risk of the portofolio.

• perf performances vector.

• highs high constraints.

• lows low constraints.

Response callback

• id id of the portfolio saved.

crm.getPortfolioCount(callback)

It retrieves the number of portfolios saved.

Response callback

• rows array of results.

  • key null.

  • value the number of portfolios.

crm.getMostUsedAssets(callback)

Response callback

• MostUsedAssets

  • key asset symbol.

  • value

    • stock asset frequency.

crm.getLastCreatedPortfolios(limit, callback)

It retrieves the latest portofolios created.

Arguments

• limit maximum number of records.

Response callback

• rows array of results.

  • key Date (string).

  • value Portfolio.

    • created_at creation date (string).

    • assets vector containing the assets.

    • weights the weight of the assets.

    • ref reference date.

    • ret target return.

    • risk portfolio risk.

    • perf portfolio performance at reference date.

    • constraints

      • lowBounds vector containing low constraints.

      • highBounds vector containing high constraints.

crm.getHighProfileRiskPortfolios(limit, callback)

It retrieves the portfolios with high profile risk.

For arguments and response callback see getLastCreatedPortofolios method.

crm.getLowProfileRiskPortfolios(limit, callback)

It retrieves the portfolios with low profile risk.

For arguments and response callback see getLastCreatedPortofolios method.

crm.getHighProfileReturnPortfolios(limit, callback)

It retrieves the portfolios with high profile return.

For arguments and response callback see getLastCreatedPortofolios method.

crm.getLowProfileReturnPortfolios(limit, callback)

It retrieves the portfolios with low profile return.

For arguments and response callback see getLastCreatedPortofolios method.

crm.getBestPerformingPortfolios(limit, callback)

It retrieves the portfolios with the best performance.

For arguments and response callback see getLastCreatedPortofolios method.

crm.getWorstPerformingPortfolios(limit, callback)

It retrieves the portfolios with the worst performance.

For arguments and response callback see getLastCreatedPortofolios method.