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 implied volatility using Black and Scholes formula.

Example

See examples directory.

For a frontend, see node-conpa.

Installation

To install with npm:

npm install finance

Tested with Node.js 14.x, R 3.4.3 and Rserve 1.7.3.

Methods

keystatistics.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

• keyStatistics object.

optionchain.getOptionChainFromYahoo(params, callback)

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

Params

• symbol asset symbol.
• expiration expiration month. Has to be in the form: "YYYY-MM-DD", example: "2016-01-03".

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.

parsecsv.parse(arr, options)

Arguments

• arr is the string containing the comma separated value content.

• options

  • skipHeader flag to skip the first row (dafault false).
  • delimeter is the delimeter between the fields (default ",").
  • reverse to reverse the rows (default false).
  • column is the column to extract (default 0).
  • replaceZeroes flag to replace zeroes with the previous value (default false).
  • skipNRecords flag to skip records (default 0).

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.

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.
• shorts a logical indicating whether shortsales are allowed.

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.
• debug boolean to enable rio logging.

portfolio.getScriptOptimalPortfolio(params, callback)

It retrieves the source code of the R script calculating the optimal portfolio.

Params See portfolio.getOptimalPortfolio.

Callback response

• source the source code of the script.

quotes.getQuotes(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.

returns.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.

riskfreerate.getRiskFreeRateFromYahoo(callback)

It retrieves the risk free rate from Yahoo! Finance.

Callback response

• riskfree risk free rate.

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.