Finance | MQL Functions

Finance

fin returns fin returns fin var fin var fin backtest_var fin backtest_var fin performance fin performance fin drawdown fin beta fin beta fin portfolio fin portfolio fin frontier fin frontier fin npv fin irr fin irr fin amortization fin amortization fin bond fin bond fin black_scholes fin black_scholes fin implied_vol fin implied_vol

fin returns <json_prices>

Description

Returns of a price series (simple)

Parameters

json_prices: The prices - String - required

admin
fin returns "[100, 102, 99, 104]"

mentdb
{"type": "simple", "total_return": 0.040000000000000036, "returns": [0.020000000000000018, -0.02941176470588236, 0.05050505050505061]}

Complete: prices -> returns -> value at risk and performance

admin
-> "[prices]" "[100, 101.2, 100.5, 102.3, 101.8, 103.1, 102.2, 104.0, 103.5, 105.2, 104.1, 106.3, 105.0, 104.2, 106.8]";
json load "tuto_r" (fin returns [prices]);
-> "[r]" (json select "tuto_r" "/returns");
json load "tuto_v" (fin var [r] "{\"method\": \"parametric\"}");
json load "tuto_p" (fin performance [r]);
-> "[res]" (concat "1-day VaR 95 %: " (math round (* 100 (json select "tuto_v" "/var")) 2) " %, annual volatility " (math round (* 100 (json select "tuto_p" "/annual_volatility")) 1) " %, max drawdown " (math round (* 100 (json select "tuto_p" "/max_drawdown")) 2) " %");
json unload "tuto_r"; json unload "tuto_v"; json unload "tuto_p";
[res]

mentdb
1-day VaR 95 %: 1.78 %, annual volatility 21.8 %, max drawdown -1.98 %

fin returns <json_prices> <json_params>

Description

Returns with parameters: type (simple or log)

Parameters

json_prices: The prices - String - required
json_params: The parameters - String - required

admin
fin returns "[100, 102, 99, 104]" "{\"type\": \"log\"}"

mentdb
{"type": "log", "total_return": 0.040000000000000036, "returns": [0.01980262729617973, -0.02985296314968116, 0.049271049006782835]}

fin var <json_returns>

Description

Value at risk and expected shortfall (CVaR) at 95 % from the historical returns, as positive losses

Parameters

json_returns: The returns - String - required

admin
fin var "[-0.01139, -0.02254, 0.01141, -0.00464, -0.00698, -0.00315, -0.0037, -0.00547, -0.00345, 0.00063, 0.02057, 0.02515, 0.00707, -0.02388, -0.00347, 0.00331, 0.01545, 0.00773, -0.0042, -0.00289, 0.00038, 0.00239, 0.00349, 0.02301, 0.02197, 0.00816, 0.01333, -0.01855, 0.00807, -0.01395, -0.00791, 0.00611, -0.01222, 0.00308, -0.00571, -0.01002, 0.02131, 0.00278, -0.00241, -0.01247, 0.01182, 0.01095, 0.01127, 0.0016, -0.00423, 0.02124, -0.00869, 0.00464, -0.01091, -0.01481, -0.00981, 0.01172, -0.00616, -0.01025, 0.00034, 0.00465, -0.00789, -0.01831, 0.01085, -0.00334, 0.00997, -0.00397, -0.00036, -0.01255, -0.0119, -0.0117, -0.01311, 0.01533, -0.00665, 0.00219, 0.00134, 0.00251, 0.00205, 0.00044, 0.01455, 0.00233, -0.00834, -0.01187, 0.00593, 0.00445, 0.02569, -0.00547, 0.01046, -0.00325, -0.00716, 0.00861, 0.02188, -0.00399, -0.00716, -0.00075, 0.01045, 0.0033, 0.01269, 0.02354, -0.00024, -0.00018, -0.00795, -0.00461, -0.00845, 0.01216, -2e-05, 0.00213, 0.00997, 0.00199, -0.00327, 0.0029, 0.00435, 0.01843, -0.00323, 0.01737, -0.01211, 0.00053, 0.00183, 0.01876, 0.01621, -0.00438, 0.00425, -0.01916, -0.0055, 0.0115]"

mentdb
{"method": "historical", "level": 0.95, "horizon": 1, "observations": 120, "var": 0.013992999999999995, "expected_shortfall": 0.01954166666666667, "mean": 0.001198666666666667, "sd": 0.01089256750168258}

fin var <json_returns> <json_params>

Description

VaR with parameters: level (0.95), method (historical, parametric, cornish_fisher: corrected for the skewness and the kurtosis), horizon (periods, square root of time), value (of the portfolio)

Parameters

json_returns: The returns - String - required
json_params: The parameters - String - required

admin
fin var "[-0.01139, -0.02254, 0.01141, -0.00464, -0.00698, -0.00315, -0.0037, -0.00547, -0.00345, 0.00063, 0.02057, 0.02515, 0.00707, -0.02388, -0.00347, 0.00331, 0.01545, 0.00773, -0.0042, -0.00289, 0.00038, 0.00239, 0.00349, 0.02301, 0.02197, 0.00816, 0.01333, -0.01855, 0.00807, -0.01395, -0.00791, 0.00611, -0.01222, 0.00308, -0.00571, -0.01002, 0.02131, 0.00278, -0.00241, -0.01247, 0.01182, 0.01095, 0.01127, 0.0016, -0.00423, 0.02124, -0.00869, 0.00464, -0.01091, -0.01481, -0.00981, 0.01172, -0.00616, -0.01025, 0.00034, 0.00465, -0.00789, -0.01831, 0.01085, -0.00334, 0.00997, -0.00397, -0.00036, -0.01255, -0.0119, -0.0117, -0.01311, 0.01533, -0.00665, 0.00219, 0.00134, 0.00251, 0.00205, 0.00044, 0.01455, 0.00233, -0.00834, -0.01187, 0.00593, 0.00445, 0.02569, -0.00547, 0.01046, -0.00325, -0.00716, 0.00861, 0.02188, -0.00399, -0.00716, -0.00075, 0.01045, 0.0033, 0.01269, 0.02354, -0.00024, -0.00018, -0.00795, -0.00461, -0.00845, 0.01216, -2e-05, 0.00213, 0.00997, 0.00199, -0.00327, 0.0029, 0.00435, 0.01843, -0.00323, 0.01737, -0.01211, 0.00053, 0.00183, 0.01876, 0.01621, -0.00438, 0.00425, -0.01916, -0.0055, 0.0115]" "{\"level\": 0.99, \"method\": \"cornish_fisher\", \"horizon\": 10, \"value\": 1000000}"

mentdb
{"method": "cornish_fisher", "level": 0.99, "horizon": 10, "observations": 120, "var": 58089.296535481655, "expected_shortfall": 62882.977687199804, "mean": 0.001198666666666667, "sd": 0.01089256750168258}

Used in use cases (1 recipe)

Financial analyst › Portfolio: maximum Sharpe allocation, value at risk and its backtest

Often used with

fin backtest_var · fin portfolio · json doc · json iarray

fin backtest_var <json_returns> <var>

Description

Backtest of a VaR (one value or one per period): exceptions, Kupiec test (number), Christoffersen test (independence), conditional coverage, Basel zone at 99 %

Parameters

json_returns: The returns - String - required
var: The VaR (positive loss) or a JSON array of VaR - String - required

admin
fin backtest_var "[-0.01139, -0.02254, 0.01141, -0.00464, -0.00698, -0.00315, -0.0037, -0.00547, -0.00345, 0.00063, 0.02057, 0.02515, 0.00707, -0.02388, -0.00347, 0.00331, 0.01545, 0.00773, -0.0042, -0.00289, 0.00038, 0.00239, 0.00349, 0.02301, 0.02197, 0.00816, 0.01333, -0.01855, 0.00807, -0.01395, -0.00791, 0.00611, -0.01222, 0.00308, -0.00571, -0.01002, 0.02131, 0.00278, -0.00241, -0.01247, 0.01182, 0.01095, 0.01127, 0.0016, -0.00423, 0.02124, -0.00869, 0.00464, -0.01091, -0.01481, -0.00981, 0.01172, -0.00616, -0.01025, 0.00034, 0.00465, -0.00789, -0.01831, 0.01085, -0.00334, 0.00997, -0.00397, -0.00036, -0.01255, -0.0119, -0.0117, -0.01311, 0.01533, -0.00665, 0.00219, 0.00134, 0.00251, 0.00205, 0.00044, 0.01455, 0.00233, -0.00834, -0.01187, 0.00593, 0.00445, 0.02569, -0.00547, 0.01046, -0.00325, -0.00716, 0.00861, 0.02188, -0.00399, -0.00716, -0.00075, 0.01045, 0.0033, 0.01269, 0.02354, -0.00024, -0.00018, -0.00795, -0.00461, -0.00845, 0.01216, -2e-05, 0.00213, 0.00997, 0.00199, -0.00327, 0.0029, 0.00435, 0.01843, -0.00323, 0.01737, -0.01211, 0.00053, 0.00183, 0.01876, 0.01621, -0.00438, 0.00425, -0.01916, -0.0055, 0.0115]" 0.022

mentdb
{"observations": 120, "exceptions": 2, "expected_exceptions": 1.200000000000001, "exception_rate": 0.016666666666666666, "kupiec_lr": 0.4487018338243196, "kupiec_p_value": 0.5029520782829524, "independence_lr": 0.06837939874164789, "independence_p_value": 0.7937111532088994, "conditional_coverage_p_value": 0.7721776674255983, "basel_zone": "yellow"}

fin backtest_var <json_returns> <var> <json_params>

Description

Backtest with parameters: level (0.99)

Parameters

json_returns: The returns - String - required
var: The VaR - String - required
json_params: The parameters - String - required

admin
fin backtest_var "[-0.01139, -0.02254, 0.01141, -0.00464, -0.00698, -0.00315, -0.0037, -0.00547, -0.00345, 0.00063, 0.02057, 0.02515, 0.00707, -0.02388, -0.00347, 0.00331, 0.01545, 0.00773, -0.0042, -0.00289, 0.00038, 0.00239, 0.00349, 0.02301, 0.02197, 0.00816, 0.01333, -0.01855, 0.00807, -0.01395, -0.00791, 0.00611, -0.01222, 0.00308, -0.00571, -0.01002, 0.02131, 0.00278, -0.00241, -0.01247, 0.01182, 0.01095, 0.01127, 0.0016, -0.00423, 0.02124, -0.00869, 0.00464, -0.01091, -0.01481, -0.00981, 0.01172, -0.00616, -0.01025, 0.00034, 0.00465, -0.00789, -0.01831, 0.01085, -0.00334, 0.00997, -0.00397, -0.00036, -0.01255, -0.0119, -0.0117, -0.01311, 0.01533, -0.00665, 0.00219, 0.00134, 0.00251, 0.00205, 0.00044, 0.01455, 0.00233, -0.00834, -0.01187, 0.00593, 0.00445, 0.02569, -0.00547, 0.01046, -0.00325, -0.00716, 0.00861, 0.02188, -0.00399, -0.00716, -0.00075, 0.01045, 0.0033, 0.01269, 0.02354, -0.00024, -0.00018, -0.00795, -0.00461, -0.00845, 0.01216, -2e-05, 0.00213, 0.00997, 0.00199, -0.00327, 0.0029, 0.00435, 0.01843, -0.00323, 0.01737, -0.01211, 0.00053, 0.00183, 0.01876, 0.01621, -0.00438, 0.00425, -0.01916, -0.0055, 0.0115]" 0.016 "{\"level\": 0.95}"

mentdb
{"observations": 120, "exceptions": 5, "expected_exceptions": 6.000000000000005, "exception_rate": 0.041666666666666664, "kupiec_lr": 0.18553082487402506, "kupiec_p_value": 0.6666625991331548, "independence_lr": 0.43873721860737547, "independence_p_value": 0.5077325766750485, "conditional_coverage_p_value": 0.7318834333633082}

Used in use cases (1 recipe)

Financial analyst › Portfolio: maximum Sharpe allocation, value at risk and its backtest

Often used with

fin portfolio · fin var · json doc · json iarray

fin performance <json_returns>

Description

Performance of a return series (daily by default): total and annual return, volatility, Sharpe, Sortino, max drawdown, Calmar, skewness, kurtosis, best, worst

Parameters

json_returns: The returns - String - required

admin
fin performance "[-0.01139, -0.02254, 0.01141, -0.00464, -0.00698, -0.00315, -0.0037, -0.00547, -0.00345, 0.00063, 0.02057, 0.02515, 0.00707, -0.02388, -0.00347, 0.00331, 0.01545, 0.00773, -0.0042, -0.00289, 0.00038, 0.00239, 0.00349, 0.02301, 0.02197, 0.00816, 0.01333, -0.01855, 0.00807, -0.01395, -0.00791, 0.00611, -0.01222, 0.00308, -0.00571, -0.01002, 0.02131, 0.00278, -0.00241, -0.01247, 0.01182, 0.01095, 0.01127, 0.0016, -0.00423, 0.02124, -0.00869, 0.00464, -0.01091, -0.01481, -0.00981, 0.01172, -0.00616, -0.01025, 0.00034, 0.00465, -0.00789, -0.01831, 0.01085, -0.00334, 0.00997, -0.00397, -0.00036, -0.01255, -0.0119, -0.0117, -0.01311, 0.01533, -0.00665, 0.00219, 0.00134, 0.00251, 0.00205, 0.00044, 0.01455, 0.00233, -0.00834, -0.01187, 0.00593, 0.00445, 0.02569, -0.00547, 0.01046, -0.00325, -0.00716, 0.00861, 0.02188, -0.00399, -0.00716, -0.00075, 0.01045, 0.0033, 0.01269, 0.02354, -0.00024, -0.00018, -0.00795, -0.00461, -0.00845, 0.01216, -2e-05, 0.00213, 0.00997, 0.00199, -0.00327, 0.0029, 0.00435, 0.01843, -0.00323, 0.01737, -0.01211, 0.00053, 0.00183, 0.01876, 0.01621, -0.00438, 0.00425, -0.01916, -0.0055, 0.0115]"

mentdb
{"periods": 120, "total_return": 0.14650935720044678, "annual_return": 0.3325790076796058, "annual_volatility": 0.17291414849061743, "sharpe": 1.7469015846114557, "sortino": 2.867378824353137, "max_drawdown": -0.0975460483498174, "calmar": 3.409456490609631, "skewness": 0.23026546303086656, "excess_kurtosis": -0.43913443202454383, "best": 0.02569, "worst": -0.02388, "positive_share": 0.525}

fin performance <json_returns> <json_params>

Description

Performance with parameters: rf (annual risk-free rate), periods_per_year (252, 52, 12), mar (minimum acceptable return for Sortino)

Parameters

json_returns: The returns - String - required
json_params: The parameters - String - required

admin
fin performance "[0.012, -0.004, 0.021, 0.008, -0.015, 0.011, 0.006, 0.019, -0.002, 0.004, 0.013, -0.007]" "{\"periods_per_year\": 12, \"rf\": 0.02}"

mentdb
{"periods": 12, "total_return": 0.06735434876562363, "annual_return": 0.06735434876562363, "annual_volatility": 0.037411714256852274, "sharpe": 1.2295614064670848, "sortino": 3.8491981672307074, "max_drawdown": -0.014999999999999902, "calmar": 4.490289917708271, "skewness": -0.316753876709505, "excess_kurtosis": -1.1060974047170817, "best": 0.021, "worst": -0.015, "positive_share": 0.6666666666666666}

fin drawdown <json_prices>

Description

Drawdowns of a price (or wealth) series: maximum drawdown, peak, trough, recovery and duration, drawdown of each period

Parameters

json_prices: The prices - String - required

admin
fin drawdown "[100, 110, 105, 90, 95, 112, 108]"

mentdb
{"max_drawdown": -0.18181818181818177, "peak_index": 1, "trough_index": 3, "recovery_index": 5, "duration": 4, "drawdowns": [0, 0, -0.045454545454545414, -0.18181818181818177, -0.13636363636363635, 0, -0.0357142857142857]}

fin beta <json_asset> <json_market>

Description

Beta of an asset against a market: alpha, beta, correlation, R2, tracking error, information ratio, Treynor

Parameters

json_asset: The asset returns - String - required
json_market: The market returns - String - required

admin
fin beta "[-0.02232, -0.01282, 0.00934, 0.00425, -0.00071, 0.00948, 0.03159, 0.00026, -0.00637, 0.00354, 0.00753, -0.00872, 0.03839, -0.00142, 0.00579, -0.00421, 0.00881, 0.01163, 0.01424, 0.00234, -0.02817, -0.01136, 0.00261, 0.0204, -0.00373, -0.02094, 0.02292, 0.02659, 0.01205, -0.02463, -0.00698, 0.01116, -0.05259, 0.0206, 0.00391, -0.0195, 0.0227, 0.00618, -0.03705, 0.00692, 0.02985, 0.0354, 0.00376, -0.01093, 0.00329, 0.03162, -0.00368, 0.00895, 0.01531, -0.01983, 0.01341, 0.0093, 0.03234, 0.0143, 0.02316, -0.01318, 0.01426, -0.02552, -0.01069, -0.01937, 0.03027, -0.01, -0.00872, -0.0136, -0.02352, 0.00348, 0.00192, 0.00528, -0.00081, -0.0022, 0.00506, -0.01343, 0.03394, -0.00193, 0.02661, -0.0033, -0.0074, 0.00119, -0.01629, -0.0131, 0.003, -0.00162, 0.01798, -0.02274, 0.00824, 0.01935, 0.00351, 0.01605, 0.00368, -0.00364, 0.02032, 0.00781, 0.00847, 0.01461, 0.00912, -0.01274, -0.0195, -0.00088, -0.00646, -0.00716, -0.01945, -0.03047, -0.00661, -0.01605, -0.02153, -0.0092, -0.00519, 0.03592, -0.01604, 0.01633, -0.00289, 0.01222, -0.00371, 0.01572, 0.01255, -0.00302, -0.00612, -0.01087, 0.03021, -0.00127]" "[-0.01139, -0.02254, 0.01141, -0.00464, -0.00698, -0.00315, -0.0037, -0.00547, -0.00345, 0.00063, 0.02057, 0.02515, 0.00707, -0.02388, -0.00347, 0.00331, 0.01545, 0.00773, -0.0042, -0.00289, 0.00038, 0.00239, 0.00349, 0.02301, 0.02197, 0.00816, 0.01333, -0.01855, 0.00807, -0.01395, -0.00791, 0.00611, -0.01222, 0.00308, -0.00571, -0.01002, 0.02131, 0.00278, -0.00241, -0.01247, 0.01182, 0.01095, 0.01127, 0.0016, -0.00423, 0.02124, -0.00869, 0.00464, -0.01091, -0.01481, -0.00981, 0.01172, -0.00616, -0.01025, 0.00034, 0.00465, -0.00789, -0.01831, 0.01085, -0.00334, 0.00997, -0.00397, -0.00036, -0.01255, -0.0119, -0.0117, -0.01311, 0.01533, -0.00665, 0.00219, 0.00134, 0.00251, 0.00205, 0.00044, 0.01455, 0.00233, -0.00834, -0.01187, 0.00593, 0.00445, 0.02569, -0.00547, 0.01046, -0.00325, -0.00716, 0.00861, 0.02188, -0.00399, -0.00716, -0.00075, 0.01045, 0.0033, 0.01269, 0.02354, -0.00024, -0.00018, -0.00795, -0.00461, -0.00845, 0.01216, -2e-05, 0.00213, 0.00997, 0.00199, -0.00327, 0.0029, 0.00435, 0.01843, -0.00323, 0.01737, -0.01211, 0.00053, 0.00183, 0.01876, 0.01621, -0.00438, 0.00425, -0.01916, -0.0055, 0.0115]"

mentdb
{"beta": 0.5585225690426855, "alpha_annual": 0.24045443870469058, "correlation": 0.3602108203346441, "r2": 0.12975183508615723, "tracking_error": 0.2615031499079213, "information_ratio": 0.40955529613203967, "treynor": 0.7325827507764144}

fin beta <json_asset> <json_market> <json_params>

Description

Beta with parameters: rf, periods_per_year

Parameters

json_asset: The asset returns - String - required
json_market: The market returns - String - required
json_params: The parameters - String - required

admin
fin beta "[-0.02232, -0.01282, 0.00934, 0.00425, -0.00071, 0.00948, 0.03159, 0.00026, -0.00637, 0.00354, 0.00753, -0.00872, 0.03839, -0.00142, 0.00579, -0.00421, 0.00881, 0.01163, 0.01424, 0.00234, -0.02817, -0.01136, 0.00261, 0.0204, -0.00373, -0.02094, 0.02292, 0.02659, 0.01205, -0.02463, -0.00698, 0.01116, -0.05259, 0.0206, 0.00391, -0.0195, 0.0227, 0.00618, -0.03705, 0.00692, 0.02985, 0.0354, 0.00376, -0.01093, 0.00329, 0.03162, -0.00368, 0.00895, 0.01531, -0.01983, 0.01341, 0.0093, 0.03234, 0.0143, 0.02316, -0.01318, 0.01426, -0.02552, -0.01069, -0.01937, 0.03027, -0.01, -0.00872, -0.0136, -0.02352, 0.00348, 0.00192, 0.00528, -0.00081, -0.0022, 0.00506, -0.01343, 0.03394, -0.00193, 0.02661, -0.0033, -0.0074, 0.00119, -0.01629, -0.0131, 0.003, -0.00162, 0.01798, -0.02274, 0.00824, 0.01935, 0.00351, 0.01605, 0.00368, -0.00364, 0.02032, 0.00781, 0.00847, 0.01461, 0.00912, -0.01274, -0.0195, -0.00088, -0.00646, -0.00716, -0.01945, -0.03047, -0.00661, -0.01605, -0.02153, -0.0092, -0.00519, 0.03592, -0.01604, 0.01633, -0.00289, 0.01222, -0.00371, 0.01572, 0.01255, -0.00302, -0.00612, -0.01087, 0.03021, -0.00127]" "[-0.01139, -0.02254, 0.01141, -0.00464, -0.00698, -0.00315, -0.0037, -0.00547, -0.00345, 0.00063, 0.02057, 0.02515, 0.00707, -0.02388, -0.00347, 0.00331, 0.01545, 0.00773, -0.0042, -0.00289, 0.00038, 0.00239, 0.00349, 0.02301, 0.02197, 0.00816, 0.01333, -0.01855, 0.00807, -0.01395, -0.00791, 0.00611, -0.01222, 0.00308, -0.00571, -0.01002, 0.02131, 0.00278, -0.00241, -0.01247, 0.01182, 0.01095, 0.01127, 0.0016, -0.00423, 0.02124, -0.00869, 0.00464, -0.01091, -0.01481, -0.00981, 0.01172, -0.00616, -0.01025, 0.00034, 0.00465, -0.00789, -0.01831, 0.01085, -0.00334, 0.00997, -0.00397, -0.00036, -0.01255, -0.0119, -0.0117, -0.01311, 0.01533, -0.00665, 0.00219, 0.00134, 0.00251, 0.00205, 0.00044, 0.01455, 0.00233, -0.00834, -0.01187, 0.00593, 0.00445, 0.02569, -0.00547, 0.01046, -0.00325, -0.00716, 0.00861, 0.02188, -0.00399, -0.00716, -0.00075, 0.01045, 0.0033, 0.01269, 0.02354, -0.00024, -0.00018, -0.00795, -0.00461, -0.00845, 0.01216, -2e-05, 0.00213, 0.00997, 0.00199, -0.00327, 0.0029, 0.00435, 0.01843, -0.00323, 0.01737, -0.01211, 0.00053, 0.00183, 0.01876, 0.01621, -0.00438, 0.00425, -0.01916, -0.0055, 0.0115]" "{\"rf\": 0.02}"

mentdb
{"beta": 0.5585225690426855, "alpha_annual": 0.23162489008554432, "correlation": 0.3602108203346441, "r2": 0.12975183508615723, "tracking_error": 0.2615031499079213, "information_ratio": 0.40955529613203967, "treynor": 0.6967739919033751}

fin portfolio <json_returns>

Description

Markowitz portfolio of maximum Sharpe ratio without short selling, from the returns (one row per period, one column per asset): weights, annual return and volatility

Parameters

json_returns: The returns - String - required

admin
fin portfolio "[[-0.01139, -0.02232, 0.00355], [-0.02254, -0.01282, -0.01108], [0.01141, 0.00934, 0.00698], [-0.00464, 0.00425, -0.00123], [-0.00698, -0.00071, -0.00609], [-0.00315, 0.00948, 0.00049], [-0.0037, 0.03159, 0.00049], [-0.00547, 0.00026, -0.00241], [-0.00345, -0.00637, 0.01033], [0.00063, 0.00354, 0.00357], [0.02057, 0.00753, -0.00292], [0.02515, -0.00872, -0.00164], [0.00707, 0.03839, -0.00455], [-0.02388, -0.00142, -0.00241], [-0.00347, 0.00579, 0.00132], [0.00331, -0.00421, 0.00665], [0.01545, 0.00881, -0.00206], [0.00773, 0.01163, -0.005], [-0.0042, 0.01424, -0.00028], [-0.00289, 0.00234, 3e-05], [0.00038, -0.02817, 0.00895], [0.00239, -0.01136, 0.0051], [0.00349, 0.00261, 0.00544], [0.02301, 0.0204, 0.00813], [0.02197, -0.00373, -0.00242], [0.00816, -0.02094, -0.00114], [0.01333, 0.02292, 0.0031], [-0.01855, 0.02659, 0.00295], [0.00807, 0.01205, -0.00838], [-0.01395, -0.02463, 0.00979], [-0.00791, -0.00698, -0.00107], [0.00611, 0.01116, 0.00154], [-0.01222, -0.05259, 0.00103], [0.00308, 0.0206, -0.00032], [-0.00571, 0.00391, -0.00757], [-0.01002, -0.0195, 0.00164], [0.02131, 0.0227, 0.00591], [0.00278, 0.00618, -0.00205], [-0.00241, -0.03705, -0.00581], [-0.01247, 0.00692, 0.00352], [0.01182, 0.02985, -0.00133], [0.01095, 0.0354, 0.00016], [0.01127, 0.00376, -0.00786], [0.0016, -0.01093, 0.00074], [-0.00423, 0.00329, -0.01049], [0.02124, 0.03162, -0.00155], [-0.00869, -0.00368, 0.00358], [0.00464, 0.00895, -0.00965], [-0.01091, 0.01531, 0.0014], [-0.01481, -0.01983, -0.00704], [-0.00981, 0.01341, -0.00091], [0.01172, 0.0093, -0.0074], [-0.00616, 0.03234, -0.00368], [-0.01025, 0.0143, 0.00066], [0.00034, 0.02316, -0.00876], [0.00465, -0.01318, -0.00695], [-0.00789, 0.01426, -0.00052], [-0.01831, -0.02552, 0.00798], [0.01085, -0.01069, 0.01258], [-0.00334, -0.01937, -0.0005], [0.00997, 0.03027, 0.00546], [-0.00397, -0.01, -0.00724], [-0.00036, -0.00872, 0.00145], [-0.01255, -0.0136, -0.00431], [-0.0119, -0.02352, -0.00501], [-0.0117, 0.00348, 0.00071], [-0.01311, 0.00192, 0.00167], [0.01533, 0.00528, -0.00087], [-0.00665, -0.00081, 0.00272], [0.00219, -0.0022, 0.00309], [0.00134, 0.00506, -0.00458], [0.00251, -0.01343, -0.00411], [0.00205, 0.03394, 0.0053], [0.00044, -0.00193, 0.00525], [0.01455, 0.02661, -0.00075], [0.00233, -0.0033, -0.00126], [-0.00834, -0.0074, -0.01081], [-0.01187, 0.00119, -0.00454], [0.00593, -0.01629, -0.00169], [0.00445, -0.0131, -0.00345], [0.02569, 0.003, -0.00341], [-0.00547, -0.00162, 6e-05], [0.01046, 0.01798, -0.00186], [-0.00325, -0.02274, -0.00745], [-0.00716, 0.00824, 0.00081], [0.00861, 0.01935, -0.00064], [0.02188, 0.00351, -0.003], [-0.00399, 0.01605, -0.0005], [-0.00716, 0.00368, 0.00599], [-0.00075, -0.00364, 0.00574], [0.01045, 0.02032, -0.0037], [0.0033, 0.00781, -0.00898], [0.01269, 0.00847, -0.00154], [0.02354, 0.01461, -0.00348], [-0.00024, 0.00912, 0.00436], [-0.00018, -0.01274, -0.00336], [-0.00795, -0.0195, 0.0001], [-0.00461, -0.00088, -0.00402], [-0.00845, -0.00646, -0.00158], [0.01216, -0.00716, 0.00125], [-2e-05, -0.01945, 0.00391], [0.00213, -0.03047, 0.00327], [0.00997, -0.00661, 0.00884], [0.00199, -0.01605, 0.00307], [-0.00327, -0.02153, -0.01074], [0.0029, -0.0092, 0.00349], [0.00435, -0.00519, -0.00251], [0.01843, 0.03592, 0.00404], [-0.00323, -0.01604, -0.00177], [0.01737, 0.01633, -0.00128], [-0.01211, -0.00289, -0.00428], [0.00053, 0.01222, 0.00566], [0.00183, -0.00371, 0.00136], [0.01876, 0.01572, -0.00693], [0.01621, 0.01255, 0.01793], [-0.00438, -0.00302, -0.00131], [0.00425, -0.00612, -0.00731], [-0.01916, -0.01087, -0.00241], [-0.0055, 0.03021, 0.00425], [0.0115, -0.00127, 0.00173]]"

mentdb
{"objective": "max_sharpe", "weights": {"asset0": 0.6742449594007229, "asset1": 0.325755040599277, "asset2": 0}, "annual_return": 0.3369523648481827, "annual_volatility": 0.16898551843504378, "sharpe": 1.993971838348406, "asset_returns": [0.30206400000000005, 0.40916400000000025, -0.09792300000000001]}

fin portfolio <json_returns> <json_params>

Description

Portfolio with parameters: objective (max_sharpe, min_variance, target_return), target (annual return), rf, long_only (true), names, periods_per_year

Parameters

json_returns: The returns - String - required
json_params: The parameters - String - required

admin
fin portfolio "[[-0.01139, -0.02232, 0.00355], [-0.02254, -0.01282, -0.01108], [0.01141, 0.00934, 0.00698], [-0.00464, 0.00425, -0.00123], [-0.00698, -0.00071, -0.00609], [-0.00315, 0.00948, 0.00049], [-0.0037, 0.03159, 0.00049], [-0.00547, 0.00026, -0.00241], [-0.00345, -0.00637, 0.01033], [0.00063, 0.00354, 0.00357], [0.02057, 0.00753, -0.00292], [0.02515, -0.00872, -0.00164], [0.00707, 0.03839, -0.00455], [-0.02388, -0.00142, -0.00241], [-0.00347, 0.00579, 0.00132], [0.00331, -0.00421, 0.00665], [0.01545, 0.00881, -0.00206], [0.00773, 0.01163, -0.005], [-0.0042, 0.01424, -0.00028], [-0.00289, 0.00234, 3e-05], [0.00038, -0.02817, 0.00895], [0.00239, -0.01136, 0.0051], [0.00349, 0.00261, 0.00544], [0.02301, 0.0204, 0.00813], [0.02197, -0.00373, -0.00242], [0.00816, -0.02094, -0.00114], [0.01333, 0.02292, 0.0031], [-0.01855, 0.02659, 0.00295], [0.00807, 0.01205, -0.00838], [-0.01395, -0.02463, 0.00979], [-0.00791, -0.00698, -0.00107], [0.00611, 0.01116, 0.00154], [-0.01222, -0.05259, 0.00103], [0.00308, 0.0206, -0.00032], [-0.00571, 0.00391, -0.00757], [-0.01002, -0.0195, 0.00164], [0.02131, 0.0227, 0.00591], [0.00278, 0.00618, -0.00205], [-0.00241, -0.03705, -0.00581], [-0.01247, 0.00692, 0.00352], [0.01182, 0.02985, -0.00133], [0.01095, 0.0354, 0.00016], [0.01127, 0.00376, -0.00786], [0.0016, -0.01093, 0.00074], [-0.00423, 0.00329, -0.01049], [0.02124, 0.03162, -0.00155], [-0.00869, -0.00368, 0.00358], [0.00464, 0.00895, -0.00965], [-0.01091, 0.01531, 0.0014], [-0.01481, -0.01983, -0.00704], [-0.00981, 0.01341, -0.00091], [0.01172, 0.0093, -0.0074], [-0.00616, 0.03234, -0.00368], [-0.01025, 0.0143, 0.00066], [0.00034, 0.02316, -0.00876], [0.00465, -0.01318, -0.00695], [-0.00789, 0.01426, -0.00052], [-0.01831, -0.02552, 0.00798], [0.01085, -0.01069, 0.01258], [-0.00334, -0.01937, -0.0005], [0.00997, 0.03027, 0.00546], [-0.00397, -0.01, -0.00724], [-0.00036, -0.00872, 0.00145], [-0.01255, -0.0136, -0.00431], [-0.0119, -0.02352, -0.00501], [-0.0117, 0.00348, 0.00071], [-0.01311, 0.00192, 0.00167], [0.01533, 0.00528, -0.00087], [-0.00665, -0.00081, 0.00272], [0.00219, -0.0022, 0.00309], [0.00134, 0.00506, -0.00458], [0.00251, -0.01343, -0.00411], [0.00205, 0.03394, 0.0053], [0.00044, -0.00193, 0.00525], [0.01455, 0.02661, -0.00075], [0.00233, -0.0033, -0.00126], [-0.00834, -0.0074, -0.01081], [-0.01187, 0.00119, -0.00454], [0.00593, -0.01629, -0.00169], [0.00445, -0.0131, -0.00345], [0.02569, 0.003, -0.00341], [-0.00547, -0.00162, 6e-05], [0.01046, 0.01798, -0.00186], [-0.00325, -0.02274, -0.00745], [-0.00716, 0.00824, 0.00081], [0.00861, 0.01935, -0.00064], [0.02188, 0.00351, -0.003], [-0.00399, 0.01605, -0.0005], [-0.00716, 0.00368, 0.00599], [-0.00075, -0.00364, 0.00574], [0.01045, 0.02032, -0.0037], [0.0033, 0.00781, -0.00898], [0.01269, 0.00847, -0.00154], [0.02354, 0.01461, -0.00348], [-0.00024, 0.00912, 0.00436], [-0.00018, -0.01274, -0.00336], [-0.00795, -0.0195, 0.0001], [-0.00461, -0.00088, -0.00402], [-0.00845, -0.00646, -0.00158], [0.01216, -0.00716, 0.00125], [-2e-05, -0.01945, 0.00391], [0.00213, -0.03047, 0.00327], [0.00997, -0.00661, 0.00884], [0.00199, -0.01605, 0.00307], [-0.00327, -0.02153, -0.01074], [0.0029, -0.0092, 0.00349], [0.00435, -0.00519, -0.00251], [0.01843, 0.03592, 0.00404], [-0.00323, -0.01604, -0.00177], [0.01737, 0.01633, -0.00128], [-0.01211, -0.00289, -0.00428], [0.00053, 0.01222, 0.00566], [0.00183, -0.00371, 0.00136], [0.01876, 0.01572, -0.00693], [0.01621, 0.01255, 0.01793], [-0.00438, -0.00302, -0.00131], [0.00425, -0.00612, -0.00731], [-0.01916, -0.01087, -0.00241], [-0.0055, 0.03021, 0.00425], [0.0115, -0.00127, 0.00173]]" "{\"objective\": \"min_variance\", \"names\": [\"equity\", \"tech\", \"bonds\"]}"

mentdb
{"objective": "min_variance", "weights": {"equity": 0.14289926728990926, "tech": 0.03910339791862129, "bonds": 0.8179973347914694}, "annual_return": -0.020936326034151145, "annual_volatility": 0.07575323848317041, "sharpe": -0.27637532669712106, "asset_returns": [0.30206400000000005, 0.40916400000000025, -0.09792300000000001]}

Used in use cases (1 recipe)

Financial analyst › Portfolio: maximum Sharpe allocation, value at risk and its backtest

Often used with

fin backtest_var · fin var · json doc · json iarray

fin frontier <json_returns>

Description

Efficient frontier: portfolios from the minimum variance to the highest return, and the point of best Sharpe ratio

Parameters

json_returns: The returns - String - required

admin
fin frontier "[[-0.01139, -0.02232, 0.00355], [-0.02254, -0.01282, -0.01108], [0.01141, 0.00934, 0.00698], [-0.00464, 0.00425, -0.00123], [-0.00698, -0.00071, -0.00609], [-0.00315, 0.00948, 0.00049], [-0.0037, 0.03159, 0.00049], [-0.00547, 0.00026, -0.00241], [-0.00345, -0.00637, 0.01033], [0.00063, 0.00354, 0.00357], [0.02057, 0.00753, -0.00292], [0.02515, -0.00872, -0.00164], [0.00707, 0.03839, -0.00455], [-0.02388, -0.00142, -0.00241], [-0.00347, 0.00579, 0.00132], [0.00331, -0.00421, 0.00665], [0.01545, 0.00881, -0.00206], [0.00773, 0.01163, -0.005], [-0.0042, 0.01424, -0.00028], [-0.00289, 0.00234, 3e-05], [0.00038, -0.02817, 0.00895], [0.00239, -0.01136, 0.0051], [0.00349, 0.00261, 0.00544], [0.02301, 0.0204, 0.00813], [0.02197, -0.00373, -0.00242], [0.00816, -0.02094, -0.00114], [0.01333, 0.02292, 0.0031], [-0.01855, 0.02659, 0.00295], [0.00807, 0.01205, -0.00838], [-0.01395, -0.02463, 0.00979], [-0.00791, -0.00698, -0.00107], [0.00611, 0.01116, 0.00154], [-0.01222, -0.05259, 0.00103], [0.00308, 0.0206, -0.00032], [-0.00571, 0.00391, -0.00757], [-0.01002, -0.0195, 0.00164], [0.02131, 0.0227, 0.00591], [0.00278, 0.00618, -0.00205], [-0.00241, -0.03705, -0.00581], [-0.01247, 0.00692, 0.00352], [0.01182, 0.02985, -0.00133], [0.01095, 0.0354, 0.00016], [0.01127, 0.00376, -0.00786], [0.0016, -0.01093, 0.00074], [-0.00423, 0.00329, -0.01049], [0.02124, 0.03162, -0.00155], [-0.00869, -0.00368, 0.00358], [0.00464, 0.00895, -0.00965], [-0.01091, 0.01531, 0.0014], [-0.01481, -0.01983, -0.00704], [-0.00981, 0.01341, -0.00091], [0.01172, 0.0093, -0.0074], [-0.00616, 0.03234, -0.00368], [-0.01025, 0.0143, 0.00066], [0.00034, 0.02316, -0.00876], [0.00465, -0.01318, -0.00695], [-0.00789, 0.01426, -0.00052], [-0.01831, -0.02552, 0.00798], [0.01085, -0.01069, 0.01258], [-0.00334, -0.01937, -0.0005], [0.00997, 0.03027, 0.00546], [-0.00397, -0.01, -0.00724], [-0.00036, -0.00872, 0.00145], [-0.01255, -0.0136, -0.00431], [-0.0119, -0.02352, -0.00501], [-0.0117, 0.00348, 0.00071], [-0.01311, 0.00192, 0.00167], [0.01533, 0.00528, -0.00087], [-0.00665, -0.00081, 0.00272], [0.00219, -0.0022, 0.00309], [0.00134, 0.00506, -0.00458], [0.00251, -0.01343, -0.00411], [0.00205, 0.03394, 0.0053], [0.00044, -0.00193, 0.00525], [0.01455, 0.02661, -0.00075], [0.00233, -0.0033, -0.00126], [-0.00834, -0.0074, -0.01081], [-0.01187, 0.00119, -0.00454], [0.00593, -0.01629, -0.00169], [0.00445, -0.0131, -0.00345], [0.02569, 0.003, -0.00341], [-0.00547, -0.00162, 6e-05], [0.01046, 0.01798, -0.00186], [-0.00325, -0.02274, -0.00745], [-0.00716, 0.00824, 0.00081], [0.00861, 0.01935, -0.00064], [0.02188, 0.00351, -0.003], [-0.00399, 0.01605, -0.0005], [-0.00716, 0.00368, 0.00599], [-0.00075, -0.00364, 0.00574], [0.01045, 0.02032, -0.0037], [0.0033, 0.00781, -0.00898], [0.01269, 0.00847, -0.00154], [0.02354, 0.01461, -0.00348], [-0.00024, 0.00912, 0.00436], [-0.00018, -0.01274, -0.00336], [-0.00795, -0.0195, 0.0001], [-0.00461, -0.00088, -0.00402], [-0.00845, -0.00646, -0.00158], [0.01216, -0.00716, 0.00125], [-2e-05, -0.01945, 0.00391], [0.00213, -0.03047, 0.00327], [0.00997, -0.00661, 0.00884], [0.00199, -0.01605, 0.00307], [-0.00327, -0.02153, -0.01074], [0.0029, -0.0092, 0.00349], [0.00435, -0.00519, -0.00251], [0.01843, 0.03592, 0.00404], [-0.00323, -0.01604, -0.00177], [0.01737, 0.01633, -0.00128], [-0.01211, -0.00289, -0.00428], [0.00053, 0.01222, 0.00566], [0.00183, -0.00371, 0.00136], [0.01876, 0.01572, -0.00693], [0.01621, 0.01255, 0.01793], [-0.00438, -0.00302, -0.00131], [0.00425, -0.00612, -0.00731], [-0.01916, -0.01087, -0.00241], [-0.0055, 0.03021, 0.00425], [0.0115, -0.00127, 0.00173]]"

mentdb
{"points": [{"annual_return": -0.020936326034151145, "annual_volatility": 0.07575323848317041, "sharpe": -0.27637532669712106, "weights": {"asset0": 0.14289926728990926, "asset1": 0.03910339791862129, "asset2": 0.8179973347914694}}, {"annual_return": 0.0017005332308041854, "annual_volatility": 0.07635134753406968, "sharpe": 0.022272471747081732, "weights": {"asset0": 0.17904332023512481, "asset1": 0.0552341761865662, "asset2": 0.765722503578309}}, {"annual_return": 0.02433739249575953, "annual_volatility": 0.0781182031219925, "sharpe": 0.3115457284360892, "weights": {"asset0": 0.21518737318526301, "asset1": 0.07136495445062821, "asset2": 0.7134476723641088}}, {"annual_return": 0.046974251760714875, "annual_volatility": 0.08097733823058065, "sharpe": 0.5800913290945306, "weights": {"asset0": 0.2513314261354014, "asset1": 0.08749573271469008, "asset2": 0.6611728411499085}}, {"annual_return": 0.06961111102567016, "annual_volatility": 0.08481836601804608, "sharpe": 0.8207079939604071, "weights": {"asset0": 0.2874754790855396, "asset1": 0.103626510978752, "asset2": 0.6088980099357084}}, {"annual_return": 0.09224797029062551, "annual_volatility": 0.089514978524228, "sharpe": 1.030531111233611, "weights": {"asset0": 0.32361953204682636, "asset1": 0.11975728923402007, "asset2": 0.5566231787191536}}, {"annual_return": 0.11488482955558081, "annual_volatility": 0.09494028547237027, "sharpe": 1.2100746167338505, "weights": {"asset0": 0.35976358499820976, "asset1": 0.1358880674970998, "asset2": 0.5043483475046905}}, {"annual_return": 0.13752168882053617, "annual_volatility": 0.10097690077496792, "sharpe": 1.3619123558467114, "weights": {"asset0": 0.39590763794959316, "asset1": 0.15201884576017963, "asset2": 0.4520735162902272}}, {"annual_return": 0.16015854808549154, "annual_volatility": 0.10752191141260771, "sharpe": 1.4895433496424229, "weights": {"asset0": 0.43205169090097656, "asset1": 0.1681496240232594, "asset2": 0.39979868507576405}}, {"annual_return": 0.1827954073504468, "annual_volatility": 0.11448815937329063, "sharpe": 1.5966315499442978, "weights": {"asset0": 0.4681957438523599, "asset1": 0.18428040228633913, "asset2": 0.34752385386130097}}, {"annual_return": 0.20543226661540223, "annual_volatility": 0.12180339116259341, "sharpe": 1.6865890567954218, "weights": {"asset0": 0.5043397968037434, "asset1": 0.200411180549419, "asset2": 0.2952490226468376}}, {"annual_return": 0.22806912588035747, "annual_volatility": 0.12940843797794582, "sharpe": 1.762397641483206, "weights": {"asset0": 0.5404838497551268, "asset1": 0.2165419588124986, "asset2": 0.24297419143237456}}, {"annual_return": 0.2507059851453129, "annual_volatility": 0.13725513396677147, "sharpe": 1.8265690899839644, "weights": {"asset0": 0.5766279027065103, "asset1": 0.2326727370755785, "asset2": 0.19069936021791123}}, {"annual_return": 0.2733428444102682, "annual_volatility": 0.14530433592890915, "sharpe": 1.8811747265683971, "weights": {"asset0": 0.6127719556578937, "asset1": 0.24880351533865822, "asset2": 0.1384245290034481}}, {"annual_return": 0.29597970367522364, "annual_volatility": 0.1535241952866277, "sharpe": 1.9279026548397362, "weights": {"asset0": 0.6489160086092772, "asset1": 0.2649342936017381, "asset2": 0.08614969778898474}}, {"annual_return": 0.31861656294017887, "annual_volatility": 0.16188871886648643, "sharpe": 1.968120849748337, "weights": {"asset0": 0.6850600615606605, "asset1": 0.28106507186481783, "asset2": 0.03387486657452177}}, {"annual_return": 0.34125342220513416, "annual_volatility": 0.1714508863246916, "sharpe": 1.99038587388153, "weights": {"asset0": 0.6340856936962275, "asset1": 0.36591430630377253, "asset2": 0}}, {"annual_return": 0.3638902814700895, "annual_volatility": 0.19351524112978216, "sharpe": 1.8804218176595417, "weights": {"asset0": 0.4227237957974845, "asset1": 0.5772762042025155, "asset2": 0}}, {"annual_return": 0.38652714073504485, "annual_volatility": 0.22718018154291753, "sharpe": 1.7014122363575295, "weights": {"asset0": 0.21136189789874302, "asset1": 0.788638102101257, "asset2": 0}}, {"annual_return": 0.40916400000000025, "annual_volatility": 0.26811092001369174, "sharpe": 1.5260997201423399, "weights": {"asset0": 0, "asset1": 1, "asset2": 0}}], "best_sharpe_point": {"annual_return": 0.34125342220513416, "annual_volatility": 0.1714508863246916, "sharpe": 1.99038587388153, "weights": {"asset0": 0.6340856936962275, "asset1": 0.36591430630377253, "asset2": 0}}}

fin frontier <json_returns> <json_params>

Description

Frontier with parameters: points (20), rf, long_only, names, periods_per_year

Parameters

json_returns: The returns - String - required
json_params: The parameters - String - required

admin
fin frontier "[[-0.01139, -0.02232, 0.00355], [-0.02254, -0.01282, -0.01108], [0.01141, 0.00934, 0.00698], [-0.00464, 0.00425, -0.00123], [-0.00698, -0.00071, -0.00609], [-0.00315, 0.00948, 0.00049], [-0.0037, 0.03159, 0.00049], [-0.00547, 0.00026, -0.00241], [-0.00345, -0.00637, 0.01033], [0.00063, 0.00354, 0.00357], [0.02057, 0.00753, -0.00292], [0.02515, -0.00872, -0.00164], [0.00707, 0.03839, -0.00455], [-0.02388, -0.00142, -0.00241], [-0.00347, 0.00579, 0.00132], [0.00331, -0.00421, 0.00665], [0.01545, 0.00881, -0.00206], [0.00773, 0.01163, -0.005], [-0.0042, 0.01424, -0.00028], [-0.00289, 0.00234, 3e-05], [0.00038, -0.02817, 0.00895], [0.00239, -0.01136, 0.0051], [0.00349, 0.00261, 0.00544], [0.02301, 0.0204, 0.00813], [0.02197, -0.00373, -0.00242], [0.00816, -0.02094, -0.00114], [0.01333, 0.02292, 0.0031], [-0.01855, 0.02659, 0.00295], [0.00807, 0.01205, -0.00838], [-0.01395, -0.02463, 0.00979], [-0.00791, -0.00698, -0.00107], [0.00611, 0.01116, 0.00154], [-0.01222, -0.05259, 0.00103], [0.00308, 0.0206, -0.00032], [-0.00571, 0.00391, -0.00757], [-0.01002, -0.0195, 0.00164], [0.02131, 0.0227, 0.00591], [0.00278, 0.00618, -0.00205], [-0.00241, -0.03705, -0.00581], [-0.01247, 0.00692, 0.00352], [0.01182, 0.02985, -0.00133], [0.01095, 0.0354, 0.00016], [0.01127, 0.00376, -0.00786], [0.0016, -0.01093, 0.00074], [-0.00423, 0.00329, -0.01049], [0.02124, 0.03162, -0.00155], [-0.00869, -0.00368, 0.00358], [0.00464, 0.00895, -0.00965], [-0.01091, 0.01531, 0.0014], [-0.01481, -0.01983, -0.00704], [-0.00981, 0.01341, -0.00091], [0.01172, 0.0093, -0.0074], [-0.00616, 0.03234, -0.00368], [-0.01025, 0.0143, 0.00066], [0.00034, 0.02316, -0.00876], [0.00465, -0.01318, -0.00695], [-0.00789, 0.01426, -0.00052], [-0.01831, -0.02552, 0.00798], [0.01085, -0.01069, 0.01258], [-0.00334, -0.01937, -0.0005], [0.00997, 0.03027, 0.00546], [-0.00397, -0.01, -0.00724], [-0.00036, -0.00872, 0.00145], [-0.01255, -0.0136, -0.00431], [-0.0119, -0.02352, -0.00501], [-0.0117, 0.00348, 0.00071], [-0.01311, 0.00192, 0.00167], [0.01533, 0.00528, -0.00087], [-0.00665, -0.00081, 0.00272], [0.00219, -0.0022, 0.00309], [0.00134, 0.00506, -0.00458], [0.00251, -0.01343, -0.00411], [0.00205, 0.03394, 0.0053], [0.00044, -0.00193, 0.00525], [0.01455, 0.02661, -0.00075], [0.00233, -0.0033, -0.00126], [-0.00834, -0.0074, -0.01081], [-0.01187, 0.00119, -0.00454], [0.00593, -0.01629, -0.00169], [0.00445, -0.0131, -0.00345], [0.02569, 0.003, -0.00341], [-0.00547, -0.00162, 6e-05], [0.01046, 0.01798, -0.00186], [-0.00325, -0.02274, -0.00745], [-0.00716, 0.00824, 0.00081], [0.00861, 0.01935, -0.00064], [0.02188, 0.00351, -0.003], [-0.00399, 0.01605, -0.0005], [-0.00716, 0.00368, 0.00599], [-0.00075, -0.00364, 0.00574], [0.01045, 0.02032, -0.0037], [0.0033, 0.00781, -0.00898], [0.01269, 0.00847, -0.00154], [0.02354, 0.01461, -0.00348], [-0.00024, 0.00912, 0.00436], [-0.00018, -0.01274, -0.00336], [-0.00795, -0.0195, 0.0001], [-0.00461, -0.00088, -0.00402], [-0.00845, -0.00646, -0.00158], [0.01216, -0.00716, 0.00125], [-2e-05, -0.01945, 0.00391], [0.00213, -0.03047, 0.00327], [0.00997, -0.00661, 0.00884], [0.00199, -0.01605, 0.00307], [-0.00327, -0.02153, -0.01074], [0.0029, -0.0092, 0.00349], [0.00435, -0.00519, -0.00251], [0.01843, 0.03592, 0.00404], [-0.00323, -0.01604, -0.00177], [0.01737, 0.01633, -0.00128], [-0.01211, -0.00289, -0.00428], [0.00053, 0.01222, 0.00566], [0.00183, -0.00371, 0.00136], [0.01876, 0.01572, -0.00693], [0.01621, 0.01255, 0.01793], [-0.00438, -0.00302, -0.00131], [0.00425, -0.00612, -0.00731], [-0.01916, -0.01087, -0.00241], [-0.0055, 0.03021, 0.00425], [0.0115, -0.00127, 0.00173]]" "{\"points\": 4}"

mentdb
{"points": [{"annual_return": -0.020936326034151145, "annual_volatility": 0.07575323848317041, "sharpe": -0.27637532669712106, "weights": {"asset0": 0.14289926728990926, "asset1": 0.03910339791862129, "asset2": 0.8179973347914694}}, {"annual_return": 0.12243044931056597, "annual_volatility": 0.09688997198692485, "sharpe": 1.2636028971820505, "weights": {"asset0": 0.3718116026486708, "asset1": 0.1412649935847932, "asset2": 0.48692340376653603}}, {"annual_return": 0.26579722465528305, "annual_volatility": 0.14260086698349364, "sharpe": 1.863924324429596, "weights": {"asset0": 0.6007239380074326, "asset1": 0.24342658925096491, "asset2": 0.15584947274160252}}, {"annual_return": 0.40916400000000025, "annual_volatility": 0.26811092001369174, "sharpe": 1.5260997201423399, "weights": {"asset0": 0, "asset1": 1, "asset2": 0}}], "best_sharpe_point": {"annual_return": 0.26579722465528305, "annual_volatility": 0.14260086698349364, "sharpe": 1.863924324429596, "weights": {"asset0": 0.6007239380074326, "asset1": 0.24342658925096491, "asset2": 0.15584947274160252}}}

fin npv <rate> <json_flows>

Description

Net present value of cash flows (the first flow at time 0), profitability index, simple and discounted payback periods

Parameters

rate: The discount rate per period - Number - required
json_flows: The cash flows - String - required

admin
fin npv 0.08 "[-1000, 300, 400, 500, 200]"

mentdb
{"npv": 164.6353969678665, "rate": 0.08, "periods": 4, "profitability_index": 1.1646353969678664, "payback_period": 3, "discounted_payback_period": 3}

Used in use cases (1 recipe)

Financial analyst › Investment decision: NPV, IRR, loan and payback

Often used with

fin amortization · fin irr

fin irr <json_flows>

Description

Internal rate of return (one period between the flows)

Parameters

json_flows: The cash flows - String - required

admin
fin irr "[-1000, 300, 400, 500, 200]"

mentdb
{"irr": 0.15322137877181546, "method": "IRR (one period between the flows)"}

fin irr <json_flows> <json_params>

Description

IRR with parameters: dates (XIRR: one date per flow, actual days / 365), guess

Parameters

json_flows: The cash flows - String - required
json_params: The parameters - String - required

admin
fin irr "[-10000, 2750, 4250, 3250, 2750]" "{\"dates\": [\"2008-01-01\", \"2008-03-01\", \"2008-10-30\", \"2009-02-15\", \"2009-04-01\"]}"

mentdb
{"irr": 0.3733625335188316, "method": "XIRR (actual days \/ 365)"}

Used in use cases (1 recipe)

Financial analyst › Investment decision: NPV, IRR, loan and payback

Often used with

fin amortization · fin npv

fin amortization <principal> <annual_rate> <years>

Description

Loan schedule (constant payments, monthly): payment, total interest, schedule of each period

Parameters

principal: The principal - Number - required
annual_rate: The annual rate - Number - required
years: The duration in years - Number - required

admin
fin amortization 10000 0.05 1

mentdb
{"type": "annuity", "periods": 12, "rate_per_period": 0.004166666666666667, "payment": 856.0748178846737, "total_interest": 272.89781461605304, "total_paid": 10272.897814616053, "schedule": [{"period": 1, "payment": 856.0748178846737, "interest": 41.666666666666664, "principal": 814.4081512180071, "balance": 9185.591848781993}, {"period": 2, "payment": 856.0748178846737, "interest": 38.27329936992497, "principal": 817.8015185147488, "balance": 8367.790330267244}, {"period": 3, "payment": 856.0748178846737, "interest": 34.86579304278018, "principal": 821.2090248418936, "balance": 7546.58130542535}, {"period": 4, "payment": 856.0748178846737, "interest": 31.444088772605625, "principal": 824.6307291120681, "balance": 6721.950576313282}, {"period": 5, "payment": 856.0748178846737, "interest": 28.00812740130534, "principal": 828.0666904833683, "balance": 5893.883885829913}, {"period": 6, "payment": 856.0748178846737, "interest": 24.557849524291306, "principal": 831.5169683603824, "balance": 5062.366917469531}, {"period": 7, "payment": 856.0748178846736, "interest": 21.093195489456377, "principal": 834.9816223952173, "balance": 4227.385295074313}, {"period": 8, "payment": 856.0748178846737, "interest": 17.61410539614297, "principal": 838.4607124885308, "balance": 3388.9245825857824}, {"period": 9, "payment": 856.0748178846737, "interest": 14.120519094107427, "principal": 841.9542987905663, "balance": 2546.9702837952163}, {"period": 10, "payment": 856.0748178846737, "interest": 10.612376182480068, "principal": 845.4624417021937, "balance": 1701.5078420930226}, {"period": 11, "payment": 856.0748178846737, "interest": 7.0896160087209275, "principal": 848.9852018759528, "balance": 852.5226402170698}, {"period": 12, "payment": 856.0748178846409, "interest": 3.552177667571124, "principal": 852.5226402170698, "balance": 0}]}

fin amortization <principal> <annual_rate> <years> <json_params>

Description

Loan schedule with parameters: periods_per_year (12), type (annuity or constant_principal), schedule (true)

Parameters

principal: The principal - Number - required
annual_rate: The rate - Number - required
years: The years - Number - required
json_params: The parameters - String - required

admin
fin amortization 200000 0.035 20 "{\"schedule\": false}"

mentdb
{"type": "annuity", "periods": 240, "rate_per_period": 0.002916666666666667, "payment": 1159.9194359661835, "total_interest": 78380.66463188523, "total_paid": 278380.66463188524}

Used in use cases (1 recipe)

Financial analyst › Investment decision: NPV, IRR, loan and payback

Often used with

fin irr · fin npv

fin bond <face> <coupon_rate> <yield> <years>

Description

Bond with annual coupons: price, current yield, Macaulay and modified durations, convexity, DV01

Parameters

face: The face value - Number - required
coupon_rate: The coupon rate - Number - required
yield: The yield to maturity - Number - required
years: The maturity in years - Number - required

admin
fin bond 100 0.04 0.05 10

mentdb
{"price": 92.27826507081515, "price_percent": 92.27826507081515, "current_yield": 0.0433471521915845, "macaulay_duration": 8.359589164010508, "modified_duration": 7.961513489533817, "convexity": 78.2942422798219, "dv01": 0.07346746521520721}

fin bond <face> <coupon_rate> <yield> <years> <json_params>

Description

Bond with parameters: frequency (coupons per year)

Parameters

face: The face value - Number - required
coupon_rate: The coupon rate - Number - required
yield: The yield - Number - required
years: The maturity - Number - required
json_params: The parameters - String - required

admin
fin bond 1000 0.06 0.05 5 "{\"frequency\": 2}"

mentdb
{"price": 1043.7603196548555, "price_percent": 104.37603196548555, "current_yield": 0.05748446158581737, "macaulay_duration": 4.408407590492557, "modified_duration": 4.30088545413908, "convexity": 22.079043263522394, "dv01": 0.44890935764111245}

fin black_scholes <spot> <strike> <years> <rate> <volatility>

Description

European call by Black-Scholes: price and greeks (delta, gamma, vega per point of volatility, theta per day, rho per point of rate)

Parameters

spot: The spot price - Number - required
strike: The strike - Number - required
years: The maturity in years - Number - required
rate: The risk-free rate - Number - required
volatility: The volatility - Number - required

admin
fin black_scholes 100 100 1 0.05 0.2

mentdb
{"type": "call", "price": 10.450583572185565, "delta": 0.6368306511756191, "gamma": 0.018762017345846895, "vega": 0.3752403469169379, "theta_per_day": -0.01757267820941972, "rho": 0.5323248154537634, "d1": 0.35000000000000003, "d2": 0.15000000000000002}

fin black_scholes <spot> <strike> <years> <rate> <volatility> <json_params>

Description

Black-Scholes with parameters: type (call or put), dividend (continuous yield)

Parameters

spot: The spot - Number - required
strike: The strike - Number - required
years: The maturity - Number - required
rate: The rate - Number - required
volatility: The volatility - Number - required
json_params: The parameters - String - required

admin
fin black_scholes 100 95 0.5 0.03 0.25 "{\"type\": \"put\", \"dividend\": 0.01}"

mentdb
{"type": "put", "price": 4.245414014981094, "delta": -0.3300847108953797, "gamma": 0.020426880948450275, "vega": 0.25533601185562843, "theta_per_day": -0.015331146449727445, "rho": -0.18626942552259534, "d1": 0.43511558046992077, "d2": 0.25833888517328385}

fin implied_vol <price> <spot> <strike> <years> <rate>

Description

Implied volatility of a European call from its price

Parameters

price: The option price - Number - required
spot: The spot - Number - required
strike: The strike - Number - required
years: The maturity - Number - required
rate: The rate - Number - required

admin
fin implied_vol 10.45 100 100 1 0.05

mentdb
{"implied_volatility": 0.19998444801094373, "vega": 0.3752388148158723}

fin implied_vol <price> <spot> <strike> <years> <rate> <json_params>

Description

Implied volatility with parameters: type, dividend

Parameters

price: The price - Number - required
spot: The spot - Number - required
strike: The strike - Number - required
years: The maturity - Number - required
rate: The rate - Number - required
json_params: The parameters - String - required

admin
fin implied_vol 5.57 100 100 1 0.05 "{\"type\": \"put\"}"

mentdb
{"implied_volatility": 0.19990603180603211, "vega": 0.37523108292387264}