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albertosantini/node-finance

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FINANCE

NPM version

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.