Category Archives: Finance
RMBS Prototype Model in Python
Posted by Shawn Zhang
on April 18, 2013
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Parameters
Parameters including : Total balance , Attach point, mortgage rate , Tranche Rate, Payment term and Prepayment CPR .
Cash Flow Chart result:
Full code(2 functions):
def rmbs_show(self):
self.clr_update_frame()
Label( self.update_frame, text="CPR" ).grid( row = 0, column= 0 )
w = Scale( self.update_frame, from_=0.01, to=0.20, resolution = 0.005, orient=HORIZONTAL, variable=self.rmbs_cpr, showvalue = True )
w.grid(row = Read more [...]
A Walk-through on Modeling MBS/Tranche in C#
Posted by Shawn Zhang
on April 12, 2013
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Modeling on MBS/Tranche involves 3 entities . Mortgages , Mortgage Pool and Tranches . Mortgage Pool is key in this relationship . Mortgage Pool collects cash flows from Mortgages and redistribute into different Tranches.
Class MortgagesPool
One Mortgage Pool has many Mortgages and One Mortgage Pool has many Tranches. So , the class of Mortgage Pool may like this :
class MortgagesPool{
public ArrayList tranches = new ArrayList();
public ArrayList mortgages = new ArrayList();
// add a Read more [...]
Bond Calcuation with C#
Posted by Shawn Zhang
on April 11, 2013
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I've been read a tutorial about C# in last 2 days . Before that, I haven't read a single line of C# code in since I started to programming. C# syntax is very similar to C++ and Java . But develop in C# is not easy as its syntax seems. I've wrote some trivial codes about some financial calculation of a bond, it's quite similar to the code I've written before in Python, but this one focus more in a risk neutral perspective.
Basic Bond Class with No Coupon
class ZeroBond{
protected float Read more [...]
Get Stock Quote Price API from Yahoo Finance via Python
Posted by Shawn Zhang
on December 28, 2012
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Difference against Google Finance / Sina.com
Yahoo provide more rich function regarding to the Stock API than Google / Sina.com does. particular ,it provide customize return format which customized by supply a parameter in calling URL . Full parameter specification pls refer to this link .(credit to Kelly Elias ) .
200 calls per second , you will be warned if you exceed this limits
csv file returned
No market depth as SIna.com provide
Provide stock indication such as " Earnings Read more [...]
Get Stock Quote from Goolge Web API via Python
Posted by Shawn Zhang
on December 27, 2012
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Background
Google has officially announce that it won't sustain ongoing of Finance API, but there still a available API via URL API . Return data from web server is xml format . We need to parse the return text in Python and extract data .
Get the Stock Data
Google Web API format ( http://www.google.com/ig/api?stock=C ) , this will request market data for security code "C" ( Citigroup :) ) xml return result:
<xml_api_reply version="1">
<finance module_id="0" Read more [...]
Implement Durbin-Watson Auto-correlation test in Python
Posted by Shawn Zhang
on November 22, 2012
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Assumption Under Single Regression
In a single factor regression test, there are 3 assumptions about the error item:
error term follows a normal distribution
error term are uncorrelated
error term has same variance (homoskedasticity)
we focus test on Assumption 2. Given a list of error item , how can we infer that it is not auto-correlated ?
In statistics, the Durbin–Watson statistic is a test statistic used to detect the presence of autocorrelation (a relationship between values Read more [...]
Implement VaR back testing in Python
Posted by Shawn Zhang
on November 16, 2012
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Introduction
We are going to model a VaR back testing in Python, including customize confidence level, span of testing horizon, and statistic testing on VaR model and binomial test .
even in most case , functional programming will supply this practice enough , but I'll do it in OO for a more clear demonstration.
Model a VaR
let's see full code first, and broke them into segments and analysis by parts .
class VaR():
def __init__(self, return_list, conf = 0.95, n = 100):
self.return_list Read more [...]
Black–Scholes Option Pricing/Greeks in Python
Posted by Shawn Zhang
on November 14, 2012
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Black-Scholes Option Pricing Equation is widely accepted in industry, in this post, I'd like to dive into a guide on how to implement BS equation in Python.
BS formula to calculate EURO call Option:
C : price of the European call option , r : risk free rate, t : time to maturity
S : Spot price , K: Strike price, 
: cumulative distribution function of the standard normal distribution
$$d1 Read more [...]
C : price of the European call option , r : risk free rate, t : time to maturity
S : Spot price , K: Strike price, : cumulative distribution function of the standard normal distribution
$$d1 Read more [...] Overloading in Python Class using Bond Class
Posted by Shawn Zhang
on November 12, 2012
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I'm going to have a snippet code about Construct a Bond Class using overloading technics.
Frist, we create a Bond class in Python :
class Bond:
def __init__(self, price = 0, face_value=100, maturity=0, interest_rate=0, num = 0):
self.price = price
self.face_value = face_value
self.interest_rate = interest_rate
self.maturity = maturity
self.num = num
def __repr__(self):
return ''' Bond: Price: %s Number: %s Maturity: Read more [...]
Construction Bond Portfolio Management in a Object-Oriented R Way
Posted by Shawn Zhang
on July 8, 2012
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I've been read a lot of articles, blogs and other online resources about programming R, most of them discuss a lot about it's powerful statistic features. But there are less topics about it's Object-Oriented features, I'm going to navigate these features to construct a Portfolio Management. (PS: all following R code will be in a S4 Style)
Define a Bond Class
A portfolio means a collection of assets, asset could be different financial products ,like Bond, Future, Stock or other derivatives . We Read more [...]