financier

A Node.js module that helps with calculations concerning stocks and portfolios.

Introduction

Financier is a simple, object-oriented way of managing a portfolio. Please feel free to request any features. Code contributions are always welcome!

Installation

$ npm install financier

Financier uses the Sylvester matrix math library for calculations. NPM will automatically install Sylvester as a dependency.

var financier = require('financier');
var Stock = financier.Stock;
var Portfolio = financier.Portfolio;

Usage

Here is an example featuring comprehensive usage of Financier.

// Load financier.
var financier = require('financier');
var Stock = financier.Stock;
var Portfolio = financier.Portfolio;
 
var stocks = {};
// A bit of pseudo-code to load return data from a CSV.
var stockData = CSV.load('nasdaq-historical-returns.csv');
 
// Initialize the stocks.
for (var stock in stockData) {
    stocks[stock] = new Stock(stock);
    for (var tick in stockData[stock]) {
        stocks[stock].push(tick.open, tick.close, true);
    }
    stocks[stock].calculateAverage();
}
 
// Gather the securities for the portfolio.
var securities = [
    {
        stock: stocks.AAPL,
        value: 10234.34
    },
    {
        stock: stocks.GOOG,
        value: 63464.53
    },
    {
        stock: stocks.MSFT,
        value: 4352.2
    },
    {
        stock: stocks.AIG,
        value: 630.99,
    },
    {
        stock: stocks.C,
        value: 902.11
    }
];
 
// Build the portfolio.
var clientPortfolio = new Portfolio();
for (var i = 0; i < securities.length; i++) {
    var security = securities[i];
    clientPortfolio.addStock(security.stock, security.value, true);
}
 
// Spit out the risk.
console.log(clientPortfolio.calculateRisk());

API

Stock(String ticker)

Used to calculate returns and averages for individual stocks. The parameter ticker determines the stock symbol for the stock.

var AAPL = new Stock('AAPL');

Properties

• ticker - String The stock symbol.
• returns - Array The array of tick returns for the stock.
• average - Float The average of all the tick returns.
• value - Float The market value of the stock. (Initialized when added to a portfolio.)
• weight - Float The weight of the stock in comparison to the total portfolio market value. (Initialized when added to a portfolio.)

Stock.push(Float open, Float close, Boolean [Opt] wait)

Add a tick of data to the stock history. This new return is stored in Stock.returns. Default behaviour immediately recalculates the overall average on returns.

The parameters open and close are floats representing the price of the stock. If wait is true, the average is not calculated.

// Push a return of 5.8 to the list of returns.  The overall average return will
// be automagically calculated.
AAPL.push(106.5, 112.3);

Float Stock.calculateAverage()

Calculate the average of all the returns. This new average is both returned and stored in Stock.average.

It is only necessary to call this function if you are adding returns in bulk.

function randomValue() {
    return 100 + Math.random() * 30;
}
 
// Simulate adding thousands of returns to a stock.
for (var i = 0; i < 10000; i++) {
    // Push the data, but hold off on calculating the average.
    AAPL.push(randomValue(), randomValue(), true);
}
 
// Now calculate the overall average.
AAPL.calculateAverage();

Portfolio()

Keeps data on a portfolio, and has methods to calculate its attributes.

var clientPortfolio = new Portfolio();

Properties

• stocks - Object Stocks included in the portfolio.
• value - Float Total market value for the stock.
• risk - Float Risk for the entire portfolio.
• cache - Cache Cache of portfolio securities.

Portfolio.addStock(Stock stock, Float value, Boolean [Opt] clone)

Add a stock to the portfolio. This stock is stored in the Portfolio.stocks. Stock.weight for all securities are automagically recalculated.

The parameter stock is the Stock object being added. value represents the market value for the security as a float. Currency should be kept consistent. If clone is true, a new Stock is created with identical Stock.ticker, Stock.return, and Stock.average properties.

IMPORTANT: If stocks are reused in multiple portfolios, or need to be kept independent of the portfolio, they MUST be cloned to prevent discrepencies with how JavaScript passes objects by reference.

// Add AAPL to multiple client portfolios:
clientPortfolio.addStock(AAPL, 100323.33, true);
otherClientPortfolio.addStock(AAPL, 1483.63, true);
 
var open = 135.3;
var close = 123.53;
 
// If new return history needs to be added, it must be done individually.
AAPL.push(open, close);
clientPortfolio.stocks.AAPL.push(open, close);
otherClientPortfolio.stocks.AAPL.push(open, close);

Portfolio.removeStock(Stock|String stock)

Remove a stock from the portfolio. Portfolio.stocks is updated. Additionally, Stock.weight for all stocks are recalculated.

// Both of these are valid:
clientPortfolio.removeStock('AAPL');
clientPortfolio.removeStock(AAPL);

Portfolio.updateStock(Stock|String stock, Float value)

Update a stock with a new market value. Weights for all the stocks are recalculated. However, the new value is not validated. Stocks are not deleted if the value is 0 or negative.

Array Portfolio.getStockTickers()

Get the tickers for all the stocks in the portfolio.

Boolean Portfolio.hasStock(Stock|String stock)

Checks if the stock is currently in the portfolio.

Float Portfolio.calculateTotalValue()

Calculate the total market value of the portfolio. Portfolio.value is updated, as well as returned. This function is called everytime Portfolio.calculateWeights() is called.

Portfolio.calculateWeights()

Calculate and update Stock.weight for all securities in the portfolio. This function is called whenever securities in the portfolio are altered.

Float Portfolio.calculateCovariance(Stock stockA, Stock stockB)

Calculate the covariance between two stocks. If stockA and stockB are the same instance of Stock the function returns 1 by definition.

While it is better to create a Portfolio to calculate covariance, this function can be called to examine individual stocks.

var GOOG = new Stock('GOOG');
var AAPL = new Stock('AAPL');
 
// Pretend that we have filled out the stocks with tick history...
GOOG.push(...);
AAPL.push(...);
 
// Find the covariance between Google and Apple.
var covariance = Portfolio.calculateCovariance(GOOG, AAPL);

Sylvester.Matrix Portfolio.createWeightMatrix()

Create the matrix of security weights. We do not use Sylvestor.Vector because it does not have a transpose method. Portfolio.calculateRisk() calls this function.

Sylvester.Matrix Portfolio.createCovarianceMatrix()

Create the covariance matrix of all securities. Portfolio.caulcateCovariance() is called for every possible pair of securities. Portfolio.calculateRisk() calls this function.

Float Portfolio.calculateRisk()

Calculate risk for the entire portfolio. We first check against Portfolio.cache to prevent any unnecessary work (i.e. securities have not been altered since last time the risk was calculated). Portfolio.cache and Portfolio.risk are then updated.