Python for Finance

Yuxing Yan

• Verlag: Packt Publishing
• Jahr: 2014
• ISBN:
  9781783284375
• Auflage: 1
• Thema: Computer Science
• Thema: Desktop Applications

In Detail

Python is a free and powerful tool that can be used to build a financial calculator and price options, and can also explain many trading strategies and test various hypotheses. This book details the steps needed to retrieve time series data from different public data sources.

Python for Finance explores the basics of programming in Python. It is a step-by-step tutorial that will teach you, with the help of concise, practical programs, how to run various statistic tests. This book introduces you to the basic concepts and operations related to Python. You will also learn how to estimate illiquidity, Amihud (2002), liquidity measure, Pastor and Stambaugh (2003), Roll spread (1984), spread based on high-frequency data, beta (rolling beta), draw volatility smile and skewness, and construct a binomial tree to price American options.

This book is a hands-on guide with easy-to-follow examples to help you learn about option theory, quantitative finance, financial modeling, and time series using Python.

Approach

A hands-on guide with easy-to-follow examples to help you learn about option theory, quantitative finance, financial modeling, and time series using Python.

Who this book is for

Python for Finance is perfect for graduate students, practitioners, and application developers who wish to learn how to utilize Python to handle their financial needs. Basic programming knowledge is helpful, but not necessary.

Python for Finance

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Table of Contents

Python for Finance

Credits

About the Author

Acknowledgments

About the Reviewers

www.PacktPub.com

Support files, eBooks, discount offers and more

Why subscribe?

Free access for Packt account holders

Preface

Why Python?

A programming book written by a finance professor

Small programs oriented

Using real-world data

What this book covers

What could you achieve after reading this book?

Who this book is for

Conventions

Two ways to use the book

Reader feedback

Customer support

Downloading the example code

Downloading the color images of this book

Errata

Piracy

Questions

1. Introduction and Installation of Python

Introduction to Python

Installing Python

Different versions of Python

Ways to launch Python

Launching Python with GUI

Launching Python from the Python command line

Launching Python from our own DOS window

Quitting Python

Error messages

Python language is case sensitive

Initializing the variable

Finding the help window

Finding manuals and tutorials

Finding the version of Python

Summary

Exercises

2. Using Python as an Ordinary Calculator

Assigning values to variables

Displaying the value of a variable

Error messages

Can't call a variable without assignment

Choosing meaningful names

Using dir() to find variables and functions

Deleting or unsigning a variable

Basic math operations – addition, subtraction, multiplication, and division

The power function, floor, and remainder

A true power function

Choosing appropriate precision

Finding out more information about a specific built-in function

Listing all built-in functions

Importing the math module

The pi, e, log, and exponential functions

"import math" versus "from math import *"

A few frequently used functions

The print() function

The type() function

Last expression _ (underscore)

Combining two strings

The upper() function

The tuple data type

Summary

Exercises

3. Using Python as a Financial Calculator

Writing a Python function without saving it

Default input values for a function

Indentation is critical in Python

Checking the existence of our functions

Defining functions from our Python editor

Activating our function using the import function

Debugging a program from a Python editor

Two ways to call our pv_f() function

Generating our own module

Types of comments

The first type of comment

The second type of comment

Finding information about our pv_f() function

The if() function

Annuity estimation

Converting the interest rates

Continuously compounded interest rate

A data type – list

Net present value and the NPV rule

Defining the payback period and the payback period rule

Defining IRR and the IRR rule

Showing certain files in a specific subdirectory

Using Python as a financial calculator

Adding our project directory to the path

Summary

Exercises

4. 13 Lines of Python to Price a Call Option

Writing a program – the empty shell method

Writing a program – the comment-all-out method

Using and debugging other programs

Summary

Exercises

5. Introduction to Modules

What is a module?

Importing a module

Adopting a short name for an imported module

Showing all functions in an imported module

Comparing "import math" and "from math import *"

Deleting an imported module

Importing only a few needed functions

Finding out all built-in modules

Finding out all the available modules

Finding the location of an imported module

More information about modules

Finding a specific uninstalled module

Module dependency

Summary

Exercises

6. Introduction to NumPy and SciPy

Installation of NumPy and SciPy

Launching Python from Anaconda

Examples of using NumPy

Examples of using SciPy

Showing all functions in NumPy and SciPy

More informatio...