/pyfinmod

Financial modeling with Python and Pandas

Primary LanguagePython

Financial modeling with Python and Pandas

  1. Introduction
  2. Basic calculations
    1. Net present Value
    2. Internal rate of returns
    3. Flat loan payments
    4. Future value
    5. Continuously compounded interest rate
  3. Yahoo Finance parser
  4. Enterprise value
    1. Free Cash Flows
    2. Weighted average cost of capital and DCF
  5. Blog posts
  6. Library and references

Introduction

PyFinMod is a framework implementing financial calculations in Python using pandas library.

Installation:

pip install -e git+https://github.com/smirnov-am/pyfinmod.git#egg=pyfinmod

Basic calculations

Net present Value 

import pandas as pd
from datetime import date, timedelta
from dateutil.relativedelta import relativedelta
dates = [date.today() + relativedelta(months=i) for i in range(13)]
df = pd.DataFrame(data={'cash flow': [-100] + [10]*12,
                        'date': dates})
annual_discount_rate = 0.1

from pyfinmod.basic import npv
npv(df, annual_discount_rate)

Internal rate of returns 

from pyfinmod.basic import irr
dates = [date.today() + relativedelta(years=i) for i in range(6)]
df3 = pd.DataFrame(data={'cash flow': [-145, 100, 100, 100, 100, -275],                              'date': dates})
irr(df3, guess=0.1)

Payment for a loan based on constant payments and a constant interest rate 

from pyfinmod.basic import pmt
pmt(principal=100, annual_interest_rate=0.3, term=12, period='month')
9.57859525723352

Future value 

from pyfinmod.basic import fv
fv(deposits=[1000 for _ in range(10)], annual_interest_rate=0.1, period='year')

Continuously compounded interest rate 

df = pd.DataFrame(data={'amount': [1000, 1500], 'date': [date.today(), date.today() + relativedelta(years=1, months=9)]})
from pyfinmod.basic import get_annual_rate_cc
get_annual_rate_cc(df)
0.23169434749037965

Yahoo Finance parser

Parses Yahoo finance page for the ticker and returns a dataframe for balance-sheet, cash-flow and income-statement:

from pyfinmod.yahoo_finance import YahooFinanceParser

parser = YahooFinanceParser('AAPL')
parser.get_dataframe('balance-sheet')

Individual values from summary page:

parser = YahooFinanceParser('AAPL')
parser.get_value('Market Cap')

Enterprise value

Free Cash Flows

Get free cash flows using accounting book:

from pyfinmod.yahoo_finance import YahooFinanceParser
from pyfinmod.ev import get_enterprise_value

parser = YahooFinanceParser('AAPL')
df = parser.get_dataframe('balance-sheet')
get_enterprise_value(df)

Сash flows from cash flow statement:

from pyfinmod.ev import get_fcf_from_cscf
aapl_parser = YahooFinanceParser('AAPL')
balance_sheet = aapl_parser.get_dataframe('balance-sheet')
cash_flow = aapl_parser.get_dataframe('cash-flow')
get_fcf_from_cscf(income_statement, cash_flow)

Weighted average cost of capital and DCF

from pyfinmod.yahoo_finance import YahooFinanceParser
from pyfinmod.wacc import wacc
from pyfinmod.ev import dcf

parser = YahooFinanceParser('AAPL')
e = parser.get_value('Market Cap')
beta = parser.get_value('Beta (3Y Monthly)')
income_statement = parser.get_dataframe('income-statement')
balance_sheet = parser.get_dataframe('balance-sheet')

aapl_wacc = wacc(e, balance_sheet, income_statement, beta,
                 risk_free_interest_rate=0.02,
                 market_return=0.08)
dcf(fcf, aapl_wacc, short_term_growth=0.08, long_term_growth=0.04)

Blog posts

  1. Basic financial calculations
  2. Enterprise value. Free Cash Flows
  3. Enterprise value. WACC and DCF

Library and references :

Financial Modeling by Simon Benninga

Python for Finance by Yves Hilpisch