finql

Purpose of this library is to provide over time a comprehensive toolbox for quantitative analysis of financial assets in rust. The project is licensed under Apache 2.0 or MIT license (see files LICENSE-Apache2.0 and LICENSE-MIT) at the option of the user.

The goal is to provide a toolbox for pricing various financial products, like bonds options or maybe even more complex products. In the near term, calculation of the discounted cash flow value of bonds is in the focus, based on what information is given by a standard prospect. Building blocks to achieve this target include time periods (e.g. "3M" or "10Y"), bank holiday calendars, business day adjustment rules, calculation of year fraction with respect to typical day count convention methods, roll-out of cash flows, and calculating valuation and risk figures like internal yield or duration that are useful for an investor in these products.

Functionality to calculate figures like fair values which are primarily of interest in scenarios where one is fully hedged are not in the initial focus, since an investor is by definition not fully hedged. Nevertheless, they might be added later for comparison and estimating market prices.

Structure

The Library is structured in a couple of sub-crates.

finql-data

This crates contains definitions for basic data types, like Assets, Transactions, Quotes, CashFlow, etc., some basic helper tools for dealing with currencies or dates.

This crate also supports storing data, like market data, e.g. market quote information, data related to portfolio and transaction management to be able to support portfolio analysis (e.g. calculation of risk figures), and generic storage of product details (e.g. bond specification). This is done by defining data handler traits for various data categories, with concrete implementations supporting storage in a database in separate crates.

finql-sqlite

Implementation of database traits to be used with the sqlite3 database, supporting a file based database as well as in-memory databases.

finql-postgres

Implementation of database traits to be used with a postgreSQL database.

Examples

A couple of examples shall demonstrate different usages of the library.

adding_period

A simple demo program that lets you add a time period, e.g 3M for three months or -5Y for 5 years before.

uk_settlement_calendar

For any financial library, it is essential to be able to determine whether a specific date is a bank holiday, if the exchange is open interest could be paid. A common approach is to just store a set of bank holidays. finql is different in that respect, as it defines a calendar as a set of rules how to calculate bank holidays. This examples demonstrates this by implementing the UK settlement calendar, which is particular interesting with its complex holiday rules, e.g. last Monday of August (Summer bank holiday), fixed day holidays that are moved to the next working day if the holiday falls on a weekend, or singular holidays which are not repeated every year, but celebrate unique events like a royal wedding.

bond_comparison

This example demonstrate roll out of cash flows for fixed-rate investments by comparing two different bonds based on some key figures, e.g. yield to maturity.

quotes_db

A demonstration for retrieving market quote prices and storing the results persistently in a database.

transaction_db

Explores how to deal with transactions and how to store them in a database. Transactions mainly define the cash flows that occur over the lifetime of an investment. In finql, a (variable) transactions are the building blocks for any analysis. In the end, the flow of cash flows is what makes the distinction between the success and failure.

total_return

A demonstration of a certain strategy simulation. Here, we compare the outcome of different investment strategy into a single stock. A static investment is compared with a strategy that re-invests any cash flow into the stock, either with or without taking fee and tax payments into account. The results will be plotted to an image, see for example Total Return image

Market Data

Market data quotes can be fetched automatically from various vendors and stored into a database. Fetching the (real time) quote or a quote history is implemented for the vendors yahoo! finance, alpha vantage, gurufocus and eodhistoricaldata. Please note that all except yahoo! finance require a user token that is only provided after registration with the service. For gurufocus, this required a paid license.

Database setup

With version 0.8.x onwards, we use the sqlx crate, which supports compile time checks of SQL queries. This, however, requires that the environment variable DATABASE_URL is set to the appropriate connection string. For Postgres, using a unix socket connection the variable could be set to something like

export DATABASE_URL="postgresql:///<dbname>?user=<user>&password=<password>&ssl=false"

and for sqlite3 the string would look like

export DATABASE_URL="sqlite:memory"

or

export DATABASE_URL="sqlite:<absolute_path>/finql-sqlite/data/test.db"

Alternatively, you could follow the instructions on https://docs.rs/sqlx/0.5.1/sqlx/macro.query.html#offline-mode-requires-the-offline-feature. This requires some preparation, but without the necessity to have a live database connection. Try this approach also if you want to compile more than one database adapter (e.g. finql-sqlite and finql-postgres).