financial-security-classes 0.4.0

Pure python financial securities dataclasses

FinSec

Pure python financial securities dataclasses, as foundation for other projects

Install

## Install from pypi
pip install financial-security-classes

## or from the repo directly
git clone https://github.com/alienbrett/financial-security-classes
cd financial-security-classes
pip install -e .

Examples

First set up and import the library

import datetime
import finsec as fs

Create a currency

usd = fs.FiatCurrency(
    ticker = 'USD',
    nation = 'United States Dollar',
    gsid   = fs.GSID(20),
    identifiers = [
        fs.ISIN('abcdefg'),
    ],
)

Create an index, denominated in USD

spx = fs.DerivedIndex(
    ticker = 'SPX',
    issuer = 'Standard & Poor',
    gsid   = fs.GSID(100),
    identifiers = [
        fs.FIGI('12345'),
    ],
    currency = usd,
)

Create a few stocks

hyg = fs.ETP(
    ticker = 'HYG',
    gsid = fs.GSID(124),
    description = 'ISHARES IBOXX HIGH YLD CORP',
    primary_exc = fs.Exchange.NYSE,
    issuer      = 'ishares',
)
tsla = fs.Stock(
    ## Ticker will be auto-capitalized
    ticker = 'tSla',
    gsid = fs.GSID(125),
    description = 'Tesla corp',
    primary_exc = fs.Exchange.NYSE,
)

Create a SPX future

esu22 = fs.NewFuture(
    gsid                = fs.GSID(120),
    ticker              = 'ESU22',
    underlying_security = spx,

    expiry_date         = datetime.date(2022,9,16),
    primary_exc         = fs.Exchange.CME,

    expiry_time_of_day  = fs.ExpiryTimeOfDay.OPEN,

    tick_size           = 0.25,
    multiplier          = 50.0,

    identifiers         = [
        fs.FIGI('234567'),
    ],

    #### This should be implied, since underlyer doesn't permit physical delivery
    # settlement_type     = fs.SettlementType.CASH,
    #### Without this argument, this should be set to UNKNOWN
    # expiry_series_type  = fs.ExpirySeriesType.MONTHLY,

)

Options

The package supports americans and europeans:

amer_call = fs.American(
    gsid                = fs.GSID(1_234_567),
    underlying_security = tsla,
    callput             = 'call',
    strike              = 300.,
    expiry_date         = datetime.date(2022,12,16),
    expiry_time_of_day  = fs.ExpiryTimeOfDay.CLOSE,
    primary_exc         = fs.Exchange.CBOE,
    multiplier          = 100.0,
    identifiers         = [
        fs.FIGI('blahblahblah123'),
    ],
    settlement_type     = fs.SettlementType.PHYSICAL,

    # Without this argument, this set to fs.ExpirySeriesType.UNKNOWN
    expiry_series_type  = fs.ExpirySeriesType.MONTHLY,
)

And the european:

euro_put = fs.European(
    gsid                = fs.GSID(1_234_890),
    underlying_security = spx,
    callput             = 'put',
    strike              = 3_500,
    expiry_date         = '2022-12-30', # string expiries like this also supported
    expiry_time_of_day  = fs.ExpiryTimeOfDay.CLOSE,
    primary_exc         = fs.Exchange.CBOE,
    expiry_series_type  = fs.ExpirySeriesType.QUARTERLY,
    multiplier          = 100.0,

    # Isn't strictly necessary, since this will be inferred from index underlying without physical delivery available
    settlement_type     = fs.SettlementType.CASH,
)

Serialization support

Objects can be safely converted to json or dict format:

obj_json = fs.json_encode(euro_put)
obj_new = fs.json_decode(obj_json)
assert( obj_new == euro_put )

obj_dict = fs.dict_encode(euro_put)
obj_new = fs.dict_decode(obj_dict)
assert( obj_new == euro_put )

Run tests

To run tests:

$ python3.9 -m virtualenv venv
$ venv/bin/activate
$ make test