malee package

Module contents

malee - a simple financial modeling library for Python

malee is a Python package providing simple, easy to undestand, and useful library designed to make people lives a little easier when dealing with financial modeling using Python. At the moment it aims to be easy enough so people feel home when using it. Additionally, it has the broader goal of becoming the goto library when people consider doing financial modeling in Python. It is already well on its way toward this goal.

malee in Farsi means Financial. Tried so many other cool names, but I was late in the game and they were already taken.

Main Features

Here are just a few of the things that malee has at the moment:

• A list of necessary rate of returns and risk functions ready to be used

• Easy to undestand code base so anyone can contribute to.

• Enough documentation to get you started.

• Full test coverage so everything is checked before adding/changing functionality

malee.aar(rors)

The Arithmetic Average Return is a way of calculating an average return for an investment over multiple periods. It is simply the average of all the arithmetic returns for each period. To calculate it, you add up the individual Arithmetic Return values, rarith, for each period, then divide by the number of periods n.

Parameters

rors – List of all rate of returns over multiple time periods

Returns

The arithmetic average return of a given investment

Example

Here’s how you can calculate the arithmetic average return by providing a list of individual returns in multiple periods of time:

>>> import malee
>>> malee.aar([.1, -.05, .07])
0.04

malee.an(Rtw, y=1)

The time-weighted return expressed as an annual rate, then you need to annualize it using this function.

Parameters

• Rtw – Time-weighted return

• y – Number of years for the period

Returns

Time-weighted return expressed as an annual rate

Example

If you want to express your time-weighted return as an annual rate, here’s how you can do it for 2 years period:

>>> import malee
>>> malee.an(0.3662, 2)
0.1688455843266894

malee.ar(vi, vf, D=0, W=0)

The Arithmetic Return is the simplest way of calculating the rate of return on an investment. To calculate it, you need the amount of growth, which is simply the final value Vf minus the initial value Vi. Then you just divide the amount of growth by the initial amount.

Parameters

• vi – Initial value of investment

• vf – Final value of investment

• D – The total deposit made into the investment

• W – Total of any withdrawals

Returns

The arithmetic return of a given investment.

Example

By providing initial and final value of investment you can get the percentage return of your investment:

>>> import malee
>>> malee.ar(100, 140)
0.4

malee.gm(rors)

The Geometric Mean is the average of a set of products, the calculation of which is commonly used to determine the performance results of an investment or portfolio. It is technically defined as “the nth root product of n numbers.”

Parameters

rors – List of all rors over multiple time periods

Returns

The Geometric Mean of a list of returns

Example

By providing a list of returns you can calculate the Geometric Mean of the given list:

>>> import malee
>>> malee.gm([.14, .06, -.05, .20])
0.08337520558323552

malee.lr(vi, vf, t=1)

The logarithmic return is a way of calculating the rate of return on an investment. To calculate it you need the inital value of the investment Vi, the final value Vf and the number of time periods t. You then take the natural logarithm of Vf divided by Vi, and divide the result by t.

Parameters

• vi – Initial value of investment

• vf – Final value of investment

• t – Number of time periods

Returns

The logarithmic return of a given investment

Example

By providing initial and final value of investment you can get the percentage of logarithmic return of your investment:

>>> import malee
>>> malee.lr(100, 140)
0.3364722366212129

malee.npv(Rn, i, i0, pe=0)

Net present value (NPV) is the difference between the present value of cash inflows and the present value of cash outflows over a period of time.

Parameters

• Rn – Expected return list

• i – Discount rate

• i0 – Initial amount invested

• pe – Profit or expense at the end of investment

Returns

Net present value

Example

Given the expected return list Rn, i as discount rate, and i0 as initial amount invested you can calcuate NPV like this:

>>> import malee
>>> malee.npv([5000, 8000, 12000, 30000], 0.05, 40000)
7065.266015703324

malee.pv(Rt, i, t=1)

Present value accounts for the current value of a future sum of money or stream of cash flows given a specified rate of return.

Parameters

• Rt – Return we get at time t

• i – Discount rate

• t – Time we get the return

Returns

Present value

Example

Here’s a simple example of how you can calculate the present value of a given return and time period:

>>> import malee
>>> malee.pv(1030, 0.05, 1)
980.952380952381

malee.twr(rors)

The Time-Weighted Return (also called the Geometric Average Return) is a way of calculating the rate of return for an investment when there are deposits and withdrawals (cash flows) during the period. You often want to exclude these cash flows so that we can find out how well the underlying investment has performed.

Parameters

rors – List of all rors over multiple time periods

Returns

The time-weighted return of a given investment

Example

By providing a list of rate of returns you can calculate the time-weighted return based on that list:

>>> import malee
>>> malee.aar([.10, -.05, .12])
0.056666666666666664