Cool Finance Examples

Accessible Data Sources in the WFP

O u t [ ] =

EffectiveInterest works with symbolic parameters:

O u t [ ] =

Different interest rate structures for Effective Interest

EffectiveInterestr, 1 
f
r1 f
-1 + 1 + f
,
1
EffectiveInterest{{0, r0 }, {2, r2 }, {3, r3 }, {5, r4 }, {7, r5 }}, 
f r2 f
-1 + 1 + f
,
r3 f
EffectiveInterest{r1 , r2 , r3 , r4 , r5 }, 1  -1 + 1 + f
,
f
r4 f
-1 + 1 + f
,
EffectiveInterest[{1  r3, 2  r4, 3  r5, 5  r6, 7  r7}] -1 + 1 +
r5 f

f

The time value of an annuity as a function of its fixed payment, interest rate and number of payments:
2 Cool Finance Examples.nb

Payment amount

Number of payments

Interest rate

Present value
40

30

20

10

0 Time
0 5 10 15 20

All of the features for a financial bond can be displayed in one TabView:
 Cool Finance Examples.nb 3

Coupon Interval = 1/2 Coupon Interval = 1/4 Coupon Interval = 1/6 Coupon Interval = 1/8 Coupon Interval = 1/10

FinancialBond
FaceValue  par, Coupon  c, Maturity  {2020, 1, 1}, CouponInterval  1f ,
{InterestRate  r, Settlement  {2010, 3, 8}, DayCountBasis  Actual/365},
property

Value 1
r 20
par c par -1+1+ 2   r 2 66/365
r 20 + r 20 1+ 2  
AccruedInterest
 1+ 2   1+ 2  r

r 20
par c par -1+1+ 2  
7689 r 20 + r 20
 1+ 2   1+ 2  r
Duration - r 2 299/365 +
133 225 1+ 2  

Convexity 10 par c par -1+1+ 2  

r 20
10 c par -1+1+ 2  
r 20
10 c par r
132 - r 21 - r 20 - r 21 + r  1+ 2 
 1+ 2   1+ 2  r2  1+ 2  r  1+ 2  r
r 2 299/365
SettlementToCouponDays 365 1+ 2  

r 20
2 c par -1+1+ 2  
NextCouponDate +
105 par
r 22 + r 20 -
 1+ 2   1+ 2  r3

RemainingCoupons 10 c -1+1+ 2  
r 20
10 c
2 par - r 21 + r
 1+ 2  1+ 2

r 2 +
r 20
105 c -1+1+ 2   105 c
par r 22 - r 2
2 66/365
1 + 2r  
 1+ 2   1+ 2 

r
4 Cool Finance Examples.nb

Dynamic evaluation of Financial Option Greeks:

Option Type C Put

al

Greeks Delta Gamma Rho Theta Vega

strike price

interest rate

dividend yield

volatility

time to maturity

option Greek

1.0

0.8

0.6

0.4

0.2

stock
80 90 100 110 120 130 140

InteractiveTradingChart for Google:

 Cool Finance Examples.nb 5

InteractiveTradingChart[{"GOOGL", {DatePlus[- 150], Today}}]

1000

980

960

940

920

22 23 24 25 28 29 30 31 01 05 06 07 08 11 12 13 14 15 18 19 20 21 22 25 26 27 28 29 02 03 04 05 06 09 10 11

2.5 × 106
2.0 × 106
1.5 × 106
1.0 × 106

From: 08/222017 To: 10112017 Week Month Max

May Jun Jul Aug Sep Oct

chart type
indicator

Create a volume-price bubble chart with open-close price distribution and a date-close density plot
annotated on the sides.

Acquire the open, high, low, closing, and volume data of a stock:
Compute the ranges of values:
Create the charts to display:
6 Cool Finance Examples.nb

Create a composite graphic for the final display:

Trading strategies
data = TimeSeries @ FinancialData["AAPL", "OHLCV", {{2014, 6, 1}, {2014, 12, 31}}]

Time: 02 Jun 2014 to 31 Dec 2014

TimeSeries Data points: 149


selldates = {{2014, 6, 12, 0, 0, 0.`}, {2014, 9, 25, 0, 0, 0.`}, {2014, 10, 7, 0, 0, 0.`},
{2014, 10, 14, 0, 0, 0.`}, {2014, 12, 15, 0, 0, 0.`}, {2014, 12, 31, 0, 0, 0.`}};
 Cool Finance Examples.nb 7

buydates = {{2014, 6, 27, 0, 0, 0.`}, {2014, 9, 26, 0, 0, 0.`},

{2014, 10, 8, 0, 0, 0.`}, {2014, 10, 21, 0, 0, 0.`}, {2014, 12, 17, 0, 0, 0.`}};

Sell SellSell
↓ ↓ ↓
↑
Buy
↑ ↑
Sell Buy Buy
↓

↑
Buy
Jun Jul Aug Sep Oct

Collage for Modeling Market Prices Using Stochastic Processes

O u t [ ] =