finm - Financial Mathematics Python Package

finm - Financial Mathematics Python Package#

A student-led Python package for financial mathematics and quantitative finance education, created by students and educators at the University of Chicago Financial Mathematics program.

Warning

This package is for learning purposes only. There are likely errors in the implementations, and this software should NOT be used for any purposes beyond education and research.

Quick Start#

import finm

# Calculate present value
pv = finm.present_value(
    future_value=1000,
    rate=0.05,
    periods=2
)
print(f"Present Value: ${pv:.2f}")

# Calculate bond price
price = finm.bond_price(
    face_value=1000,
    coupon_rate=0.06,
    ytm=0.05,
    periods=10,
    frequency=2
)
print(f"Bond Price: ${price:.2f}")

# Load Fama-French factors and calculate factor exposures
factors = finm.load_fama_french_factors(start="2020-01-01", end="2023-12-31")
exposures = finm.calculate_factor_exposures(stock_returns, factors)
print(f"Market Beta: {exposures['market_beta']:.2f}")

Installation#

pip install finm

For development installation with all dependencies:

pip install finm[all]

Features#

Analytics#

  • Factor Exposures: Calculate Fama-French 3-factor model exposures (market beta, SMB, HML)

  • Beta Calculation: Compute beta with respect to any factor

  • Sharpe Ratio: Annualized Sharpe ratio calculation

Fixed Income Analytics#

  • Bond Pricing: Calculate bond prices with various compounding methods

  • Yield Calculations: Yield to maturity using Newton-Raphson method

  • Duration & Convexity: Macaulay duration, modified duration, and convexity

  • Yield Curve Modeling: Nelson-Siegel-Svensson model implementation

  • GSW Yield Curve: Replicate the Gurkaynak, Sack, and Wright (2006) methodology

Data Access#

  • Fama-French Factors: Load bundled or pull live Fama-French 3-factor data from Ken French’s Data Library

  • Federal Reserve: Download yield curve parameters from the Fed

  • WRDS: Pull CRSP Treasury and corporate bond data

  • He-Kelly-Manela: Access credit risk factor data

  • Open Source Bond: Load open source bond market returns

Table of Contents#

User Guide

Examples

Developer Guide

API Reference

Indices#

Contents