annualized_volatility.fs

module yahoo_iv

open System
open System.Net

let stddev(values:seq<float>) =
    values
    |> Seq.fold (fun acc x -> acc + (1.0 / float (Seq.length values)) * (x - (Seq.average values)) ** 2.0) 0.0
    |> sqrt

let calcDailyReturns(prices:seq<float>) =
    prices
    |> Seq.pairwise
    |> Seq.map (fun (x, y) -> log (x / y))

let annualVolatility(returns:seq<float>) =
    let sd = stddev(calcDailyReturns(returns))
    let days = Seq.length(returns)
    sd * sqrt(float days)

let formatLeadingZero(number:int):String =
    String.Format("{0:00}", number)

let constructURL(symbol, fromDate:DateTime, toDate:DateTime) =
    "http://ichart.finance.yahoo.com/table.csv?s=" + symbol +
        "&d=" + formatLeadingZero(toDate.Month-1) 
        + "&e=" + formatLeadingZero(toDate.Day) 
        + "&f=" + formatLeadingZero(toDate.Year) 
        + "&g=d&a=" + formatLeadingZero(fromDate.Month-1) 
        + "&b=" + formatLeadingZero(fromDate.Day) 
        + "&c=" + formatLeadingZero(fromDate.Year) 
        + "&ignore=.csv"

let fetchOne symbol fromDate toDate =
    use client = new WebClient()
    client.DownloadString(constructURL(symbol, fromDate, toDate))

let getPrices stock fromDate toDate =
    let data = fetchOne stock fromDate toDate
    data.Trim().Split('\n')
    |> Seq.skip 1
    |> Seq.map (fun s -> s.Split(','))
    |> Seq.map (fun s -> float s.[4])
    |> Seq.takeWhile (fun s -> s >= 0.0)

let getAnnualizedVol stock fromStr toStr =
    let prices = getPrices stock (System.DateTime.Parse fromStr) (System.DateTime.Parse toStr)
    let vol = Math.Round(annualVolatility(prices) * 100.0, 2)
    sprintf "Volatility for %s is %.2f %%" stock vol