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Implementation of part of the week 1 demo code of Iversity's Monte Carlo Methods in Finance, in F# using Deedle
// This code is based on matlab code provided through the course "Monte Carlo Methods in Finance".
// https://iversity.org/my/courses/monte-carlo-methods-in-finance/
// and Olaf Smits's Python conversion
// http://nbviewer.ipython.org/github/olafSmits/MonteCarloMethodsInFinance/blob/master/Week%201.ipynb?create=1
open System
open Deedle
open FSharp.Charting
let readFrame (stock:string) =
let frame = Frame.ReadCsv(stock + ".csv") |> Frame.indexRowsDate "Date" |> Frame.orderRows
let newFrame = frame.Columns.[ ["Date"; "Adj Close" ] ]
let logRet = newFrame.GetSeries<float>("Adj Close")
|> Series.pairwiseWith(fun k (v1, v2) -> Math.Log(v2 / v1))
newFrame.AddSeries("logRet", logRet)
newFrame.RenameSeries(fun s -> (stock + s).Replace(" ", ""))
newFrame
[<EntryPoint>]
let main argv =
let frame = readFrame("IBM").Join(readFrame("GOOG"), JoinKind.Inner)
.Join(readFrame("SI"), JoinKind.Inner)
frame.DropSeries("GOOGDate")
frame.DropSeries("SIDate")
let mean = frame?IBMAdjClose |> Series.mean
let chart = frame.GetAllSeries()
|> Seq.map( fun (KeyValue(k,v)) -> Chart.Line(v |> Series.observations, Name=k))
|> Chart.Combine
|> Chart.WithLegend (Docking = ChartTypes.Docking.Top)
chart.ShowChart()
let logRetChart = frame.GetAllSeries()
|> Seq.filter (fun (KeyValue(k,v)) -> k.EndsWith("logRet"))
|> Seq.map( fun (KeyValue(k,v)) -> Chart.Line(v |> Series.observations, Name=k))
|> Chart.Combine
|> Chart.WithLegend (Docking = ChartTypes.Docking.Top)
logRetChart.ShowChart()
printfn "%A" mean
System.Windows.Forms.Application.Run()
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