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JerBouma/FinanceToolkit

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4,449 estrellas·505 forks·Python·mit·18 vistaswww.jeroenbouma.com/projects/financetoolkit↗

FinanceToolkit

The FinanceToolkit is an open-source Python library for quantitative finance that provides a unified framework for financial analysis, asset valuation, and risk management. It serves as a comprehensive platform for computing over 200 financial metrics and ratios, with capabilities spanning financial ratio analysis, fixed income analytics, macroeconomic data aggregation, options pricing, and portfolio risk management.

The toolkit distinguishes itself through a modular architecture that separates data retrieval from computation, with stateless engines for financial models like Black-Scholes, GARCH, and binomial option pricing. It features a multi-provider data abstraction layer that normalizes responses from external sources such as Yahoo Finance, OpenBB, and Bloomberg into a common schema, alongside a symbol-resolution layer that maps tickers, CIKs, ISINs, and CUSIPs to canonical identifiers. The library also implements calendar-aware time alignment for financial statements and market data, and a DataFrame-pipeline architecture where data flows through transformation steps without mutating the source.

The platform covers a broad range of financial domains including company data with analyst estimates, ESG scores, and revenue breakdowns; macroeconomic indicators for over 60 countries; fixed income analytics with bond pricing, yields, and interest rate sensitivity; options pricing with Greeks computation; portfolio management with transaction tracking and performance measurement; and risk management tools including Value at Risk, GARCH volatility forecasting, and factor exposure evaluation. Technical analysis capabilities provide nearly 50 indicators from price data, while data discovery tools enable screening and browsing across equities, cryptocurrencies, forex, ETFs, commodities, and indices.

The library is available as a Python package with documentation covering installation, API reference, and usage examples for each functional area.

Features

  • Quantitative Finance & Trading - Provides an open-source Python library for financial analysis, asset valuation, and risk management with 200+ financial metrics and ratios.
  • Technical Indicator Calculators - Computes nearly 50 technical indicators including moving averages, oscillators, and volatility bands from price data.
  • Multi-Provider Abstractions - Provides a unified interface that normalizes responses from multiple external market data providers.
  • Fama-French Factor Exposures - Assesses asset return correlations with Fama-French factors for factor-based portfolio analysis.

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  • Historical Price Data Fetchers - Downloads daily, weekly, monthly, quarterly, or yearly OHLCV data with returns and volatility.
  • Analyst Insights - Provides retrieval of consensus ratings, price targets, and earnings estimates from covering analysts.
  • Inflation Rate Retrievals - Provides retrieval of inflation rates as percentage changes in CPI for multiple countries.
  • Technical Indicators - Computes over 30 technical analysis indicators like moving averages, RSI, and MACD from historical price data.
  • Company Profiles - Provides company profiles including sector, industry, market cap, beta, and executive details.
  • External Data Provider Integrations - Integrates with Yahoo Finance, OpenBB, Quandl, EODH, and Bloomberg to use preferred data sources without lock-in.
  • Growth Rate Analytics - Calculates compound growth rates (CAGR) across multiple periods for investment performance comparison.
  • Financial Asset Screeners - Filters a curated database of equities, ETFs, currencies, cryptocurrencies, and indices by attributes like sector or exchange.
  • Transaction-to-Portfolio Converters - Imports transaction records to monitor performance, identify return drivers, and benchmark against an index.
  • Macroeconomic Indicators - Provides calculation of GDP growth, inflation rates, and unemployment figures from raw data series.
  • Risk Management Tools - Measures portfolio risk through Value at Risk, GARCH volatility forecasting, and factor exposure analysis.
  • Stock Price Trackers - Filters stocks by market cap, price, beta, volume, and dividend criteria to find matching companies.
  • Criteria-Based Screeners - Filters the universe of publicly traded companies by user-defined financial and operational metrics.
  • Ticker Symbol Standardizations - Provides a centralized registry mapping tickers, CIKs, ISINs, and CUSIPs to canonical identifiers.
  • Ticker Data Fetchers - Downloads historical market data for a given ticker symbol from Yahoo Finance into a structured DataFrame.
  • Fiscal Period Alignments - Implements automatic fiscal period alignment for financial statements and market data.
  • Derivative Option Chains - Retrieves live option chain data including strikes, expirations, implied volatility, and open interest.
  • Financial Asset Screeners - Ships a screener to filter stocks, ETFs, and other instruments by market cap, price, beta, volume, and dividend criteria.
  • Financial Statement Analyzers - Accesses standardized income, balance sheet, and cash flow statements with ratio decomposition and health scoring.
  • Financial Statement Retrievers - Provides standardized annual and quarterly income, balance sheet, and cash flow statements.
  • Instrument Metadata - Finds companies or financial instruments by name and returns matching symbols with exchange details.
  • GDP Data Retrievals - Provides retrieval of GDP data for multiple countries from the OECD.
  • Historical Data Downloads - Provides historical OHLC, volume, dividends, returns, and volatility data at multiple intervals.
  • Multi-Asset Quote Retrievers - Provides a unified interface for retrieving real-time and historical quotes across stocks, crypto, forex, ETFs, commodities, and indices.
  • Active Management Skill Metrics - Provides Alpha, Jensen's Alpha, Information Ratio, and Tracking Error calculations for evaluating active portfolio management skill.
  • Binomial Lattice Models - Implements binomial lattice models for pricing European and American options via price path simulation.
  • Black-Scholes Models - Computes theoretical European option prices using the Black-Scholes model across strikes and expirations.
  • Tail Risk Calculators - Computes Conditional Value at Risk (Expected Shortfall) to measure expected tail loss beyond the VaR threshold.
  • Value at Risk Calculators - Quantifies maximum expected loss over a time horizon at a given confidence level using historical or parametric distributions.
  • Drawdown Metrics - Calculates the largest peak-to-trough decline in asset value over a specified period.
  • Financial Ratio Analysis - Calculates over 50 financial ratios across efficiency, liquidity, profitability, solvency, and valuation categories.
  • Financial Valuation Modeling - Executes DuPont Analysis, DCF, Enterprise Value, Altman Z-Score, and WACC for valuation and health assessment.
  • Fixed Income Analytics - Provides bond valuation, yield-to-maturity, duration, convexity, and interest rate derivative pricing.
  • Risk-Adjusted Performance Metrics - Measures risk-adjusted returns including Sharpe Ratio, Sortino Ratio, Alpha, Beta, and Factor Model correlations.
  • Macroeconomic Data Retrieval - Retrieves GDP, CPI, unemployment, and interest rates across 60+ countries from global databases.
  • Macroeconomic Indicator Retrievals - Fetches global economic indicators such as GDP, inflation, unemployment, and interest rates for 60+ countries.
  • Option Volatility Analysis - Derives implied volatility by minimizing the difference between Black-Scholes prices and market option prices.
  • GARCH Volatility Forecasting - Models volatility clustering and predicts future variance using GARCH time-series forecasting.
  • Option Pricing Models - Implements Black-Scholes, Binomial-Tree, and Bachelier models for option valuation and Greeks computation.
  • Portfolio Performance Metrics - Calculates key performance indicators for asset collections, including returns, volatility, and risk-adjusted measures.
  • Portfolio Return Computation - Loads custom portfolios from spreadsheets and calculates position-level returns, volatility, alpha, and beta.
  • Treasury Rate Retrievals - Provides retrieval of treasury rates, economic releases, and market risk premium figures.
  • Downside Risk Quantification - Measures downside risk through Value at Risk, Conditional VaR, Maximum Drawdown, GARCH, and EWMA for portfolio management.
  • Portfolio Risk Metrics - Computes Value at Risk, Conditional Value at Risk, and maximum drawdown from historical portfolio returns.
  • Portfolio Risk Metrics - Quantifies portfolio risk through Value at Risk, Conditional Value at Risk, Maximum Drawdown, GARCH, and EWMA.
  • Systematic Risk Calculators - Quantifies asset sensitivity to market movements through Beta and the Capital Asset Pricing Model.
  • Central Bank Rate Retrieval - Provides retrieval of central bank policy rates, short-term, and long-term interest rates for multiple countries.
  • Bankruptcy Prediction Models - Implements bankruptcy prediction models using weighted financial ratios to score distress likelihood.
  • Fixed Income Analysis - Computes effective yield, duration, convexity, yield to maturity, and derivative prices for bonds and swaptions.
  • Fiscal Data Retrievals - Provides retrieval of government fiscal data including debt, revenue, and expenditure for multiple countries.
  • Corporate Revenue Analysis - Provides company revenue breakdowns by geographic region such as Americas, Europe, and Asia Pacific.
  • Exchange Rate Datasets - Fetches historical exchange rate data between currencies with returns and volatility calculations.
  • Dividend Trackers - Retrieves dividend payment history including amounts, record dates, payment dates, and yields.
  • ESG Performance Benchmarking - Returns environmental, social, and governance scores for a company and benchmarks them against peers.
  • Earnings Calendar Retrievers - Retrieves earnings report dates with actual and estimated EPS and revenue for specified companies.
  • Enterprise Value Decompositions - Computes total company value from market cap, debt, preferred equity, minority interest, and cash.
  • Growth Opportunity Valuations - Measures the present value of future growth by comparing stock price to capitalized earnings.
  • Earnings and Dividend Trackers - Lists upcoming and historical earnings reports, dividend payments, and stock split events.
  • Position-Level Overview Calculators - Computes volume, costs, invested amount, current value, and cumulative return for each portfolio position.
  • Institutional Ownership Trackers - Parses 13F filings to reveal fund manager positions, performance, and industry breakdowns.
  • International Trade Metrics - Provides retrieval of exports, imports, and their ratios to GDP for multiple countries.
  • Derivative Pricing Models - Values swaptions and other interest rate derivatives using the Black or Bachelier pricing models.
  • Real Estate Market Data - Provides retrieval of nominal and real house price indices and rent price indices for multiple countries.
  • Transaction Accounting - Adds return, costs, and profit-and-loss columns to transaction datasets using FIFO, LIFO, or average cost methods.
  • Asset Collections - Imports curated sets of tickers grouped by industry or index membership for analysis.
  • Discounted Cash Flow Valuations - Projects future free cash flows and discounts them to present to estimate intrinsic equity value.
  • Commodity Market Data - Retrieves current and historical prices for commodities like gold, oil, and agricultural goods.
  • Immutable Transformation Pipelines - Ships an immutable DataFrame pipeline architecture for financial data transformations.
  • Financial Data Adapters - Wraps external financial data providers in pluggable adapters with a common fetch interface.
  • Financial Data Import - Exports large sets of company profiles, financials, ratings, and valuations in a single request.
  • Fund Composition Data - Lists the underlying assets, sector weights, and country allocations of a specified ETF or mutual fund.
  • Intraday Price Data Fetchers - Fetches minute-level price data including open, high, low, close, volume, and returns for shorter time windows.
  • Bond Indices - Obtains ICE BofA total return indices for corporate bonds segmented by rating or maturity.
  • Cryptocurrency - Fetches real-time and historical price data for digital currencies.
  • Fixed Rate Bond Pricing - Computes the present value of a bond's future cash flows to determine its fair market price.
  • Government Bond Yield Retrieval - Retrieves long-term and short-term government bond interest rates from OECD data sources.
  • Corporate Bond Yield Retrievals - Fetches ICE BofA effective yields and yield-to-worst for corporate bonds by rating or maturity.
  • Market Data Screeners - Screens stocks, ETFs, and other instruments by financial criteria and retrieves historical prices and dividends.
  • Regulatory Filing Aggregators - Retrieves regulatory filings such as 8-K and 10-K by company or form type.
  • Share Price Index Retrievals - Provides retrieval of share price indices for multiple countries.
  • Stock Index Performance Trackers - Quotes and charts major stock market indexes including S&P 500, Nasdaq, and Dow Jones.
  • Monetary Aggregate Tracking - Provides retrieval of monetary aggregates (M0-M4) for multiple countries.
  • Asset Price Path Simulators - Generates binomial tree simulations of future stock prices based on volatility, risk-free rate, and time to expiration.
  • Bond Yield Calculators - Calculates key bond metrics including present value, duration, convexity, and yield to maturity.
  • Cost of Capital Analysis - Calculates weighted average cost of capital by blending required returns on equity and debt.
  • Option-Adjusted Spread Retrievals - Obtains ICE BofA option-adjusted spreads for corporate bonds segmented by rating or maturity.
  • Dividend Discount Models - Estimates intrinsic share price from expected future dividends growing at a constant rate.
  • ESG Rating Benchmarks - Provides retrieval of environmental, social, and governance scores for sustainability assessment.
  • Financial Strength Scoring - Scores companies on nine fundamental criteria covering profitability, leverage, liquidity, and efficiency.
  • Return on Equity Decompositions - Decomposes return on equity into profit margin, asset turnover, and financial leverage components.
  • Bond Duration Calculations - Calculates Macaulay, modified, effective, and dollar duration to estimate a bond's price change from interest rate shifts.
  • Transaction-Level Return Calculators - Measures transaction-level returns and benchmarks over a specified period for individual trades.
  • Per-Asset Overview Summaries - Generates per-asset summaries of return, volatility, alpha, beta, and weight for portfolio holdings.
  • Market Performance Snapshots - Provides daily sector and industry performance snapshots with top gainers, losers, and most traded stocks.
  • Return Distribution Analyses - Evaluates the tailedness of return distributions to detect the likelihood of extreme outliers.
  • Ulcer Index Calculations - Assesses downside risk by measuring the depth and duration of drawdowns relative to a prior peak.
  • Stateless Computation Engines - Implements stateless computation engines for financial models like Black-Scholes and GARCH.
  • Treasury Yield Data Retrieval - Retrieves daily, weekly, monthly, quarterly, or yearly US Treasury yields across multiple maturities.
  • Portfolio Transaction Loaders - Reads transaction data from Excel or CSV files into a structured DataFrame for portfolio analysis.
  • Interbank Lending Rates - Fetches Euro Interbank Offered Rates for standard maturities from one month to twelve months.
  • Repo Fixing Rates - Retrieves U.S. reference rates including EFFR, SOFR, and other overnight funding rates from the New York Fed.

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    Preguntas frecuentes

    ¿Qué hace jerbouma/financetoolkit?

    The FinanceToolkit is an open-source Python library for quantitative finance that provides a unified framework for financial analysis, asset valuation, and risk management. It serves as a comprehensive platform for computing over 200 financial metrics and ratios, with capabilities spanning financial ratio analysis, fixed income analytics, macroeconomic data aggregation, options pricing, and portfolio risk management.

    ¿Cuáles son las características principales de jerbouma/financetoolkit?

    Las características principales de jerbouma/financetoolkit son: Quantitative Finance & Trading, Technical Indicator Calculators, Multi-Provider Abstractions, Fama-French Factor Exposures, Historical Price Data Fetchers, Analyst Insights, Inflation Rate Retrievals, Technical Indicators.

    ¿Qué alternativas de código abierto existen para jerbouma/financetoolkit?

    Las alternativas de código abierto para jerbouma/financetoolkit incluyen: jerbouma/fundamentalanalysis — FundamentalAnalysis is a comprehensive financial analysis library, quantitative finance framework, and macroeconomic… llmquant/quant-wiki — quant-wiki is a comprehensive knowledge base and structured reference for quantitative finance, financial engineering,… simonlin1212/a-stock-data — This project is a comprehensive market data toolkit and financial analysis system specifically designed for China… fincept-corporation/finceptterminal — FinceptTerminal is a quantitative finance platform and financial engineering library designed for asset valuation,… polakowo/vectorbt — VectorBT is a vectorized trading strategy backtesting framework that simulates thousands of strategy configurations in… jerbouma/financedatabase — FinanceDatabase is a system of data repositories and interfaces providing a corporate fundamental database, a…