commit bde4eea811781ac1a5caf0f83cb3a71b6f29364c
parent 9de9220e4fa49fd8c4152bd07b64fa878bbdc9d1
Author: Erik Loualiche <eloualic@umn.edu>
Date: Thu, 13 Oct 2022 18:43:03 -0500
First function(s)
Diffstat:
5 files changed, 139 insertions(+), 4 deletions(-)
diff --git a/Project.toml b/Project.toml
@@ -1,13 +1,22 @@
name = "FinanceRoutines"
-uuid = "da951f97-d5c6-4b6a-8d83-777c3c337f5d"
-authors = ["Erik Loualiche"]
+uuid = "2e4c0fa2-b49b-4c8f-9592-485f04b9fc03"
+authors = "Erik Loualiche <eloualic@umn.edu>"
version = "0.1.0"
+[deps]
+CSV = "336ed68f-0bac-5ca0-87d4-7b16caf5d00b"
+DataFrames = "a93c6f00-e57d-5684-b7b6-d8193f3e46c0"
+DataFramesMeta = "1313f7d8-7da2-5740-9ea0-a2ca25f37964"
+Dates = "ade2ca70-3891-5945-98fb-dc099432e06a"
+Downloads = "f43a241f-c20a-4ad4-852c-f6b1247861c6"
+ZipFile = "a5390f91-8eb1-5f08-bee0-b1d1ffed6cea"
+
[compat]
julia = "1"
[extras]
+Markdown = "d6f4376e-aef5-505a-96c1-9c027394607a"
Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
[targets]
-test = ["Test"]
+test = ["Markdown", "Test"]
diff --git a/README.md b/README.md
@@ -1,3 +1,8 @@
# FinanceRoutines
[](https://github.com/eloualiche/FinanceRoutines.jl/actions/workflows/CI.yml?query=branch%3Amain)
+
+## Functions
+
+1. Import Financial data
+ - `ImportFinanceData.jl`+
\ No newline at end of file
diff --git a/src/FinanceRoutines.jl b/src/FinanceRoutines.jl
@@ -1,5 +1,27 @@
module FinanceRoutines
-# Write your package code here.
+
+# ---------------------------------------------------------
+import Downloads
+import ZipFile
+import CSV
+import DataFrames: DataFrame, rename!
+import DataFramesMeta: DataFramesMeta, @subset!, @transform!
+import Dates: Date
+# ---------------------------------------------------------
+
+
+# ---------------------------------------------------------
+# Import functions
+include("ImportFinanceData.jl")
+# ---------------------------------------------------------
+
+
+# ---------------------------------------------------------
+# List of exported functions
+export greet_FinanceRoutines # for debugging
+export import_FF3 # read monthly FF3
+# ---------------------------------------------------------
+
end
diff --git a/src/ImportFinanceData.jl b/src/ImportFinanceData.jl
@@ -0,0 +1,93 @@
+# ---------------------------------------------------------
+# ImportFinanceData.jl
+
+# Collection of functions that import
+# financial data into julia
+# ---------------------------------------------------------
+
+
+# ---------------------------------------------------------
+# List of exported functions
+# export greet_FinanceRoutines # for debugging
+# export import_FF3 # read monthly FF3
+# ---------------------------------------------------------
+
+
+# ---------------------------------------------------------
+function greet_FinanceRoutines()
+ println("Hello FinanceRoutines!")
+ return "Hello FinanceRoutines!"
+end
+# ---------------------------------------------------------
+
+
+# ---------------------------------------------------------
+function import_FF3()
+
+ url_FF = "https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/F-F_Research_Data_Factors_CSV.zip"
+
+ http_response = Downloads.download(url_FF);
+ z = ZipFile.Reader(http_response) ;
+ a_file_in_zip = filter(x -> match(r".*csv", lowercase(x.name)) != nothing, z.files)[1]
+ df_FF3 = copy(CSV.File(a_file_in_zip, header=3, footerskip=1) |> DataFrame);
+ close(z)
+
+ rename!(df_FF3, [:dateym, :mktrf, :smb, :hml, :rf]);
+ @subset!(df_FF3, .!(ismissing.(:dateym)));
+ @subset!(df_FF3, .!(ismissing.(:mktrf)));
+ @transform!(df_FF3, :dateym = parse.(Int, :dateym) )
+ @subset!(df_FF3, :dateym .>= 190000 )
+ @transform!(df_FF3,
+ :date = Date.(div.(:dateym, 100), rem.(:dateym,100) ),
+ :mktrf = parse.(Float64, :mktrf),
+ :smb = parse.(Float64, :smb),
+ :hml = parse.(Float64, :hml),
+ :rf = parse.(Float64, :rf) )
+
+ return(df_FF3)
+end
+# ---------------------------------------------------------
+
+
+# ---------------------------------------------------------
+"""
+ import_FF3(frequency::Symbol)
+
+Download and import the Fama-French 3 Factors from Ken French website.
+
+If `frequency` is unspecified, import the monthly research returns.
+If `frequency` is :daily, import the daily research returns.
+
+"""
+function import_FF3(frequency::Symbol)
+
+ if frequency==:monthly
+ return import_FF3()
+
+ elseif frequency==:daily
+ url_FF = "https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/F-F_Research_Data_Factors_daily_CSV.zip"
+
+ http_response = Downloads.download(url_FF);
+
+ z = ZipFile.Reader(http_response) ;
+ a_file_in_zip = filter(x -> match(r".*csv", lowercase(x.name)) != nothing, z.files)[1]
+ df_FF3 = copy(CSV.File(a_file_in_zip, header=4, footerskip=1) |> DataFrame);
+ close(z)
+
+ rename!(df_FF3, [:dateymd, :mktrf, :smb, :hml, :rf]);
+ @subset!(df_FF3, .!(ismissing.(:dateymd)));
+ @subset!(df_FF3, .!(ismissing.(:mktrf)));
+ @transform!(df_FF3,
+ :date = Date.(div.(:dateymd, 10000),
+ rem.(div.(:dateymd, 100), 100), rem.(:dateymd,100) )
+ )
+
+ return(df_FF3)
+
+ else
+ @warn "Frequency $frequency not known. Try :daily or leave blank for :monthly"
+ end
+
+end
+# ---------------------------------------------------------
+
diff --git a/test/runtests.jl b/test/runtests.jl
@@ -3,4 +3,9 @@ using Test
@testset "FinanceRoutines.jl" begin
# Write your tests here.
+
+ # FOR DEBUGGING
+ @test FinanceRoutines.greet_FinanceRoutines() == "Hello FinanceRoutines!"
+ @test FinanceRoutines.greet_FinanceRoutines() != "Hello world!"
+
end
