finmodeling 0.1

data/spec/company_filing_spec.rb

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+# company_filing_spec.rb
+
+require 'spec_helper'
+
+describe FinModeling::CompanyFiling  do
+  let(:company) { FinModeling::Company.new(FinModeling::Mocks::Entity.new) }
+  let(:filing_url) { company.annual_reports.last.link }
+
+  subject { FinModeling::CompanyFiling.download filing_url }
+
+  describe "#download" do
+    it { should be_a FinModeling::CompanyFiling }
+  end
+
+  describe ".print_presentations" do
+    it { should respond_to(:print_presentations) }
+  end
+
+  describe ".print_calculations" do
+    it { should respond_to(:print_calculations) }
+  end
+
+  describe ".disclosures" do
+    subject { (FinModeling::CompanyFiling.download filing_url).disclosures }
+
+    it { should be_an_instance_of Array }
+    it { should_not be_empty }
+    its(:first) { should be_a FinModeling::CompanyFilingCalculation }
+  end
+end

data/spec/company_filings_spec.rb

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+# company_filings_spec.rb
+
+require 'spec_helper'
+
+describe FinModeling::CompanyFiling  do
+  before (:all) do
+    @company = FinModeling::Company.find("aapl")
+    @filings = FinModeling::CompanyFilings.new(@company.filings_since_date(Time.parse("2010-10-01")))
+  end
+
+  describe "balance_sheet_analyses" do
+    subject { @filings.balance_sheet_analyses }
+    it { should be_an_instance_of FinModeling::BalanceSheetAnalyses }
+  end
+
+  describe "cash_flow_statement_analyses" do
+    subject { @filings.cash_flow_statement_analyses }
+    it { should be_an_instance_of FinModeling::CalculationSummary } # FIXME: model this guy the same way...
+  end
+
+  describe "income_statement_analyses" do
+    subject { @filings.income_statement_analyses }
+    it { should be_an_instance_of FinModeling::IncomeStatementAnalyses }
+  end
+
+  describe "choose_forecasting_policy" do
+    context "when one or two filings" do
+      let(:filings) { FinModeling::CompanyFilings.new(@filings[-2..-1]) }
+      subject { filings.choose_forecasting_policy }
+
+      it { should be_an_instance_of FinModeling::GenericForecastingPolicy }
+    end
+    context "when two or more filings" do
+      let(:filings) { FinModeling::CompanyFilings.new(@filings[-3..-1]) }
+      subject { filings.choose_forecasting_policy }
+      it { should be_an_instance_of FinModeling::ConstantForecastingPolicy }
+
+      let(:isa) { filings.income_statement_analyses }
+
+      its(:revenue_growth) { should be_within(0.01).of(isa.revenue_growth_row.valid_vals.mean) }
+      its(:sales_pm)       { should be_within(0.01).of(isa.operating_pm_row.valid_vals.mean) } # FIXME: name mismatch
+      its(:sales_over_noa) { should be_within(0.01).of(isa.sales_over_noa_row.valid_vals.mean) } 
+      its(:fi_over_nfa)    { should be_within(0.01).of(isa.fi_over_nfa_row.valid_vals.mean) }
+    end
+  end
+
+  describe "forecasts" do
+    let(:policy) { @filings.choose_forecasting_policy }
+    let(:num_quarters) { 3 }
+    subject { @filings.forecasts(policy, num_quarters) }
+    it { should be_an_instance_of FinModeling::Forecasts }
+    its(:reformulated_income_statements) { should have(num_quarters).items }
+    its(:reformulated_balance_sheets)    { should have(num_quarters).items }
+  end
+end

data/spec/company_spec.rb

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+# company_spec.rb
+
+require 'spec_helper'
+
+describe FinModeling::Company  do
+  before(:each) do
+  end
+
+  describe "initialize" do
+    it "takes a SecQuery::Entity and creates a new company" do
+      entity = SecQuery::Entity.find("aapl", {:relationships=>false, :transactions=>false, :filings=>true})
+      FinModeling::Company.new(entity).should be_an_instance_of FinModeling::Company
+    end
+  end
+
+  describe "find" do
+    it "looks up a company by its stock ticker" do
+      FinModeling::Company.find("aapl").should be_an_instance_of FinModeling::Company
+    end
+    it "returns nil if the stock symbol is invalid" do
+      FinModeling::Company.find("bogus symbol").should be_nil
+    end
+  end
+
+  describe "name" do
+    it "returns the name of the company" do
+      c = FinModeling::Company.find("aapl")
+      c.name.should == "APPLE INC"
+    end
+  end
+
+  describe "annual_reports" do
+    before(:all) do
+      @company = FinModeling::Company.find "aapl"
+    end
+    it "returns a CompanyFilings object " do
+      @company.annual_reports.should be_an_instance_of FinModeling::CompanyFilings
+    end
+    it "returns an array of 10-K filings" do
+      @company.annual_reports.last.term.should == "10-K"
+    end
+  end
+
+  describe "quarterly_reports" do
+    before(:all) do
+      @company = FinModeling::Company.find "aapl"
+    end
+    it "returns a CompanyFilings object " do
+      @company.quarterly_reports.should be_an_instance_of FinModeling::CompanyFilings
+    end
+    it "returns an array of 10-Q filings" do
+      @company.quarterly_reports.last.term.should == "10-Q"
+    end
+  end
+
+  describe "filings_since_date" do
+    before(:all) do
+      @company = FinModeling::Company.find "aapl"
+    end
+    it "returns a CompanyFilings object " do
+      @company.filings_since_date(Time.parse("2010-01-01")).should be_an_instance_of FinModeling::CompanyFilings
+    end
+    it "returns an array of 10-Q and/or 10-K filings filed after the given date" do
+      @company.filings_since_date(Time.parse("1994-01-01")).length.should == 11
+    end
+    it "returns an array of 10-Q and/or 10-K filings filed after the given date" do
+      @company.filings_since_date(Time.parse("2010-01-01")).length.should == 9
+    end
+    it "returns an array of 10-Q and/or 10-K filings filed after the given date" do
+      @company.filings_since_date(Time.parse("2011-01-01")).length.should == 5
+    end
+  end
+end

data/spec/constant_forecasting_policy_spec.rb

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+# constant_forecasting_policy_spec.rb
+
+require 'spec_helper'
+
+describe FinModeling::ConstantForecastingPolicy  do
+  before (:all) do
+    @vals = { :revenue_growth => 0.04,
+              :sales_pm       => 0.20,
+              :fi_over_nfa    => 0.01,
+              :sales_over_noa => 2.00 }
+    @policy = FinModeling::ConstantForecastingPolicy.new(@vals)
+  end
+
+  describe ".revenue_growth" do
+    subject { @policy.revenue_growth }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.01).of(@vals[:revenue_growth]) }
+  end
+
+  describe ".sales_pm" do
+    subject { @policy.sales_pm }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.01).of(@vals[:sales_pm]) }
+  end
+
+  describe ".fi_over_nfa" do
+    subject { @policy.fi_over_nfa }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.01).of(@vals[:fi_over_nfa]) }
+  end
+
+  describe ".sales_over_noa" do
+    subject { @policy.sales_over_noa }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.01).of(@vals[:sales_over_noa]) }
+  end
+end

data/spec/factory_spec.rb

@@ -0,0 +1,18 @@
+# factory_spec.rb
+
+require 'spec_helper'
+
+describe FinModeling::Factory  do
+  describe "BalanceSheetCalculation" do
+    subject { FinModeling::Factory.BalanceSheetCalculation }
+
+    it { should be_an_instance_of FinModeling::BalanceSheetCalculation }
+  end
+
+  describe "incomeStatementCalculation" do
+    subject { FinModeling::Factory.IncomeStatementCalculation }
+
+    it { should be_an_instance_of FinModeling::IncomeStatementCalculation }
+  end
+end
+

data/spec/forecasts_spec.rb

@@ -0,0 +1,21 @@
+# company_filings_spec.rb
+
+require 'spec_helper'
+
+describe FinModeling::Forecasts  do
+  before (:all) do
+    @company = FinModeling::Company.find("aapl")
+    @filings = FinModeling::CompanyFilings.new(@company.filings_since_date(Time.parse("2010-10-01")))
+    @forecasts = @filings.forecasts(@filings.choose_forecasting_policy, num_quarters=3)
+  end
+
+  describe "balance_sheet_analyses" do
+    subject { @forecasts.balance_sheet_analyses(@filings) }
+    it { should be_a FinModeling::CalculationSummary }
+  end
+
+  describe "income_statement_analyses" do
+    subject { @forecasts.income_statement_analyses(@filings) }
+    it { should be_a FinModeling::CalculationSummary }
+  end
+end

data/spec/generic_forecasting_policy_spec.rb

@@ -0,0 +1,33 @@
+# generic_forecasting_policy_spec.rb
+
+require 'spec_helper'
+
+describe FinModeling::GenericForecastingPolicy  do
+  before (:all) do
+    @policy = FinModeling::GenericForecastingPolicy.new
+  end
+
+  describe ".revenue_growth" do
+    subject { @policy.revenue_growth }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.01).of(0.04) } # FIXME: Make this not hard-coded
+  end
+
+  describe ".sales_pm" do
+    subject { @policy.sales_pm }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.01).of(0.20) } # FIXME: Make this not hard-coded
+  end
+
+  describe ".fi_over_nfa" do
+    subject { @policy.fi_over_nfa }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.01).of(0.01) } # FIXME: Make this not hard-coded
+  end
+
+  describe ".sales_over_noa" do
+    subject { @policy.sales_over_noa }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.01).of(2.00) } # FIXME: Make this not hard-coded
+  end
+end

data/spec/income_statement_analyses_spec.rb

@@ -0,0 +1,63 @@
+# income_statement_analyses_spec.rb
+
+require 'spec_helper'
+
+describe FinModeling::IncomeStatementAnalyses do
+  before(:all) do
+    @summary = FinModeling::CalculationSummary.new
+    @summary.title = "Title 123"
+    @summary.rows = [ ]
+    @summary.rows << FinModeling::CalculationRow.new(:key => "Revenue Growth", :type => :oa, :vals => [  4])
+    @summary.rows << FinModeling::CalculationRow.new(:key => "Sales / NOA", :type => :oa, :vals => [  4])
+    @summary.rows << FinModeling::CalculationRow.new(:key => "Operating PM", :type => :oa, :vals => [  4])
+    @summary.rows << FinModeling::CalculationRow.new(:key => "FI / NFA", :type => :oa, :vals => [  4])
+    @summary.rows << FinModeling::CalculationRow.new(:key => "Row", :type => :fa, :vals => [109])
+    @summary.rows << FinModeling::CalculationRow.new(:key => "Row", :type => :oa, :vals => [ 93])
+    @summary.rows << FinModeling::CalculationRow.new(:key => "Row", :type => :fa, :vals => [  1])
+  end
+
+  describe ".new" do
+    subject { FinModeling::IncomeStatementAnalyses.new(@summary) }
+
+    it { should be_a_kind_of FinModeling::CalculationSummary }
+    its(:title) { should == @summary.title }
+    its(:rows) { should == @summary.rows }
+    its(:header_row) { should == @summary.header_row }
+    its(:rows) { should == @summary.rows }
+    its(:num_value_columns) { should == @summary.num_value_columns }
+    its(:key_width) { should == @summary.key_width }
+    its(:val_width) { should == @summary.val_width }
+    its(:max_decimals) { should == @summary.max_decimals }
+    its(:totals_row_enabled) { should be_false }
+  end
+
+  describe ".print_extras" do
+    subject { FinModeling::IncomeStatementAnalyses.new(@summary) }
+
+    it { should respond_to(:print_extras) }
+  end
+
+  describe ".revenue_growth_row" do
+    subject { FinModeling::IncomeStatementAnalyses.new(@summary).revenue_growth_row }
+    it { should be_a FinModeling::CalculationRow }
+    its(:key) { should == "Revenue Growth" }
+  end
+
+  describe ".operating_pm_row" do
+    subject { FinModeling::IncomeStatementAnalyses.new(@summary).operating_pm_row }
+    it { should be_a FinModeling::CalculationRow }
+    its(:key) { should == "Operating PM" }
+  end
+
+  describe ".sales_over_noa_row" do
+    subject { FinModeling::IncomeStatementAnalyses.new(@summary).sales_over_noa_row }
+    it { should be_a FinModeling::CalculationRow }
+    its(:key) { should == "Sales / NOA" }
+  end
+
+  describe ".fi_over_nfa_row" do
+    subject { FinModeling::IncomeStatementAnalyses.new(@summary).fi_over_nfa_row }
+    it { should be_a FinModeling::CalculationRow }
+    its(:key) { should == "FI / NFA" }
+  end
+end

data/spec/income_statement_calculation_spec.rb

@@ -0,0 +1,88 @@
+# income_statement_calculation_spec.rb
+
+require 'spec_helper'
+
+describe FinModeling::IncomeStatementCalculation  do
+  before(:all) do
+    google_2010_q3_rpt = "http://www.sec.gov/Archives/edgar/data/1288776/000119312511282235/0001193125-11-282235-index.htm"
+    filing_q3 = FinModeling::AnnualReportFiling.download google_2010_q3_rpt
+    @prev_inc_stmt = filing_q3.income_statement
+
+    google_2011_annual_rpt = "http://www.sec.gov/Archives/edgar/data/1288776/000119312512025336/0001193125-12-025336-index.htm"
+    filing = FinModeling::AnnualReportFiling.download google_2011_annual_rpt
+    @inc_stmt = filing.income_statement
+    @period = @inc_stmt.periods.last
+  end
+
+  describe "net_income_calculation" do
+    it "returns a NetIncomeCalculation" do
+      @inc_stmt.net_income_calculation.should be_an_instance_of FinModeling::NetIncomeCalculation
+    end
+    it "returns the root node of the net income calculation" do
+      @inc_stmt.net_income_calculation.label.downcase.should match /net.*income/
+    end
+  end
+
+  describe "is_valid?" do
+    context "when no node contains the term 'tax'" do
+      #before(:all) do
+      #  @inc_stmt_no_taxes = FinModeling::Factory.IncomeStatementCalculation(:sheet => 'google 10-k 2011-12-31 income statement',
+      #                                                                       :delete_tax_item => true)
+      #end
+      it "returns false if none of the net income leaf nodes contains the term 'tax'" do
+        #@inc_stmt_no_taxes.is_valid?.should be_false
+        pending "no good way of setting up this test..."
+      end
+    end
+    context "when no node contains the terms 'sales' or 'revenue'" do
+      #before(:all) do
+      #  @inc_stmt_no_sales = FinModeling::Factory.IncomeStatementCalculation(:sheet => 'google 10-k 2011-12-31 income statement',
+      #                                                                       :delete_sales_item => true)
+      #end
+      it "returns false if none of the net income leaf nodes contains the term 'tax'" do
+        #@inc_stmt_no_sales.is_valid?.should be_false
+        pending "no good way of setting up this test..."
+      end
+    end
+    context "otherwise" do
+      subject { @inc_stmt.is_valid? }
+      it { should be_true }
+    end
+  end
+
+  describe "reformulated" do
+    subject { @inc_stmt.reformulated(@period) } 
+    it { should be_an_instance_of FinModeling::ReformulatedIncomeStatement }
+  end
+
+  describe "latest_quarterly_reformulated" do
+    subject{ @inc_stmt.latest_quarterly_reformulated(@prev_inc_stmt) }
+    it { should be_an_instance_of FinModeling::ReformulatedIncomeStatement }
+  end
+
+  describe "write_constructor" do
+    before(:all) do
+      file_name = "/tmp/finmodeling-inc-stmt.rb"
+      item_name = "@inc_stmt"
+      file = File.open(file_name, "w")
+      @inc_stmt.write_constructor(file, item_name)
+      file.close
+
+      eval(File.read(file_name))
+
+      @loaded_is = eval(item_name)
+    end
+
+    it "writes itself to a file, and when reloaded, has the same periods" do
+      expected_periods = @inc_stmt.periods.map{|x| x.to_pretty_s}.join(',')
+      @loaded_is.periods.map{|x| x.to_pretty_s}.join(',').should == expected_periods
+    end
+    it "writes itself to a file, and when reloaded, has the same net financing income" do
+      period = @inc_stmt.periods.yearly.last
+      expected_nfi = @inc_stmt.reformulated(period).net_financing_income.total
+      @loaded_is.reformulated(period).net_financing_income.total.should be_within(1.0).of(expected_nfi)
+    end
+  end
+
+end
+

data/spec/income_statement_item_spec.rb

@@ -0,0 +1,86 @@
+# period_array_spec.rb
+
+require 'spec_helper'
+
+describe FinModeling::IncomeStatementItem do
+
+  before(:all) do
+    #FinModeling::IncomeStatementItem.load_vectors_and_train(FinModeling::IncomeStatementItem::TRAINING_VECTORS)
+  end
+
+  describe "new" do
+    it "takes a string and returns a new IncomeStatementItem" do
+      isi = FinModeling::IncomeStatementItem.new("Cost of Goods Sold")
+      isi.should be_an_instance_of FinModeling::IncomeStatementItem
+    end
+  end
+
+  describe "train" do
+    it "trains the classifier that this ISI is of the given type" do
+      FinModeling::IncomeStatementItem.new("provision for income tax").train(:tax)
+    end
+  end
+
+  describe "classification_estimates" do
+    it "returns a hash with the confidence in each ISI type" do
+      isi = FinModeling::IncomeStatementItem.new("Cost of Services")
+
+      FinModeling::IncomeStatementItem::TYPES.each do |klass|
+        isi.classification_estimates.keys.include?(klass).should be_true
+      end
+    end
+  end
+
+  describe "classify" do
+    it "returns the ISI type with the highest probability estimate" do
+      isi = FinModeling::IncomeStatementItem.new("provision for income tax")
+      estimates = isi.classification_estimates
+      estimates[isi.classify].should be_within(0.1).of(estimates.values.max)
+    end
+  end
+
+  describe "load_vectors_and_train" do
+    # the before(:all) clause calls load_vectors_and_train already
+    # we can just focus, here, on its effects
+
+    it "loads vectors from a given file, trains on each example, and correctly classifies tax" do
+      isi = FinModeling::IncomeStatementItem.new("provision for income tax")
+      isi.classify.should == :tax
+    end
+
+    it "loads vectors from a given file, trains on each example, and correctly classifies revenue" do
+      isi = FinModeling::IncomeStatementItem.new("software licensing revenues net")
+      isi.classify.should == :or
+    end
+
+    it "classifies >95% correctly" do
+      num_items = 0
+      errors = []
+      FinModeling::IncomeStatementItem::TRAINING_VECTORS.each do |vector|
+        num_items += 1
+        isi = FinModeling::IncomeStatementItem.new(vector[:item_string])
+        if isi.classify != vector[:klass]
+          errors.push({ :isi=>isi.to_s, :expected=>vector[:klass], :got=>isi.classify })
+        end
+      end
+
+      pct_errors = errors.length.to_f / num_items
+      if pct_errors > 0.05
+        puts "errors: " + errors.inspect
+      end
+      pct_errors.should be < 0.05
+
+    end
+  end
+
+  describe "tokenize" do
+    it "returns an array of downcased 1-word, 2-word, and 3-word tokens" do
+      isi = FinModeling::IncomeStatementItem.new("Cost of Goods Sold")
+      expected_tokens  = ["^", "cost", "of", "goods", "sold", "$"]
+      expected_tokens += ["^ cost", "cost of", "of goods", "goods sold", "sold $"]
+      expected_tokens += ["^ cost of", "cost of goods", "of goods sold", "goods sold $"]
+      isi.tokenize.sort.should == expected_tokens.sort
+    end
+  end
+
+end

data/spec/liabs_and_equity_calculation_spec.rb

@@ -0,0 +1,20 @@
+# liabs_and_equity_calculation_spec.rb
+
+require 'spec_helper'
+
+describe FinModeling::LiabsAndEquityCalculation  do
+  before(:all) do
+    google_2011_annual_rpt = "http://www.sec.gov/Archives/edgar/data/1288776/000119312512025336/0001193125-12-025336-index.htm"
+    filing = FinModeling::AnnualReportFiling.download google_2011_annual_rpt
+    @bal_sheet = filing.balance_sheet
+    @period = @bal_sheet.periods.last
+    @lse = @bal_sheet.liabs_and_equity_calculation
+  end
+
+  describe "summary" do
+    it "only requires a period (knows how debts/credits work and whether to flip the total)" do
+      @lse.summary(:period=>@period).should be_an_instance_of FinModeling::CalculationSummary
+    end
+  end
+end
+

data/spec/liabs_and_equity_item_spec.rb

@@ -0,0 +1,66 @@
+# period_array_spec.rb
+
+require 'spec_helper'
+
+describe FinModeling::LiabsAndEquityItem do
+
+  before(:all) do
+    #FinModeling::LiabsAndEquityItem.load_vectors_and_train(FinModeling::LiabsAndEquityItem::TRAINING_VECTORS)
+  end
+
+  describe "new" do
+    it "takes a string and returns a new LiabsAndEquityItem" do
+      laei = FinModeling::LiabsAndEquityItem.new("Accounts Payable Current")
+      laei.should be_an_instance_of FinModeling::LiabsAndEquityItem
+    end
+  end
+
+  describe "train" do
+    it "trains the classifier that this LiabsAndEquityItem is of the given type" do
+      FinModeling::LiabsAndEquityItem.new("Accounts Payable Current").train(:ol)
+    end
+  end
+
+  describe "classification_estimates" do
+    it "returns a hash with the confidence in each LiabsAndEquityItem type" do
+      laei = FinModeling::LiabsAndEquityItem.new("Accounts Payable Current")
+
+      FinModeling::LiabsAndEquityItem::TYPES.each do |klass|
+        laei.classification_estimates.keys.include?(klass).should be_true
+      end
+    end
+  end
+
+  describe "classify" do
+    it "returns the LiabsAndEquityItem type with the highest probability estimate" do
+      laei = FinModeling::LiabsAndEquityItem.new("Accounts Payable Current")
+      estimates = laei.classification_estimates
+      estimates[laei.classify].should be_within(0.1).of(estimates.values.max)
+    end
+  end
+
+  describe "load_vectors_and_train" do
+    # the before(:all) clause calls load_vectors_and_train already
+    # we can just focus, here, on its effects
+
+    it "classifies >95% correctly" do
+      num_items = 0
+      errors = []
+      FinModeling::LiabsAndEquityItem::TRAINING_VECTORS.each do |vector|
+        num_items += 1
+        laei = FinModeling::LiabsAndEquityItem.new(vector[:item_string])
+        if laei.classify != vector[:klass]
+          errors.push({ :laei=>laei.to_s, :expected=>vector[:klass], :got=>laei.classify })
+        end
+      end
+
+      pct_errors = errors.length.to_f / num_items
+      if pct_errors > 0.05
+        puts "errors: " + errors.inspect
+      end
+      pct_errors.should be < 0.05
+
+    end
+  end
+
+end

data/spec/mocks/calculation.rb

@@ -0,0 +1,10 @@
+module FinModeling
+  module Mocks
+    class Calculation
+      attr_accessor :label
+      def initialize
+        @label = "Dummy"
+      end
+    end
+  end
+end