finmodeling 0.1

data/spec/reformulated_income_statement_spec.rb

@@ -0,0 +1,293 @@
+# reformulated_income_statement_spec.rb
+
+require 'spec_helper'
+
+describe FinModeling::ReformulatedIncomeStatement  do
+  before(:all) do
+    google_2009_annual_rpt = "http://www.sec.gov/Archives/edgar/data/1288776/000119312510030774/0001193125-10-030774-index.htm"
+    @filing_2009 = FinModeling::AnnualReportFiling.download google_2009_annual_rpt
+
+    google_2011_annual_rpt = "http://www.sec.gov/Archives/edgar/data/1288776/000119312512025336/0001193125-12-025336-index.htm"
+    @filing_2011 = FinModeling::AnnualReportFiling.download google_2011_annual_rpt
+
+    @years_between_stmts = 2.0
+
+    @inc_stmt_2009 = @filing_2009.income_statement
+    is_period_2009 = @inc_stmt_2009.periods.last
+    @reformed_inc_stmt_2009 = @inc_stmt_2009.reformulated(is_period_2009)
+
+    @bal_sheet_2009 = @filing_2009.balance_sheet
+    bs_period_2009 = @bal_sheet_2009.periods.last
+    @reformed_bal_sheet_2009 = @bal_sheet_2009.reformulated(bs_period_2009)
+
+    @inc_stmt_2011 = @filing_2011.income_statement
+    is_period_2011 = @inc_stmt_2011.periods.last
+    @reformed_inc_stmt_2011 = @inc_stmt_2011.reformulated(is_period_2011)
+
+    @bal_sheet_2011 = @filing_2011.balance_sheet
+    bs_period_2011 = @bal_sheet_2011.periods.last
+    @reformed_bal_sheet_2011 = @bal_sheet_2011.reformulated(bs_period_2011)
+  end
+
+  describe "operating_revenues" do
+    subject { @reformed_inc_stmt_2011.operating_revenues }
+    it { should be_an_instance_of FinModeling::CalculationSummary }
+    its(:total) { should be_within(0.1).of(37905000000.0) }
+  end
+
+  describe "cost_of_revenues" do
+    subject { @reformed_inc_stmt_2011.cost_of_revenues }
+    it { should be_an_instance_of FinModeling::CalculationSummary }
+    its(:total) { should be_within(0.1).of(-13188000000.0) }
+  end
+
+  describe "gross_revenue" do
+    subject { @reformed_inc_stmt_2011.gross_revenue }
+    it { should be_an_instance_of FinModeling::CalculationSummary }
+    its(:total) { should be_within(0.1).of( @reformed_inc_stmt_2011.operating_revenues.total + 
+                                            @reformed_inc_stmt_2011.cost_of_revenues.total) }
+  end
+
+  describe "operating_expenses" do
+    subject { @reformed_inc_stmt_2011.operating_expenses }
+    it { should be_an_instance_of FinModeling::CalculationSummary }
+    its(:total) { should be_within(0.1).of(-12475000000.0) }
+  end
+
+  describe "income_from_sales_before_tax" do
+    subject { @reformed_inc_stmt_2011.income_from_sales_before_tax }
+    it { should be_an_instance_of FinModeling::CalculationSummary }
+    its(:total) { should be_within(0.1).of( @reformed_inc_stmt_2011.gross_revenue.total + 
+                                            @reformed_inc_stmt_2011.operating_expenses.total) }
+  end
+
+  describe "income_from_sales_after_tax" do
+    subject { @reformed_inc_stmt_2011.income_from_sales_after_tax }
+    it { should be_an_instance_of FinModeling::CalculationSummary }
+    its(:total) { should be_within(0.1).of(9682400000.0) }
+  end
+
+  describe "operating_income_after_tax" do
+    subject { @reformed_inc_stmt_2011.operating_income_after_tax }
+    it { should be_an_instance_of FinModeling::CalculationSummary }
+    its(:total) { should be_within(0.1).of(9357400000.0) }
+  end
+
+  describe "net_financing_income" do
+    subject { @reformed_inc_stmt_2011.net_financing_income }
+    it { should be_an_instance_of FinModeling::CalculationSummary }
+    its(:total) { should be_within(0.1).of(379600000.0) }
+  end
+
+  describe "comprehensive_income" do
+    subject { @reformed_inc_stmt_2011.comprehensive_income }
+    it { should be_an_instance_of FinModeling::CalculationSummary }
+    its(:total) { should be_within(0.1).of(9737000000.0) }
+  end
+
+  describe "gross_margin" do
+    subject { @reformed_inc_stmt_2011.gross_margin }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.1).of(@reformed_inc_stmt_2011.gross_revenue.total / @reformed_inc_stmt_2011.operating_revenues.total) }
+  end
+
+  describe "sales_profit_margin" do
+    subject { @reformed_inc_stmt_2011.sales_profit_margin }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.1).of(@reformed_inc_stmt_2011.income_from_sales_after_tax.total / @reformed_inc_stmt_2011.operating_revenues.total) }
+  end
+
+  describe "operating_profit_margin" do
+    subject { @reformed_inc_stmt_2011.operating_profit_margin }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.1).of(@reformed_inc_stmt_2011.operating_income_after_tax.total / @reformed_inc_stmt_2011.operating_revenues.total) }
+  end
+
+  describe "fi_over_sales" do
+    subject { @reformed_inc_stmt_2011.fi_over_sales }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.1).of(@reformed_inc_stmt_2011.net_financing_income.total / @reformed_inc_stmt_2011.operating_revenues.total) }
+  end
+
+  describe "ni_over_sales" do
+    subject { @reformed_inc_stmt_2011.ni_over_sales }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.1).of(@reformed_inc_stmt_2011.comprehensive_income.total / @reformed_inc_stmt_2011.operating_revenues.total) }
+  end
+
+  describe "sales_over_noa" do
+    subject { @reformed_inc_stmt_2011.sales_over_noa(@reformed_bal_sheet_2011) }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.1).of(@reformed_inc_stmt_2011.operating_revenues.total / @reformed_bal_sheet_2011.net_operating_assets.total) }
+  end
+
+  describe "fi_over_nfa" do
+    subject { @reformed_inc_stmt_2011.fi_over_nfa(@reformed_bal_sheet_2011) }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.1).of(@reformed_inc_stmt_2011.net_financing_income.total / @reformed_bal_sheet_2011.net_financial_assets.total) }
+  end
+
+  describe "revenue_growth" do
+    before(:all) do
+      rev0 = @reformed_inc_stmt_2009.operating_revenues.total
+      rev1 = @reformed_inc_stmt_2011.operating_revenues.total
+      @expected_growth = (rev1 / rev0)**(1.0/@years_between_stmts) - 1.0
+    end
+    subject { @reformed_inc_stmt_2011.revenue_growth(@reformed_inc_stmt_2009) }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.1).of(@expected_growth) }
+  end
+
+  describe "core_oi_growth" do
+    before(:all) do
+      core_oi0 = @reformed_inc_stmt_2009.income_from_sales_after_tax.total
+      core_oi1 = @reformed_inc_stmt_2011.income_from_sales_after_tax.total
+      @expected_growth = (core_oi1 / core_oi0)**(1.0/@years_between_stmts) - 1.0
+    end
+    subject { @reformed_inc_stmt_2011.core_oi_growth(@reformed_inc_stmt_2009) }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.1).of(@expected_growth) }
+  end
+
+  describe "oi_growth" do
+    before(:all) do
+      core_oi0 = @reformed_inc_stmt_2009.operating_income_after_tax.total
+      core_oi1 = @reformed_inc_stmt_2011.operating_income_after_tax.total
+      @expected_growth = (core_oi1 / core_oi0)**(1.0/@years_between_stmts) - 1.0
+    end
+    subject { @reformed_inc_stmt_2011.oi_growth(@reformed_inc_stmt_2009) }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.1).of(@expected_growth) }
+  end
+
+  describe "re_oi" do
+    before(:all) do
+      @expected_rate_of_return = 0.10
+      @expected_re_oi = 6868337409.999998
+    end
+    subject { @reformed_inc_stmt_2011.re_oi(@reformed_bal_sheet_2009, @expected_rate_of_return) }
+    it { should be_an_instance_of Float }
+    it { should be_within(0.1).of(@expected_re_oi) }
+  end
+
+  describe "analysis" do
+    subject {@reformed_inc_stmt_2011.analysis(@reformed_bal_sheet_2011, @reformed_inc_stmt_2009, @reformed_bal_sheet_2009) }
+
+    it { should be_an_instance_of FinModeling::CalculationSummary }
+    it "contains the expected rows" do
+      expected_keys = [ "Revenue ($MM)", "Core OI ($MM)", "OI ($MM)", "FI ($MM)",
+                        "NI ($MM)", "Gross Margin", "Sales PM", "Operating PM",
+                        "FI / Sales", "NI / Sales", "Sales / NOA", "FI / NFA",
+                        "Revenue Growth", "Core OI Growth", "OI Growth", "ReOI ($MM)" ]
+
+      subject.rows.map{ |row| row.key }.should == expected_keys
+    end
+  end
+
+  describe "-" do
+    before(:all) do
+      google_2011_q3_rpt = "http://www.sec.gov/Archives/edgar/data/1288776/000119312511282235/0001193125-11-282235-index.htm"
+      @filing_2011_q3 = FinModeling::AnnualReportFiling.download google_2011_q3_rpt 
+  
+      @inc_stmt_2011_q3 = @filing_2011_q3.income_statement
+      is_period_2011_q3 = @inc_stmt_2011_q3.periods.threequarterly.last
+      @reformed_inc_stmt_2011_q3 = @inc_stmt_2011_q3.reformulated(is_period_2011_q3)
+
+      @diff = @reformed_inc_stmt_2011 - @reformed_inc_stmt_2011_q3
+    end
+    subject { @diff }
+
+    it { should be_an_instance_of FinModeling::ReformulatedIncomeStatement }
+    its(:period) { should_not be_nil } # FIXME
+
+    it "returns the difference between the two re_is's for each calculation" do
+      methods = [ :operating_revenues, :cost_of_revenues, :gross_revenue,
+                  :operating_expenses, :income_from_sales_before_tax,
+                  :income_from_sales_after_tax, :operating_income_after_tax,
+                  :net_financing_income, :comprehensive_income ]
+                  #:gross_margin, :sales_profit_margin, :operating_profit_margin,
+                  #:fi_over_sales, :ni_over_sales, :sales_over_noa,
+                  #:fi_over_nfa, :revenue_growth, :core_oi_growth,
+                  #:oi_growth, :re_oi ]
+
+      methods.each do |method|
+        expected_val = @reformed_inc_stmt_2011.send(method).total - @reformed_inc_stmt_2011_q3.send(method).total
+        @diff.send(method).total.should be_within(1.0).of(expected_val)
+      end
+    end
+
+    it "returns values that are close to 1/4th of the annual value" do
+      methods = [ :operating_revenues, :cost_of_revenues, :gross_revenue,
+                  :operating_expenses, :income_from_sales_before_tax,
+                  :income_from_sales_after_tax, :operating_income_after_tax,
+                  #:net_financing_income, 
+                  :comprehensive_income ]
+                  #:gross_margin, :sales_profit_margin, :operating_profit_margin,
+                  #:fi_over_sales, :ni_over_sales, :sales_over_noa,
+                  #:fi_over_nfa, :revenue_growth, :core_oi_growth,
+                  #:oi_growth, :re_oi ]
+
+      methods.each do |method|
+        orig = @reformed_inc_stmt_2011.send(method).total
+        max = (orig > 0) ? (0.35 * orig) : (0.15 * orig)
+        min = (orig > 0) ? (0.15 * orig) : (0.35 * orig)
+        actual = @diff.send(method).total
+        if (actual < min) || (actual > max)
+          err = "#{method} returns #{actual.to_nearest_thousand.to_s.with_thousands_separators}, "
+          err += "which is outside bounds: [#{min.to_nearest_thousand.to_s.with_thousands_separators}, "
+          err += "#{max.to_nearest_thousand.to_s.with_thousands_separators}]"
+          puts err
+        end
+        @diff.send(method).total.should be > min
+        @diff.send(method).total.should be < max
+      end
+    end
+  end
+
+  describe "#forecast_next" do
+    before (:all) do
+      @company = FinModeling::Company.find("aapl")
+      @filings = FinModeling::CompanyFilings.new(@company.filings_since_date(Time.parse("2010-10-01")))
+      @policy = FinModeling::GenericForecastingPolicy.new
+  
+      prev_bs_period = @filings.last.balance_sheet.periods.last
+      next_bs_period_value = prev_bs_period.value.next_month.next_month.next_month
+      @next_bs_period = Xbrlware::Context::Period.new(next_bs_period_value)
+  
+      next_is_period_value = {"start_date" => prev_bs_period.value,
+                              "end_date"   => prev_bs_period.value.next_month.next_month.next_month }
+      @next_is_period = Xbrlware::Context::Period.new(next_is_period_value)
+    end
+
+    let(:last_re_bs) { @filings.last.balance_sheet.reformulated(@filings.last.balance_sheet.periods.last) }
+    let(:last_re_is) { @filings.last.income_statement.latest_quarterly_reformulated(nil) }
+    let(:next_re_is) { FinModeling::ReformulatedIncomeStatement.forecast_next(@next_is_period, @policy, last_re_bs, last_re_is) }
+    let(:next_re_bs) { FinModeling::ReformulatedBalanceSheet.forecast_next(@next_bs_period, @policy, last_re_bs, next_re_is) }
+
+    subject { next_re_is }
+
+    it { should be_a_kind_of FinModeling::ReformulatedIncomeStatement } 
+    it "should have the given period" do
+      subject.period.to_pretty_s == @next_is_period.to_pretty_s
+    end
+    it "should set operating_revenue to last year's revenue times the revenue growth" do
+      expected_val = last_re_is.operating_revenues.total * (1.0 + FinModeling::Rate.new(@policy.revenue_growth).annualize(from=365, to=365/4.0))
+      subject.operating_revenues.total.should == expected_val
+    end
+    it "should set OISAT to operating revenue times sales PM" do
+      expected_val = subject.operating_revenues.total * @policy.sales_pm
+      subject.income_from_sales_after_tax.total.should == expected_val
+    end
+    it "should set NFI to fi_over_nfa times last year's NFA" do
+      expected_val = last_re_bs.net_financial_assets.total * (@policy.fi_over_nfa/4)
+      subject.net_financing_income.total.should == expected_val
+    end
+    it "should set comprehensive income to OISAT plus NFI" do
+      expected_val = subject.income_from_sales_after_tax.total + subject.net_financing_income.total
+      subject.comprehensive_income.total.should == expected_val
+    end
+    it "should have an empty analysis (with the same rows)" do
+      subject.analysis(next_re_bs, last_re_is, last_re_bs)
+    end
+  end
+end

data/spec/spec_helper.rb

@@ -0,0 +1,5 @@
+require 'finmodeling'
+
+require 'mocks/sec_query'
+require 'mocks/calculation'
+

data/spec/string_helpers_spec.rb

@@ -0,0 +1,23 @@
+# string_helpers_spec.rb
+
+require 'spec_helper'
+
+describe String do
+  describe "matches_regexes?" do
+    it "returns false if no regexes are provided" do
+      s = "asdfasdf"
+      regexes = []
+      s.matches_regexes?(regexes).should be_false
+    end
+    it "returns false if the string does not match any of the regexes" do
+      s = "asdfasdf"
+      regexes = [/\d/, /[A-Z]/]
+      s.matches_regexes?(regexes).should be_false
+    end
+    it "returns true if the string matches one or more of the regexes" do
+      s = "asdfasdf"
+      regexes = [/sdf/, /ddd/, /af+/]
+      s.matches_regexes?(regexes).should be_true
+    end
+  end
+end

data/tools/create_balance_sheet_training_vectors.rb

@@ -0,0 +1,65 @@
+#!/usr/bin/env ruby
+
+$LOAD_PATH << "."
+
+require 'finmodeling'
+
+def get_args
+  if ARGV.length != 2
+    puts "usage #{__FILE__} <stock symbol or report URL> <assets | liabilities>"
+    exit
+  end
+
+  args = { :stock_symbol => nil, :filing_url => nil, :assets_or_liabs => nil }
+  arg = ARGV[0]
+  if arg =~ /http/
+    args[:filing_url] = arg
+  else
+    args[:stock_symbol] = arg.downcase
+  end
+  case ARGV[1]
+    when "assets"
+      args[:assets_or_liabs] = "assets"
+    when "liabilities"
+      args[:assets_or_liabs] = "liabilities"
+    else
+      puts "usage #{__FILE__} <stock symbol or report URL> <assets | liabilities>"
+      exit
+  end
+
+  return args
+end
+
+def get_company_filing_url(stock_symbol)
+  company = FinModeling::Company.find(stock_symbol)
+  raise RuntimeError.new("couldn't find company") if company.nil?
+  raise RuntimeError.new("company has no annual reports") if company.annual_reports.length == 0
+  filing_url = company.annual_reports.last.link
+
+  return filing_url
+end
+
+def get_filing(filing_url)
+  filing = FinModeling::AnnualReportFiling.download(filing_url)
+  return filing
+end
+
+def print_assets(filing)
+  period = filing.balance_sheet.assets_calculation.periods.last
+  items = filing.balance_sheet.assets_calculation.leaf_items(period)
+  items.each { |item| puts item.pretty_name }
+  puts
+end
+
+def print_liabilities(filing)
+  period = filing.balance_sheet.liabs_and_equity_calculation.periods.last
+  items = filing.balance_sheet.liabs_and_equity_calculation.leaf_items(period)
+  items.each { |item| puts item.pretty_name }
+  puts
+end
+
+args = get_args
+filing_url = args[:filing_url] || get_company_filing_url(args[:stock_symbol])
+filing = get_filing(filing_url)
+print_assets(filing)      if args[:assets_or_liabs] == "assets"
+print_liabilities(filing) if args[:assets_or_liabs] == "liabilities"

data/tools/create_cash_change_training_vectors.rb

@@ -0,0 +1,48 @@
+#!/usr/bin/env ruby
+
+$LOAD_PATH << "."
+
+require 'finmodeling'
+
+def get_args
+  if ARGV.length != 1
+    puts "usage #{__FILE__} <stock symbol or report URL>"
+    exit
+  end
+
+  args = { :stock_symbol => nil, :filing_url => nil }
+  arg = ARGV[0]
+  if arg =~ /http/
+    args[:filing_url] = arg
+  else
+    args[:stock_symbol] = arg.downcase
+  end
+
+  return args
+end
+
+def get_company_filing_url(stock_symbol)
+  company = FinModeling::Company.find(stock_symbol)
+  raise RuntimeError.new("couldn't find company") if company.nil?
+  raise RuntimeError.new("company has no annual reports") if company.annual_reports.length == 0
+  filing_url = company.annual_reports.last.link
+
+  return filing_url
+end
+
+def get_filing(filing_url)
+  filing = FinModeling::AnnualReportFiling.download(filing_url)
+  return filing
+end
+
+def print_items(filing)
+  items =  filing.cash_flow_statement.cash_change_calculation.leaf_items
+  items.each do |item| 
+    puts "                         { :cci_type=>:c, :item_string=>\"#{item.pretty_name}\" }," 
+  end
+end
+
+args = get_args
+filing_url = args[:filing_url] || get_company_filing_url(args[:stock_symbol])
+filing = get_filing(filing_url)
+print_items(filing)

data/tools/create_credit_debit_training_vectors.rb

@@ -0,0 +1,51 @@
+#!/usr/bin/env ruby
+
+$LOAD_PATH << "."
+
+require 'finmodeling'
+
+def get_args
+  if ARGV.length != 1
+    puts "usage #{__FILE__} <stock symbol or report URL>"
+    exit
+  end
+
+  args = { :stock_symbol => nil, :filing_url => nil }
+  arg = ARGV[0]
+  if arg =~ /http/
+    args[:filing_url] = arg
+  else
+    args[:stock_symbol] = arg.downcase
+  end
+
+  return args
+end
+
+def get_company_filing_url(stock_symbol)
+  company = FinModeling::Company.find(stock_symbol)
+  raise RuntimeError.new("couldn't find company") if company.nil?
+  raise RuntimeError.new("company has no annual reports") if company.annual_reports.length == 0
+  filing_url = company.annual_reports.last.link
+
+  return filing_url
+end
+
+def get_filing(filing_url)
+  filing = FinModeling::AnnualReportFiling.download(filing_url)
+  return filing
+end
+
+def print_items(filing)
+  items =  filing.balance_sheet.leaf_items
+  items += filing.income_statement.leaf_items
+  items.each do |item| 
+    if !item.def.nil?
+      puts "{ :balance_defn=>:#{item.def["xbrli:balance"]}, :item_string=>\"#{item.pretty_name}\" }," 
+    end
+  end
+end
+
+args = get_args
+filing_url = args[:filing_url] || get_company_filing_url(args[:stock_symbol])
+filing = get_filing(filing_url)
+print_items(filing)

data/tools/create_income_statement_training_vectors.rb

@@ -0,0 +1,48 @@
+#!/usr/bin/env ruby
+
+$LOAD_PATH << "."
+
+require 'finmodeling'
+
+def get_args
+  if ARGV.length != 1
+    puts "usage #{__FILE__} <stock symbol or report URL>"
+    exit
+  end
+
+  args = { :stock_symbol => nil, :filing_url => nil }
+  arg = ARGV[0]
+  if arg =~ /http/
+    args[:filing_url] = arg
+  else
+    args[:stock_symbol] = arg.downcase
+  end
+
+  return args
+end
+
+def get_company_filing_url(stock_symbol)
+  company = FinModeling::Company.find(stock_symbol)
+  raise RuntimeError.new("couldn't find company") if company.nil?
+  raise RuntimeError.new("company has no annual reports") if company.annual_reports.length == 0
+  filing_url = company.annual_reports.last.link
+
+  return filing_url
+end
+
+def get_filing(filing_url)
+  filing = FinModeling::AnnualReportFiling.download(filing_url)
+  return filing
+end
+
+def print_income_statement(filing)
+  period = filing.income_statement.net_income_calculation.periods.yearly.last
+  items = filing.income_statement.net_income_calculation.leaf_items(period)
+  items.each { |item| puts item.pretty_name }
+  puts
+end
+
+args = get_args
+filing_url = args[:filing_url] || get_company_filing_url(args[:stock_symbol])
+filing = get_filing(filing_url)
+print_income_statement(filing) #if filing.is_valid?