finmagic 1.0.0 → 1.0.2

package/package.json

@@ -2,7 +2,7 @@
   "name": "finmagic",
   "author": "Mohammad Esmaeilzadeh",
   "description": "A TypeScript library for essential financial, technical, and statistical calculations.",
-  "version": "1.0.0",
+  "version": "1.0.2",
   "license": "MIT",
   "repository": {
     "type": "git",
@@ -29,6 +29,9 @@
   "main": "dist/index.cjs.js",
   "module": "dist/index.esm.js",
   "types": "dist/index.d.ts",
+  "files": [
+    "dist"
+  ],
   "scripts": {
     "build": "rollup -c",
     "test": "jest"

package/jest.config.cjs

@@ -1,9 +0,0 @@
-module.exports = {
-  preset: 'ts-jest',
-  testEnvironment: 'node',
-  roots: ['<rootDir>/tests'],
-  moduleFileExtensions: ['ts', 'js', 'json', 'node'],
-  transform: {
-    '^.+\\.ts$': 'ts-jest'
-  }
-};

package/rollup.config.ts

@@ -1,29 +0,0 @@
-import typescript from '@rollup/plugin-typescript';
-import resolve from '@rollup/plugin-node-resolve';
-
-export default [
-  {
-    input: 'src/index.ts',
-    output: {
-      file: 'dist/index.esm.js',
-      format: 'esm',
-      sourcemap: true
-    },
-    plugins: [
-      resolve(),
-      typescript({ tsconfig: './tsconfig.json' })
-    ]
-  },
-  {
-    input: 'src/index.ts',
-    output: {
-      file: 'dist/index.cjs.js',
-      format: 'cjs',
-      sourcemap: true
-    },
-    plugins: [
-      resolve(),
-      typescript({ tsconfig: './tsconfig.json' })
-    ]
-  }
-];

package/src/financial.ts

@@ -1,29 +0,0 @@
-export const PV = (futureValue: number, rate: number, periods: number): number => {
-  return futureValue / Math.pow(1 + rate, periods);
-}
-
-export const FV = (presentValue: number, rate: number, periods: number): number => {
-  return presentValue * Math.pow(1 + rate, periods);
-}
-
-export const NPV = (rate: number, cashFlows: number[]): number => {
-  return cashFlows.reduce((acc, cf, i) => acc + cf / Math.pow(1 + rate, i + 1), 0);
-}
-
-export const IRR = (cashFlows: number[], guess = 0.1): number => {
-  let rate = guess;
-  let iteration = 0;
-  const maxIter = 1000;
-  const tol = 1e-6;
-
-  while (iteration < maxIter) {
-    const npv = cashFlows.reduce((acc, cf, i) => acc + cf / Math.pow(1 + rate, i), 0);
-    const derivative = cashFlows.reduce((acc, cf, i) => acc - (i * cf) / Math.pow(1 + rate, i + 1), 0);
-    const newRate = rate - npv / derivative;
-    if (Math.abs(newRate - rate) < tol) break;
-    rate = newRate;
-    iteration++;
-  }
-
-  return rate;
-}

package/src/index.ts

@@ -1,7 +0,0 @@
-export * from './price';
-export * from './moving';
-export * from './financial';
-export * from './ratios';
-export * from './risk';
-export * from './volume';
-export * from './statistics';

package/src/moving.ts

@@ -1,10 +0,0 @@
-export const SMA = (data: number[], period: number): number => {
-  const slice = data.slice(-period);
-  const sum = slice.reduce((a, b) => a + b, 0);
-  return sum / slice.length;
-}
-
-export const EMA = (data: number[], period: number): number => {
-  const k = 2 / (period + 1);
-  return data.reduce((prev, curr) => curr * k + prev * (1 - k));
-}

package/src/price.ts

@@ -1,11 +0,0 @@
-export const percentChange = (current: number, previous: number): number => {
-  return ((current - previous) / previous) * 100;
-}
-
-export const dailyReturn = (current: number, previous: number): number => {
-  return percentChange(current, previous);
-}
-
-export const cumulativeReturn = (returns: number[]): number => {
-  return returns.reduce((acc, r) => acc * (1 + r / 100), 1) - 1;
-}

package/src/ratios.ts

@@ -1,25 +0,0 @@
-export const PE = (price: number, eps: number): number => {
-  return price / eps;
-}
-
-export const PB = (price: number, bookValue: number): number => {
-  return price / bookValue;
-}
-
-export const DividendYield = (dividend: number, price: number): number => {
-  return (dividend / price) * 100;
-}
-
-export const Beta = (covariance: number, marketVariance: number): number => {
-  return covariance / marketVariance;
-}
-
-export const Alpha = (actualReturn: number, expectedReturn: number): number => {
-  return actualReturn - expectedReturn;
-}
-
-export const Sharpe = (returns: number[], riskFreeRate = 0): number => {
-  const avg = returns.reduce((a, b) => a + b, 0) / returns.length;
-  const std = Math.sqrt(returns.reduce((a, b) => a + Math.pow(b - avg, 2), 0) / returns.length);
-  return (avg - riskFreeRate) / std;
-}

package/src/risk.ts

@@ -1,16 +0,0 @@
-export const volatility = (returns: number[]): number => {
-  const mean = returns.reduce((a, b) => a + b, 0) / returns.length;
-  return Math.sqrt(returns.reduce((a, b) => a + Math.pow(b - mean, 2), 0) / returns.length);
-}
-
-export const positionSizing = (accountBalance: number, riskPercent: number, stopLossDistance: number): number => {
-  return (accountBalance * riskPercent) / stopLossDistance;
-}
-
-export const stopLoss = (entryPrice: number, riskDistance: number): number => {
-  return entryPrice - riskDistance;
-}
-
-export const takeProfit = (entryPrice: number, profitDistance: number): number => {
-  return entryPrice + profitDistance;
-}

package/src/statistics.ts

@@ -1,12 +0,0 @@
-export const covariance = (a: number[], b: number[]): number => {
-  const meanA = a.reduce((x, y) => x + y, 0) / a.length;
-  const meanB = b.reduce((x, y) => x + y, 0) / b.length;
-  return a.reduce((acc, val, i) => acc + (val - meanA) * (b[i] - meanB), 0) / a.length;
-}
-
-export const correlation = (a: number[], b: number[]): number => {
-  const cov = covariance(a, b);
-  const stdA = Math.sqrt(a.reduce((acc, val) => acc + Math.pow(val - a.reduce((x,y)=>x+y,0)/a.length,2),0)/a.length);
-  const stdB = Math.sqrt(b.reduce((acc, val) => acc + Math.pow(val - b.reduce((x,y)=>x+y,0)/b.length,2),0)/b.length);
-  return cov / (stdA * stdB);
-}

package/src/volume.ts

@@ -1,12 +0,0 @@
-export const VWAP = (prices: number[], volumes: number[]): number => {
-  const totalVolume = volumes.reduce((a, b) => a + b, 0);
-  const weightedSum = prices.reduce((sum, price, i) => sum + price * volumes[i], 0);
-  return weightedSum / totalVolume;
-}
-
-export const accumulationDistribution = (priceClose: number[], priceOpen: number[], volume: number[]): number => {
-  return priceClose.reduce((acc, close, i) => {
-    const mfm = ((close - priceOpen[i]) / (priceClose[i] - priceOpen[i])) || 0;
-    return acc + mfm * volume[i];
-  }, 0);
-}

package/tests/financial.test.ts

@@ -1,20 +0,0 @@
-import { PV, FV, NPV, IRR } from '../src/financial';
-
-describe('Financial calculations', () => {
-  test('PV calculates present value', () => {
-    expect(PV(1000, 0.1, 5)).toBeCloseTo(620.921, 2);
-  });
-
-  test('FV calculates future value', () => {
-    expect(FV(1000, 0.1, 5)).toBeCloseTo(1610.51, 2);
-  });
-
-  test('NPV calculates net present value', () => {
-    expect(NPV(0.1, [-1000, 200, 300, 500])).toBeCloseTo(-176.9, 1);
-  });
-
-  test('IRR calculates internal rate of return', () => {
-    const rate = IRR([-1000, 200, 300, 500]);
-    expect(rate).toBeCloseTo(-0.000000668, 6);
-  });
-});

package/tests/moving.test.ts

@@ -1,11 +0,0 @@
-import { SMA, EMA } from '../src/moving';
-
-describe('Moving averages', () => {
-  test('SMA calculates simple moving average', () => {
-    expect(SMA([1,2,3,4,5], 5)).toBe(3);
-  });
-
-  test('EMA calculates exponential moving average', () => {
-    expect(EMA([1,2,3,4,5], 3)).toBeCloseTo(4.0625, 4);
-  });
-});

package/tests/price.test.ts

@@ -1,17 +0,0 @@
-import { percentChange, dailyReturn, cumulativeReturn } from '../src/price';
-
-describe('Price calculations', () => {
-  test('percentChange calculates correct percentage', () => {
-    expect(percentChange(110, 100)).toBe(10);
-    expect(percentChange(90, 100)).toBe(-10);
-  });
-
-  test('dailyReturn uses percentChange', () => {
-    expect(dailyReturn(105, 100)).toBe(5);
-  });
-
-  test('cumulativeReturn calculates cumulative growth', () => {
-    const returns = [5, 3, 2];
-    expect(cumulativeReturn(returns)).toBeCloseTo(0.107);
-  });
-});

package/tests/ratios.test.ts

@@ -1,28 +0,0 @@
-import { PE, PB, DividendYield, Beta, Alpha, Sharpe } from '../src/ratios';
-
-describe('Financial ratios', () => {
-  test('PE ratio', () => {
-    expect(PE(50,5)).toBe(10);
-  });
-
-  test('PB ratio', () => {
-    expect(PB(50,20)).toBe(2.5);
-  });
-
-  test('DividendYield', () => {
-    expect(DividendYield(2,50)).toBe(4);
-  });
-
-  test('Beta calculation', () => {
-    expect(Beta(0.2,0.1)).toBe(2);
-  });
-
-  test('Alpha calculation', () => {
-    expect(Alpha(0.15,0.1)).toBeCloseTo(0.049999, 5);
-  });
-
-  test('Sharpe ratio', () => {
-    const returns = [0.01,0.02,0.03];
-    expect(Sharpe(returns)).toBeCloseTo(2.4495, 4);
-  });
-});

package/tests/risk.test.ts

@@ -1,20 +0,0 @@
-import { volatility, positionSizing, stopLoss, takeProfit } from '../src/risk';
-
-describe('Risk management', () => {
-  test('volatility calculation', () => {
-    const returns = [0.01, -0.02, 0.03];
-    expect(volatility(returns)).toBeCloseTo(0.025, 2);
-  });
-
-  test('positionSizing', () => {
-    expect(positionSizing(10000,0.02,5)).toBe(40);
-  });
-
-  test('stopLoss', () => {
-    expect(stopLoss(100,5)).toBe(95);
-  });
-
-  test('takeProfit', () => {
-    expect(takeProfit(100,10)).toBe(110);
-  });
-});

package/tests/statistics.test.ts

@@ -1,11 +0,0 @@
-import { covariance, correlation } from '../src/statistics';
-
-describe('Statistics', () => {
-  test('covariance', () => {
-    expect(covariance([1,2,3],[4,5,6])).toBe(0.6666666666666666);
-  });
-
-  test('correlation', () => {
-    expect(correlation([1,2,3],[4,5,6])).toBeCloseTo(1,2);
-  });
-});

package/tests/volume.test.ts

@@ -1,16 +0,0 @@
-import { VWAP, accumulationDistribution } from '../src/volume';
-
-describe('Volume calculations', () => {
-  test('VWAP calculation', () => {
-    const prices = [100,102,101];
-    const volumes = [50,60,40];
-    expect(VWAP(prices, volumes)).toBeCloseTo(101.0666666667, 4);
-  });
-
-  test('AccumulationDistribution', () => {
-    const close = [10,12];
-    const open = [9,11];
-    const volume = [100,200];
-    expect(accumulationDistribution(close, open, volume)).toBe(300);
-  });
-});

package/tsconfig.json

@@ -1,13 +0,0 @@
-{
-  "compilerOptions": {
-    "target": "ES2020",
-    "module": "ESNext",
-    "strict": true,
-    "declaration": true,
-    "declarationDir": "dist",
-    "esModuleInterop": true,
-    "moduleResolution": "node",
-    "outDir": "dist"
-  },
-  "include": ["src"]
-}