kmv3.py

# -*- coding: utf-8 -*-
import commons
import math, time, linecache

def get_fund1(sigmaP, sigmaVi, nd1, d1):
    temp = math.log((sigmaP * commons.EQUITY) / (nd1 * sigmaVi * commons.D))
    numerator = temp + (commons.R + 0.5 * sigmaVi * sigmaVi) * commons.T
    denominator = sigmaVi * math.sqrt(commons.T)
    fund1i = (d1 - numerator / denominator)
    if fund1i < 0 :
        fund1i = -fund1i
    # print fund1i
    return fund1i

def get_v(sigmaP, nd1, sigmaV):
    numerator = sigmaP * commons.EQUITY
    denominator = nd1 * sigmaV
    return numerator / denominator

def main():
    input_file = commons.get_input_file()
    data_file = "data/stock-price.data"
    out_file = "out.data"
    outputfile = open(out_file, "w")
    outputfile.write("KMV3 begin: " + time.strftime('%Y-%m-%d %H:%M:%S') + "\n")
    outputfile.write("+++++++++++++++++++++++++++\n")
    if input_file != "" :
        inputfile = open(input_file, "r")
        while True :
            line = inputfile.readline()
            if not line :
                break
            outputfile.write(line)
            list_values = line.split(',')
            print line.split(',')
            commons.R = float(list_values[0])
            commons.D = float(list_values[1])
            commons.EQUITY = float(list_values[2])
            data_file = list_values[3].rstrip()
            # read price of stock from file "stock-price.data"
            listP = commons.get_listP(data_file)
            commons.N = len(listP)
            sigmaP = commons.get_sigmaP(listP)
            # print "The volatility of the stock's price: sigmaP = %10.12f" % sigmaP
            sigmaVi = sigmaV0 = commons.get_sigmaV0(sigmaP) # sigmaV0 is the down limit
            # print sigmaV0
            sigmaV = nd1 = 0.0
            fund1 = 99999
            nxxcache = linecache.getlines("nx-x")
            xnxcache = linecache.getlines("x-nx")
            while True :
                sigmaVi += 0.0001
                if sigmaVi > sigmaP :
                    break
                nd2i = commons.get_nd2(sigmaP, sigmaVi)
                d2i = commons.get_d2(nd2i, nxxcache)
                if d2i == 9999 :
                    continue
                d1i = sigmaVi * commons.T + d2i
                nd1i = commons.get_nd1(d1i, xnxcache)
                fund1i = get_fund1(sigmaP, sigmaVi, nd1i, d1i)
                if fund1 > fund1i :
                    fund1 = fund1i
                    sigmaV = sigmaVi
                    nd1 = nd1i
                # print "The fund1i is %10.12f, and the sigmaVi is %10.12f" % (fund1i, sigmaVi)
            # print "The fd1 is %10.12f, and the sigmaV is %10.12f" % (fund1, sigmaV)
            v = get_v(sigmaP, nd1, sigmaV)
            print "V is %.10f" % v
            dd = (v - commons.D) / (v * sigmaV)
            print "DD is %.10f" % dd
            outputfile.write("DD is %.10f\n" % dd)
            edf = commons.get_nd1(-dd, xnxcache)
            print "EDF is %.10f\n" % edf
            outputfile.write("EDF is %.10f\n\n" % edf)
        inputfile.close()
        outputfile.write("---------------------------\n")
        outputfile.write("KMV3 end: " + time.strftime('%Y-%m-%d %H:%M:%S'))
        outputfile.write("\n\n")
    outputfile.close()

if __name__=="__main__":
    main()