https://github.com/iammohith/var_calculator
A command-line tool for calculating Value at Risk (VaR) of Indian stocks using three different methodologies by fetching the data from the yfinance api. This tool helps investors quantify potential portfolio losses under normal market conditions.
https://github.com/iammohith/var_calculator
bse cli historical india monte-carlo nse parametric python stock-market value-at-risk yfinance yfinance-api
Last synced: 6 months ago
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A command-line tool for calculating Value at Risk (VaR) of Indian stocks using three different methodologies by fetching the data from the yfinance api. This tool helps investors quantify potential portfolio losses under normal market conditions.
- Host: GitHub
- URL: https://github.com/iammohith/var_calculator
- Owner: iammohith
- License: mit
- Created: 2025-07-15T06:46:26.000Z (6 months ago)
- Default Branch: main
- Last Pushed: 2025-07-15T12:37:31.000Z (6 months ago)
- Last Synced: 2025-07-15T15:23:21.245Z (6 months ago)
- Topics: bse, cli, historical, india, monte-carlo, nse, parametric, python, stock-market, value-at-risk, yfinance, yfinance-api
- Language: Python
- Homepage:
- Size: 78.1 KB
- Stars: 0
- Watchers: 0
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
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README
# VaR Calculator for Indian Stocks
A command-line tool that calculates Value at Risk (VaR) for Indian stocks using three different methodologies by fetcheing stock data from Yahoo Finance API. This tool helps investors quantify potential portfolio losses under normal market conditions.
## Features
- **Three Calculation Methods**:
- 📊 Parametric (Variance-Covariance)
- 📈 Historical Simulation
- 🎲 Monte Carlo Simulation
- **Exchange Support**: Works with both NSE and BSE stocks
- **Visual Reports**: Generates comparative charts of results
- **Configurable Parameters**: Adjust confidence level, time horizon, etc.
- **Automatic Data Management**: Creates necessary directories at runtime
- **Comprehensive Reporting**: Saves portfolio data and generates comparison charts
## Installation
1. Clone the repository:
```bash
git clone https://github.com/iammohith/VaR_Calculator.git
cd VaR_Calculator
```
2. Install dependencies:
```bash
pip install -r requirements.txt
```
## Usage
### Basic Command:
```bash
python main.py [TICKER] [EXCHANGE] [PORTFOLIO_VALUE] [OPTIONS]
```
### Arguments:
| Argument | Description | Example |
|-------------------|-------------------------------------|---------------|
| `TICKER` | Stock ticker symbol | `RELIANCE` |
| `EXCHANGE` | `NSE` or `BSE` | `NSE` |
| `PORTFOLIO_VALUE` | Portfolio value in INR | `1000000` |
### Options:
| Option | Description | Default |
|---------------------|--------------------------------------|---------|
| `--confidence` | Confidence level (0.90-0.99) | 0.95 |
| `--horizon` | Time horizon in days | 1 |
| `--window` | Historical data window (days) | 252 |
| `--simulations` | Monte Carlo simulations count | 10000 |
### Example:
```bash
python main.py RELIANCE NSE 1000000 --confidence 0.99 --horizon 5
```
### Sample Output:
```
2025-07-16 10:19:28 - src.cli - INFO - Calculating VaR for RELIANCE on NSE
2025-07-16 10:19:28 - src.cli - INFO - Portfolio value: ₹1,000,000.00
2025-07-16 10:19:28 - src.cli - INFO - Confidence: 99.0%, Horizon: 5 days
2025-07-16 10:19:28 - src.cli - INFO - Data window: 252 days, Simulations: 10000
Value at Risk for RELIANCE (NSE) portfolio of value ₹1,000,000.00:
• Parametric VaR: ₹67,788.39
• Historical VaR: ₹74,384.95
• Monte Carlo VaR: ₹69,182.25
```
### Sample Report:
## Project File Structure
```
VaR_Calculator/
├── config/ # Configuration files
│ ├── logging.conf # Logging setup
│ └── settings.py # Application settings
├── data/ # Auto-generated data
│ ├── logs/ # Application logs
│ ├── portfolios/ # Portfolio data
│ └── reports/ # Generated charts
├── src/ # Source code
│ ├── cli.py # Command-line interface
│ ├── data_fetcher.py # Stock data retrieval
│ ├── exceptions.py # Custom errors
│ ├── historical_var.py # Historical VaR
│ ├── monte_carlo_var.py # Monte Carlo VaR
│ ├── parametric_var.py # Parametric VaR
│ ├── report_generator.py # Report creation
│ └── utils.py # Helper functions
├── main.py # Application entry
├── .gitignore # Ignore files
├── LICENSE # MIT License
├── README.md # This documentation
└── requirements.txt # Dependencies
```
## Dependencies
- Python 3.8+
- yfinance - Stock data fetching
- numpy - Mathematical operations
- pandas - Data handling
- scipy - Statistical functions
- matplotlib - Visualization
## Key Features
1. **Accurate Calculations**:
- Industry-standard VaR formulas
- Proper handling of time horizon scaling
- Robust input validation
2. **Comprehensive Reporting**:
- Portfolio data saved as CSV
- Comparative visualization of all three methods
- Automatic timestamping of outputs
3. **Exchange Support**:
- Clear identification of exchange in all outputs
- Supports both NSE and BSE
4. **User-Friendly**:
- Detailed logging
- Clear console output
- Easy-to-understand reports
## Limitations
- Single-stock portfolios only
- Uses daily closing prices
- Monte Carlo assumes lognormal distribution
- Requires internet connection for data fetching
## Contributing
Contributions welcome! Please fork the repository and submit pull requests.
## License
MIT License - See [LICENSE](LICENSE) for details.