Type System

Base Assets (Widgets)

Creating Widgets

Base assets (Widgets) are the building blocks for the rest of the Bruno package. Base assets can be used as stand alone structs or as an underlying asset in a FinancialInstrument like an AmericanCallOption.

Current Widget types Bruno supports are Stock, Commodity and Bond.

Stock

Stocks are stock equity issued by a company.

Stocks can be instantiated using a Vector of historic prices, or as a static stock with a single price (assumed to be the current price).

Note: when using testing trading strategies with strategy_returns the stock struct cannot be static and must have at least three historic prices.

When constructing a Stock:

The name field is optional, and only necessary for trading strategy testing using strategy_returns.

timesteps_per_period reflects the size of time that passes between each price in Stock.prices compared to the implicit time period. For example, if daily data is used assuming yearly interest rates and rates of return (as is common) timesteps_per_period=252. This is to allow the pricing and strategy testing functions to be as generic as possible. Yearly, biyearly, or even hourly time windows are possible depending on the nature of the data used.

Examples:

# creating an array of prices
historic_prices = collect(40:60)

# creating a Stock with historic prices
# volatility will be automatically calculated
a_stock = Stock(;
    prices=historic_prices, 
    name="stock_1", 
    timesteps_per_period=252
)

# creating a 'static' Stock with a single price
static_stock = Stock(60.0; volatility=.3, name="static_stock")

Commodity

Commodities are raw materials or primary products that can be bought or sold.

Commodity can be instantiated using a Vector of historic prices, or as a static commodity with a single price (assumed to be the current price) Note: When using testing trading strategies with strategy_returns the Commodity struct cannot be static and must have at least 3 historic prices. The name field is optional, and only necessary for trading strategy testing using strategy_returns.

timesteps_per_period is identical to the usage described in the Stock struct.

Examples:

# creating an array to represent prices
historic_prices = collect(40:60)

# creating a Commodity with historic prices
# volatility will be automatically calculated
a_commodity = Commodity(;
    prices=historic_prices, 
    name="stock_1", 
    timesteps_per_period=252
)

# creating a 'static' Commodity with a single price
static_commodity = Commodity(60; volatility=.3, name="static_stock")

Bond

Bonds are long term loans issued by companies.

Bond structs can theoretically be used currently as an underlying asset in a FinancialInstrument. However additional funcitonality is not currently supported in Bruno. Pull requests are welcome!

Interacting With Widgets

Widgets can be used with the price!function however, unlike most FinancialInstruments, the price! function will dispatch to return the last number in the prices array of the Widget struct. This is the assumed current market price for the Widget. Widgets can also be used in trading strategies with strategy_returns

Financial Instruments

Creating a Financial Instrument

Financial instruments are financial tools that depend on one or more underlying assets. Current FinancialInstrument types are: Option and Future.

Concrete struct subtypes of Option are

• EuroCallOption
• EuroPutOption
• AmericanCallOption
• AmericanPutOption

Each struct has a robust constructor function to instantiate a new Option.

The values_library field holds a dictionary of computed prices for the FinancialInstrument. Using the price! function mutates the library and adds a computed value for the used pricing model and arguments. See pricing financial instruments for more information.

Note: the maturity and risk_free_rate fields are both in terms of the implicit time period. So, if yearly APR interest rates are used, then the implicit time period is a year and both maturity and risk_free_rate should be in terms of years.

Interacting With FinancialInstruments

Financial instruments can be priced using the price! as well as used to test trading and hedging strategies using the strategy_returns function.