Made Risk Free Rate no longer hardcoded

README.md

@@ -8,7 +8,7 @@ We try to minimize dependencies to make it easy to install and run locally.
 Join us on [Discord](https://discord.gg/qBWD5Sus3d) for any question you might have. 
 Use [Github Issues](https://github.com/Tyruiop/syncretism/issues) for bug reports & feature requests.
 
-## Crawler `/datops-crawler`
+## Crawler `/syncretism-crawler`
 
 This crawlers targets **Yahoo Finance** market data to extract options related information.
 

syncretism-crawler/resources/config.edn

@@ -19,6 +19,6 @@
  ;; Where to save the options data
  :save-path "options"
 
- ;; Risk free interest rate (ask google)
- :risk-free 0.0154
+ ;; St. Louis FRED api key
+ :fred-api-key "ENTER KEY"
  }

syncretism-crawler/src/syncretism/crawler/core.clj

@@ -13,6 +13,7 @@
   (if (= "--init" (first args))
     (db/init-db)
     (do
+      (shared/rfr-crawler)
       (options/init-queue)
       (future (fundamentals/crawler))
       (future (options/crawler)))))

syncretism-crawler/src/syncretism/crawler/shared.clj

@@ -5,20 +5,55 @@
    [clojure.data.csv :as csv]
    [taoensso.timbre :as timbre :refer [info warn error]]
    [taoensso.timbre.appenders.core :as appenders]
-   [miner.ftp :as ftp]))
+   [miner.ftp :as ftp]
+   [clojure.data.json :as json]
+   [clj-http.client :as http]))
 
 (def state
   (atom
    {;; possible status: `:running`, `:paused`, `:terminate`
     :fundamentals-status :paused
-    :options-status :running}))
+    :options-status :running
+    :rfr-status :running}))
 
 (timbre/merge-config!
  {:appenders {:println {:enabled? false}
               :spit (appenders/spit-appender {:fname "opts-crawler.log"})}})
 
 (def config (-> "resources/config.edn" slurp read-string))
 
+;; rfr returns historical rfr data from St. Louis FRED (for later use)
+(defn rfr
+  []
+      (-> (str "https://api.stlouisfed.org/fred/series/observations?series_id=DGS10&api_key=" (:fred-api-key @config) "&file_type=json")
+          http/get
+          :body
+          (json/read-str :key-fn keyword)))
+
+(defn rfr-crawler
+      []
+       (def risk-free-rate (atom "Not Crawled"))
+       (case (:rfr-status @state)
+         :running
+         (do
+           (println (format "Gathering the Risk Free Rate"))
+           (try
+             (reset! risk-free-rate (atom rfr))
+             (catch Exception e (warn  "Error with Risk Free Rate")))
+           (Thread/sleep (* 24 60 60 1000))
+           (recur))
+
+         :paused
+         (do
+           (Thread/sleep (* 10 1000))
+           (recur))
+
+         :terminate
+         (do
+           (info "Terminating Risk Free Rate crawler.")
+           :done))
+      )
+
 ;; GETTING SYMBOLS LIST
 ;; --------------------
 ;; All date is sourced from http://www.nasdaqtrader.com/trader.aspx?id=symboldirdefs

syncretism/src/syncretism/greeks.clj

@@ -3,8 +3,6 @@
   (:require
    [fastmath.random :as fr]))
 
-;; Risk free interest rate, 
-(def rfr 0.0154)
 (def cdf-normal (fn [x] (fr/cdf (fr/distribution :normal) x)))
 
 (defn calc-annual-yield
@@ -22,13 +20,13 @@
 (defn calc-d1
   [{s0 :stock-price q :yield X :strike t :t v :impliedVolatility :as data}]
   (/ (+ (Math/log (/ s0 X))
-        (* t (+ (- rfr q) (/ (Math/pow v 2) 2))))
+        (* t (+ (- risk-free-rate q) (/ (Math/pow v 2) 2))))
      (* v (Math/sqrt t))))
 (defn calc-d2 [d1 v t] (- d1 (* v (Math/sqrt t))))
 
 (defn calc-premium
   [{opt-type :opt-type X :strike s0 :stock-price eqt :eqt d1 :d1 d2 :d2 t :t q :yield}]
-  (let [xert (* X (Math/exp (- (* rfr t))))
+  (let [xert (* X (Math/exp (- (* risk-free-rate t))))
         s0eqt (* s0 eqt)]
     (cond (= opt-type "C")
           (- (* s0eqt (cdf-normal d1)) (* xert (cdf-normal d2)))
@@ -57,7 +55,7 @@
   (let [p1 (- (/
                (* s0 v eqt (Math/exp (- (/ (* d1 d1) 2))))
                (* 2 (Math/sqrt t) (Math/sqrt (* 2 Math/PI)))))
-        p2 (* rfr X (Math/exp (- (* rfr t))))
+        p2 (* risk-free-rate X (Math/exp (- (* risk-free-rate t))))
         p3 (* q s0 eqt)]
     (*
      (/ 1 365)
@@ -75,7 +73,7 @@
 
 (defn calc-rho
   [{opt-type :opt-type X :strike t :t d2 :d2}]
-  (let [xtert (* X t (Math/exp (- (* rfr t))))]
+  (let [xtert (* X t (Math/exp (- (* risk-free-rate t))))]
     (cond (= opt-type "C")
           (/ (* xtert (cdf-normal d2)) 100)
 
@@ -99,6 +97,6 @@
           [:rho (calc-rho full-data)]
           [:premium (calc-premium full-data)]
           [:dividendYield q]
-          [:rfr rfr]]
+          [:rfr risk-free-rate]]
          (filter #(-> % last Double/isNaN not))
          (into {}))))