"""
Name : c9_32_mean_and_var.py
Book : Python for Finance (2nd ed.)
Publisher: Packt Publishing Ltd.
Author : Yuxing Yan
Date : 6/6/2017
email : yany@canisius.edu
paulyxy@hotmail.com
"""
import numpy as np
import pandas as pd
import scipy as sp
from matplotlib.finance import quotes_historical_yahoo_ochl as getData
tickers=('IBM','WMT','C') # tickers
begdate=(2012,1,1) # beginning date
enddate=(2016,12,31) # ending date
n=len(tickers) # number of observations
def ret_f(ticker,begdate,enddte):
x=getData(ticker,begdate,enddate,asobject=True,adjusted=True)
ret =x.aclose[1:]/x.aclose[:-1]-1
return ret
def meanVarAnnual(ret):
meanDaily=sp.mean(ret)
varDaily=sp.var(ret)
meanAnnual=(1+meanDaily)**252
varAnnual=varDaily*252
return meanAnnual, varAnnual
for i in sp.arange(n):
ret=ret_f(tickers[i],begdate,enddate)
print(meanVarAnnual(ret))
