Python for Finance Cookbook

How to do it...

Execute the following steps to estimate the value-at-risk using Monte Carlo.

1. Import the libraries:

import numpy as npimport pandas as pdimport yfinance as yfimport seaborn as sns

2. Define the parameters that will be used for this exercise:

RISKY_ASSETS = ['GOOG', 'FB']SHARES = [5, 5]START_DATE = '2018-01-01'END_DATE = '2018-12-31'T = 1N_SIMS = 10 ** 5

3. Download the data from Yahoo Finance:

df = yf.download(RISKY_ASSETS, start=START_DATE,                  end=END_DATE, adjusted=True)

4. Calculate the daily returns:

adj_close = df['Adj Close']returns = adj_close.pct_change().dropna()plot_title = f'{" vs. ".join(RISKY_ASSETS)} returns: {START_DATE} -                                                      {END_DATE}'returns.plot(title=plot_title)

We also plot the calculated returns and calculate ...