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academe/php-finance
===================

A PHP library for financial calculations. Complete port of pyfinance with statistical analysis, options pricing, and portfolio management.

1.0.0(8mo ago)016MITPHPPHP >=8.3

Since Aug 30Pushed 8mo agoCompare

[ Source](https://github.com/academe/php-finance)[ Packagist](https://packagist.org/packages/academe/php-finance)[ RSS](/packages/academe-php-finance/feed)WikiDiscussions main Synced 1mo ago

READMEChangelog (1)Dependencies (10)Versions (2)Used By (0)

PHP Finance
===========

[](#php-finance)

A comprehensive PHP port of the pyfinance library for quantitative finance and investment analysis.

Features
--------

[](#features)

- **Time Series Analysis**: Statistical analysis of financial returns with TSeries class
- **Options Pricing**: Black-Scholes-Merton option valuation with Greeks calculation
- **Regression Analysis**: OLS regression with rolling window capabilities
- **Financial Data**: Fetch data from Fama-French, FRED, Yahoo Finance, and more
- **Risk Metrics**: VaR, CVaR, Sharpe ratio, maximum drawdown, and other risk measures
- **Portfolio Analytics**: Active share, tracking error, information ratio

Installation
------------

[](#installation)

Install via Composer:

```
composer require academe/php-finance
```

Quick Start
-----------

[](#quick-start)

### Time Series Analysis

[](#time-series-analysis)

```
use Academe\PhpFinance\Returns\TSeries;

// Daily returns data
$returns = [0.01, -0.02, 0.03, -0.01, 0.02, 0.015, -0.005];

// Create time series
$ts = new TSeries($returns, frequency: 'D');

// Calculate key metrics
echo "Annualized Return: " . $ts->anlzdRet() . "\n";
echo "Sharpe Ratio: " . $ts->sharpeRatio(0.02) . "\n";
echo "Maximum Drawdown: " . $ts->maxDrawdown() . "\n";
echo "Volatility: " . $ts->std() * sqrt(252) . "\n";
```

### Options Pricing

[](#options-pricing)

```
use Academe\PhpFinance\Options\BlackScholes;

// Create Black-Scholes model
$bs = new BlackScholes(
    spotPrice: 100,        // Current stock price
    strikePrice: 110,      // Strike price
    timeToExpiry: 1.0,     // Time to expiry (1 year)
    riskFreeRate: 0.05,    // Risk-free rate (5%)
    volatility: 0.2,       // Volatility (20%)
    dividendYield: 0.02    // Dividend yield (2%)
);

// Calculate option prices and Greeks
echo "Call Price: " . $bs->callPrice() . "\n";
echo "Put Price: " . $bs->putPrice() . "\n";
echo "Call Delta: " . $bs->callDelta() . "\n";
echo "Gamma: " . $bs->gamma() . "\n";
echo "Vega: " . $bs->vega() . "\n";

// Calculate implied volatility
$marketPrice = 8.5;
$impliedVol = $bs->impliedVolatility($marketPrice, 'call');
echo "Implied Volatility: " . ($impliedVol * 100) . "%\n";
```

### Regression Analysis

[](#regression-analysis)

```
use Academe\PhpFinance\Statistics\OLS;
use Academe\PhpFinance\Statistics\RollingOLS;

// Asset returns vs market returns
$assetReturns = [0.05, 0.03, 0.07, 0.02, 0.04, 0.06, 0.01];
$marketReturns = [[0.04], [0.02], [0.06], [0.01], [0.03], [0.05], [0.02]];

// Single regression
$ols = new OLS($assetReturns, $marketReturns);
echo "Alpha: " . $ols->getCoefficients()[0] . "\n";
echo "Beta: " . $ols->getCoefficients()[1] . "\n";
echo "R-squared: " . $ols->getRSquared() . "\n";

// Rolling regression (30-day window)
$rolling = new RollingOLS($assetReturns, $marketReturns, 3);
$betaSeries = $rolling->getCoefficientSeries(1);
```

### Financial Data

[](#financial-data)

```
use Academe\PhpFinance\Datasets\DataFetcher;
use GuzzleHttp\Client;
use GuzzleHttp\Psr7\HttpFactory;
use Symfony\Component\Cache\Adapter\FilesystemAdapter;

// Create HTTP client and cache
$httpClient = new Client(['timeout' => 30]);
$requestFactory = new HttpFactory();
$cache = new FilesystemAdapter('phpfinance', 3600, '/tmp/cache');

$fetcher = new DataFetcher($httpClient, $requestFactory, $cache);

// Get Fama-French factors
$factors = $fetcher->getFamaFrench('F-F_Research_Data_Factors');

// Get FRED data (requires API key)
putenv('FRED_API_KEY=your_api_key_here');
$data = $fetcher->getFRED('DGS10', '2020-01-01', '2024-01-01');

// Get Yahoo Finance data
$prices = $fetcher->getYahooFinance('AAPL', '2023-01-01', '2024-01-01');
```

### Risk and Performance Metrics

[](#risk-and-performance-metrics)

```
use Academe\PhpFinance\General\Utils;

$returns = [-0.02, 0.01, 0.03, -0.01, 0.02, -0.015, 0.025];

// Risk metrics
echo "Value at Risk (95%): " . Utils::valueAtRisk($returns, 0.95) . "\n";
echo "CVaR (95%): " . Utils::conditionalValueAtRisk($returns, 0.95) . "\n";

// Performance metrics
echo "Compound Return: " . Utils::compoundReturn($returns) . "\n";
echo "Annualized Return: " . Utils::annualizedReturn($returns, 252) . "\n";
echo "Annualized Volatility: " . Utils::annualizedVolatility($returns, 252) . "\n";

// Portfolio analytics
$portfolio = ['AAPL' => 0.3, 'GOOGL' => 0.2, 'MSFT' => 0.25, 'AMZN' => 0.25];
$benchmark = ['AAPL' => 0.25, 'GOOGL' => 0.25, 'MSFT' => 0.25, 'AMZN' => 0.25];
echo "Active Share: " . Utils::activeShare($portfolio, $benchmark) . "\n";
```

Advanced Examples
-----------------

[](#advanced-examples)

### Multi-Factor Regression

[](#multi-factor-regression)

```
use Academe\PhpFinance\Statistics\OLS;

// Three-factor model (Market, SMB, HML)
$assetReturns = [0.05, 0.03, 0.07, 0.02, 0.04];
$factors = [
    [0.04, 0.01, -0.01],  // Market, SMB, HML
    [0.02, -0.01, 0.02],
    [0.06, 0.02, 0.01],
    [0.01, -0.02, -0.01],
    [0.03, 0.01, 0.01]
];

$model = new OLS($assetReturns, $factors);
$coefficients = $model->getCoefficients();

echo "Alpha: " . $coefficients[0] . "\n";
echo "Market Beta: " . $coefficients[1] . "\n";
echo "SMB Loading: " . $coefficients[2] . "\n";
echo "HML Loading: " . $coefficients[3] . "\n";
```

### Option Strategy Analysis

[](#option-strategy-analysis)

```
use Academe\PhpFinance\Options\BlackScholes;

// Long call spread
$longCall = new BlackScholes(100, 105, 0.25, 0.05, 0.2);
$shortCall = new BlackScholes(100, 115, 0.25, 0.05, 0.2);

$spreadCost = $longCall->callPrice() - $shortCall->callPrice();
$maxProfit = (115 - 105) - $spreadCost;
$breakeven = 105 + $spreadCost;

echo "Spread Cost: $" . number_format($spreadCost, 2) . "\n";
echo "Max Profit: $" . number_format($maxProfit, 2) . "\n";
echo "Breakeven: $" . number_format($breakeven, 2) . "\n";
```

Testing
-------

[](#testing)

Run tests with Pest:

```
composer test
```

Run static analysis:

```
composer phpstan
```

Requirements
------------

[](#requirements)

- PHP >= 8.3
- ext-json
- PSR-18 HTTP Client implementation
- PSR-17 HTTP Message Factory implementation
- PSR-6 Cache implementation (optional)
- markrogoyski/math-php

PSR Compatibility
-----------------

[](#psr-compatibility)

This library uses PSR standards for maximum flexibility:

- **PSR-18**: HTTP Client for data fetching
- **PSR-17**: HTTP Message Factory for creating requests
- **PSR-6**: Cache for improved performance (optional)

You can use any compatible implementation. Popular choices include:

- **HTTP Client**: Guzzle, Symfony HTTP Client, Buzz
- **PSR-7/17**: guzzlehttp/psr7, nyholm/psr7, laminas/laminas-diactoros
- **Cache**: Symfony Cache, doctrine/cache, cache/cache

Documentation
-------------

[](#documentation)

For detailed documentation, see the [Wiki](../../wiki) or explore the source code.

License
-------

[](#license)

MIT License

Contributing
------------

[](#contributing)

Contributions are welcome! Please submit pull requests or open issues on GitHub.

###  Health Score

33

—

LowBetter than 75% of packages

Maintenance60

Regular maintenance activity

Popularity6

Limited adoption so far

Community6

Small or concentrated contributor base

Maturity50

Maturing project, gaining track record

 Bus Factor1

Top contributor holds 100% of commits — single point of failure

How is this calculated?**Maintenance (25%)** — Last commit recency, latest release date, and issue-to-star ratio. Uses a 2-year decay window.

**Popularity (30%)** — Total and monthly downloads, GitHub stars, and forks. Logarithmic scaling prevents top-heavy scores.

**Community (15%)** — Contributors, dependents, forks, watchers, and maintainers. Measures real ecosystem engagement.

**Maturity (30%)** — Project age, version count, PHP version support, and release stability.

###  Release Activity

Cadence

Unknown

Total

1

Last Release

261d ago

### Community

Maintainers

![](https://avatars.githubusercontent.com/u/395934?v=4)[Jason Judge](/maintainers/judgej)[@judgej](https://github.com/judgej)

---

Top Contributors

[![judgej](https://avatars.githubusercontent.com/u/395934?v=4)](https://github.com/judgej "judgej (9 commits)")

---

Tags

optionsanalysisportfoliofinanceblack-scholesinvestmentquantitativepyfinance

###  Code Quality

TestsPest

Static AnalysisPHPStan

Code StylePHP\_CodeSniffer

Type Coverage Yes

### Embed Badge

![Health badge](/badges/academe-php-finance/health.svg)

```
[![Health](https://phpackages.com/badges/academe-php-finance/health.svg)](https://phpackages.com/packages/academe-php-finance)
```

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