bond_calculator 0.0.2
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- checksums.yaml +7 -0
- data/.gitignore +17 -0
- data/.ruby-version +1 -0
- data/CHANGELOG.md +5 -0
- data/Gemfile +6 -0
- data/LICENSE.txt +7 -0
- data/README.md +78 -0
- data/Rakefile +13 -0
- data/bin/console +10 -0
- data/bond_calculator.gemspec +30 -0
- data/doc/BondCalculator.html +140 -0
- data/doc/BondCalculator/BaseCalculator.html +480 -0
- data/doc/BondCalculator/Bond.html +693 -0
- data/doc/BondCalculator/SpreadToBenchmark.html +567 -0
- data/doc/BondCalculator/SpreadToCurve.html +475 -0
- data/doc/_index.html +143 -0
- data/doc/class_list.html +51 -0
- data/doc/css/common.css +1 -0
- data/doc/css/full_list.css +58 -0
- data/doc/css/style.css +492 -0
- data/doc/file.README.html +133 -0
- data/doc/file_list.html +56 -0
- data/doc/frames.html +17 -0
- data/doc/index.html +133 -0
- data/doc/js/app.js +248 -0
- data/doc/js/full_list.js +216 -0
- data/doc/js/jquery.js +4 -0
- data/doc/method_list.html +155 -0
- data/doc/top-level-namespace.html +110 -0
- data/lib/bond_calculator.rb +7 -0
- data/lib/bond_calculator/base_calculator.rb +37 -0
- data/lib/bond_calculator/bond.rb +48 -0
- data/lib/bond_calculator/spread_to_benchmark.rb +77 -0
- data/lib/bond_calculator/spread_to_curve.rb +64 -0
- data/lib/bond_calculator/version.rb +5 -0
- data/test/bond_calculator/base_calculator_test.rb +31 -0
- data/test/bond_calculator/bond_calculator_test.rb +9 -0
- data/test/bond_calculator/bond_test.rb +24 -0
- data/test/bond_calculator/spread_to_benchmark_test.rb +33 -0
- data/test/bond_calculator/spread_to_curve_test.rb +37 -0
- data/test/fixtures/c1.csv +4 -0
- data/test/fixtures/c2.csv +14 -0
- data/test/test_helper.rb +7 -0
- metadata +191 -0
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Class: BondCalculator::SpreadToBenchmark
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— Documentation by YARD 0.9.9
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pathId = "BondCalculator::SpreadToBenchmark";
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<span class='title'><span class='object_link'><a href="../BondCalculator.html" title="BondCalculator (module)">BondCalculator</a></span></span>
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»
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<span class="title">SpreadToBenchmark</span>
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<div id="content"><h1>Class: BondCalculator::SpreadToBenchmark
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<dt>Inherits:</dt>
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<span class="inheritName"><span class='object_link'><a href="BaseCalculator.html" title="BondCalculator::BaseCalculator (class)">BaseCalculator</a></span></span>
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<li>Object</li>
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<li class="next"><span class='object_link'><a href="BaseCalculator.html" title="BondCalculator::BaseCalculator (class)">BaseCalculator</a></span></li>
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<li class="next">BondCalculator::SpreadToBenchmark</li>
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<dt>Defined in:</dt>
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<dd>lib/bond_calculator/spread_to_benchmark.rb</dd>
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<p>Class that handle the calculation of the spread to benchmark Calculate the
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yield spread (return) between a corporate bond and its government bond
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benchmark.</p>
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<p>A government bond is a good benchmark if it is as close as possible to the
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corporate bond in terms of years to maturity (term).</p>
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<p>Lucas Sant' Anna</p>
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<p>0.0.1</p>
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<h2>Instance Attribute Summary <small><a href="#" class="summary_toggle">collapse</a></small></h2>
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<a href="#bonds-instance_method" title="#bonds (instance method)">#<strong>bonds</strong> ⇒ Object </a>
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<span class="note title readonly">readonly</span>
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Instance Method Summary
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<a href="#calculate-instance_method" title="#calculate (instance method)">#<strong>calculate</strong> ⇒ Hash </a>
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<span class="summary_desc"><div class='inline'>
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<p>Execute the bussines rule to calculate the spread to Benchmark.</p>
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<a href="#initialize-instance_method" title="#initialize (instance method)">#<strong>initialize</strong>(bond_file_path) ⇒ <void> </a>
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<span class="note title constructor">constructor</span>
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<h3 class="inherited">Methods inherited from <span class='object_link'><a href="BaseCalculator.html" title="BondCalculator::BaseCalculator (class)">BaseCalculator</a></span></h3>
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<p class="inherited"><span class='object_link'><a href="BaseCalculator.html#bonds_by_type-instance_method" title="BondCalculator::BaseCalculator#bonds_by_type (method)">#bonds_by_type</a></span>, <span class='object_link'><a href="BaseCalculator.html#csv_to_bonds-instance_method" title="BondCalculator::BaseCalculator#csv_to_bonds (method)">#csv_to_bonds</a></span></p>
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<div id="constructor_details" class="method_details_list">
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<h3 class="signature first" id="initialize-instance_method">
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#<strong>initialize</strong>(bond_file_path) ⇒ <tt><void></tt>
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<p class="tag_title">Parameters:</p>
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<span class='name'>bond_file_path</span>
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<span class='type'>(<tt>File</tt>)</span>
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—
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<div class='inline'>
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<p>Csv benchmark file path</p>
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<p class="tag_title">Since:</p>
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<pre class="code"><span class="info file"># File 'lib/bond_calculator/spread_to_benchmark.rb', line 21</span>
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<span class='kw'>def</span> <span class='id identifier rubyid_initialize'>initialize</span><span class='lparen'>(</span><span class='id identifier rubyid_bond_file_path'>bond_file_path</span><span class='rparen'>)</span>
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<span class='ivar'>@bonds</span> <span class='op'>=</span> <span class='id identifier rubyid_csv_to_bonds'>csv_to_bonds</span><span class='lparen'>(</span><span class='id identifier rubyid_bond_file_path'>bond_file_path</span><span class='rparen'>)</span>
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<span class='kw'>end</span></pre>
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<h2>Instance Attribute Details</h2>
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<h3 class="signature first" id="bonds-instance_method">
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#<strong>bonds</strong> ⇒ <tt>Object</tt> <span class="extras">(readonly)</span>
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<p>0.0.1</p>
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<pre class="code"><span class="info file"># File 'lib/bond_calculator/spread_to_benchmark.rb', line 16</span>
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<span class='kw'>def</span> <span class='id identifier rubyid_bonds'>bonds</span>
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<span class='kw'>end</span></pre>
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<h3 class="signature first" id="calculate-instance_method">
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#<strong>calculate</strong> ⇒ <tt>Hash</tt>
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<p>Execute the bussines rule to calculate the spread to Benchmark</p>
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<p class="tag_title">Returns:</p>
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<span class='type'>(<tt>Hash</tt>)</span>
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—
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<div class='inline'>
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<p>:bond_name</p>
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—
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<div class='inline'>
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<p>:benchmark_name</p>
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<span class='type'>(<tt>Hash</tt>)</span>
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—
|
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|
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<div class='inline'>
|
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|
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<p>:spread_to_benchmark</p>
|
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</ul>
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<p class="tag_title">Since:</p>
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<ul class="since">
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<div class='inline'>
|
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<p>0.0.1</p>
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</div>
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<pre class="lines">
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<pre class="code"><span class="info file"># File 'lib/bond_calculator/spread_to_benchmark.rb', line 29</span>
|
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|
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|
|
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|
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<span class='kw'>def</span> <span class='id identifier rubyid_calculate'>calculate</span>
|
|
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|
+
<span class='id identifier rubyid_response'>response</span> <span class='op'>=</span> <span class='lbracket'>[</span><span class='rbracket'>]</span>
|
|
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|
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<span class='id identifier rubyid_corps'>corps</span> <span class='op'>=</span> <span class='id identifier rubyid_bonds_by_type'>bonds_by_type</span><span class='lparen'>(</span><span class='tstring'><span class='tstring_beg'>'</span><span class='tstring_content'>corporate</span><span class='tstring_end'>'</span></span><span class='comma'>,</span> <span class='ivar'>@bonds</span><span class='rparen'>)</span>
|
|
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|
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<span class='id identifier rubyid_govs'>govs</span> <span class='op'>=</span> <span class='id identifier rubyid_bonds_by_type'>bonds_by_type</span><span class='lparen'>(</span><span class='tstring'><span class='tstring_beg'>'</span><span class='tstring_content'>government</span><span class='tstring_end'>'</span></span><span class='comma'>,</span> <span class='ivar'>@bonds</span><span class='rparen'>)</span>
|
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|
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|
|
530
|
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<span class='id identifier rubyid_corps'>corps</span><span class='period'>.</span><span class='id identifier rubyid_each'>each</span> <span class='kw'>do</span> <span class='op'>|</span><span class='id identifier rubyid_corp'>corp</span><span class='op'>|</span>
|
|
531
|
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<span class='id identifier rubyid_benchmark'>benchmark</span> <span class='op'>=</span> <span class='kw'>nil</span>
|
|
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|
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<span class='id identifier rubyid_govs'>govs</span><span class='period'>.</span><span class='id identifier rubyid_each'>each</span> <span class='kw'>do</span> <span class='op'>|</span><span class='id identifier rubyid_gov'>gov</span><span class='op'>|</span>
|
|
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|
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<span class='kw'>if</span> <span class='id identifier rubyid_benchmark'>benchmark</span><span class='period'>.</span><span class='id identifier rubyid_nil?'>nil?</span>
|
|
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|
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<span class='id identifier rubyid_benchmark'>benchmark</span> <span class='op'>=</span> <span class='id identifier rubyid_best_benchmark'>best_benchmark</span><span class='lparen'>(</span><span class='id identifier rubyid_corp'>corp</span><span class='comma'>,</span> <span class='id identifier rubyid_gov'>gov</span><span class='rparen'>)</span>
|
|
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|
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<span class='kw'>next</span>
|
|
536
|
+
<span class='kw'>end</span>
|
|
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|
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<span class='kw'>if</span> <span class='id identifier rubyid_benchmark'>benchmark</span><span class='lbracket'>[</span><span class='symbol'>:term_spread</span><span class='rbracket'>]</span> <span class='op'>></span> <span class='id identifier rubyid_term_spread'>term_spread</span><span class='lparen'>(</span><span class='id identifier rubyid_corp'>corp</span><span class='comma'>,</span> <span class='id identifier rubyid_gov'>gov</span><span class='rparen'>)</span>
|
|
538
|
+
<span class='id identifier rubyid_benchmark'>benchmark</span><span class='period'>.</span><span class='id identifier rubyid_merge'>merge</span><span class='lparen'>(</span><span class='id identifier rubyid_best_benchmark'>best_benchmark</span><span class='lparen'>(</span><span class='id identifier rubyid_corp'>corp</span><span class='comma'>,</span> <span class='id identifier rubyid_gov'>gov</span><span class='rparen'>)</span><span class='rparen'>)</span>
|
|
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|
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<span class='kw'>end</span>
|
|
540
|
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<span class='kw'>end</span>
|
|
541
|
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|
|
542
|
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<span class='id identifier rubyid_response'>response</span> <span class='op'><<</span> <span class='lbrace'>{</span> <span class='label'>bond_name:</span> <span class='id identifier rubyid_corp'>corp</span><span class='period'>.</span><span class='id identifier rubyid_name'>name</span><span class='comma'>,</span>
|
|
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|
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<span class='label'>benchmark_name:</span> <span class='id identifier rubyid_benchmark'>benchmark</span><span class='lbracket'>[</span><span class='symbol'>:candidate</span><span class='rbracket'>]</span><span class='period'>.</span><span class='id identifier rubyid_name'>name</span><span class='comma'>,</span>
|
|
544
|
+
<span class='label'>spread_to_benchmark:</span> <span class='id identifier rubyid_spread_to_benchmark'>spread_to_benchmark</span><span class='lparen'>(</span><span class='id identifier rubyid_benchmark'>benchmark</span><span class='comma'>,</span> <span class='id identifier rubyid_corp'>corp</span><span class='rparen'>)</span> <span class='rbrace'>}</span>
|
|
545
|
+
<span class='kw'>end</span>
|
|
546
|
+
<span class='id identifier rubyid_print'>print</span><span class='lparen'>(</span><span class='id identifier rubyid_response'>response</span><span class='rparen'>)</span>
|
|
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|
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|
|
548
|
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<span class='id identifier rubyid_response'>response</span>
|
|
549
|
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<span class='kw'>end</span></pre>
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<div id="footer">
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Generated on Mon Sep 25 23:31:15 2017 by
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<a href="http://yardoc.org" title="Yay! A Ruby Documentation Tool" target="_parent">yard</a>
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0.9.9 (ruby-2.4.0).
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