bond_calculator 0.0.2

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  1. checksums.yaml +7 -0
  2. data/.gitignore +17 -0
  3. data/.ruby-version +1 -0
  4. data/CHANGELOG.md +5 -0
  5. data/Gemfile +6 -0
  6. data/LICENSE.txt +7 -0
  7. data/README.md +78 -0
  8. data/Rakefile +13 -0
  9. data/bin/console +10 -0
  10. data/bond_calculator.gemspec +30 -0
  11. data/doc/BondCalculator.html +140 -0
  12. data/doc/BondCalculator/BaseCalculator.html +480 -0
  13. data/doc/BondCalculator/Bond.html +693 -0
  14. data/doc/BondCalculator/SpreadToBenchmark.html +567 -0
  15. data/doc/BondCalculator/SpreadToCurve.html +475 -0
  16. data/doc/_index.html +143 -0
  17. data/doc/class_list.html +51 -0
  18. data/doc/css/common.css +1 -0
  19. data/doc/css/full_list.css +58 -0
  20. data/doc/css/style.css +492 -0
  21. data/doc/file.README.html +133 -0
  22. data/doc/file_list.html +56 -0
  23. data/doc/frames.html +17 -0
  24. data/doc/index.html +133 -0
  25. data/doc/js/app.js +248 -0
  26. data/doc/js/full_list.js +216 -0
  27. data/doc/js/jquery.js +4 -0
  28. data/doc/method_list.html +155 -0
  29. data/doc/top-level-namespace.html +110 -0
  30. data/lib/bond_calculator.rb +7 -0
  31. data/lib/bond_calculator/base_calculator.rb +37 -0
  32. data/lib/bond_calculator/bond.rb +48 -0
  33. data/lib/bond_calculator/spread_to_benchmark.rb +77 -0
  34. data/lib/bond_calculator/spread_to_curve.rb +64 -0
  35. data/lib/bond_calculator/version.rb +5 -0
  36. data/test/bond_calculator/base_calculator_test.rb +31 -0
  37. data/test/bond_calculator/bond_calculator_test.rb +9 -0
  38. data/test/bond_calculator/bond_test.rb +24 -0
  39. data/test/bond_calculator/spread_to_benchmark_test.rb +33 -0
  40. data/test/bond_calculator/spread_to_curve_test.rb +37 -0
  41. data/test/fixtures/c1.csv +4 -0
  42. data/test/fixtures/c2.csv +14 -0
  43. data/test/test_helper.rb +7 -0
  44. metadata +191 -0
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+ <!DOCTYPE html>
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+ <html>
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+ <head>
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+ <meta charset="utf-8">
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+ <meta name="viewport" content="width=device-width, initial-scale=1.0">
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+ <title>
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+ Class: BondCalculator::SpreadToCurve
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+
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+ &mdash; Documentation by YARD 0.9.9
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+
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+ </title>
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+
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+ <link rel="stylesheet" href="../css/style.css" type="text/css" charset="utf-8" />
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+
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+ <link rel="stylesheet" href="../css/common.css" type="text/css" charset="utf-8" />
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+
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+ <script type="text/javascript" charset="utf-8">
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+ pathId = "BondCalculator::SpreadToCurve";
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+ relpath = '../';
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+ </script>
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+
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+
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+ <script type="text/javascript" charset="utf-8" src="../js/jquery.js"></script>
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+
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+ <script type="text/javascript" charset="utf-8" src="../js/app.js"></script>
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+
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+
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+ </head>
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+ <body>
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+ <div class="nav_wrap">
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+ <iframe id="nav" src="../class_list.html?1"></iframe>
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+ <div id="resizer"></div>
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+ </div>
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+
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+ <div id="main" tabindex="-1">
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+ <div id="header">
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+ <div id="menu">
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+
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+ <a href="../_index.html">Index (S)</a> &raquo;
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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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+ &raquo;
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+ <span class="title">SpreadToCurve</span>
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+
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+ </div>
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+
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+ <div id="search">
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+
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+ <a class="full_list_link" id="class_list_link"
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+ href="../class_list.html">
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+
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+ <svg width="24" height="24">
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+ <rect x="0" y="4" width="24" height="4" rx="1" ry="1"></rect>
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+ <rect x="0" y="20" width="24" height="4" rx="1" ry="1"></rect>
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+ </svg>
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+ </a>
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+
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+ </div>
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+ <div class="clear"></div>
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+ </div>
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+
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+ <div id="content"><h1>Class: BondCalculator::SpreadToCurve
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+
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+
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+
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+ </h1>
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+ <div class="box_info">
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+
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+ <dl>
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+ <dt>Inherits:</dt>
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+ <dd>
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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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+
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+ <ul class="fullTree">
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+ <li>Object</li>
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+
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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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+
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+ <li class="next">BondCalculator::SpreadToCurve</li>
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+
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+ </ul>
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+ <a href="#" class="inheritanceTree">show all</a>
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+
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+ </dd>
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+ </dl>
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+
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+
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+
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+
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+
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+
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+
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+ <dl>
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+ <dt>Defined in:</dt>
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+ <dd>lib/bond_calculator/spread_to_curve.rb</dd>
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+ </dl>
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+
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+ </div>
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+
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+ <h2>Overview</h2><div class="docstring">
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+ <div class="discussion">
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+
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+ <p>Class that handle the calculation of the spread to curve</p>
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+
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+ <p>Since the corporate bond term is not exactly the same as its benchmark
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+ term, we use linear interpolation to calculate the spread to the curve.</p>
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+
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+
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+ </div>
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+ </div>
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+ <div class="tags">
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+
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+
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+ </div>
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+
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+
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+
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+ <h2>Instance Attribute Summary <small><a href="#" class="summary_toggle">collapse</a></small></h2>
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+ <ul class="summary">
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+
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+ <li class="public ">
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+ <span class="summary_signature">
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+
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+ <a href="#bonds-instance_method" title="#bonds (instance method)">#<strong>bonds</strong> &#x21d2; Object </a>
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+
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+
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+
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+ </span>
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+
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+
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+
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+
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+ <span class="note title readonly">readonly</span>
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+
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+
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+
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+
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+
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+
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+ <span class="summary_desc"><div class='inline'>
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+ <p>Returns the value of attribute bonds.</p>
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+ </div></span>
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+
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+ </li>
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+
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+ </ul>
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+
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+ <h2>
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+ Instance Method Summary
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+ <small><a href="#" class="summary_toggle">collapse</a></small>
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+ </h2>
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+
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+ <ul class="summary">
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+
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+ <li class="public ">
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+ <span class="summary_signature">
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+
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+ <a href="#calculate-instance_method" title="#calculate (instance method)">#<strong>calculate</strong> &#x21d2; Hash </a>
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+
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+
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+ </span>
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+
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+
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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 curve.</p>
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+ </div></span>
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+
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+ </li>
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+
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+
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+ <li class="public ">
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+ <span class="summary_signature">
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+
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+ <a href="#initialize-instance_method" title="#initialize (instance method)">#<strong>initialize</strong>(bond_file_path) &#x21d2; &lt;void&gt; </a>
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+
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+
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+
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+ </span>
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+
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+
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+ <span class="note title constructor">constructor</span>
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+
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+
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+ <span class="summary_desc"><div class='inline'></div></span>
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+
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+ </li>
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+
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+
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+ </ul>
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+
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+
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+
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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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+ <h2>Constructor Details</h2>
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+
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+ <div class="method_details first">
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+ <h3 class="signature first" id="initialize-instance_method">
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+
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+ #<strong>initialize</strong>(bond_file_path) &#x21d2; <tt>&lt;void&gt;</tt>
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+
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+
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+
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+
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+
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+ </h3><div class="docstring">
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+ <div class="discussion">
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+
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+
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+ </div>
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+ </div>
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+ <div class="tags">
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+ <p class="tag_title">Parameters:</p>
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+ <ul class="param">
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+
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+ <li>
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+
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+ <span class='name'>bond_file_path</span>
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+
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+
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+ <span class='type'>(<tt>File</tt>)</span>
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+
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+
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+
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+ &mdash;
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+ <div class='inline'>
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+ <p>Csv curve file path</p>
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+ </div>
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+
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+ </li>
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+
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+ </ul>
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+
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+
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+ </div><table class="source_code">
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+ <tr>
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+ <td>
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+ <pre class="lines">
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+ 18
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+ 19
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+ 20</pre>
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+ </td>
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+ <td>
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+ <pre class="code"><span class="info file"># File 'lib/bond_calculator/spread_to_curve.rb', line 18</span>
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+
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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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+ </td>
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+ </tr>
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+ </table>
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+ </div>
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+
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+ </div>
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+
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+ <div id="instance_attr_details" class="attr_details">
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+ <h2>Instance Attribute Details</h2>
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+
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+
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+ <span id=""></span>
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+ <div class="method_details first">
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+ <h3 class="signature first" id="bonds-instance_method">
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+
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+ #<strong>bonds</strong> &#x21d2; <tt>Object</tt> <span class="extras">(readonly)</span>
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+
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+
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+
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+
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+
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+ </h3><div class="docstring">
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+ <div class="discussion">
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+
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+ <p>Returns the value of attribute bonds</p>
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+
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+
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+ </div>
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+ </div>
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+ <div class="tags">
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+
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+
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+ </div><table class="source_code">
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+ <tr>
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+ <td>
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+ <pre class="lines">
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+ 13
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+ 14
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+ 15</pre>
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+ </td>
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+ <td>
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+ <pre class="code"><span class="info file"># File 'lib/bond_calculator/spread_to_curve.rb', line 13</span>
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+
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+ <span class='kw'>def</span> <span class='id identifier rubyid_bonds'>bonds</span>
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+ <span class='ivar'>@bonds</span>
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+ <span class='kw'>end</span></pre>
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+ </td>
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+ </tr>
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+ </table>
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+ </div>
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+
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+ </div>
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+
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+
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+ <div id="instance_method_details" class="method_details_list">
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+ <h2>Instance Method Details</h2>
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+
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+
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+ <div class="method_details first">
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+ <h3 class="signature first" id="calculate-instance_method">
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+
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+ #<strong>calculate</strong> &#x21d2; <tt>Hash</tt>
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+
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+
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+
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+
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+
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+ </h3><div class="docstring">
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+ <div class="discussion">
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+
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+ <p>Execute the bussines rule to calculate the spread to curve</p>
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+
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+
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+ </div>
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+ </div>
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+ <div class="tags">
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+
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+ <p class="tag_title">Returns:</p>
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+ <ul class="return">
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+
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+ <li>
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+
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+
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+ <span class='type'>(<tt>Hash</tt>)</span>
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+
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+
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+
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+ &mdash;
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+ <div class='inline'>
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+ <p>:bond_name</p>
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+ </div>
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+
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+ </li>
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+
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+ <li>
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+
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+
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+ <span class='type'>(<tt>Hash</tt>)</span>
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+
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+
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+
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+ &mdash;
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+ <div class='inline'>
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+ <p>:spread_to_curve</p>
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+ </div>
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+
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+ </li>
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+
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+ </ul>
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+
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+ </div><table class="source_code">
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+ <tr>
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+ <td>
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+ <pre class="lines">
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+ 49</pre>
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+ </td>
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+ <td>
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+ <pre class="code"><span class="info file"># File 'lib/bond_calculator/spread_to_curve.rb', line 25</span>
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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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+ <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'>&#39;</span><span class='tstring_content'>corporate</span><span class='tstring_end'>&#39;</span></span><span class='comma'>,</span> <span class='ivar'>@bonds</span><span class='rparen'>)</span>
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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'>&#39;</span><span class='tstring_content'>government</span><span class='tstring_end'>&#39;</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_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>
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+ <span class='id identifier rubyid_upper_bond'>upper_bond</span> <span class='op'>=</span> <span class='kw'>nil</span>
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+ <span class='id identifier rubyid_lower_bond'>lower_bond</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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+ <span class='kw'>if</span> <span class='id identifier rubyid_corp'>corp</span><span class='period'>.</span><span class='id identifier rubyid_term_years'>term_years</span> <span class='op'>&lt;=</span> <span class='id identifier rubyid_gov'>gov</span><span class='period'>.</span><span class='id identifier rubyid_term_years'>term_years</span>
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+ <span class='id identifier rubyid_lower_bond'>lower_bond</span> <span class='op'>=</span> <span class='id identifier rubyid_gov'>gov</span>
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+ <span class='kw'>break</span>
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+ <span class='kw'>else</span>
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+ <span class='id identifier rubyid_upper_bond'>upper_bond</span> <span class='op'>=</span> <span class='id identifier rubyid_gov'>gov</span>
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+ <span class='kw'>end</span>
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+ <span class='kw'>end</span>
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+
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+ <span class='id identifier rubyid_spread_to_curve'>spread_to_curve</span> <span class='op'>=</span> <span class='lparen'>(</span><span class='id identifier rubyid_corp'>corp</span><span class='period'>.</span><span class='id identifier rubyid_yield_percent'>yield_percent</span> <span class='op'>-</span> <span class='id identifier rubyid_yield_on_curve'>yield_on_curve</span><span class='lparen'>(</span><span class='id identifier rubyid_corp'>corp</span><span class='comma'>,</span> <span class='id identifier rubyid_lower_bond'>lower_bond</span><span class='comma'>,</span> <span class='id identifier rubyid_upper_bond'>upper_bond</span><span class='rparen'>)</span><span class='rparen'>)</span><span class='period'>.</span><span class='id identifier rubyid_round'>round</span><span class='lparen'>(</span><span class='int'>2</span><span class='rparen'>)</span>
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+ <span class='id identifier rubyid_response'>response</span> <span class='op'>&lt;&lt;</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> <span class='label'>spread_to_curve:</span> <span class='id identifier rubyid_spread_to_curve'>spread_to_curve</span> <span class='rbrace'>}</span>
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+ <span class='kw'>end</span>
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+ <span class='id identifier rubyid_print_response'>print_response</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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+ <span class='id identifier rubyid_response'>response</span>
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+ <span class='kw'>end</span></pre>
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+ </td>
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+ </tr>
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+ </table>
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+ </div>
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+
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+ </div>
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+
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+ </div>
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+
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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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+ </div>
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+
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+ </div>
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+ </body>
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+ </html>