bondie 0.1.1

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data/.gitignore

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+/.bundle/
+/.yardoc
+/Gemfile.lock
+/_yardoc/
+/coverage/
+/doc/
+/pkg/
+/spec/reports/
+/tmp/
+.idea/
+*.bundle
+*.so
+*.o
+*.a
+mkmf.log
+.ruby-version

data/.rspec

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+--color
+--require spec_helper

data/Gemfile

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+source 'https://rubygems.org'
+
+# Specify your gem's dependencies in bondie.gemspec
+gemspec

data/LICENSE.txt

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+Copyright (c) 2015 kobi
+
+MIT License
+
+Permission is hereby granted, free of charge, to any person obtaining
+a copy of this software and associated documentation files (the
+"Software"), to deal in the Software without restriction, including
+without limitation the rights to use, copy, modify, merge, publish,
+distribute, sublicense, and/or sell copies of the Software, and to
+permit persons to whom the Software is furnished to do so, subject to
+the following conditions:
+
+The above copyright notice and this permission notice shall be
+included in all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
+EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
+MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
+NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE
+LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION
+OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION
+WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.

data/README.md

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+# Bondie
+
+Bondie is a simple calculator for the bond properties.
+It can calculate Yield To Maturity (YTM), interest payments dates or price based on YTM.
+
+## Installation
+
+Add this line to your application's Gemfile:
+
+```ruby
+gem 'bondie'
+```
+
+And then execute:
+
+    $ bundle
+
+Or install it yourself as:
+
+    $ gem install bondie
+
+## Usage
+
+Calculation YTM based on price and date:
+
+```ruby
+issue = Bondie::Issue.new(coupon: 0.0622, maturity_date: Date.parse('2016-08-22'), coupon_frequency: 4)
+issue.ytm(Date.parse('2015-09-07'), price: 100.8)
+```
+
+It will not count exact yield, but it will approximate it - you can set maximum approximation error by adding `approximation_error` parameter to the method.
+
+You can also check interest payments dates:
+
+```ruby
+issue = Bondie::Issue.new(coupon: 0.0622, maturity_date: Date.parse('2016-08-22'), coupon_frequency: 4)
+issue.interest_payments(Date.parse('2015-09-07'))
+```
+
+Currently it will not skip weekends or other days without bond quotations, so it can be inaccurate.
+
+Also it's possible to check price on which it will generate given yield:
+
+```ruby
+issue = Bondie::Issue.new(coupon: 0.0622, maturity_date: Date.parse('2016-08-22'), coupon_frequency: 4)
+issue.price(0.05156, Date.parse('2015-09-07'))
+```
+
+## Contributing
+
+1. Fork it
+2. Create your feature branch (`git checkout -b my-new-feature`)
+3. Commit your changes (`git commit -am 'Add some feature'`)
+4. Push to the branch (`git push origin my-new-feature`)
+5. Create a new Pull Request

data/Rakefile

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+require "bundler/gem_tasks"
+

data/bondie.gemspec

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+# coding: utf-8
+lib = File.expand_path('../lib', __FILE__)
+$LOAD_PATH.unshift(lib) unless $LOAD_PATH.include?(lib)
+require 'bondie/version'
+
+Gem::Specification.new do |spec|
+  spec.name          = "bondie"
+  spec.version       = Bondie::VERSION
+  spec.authors       = ["bewon"]
+  spec.email         = ["strong.neon@gmail.com"]
+  spec.summary       = 'Bondie is a simple calculator for the bond properties - e.g. yield (YTM).'
+  spec.description   = spec.summary
+  spec.homepage      = "https://github.com/bewon/bondie"
+  spec.license       = "MIT"
+
+  spec.files         = `git ls-files -z`.split("\x0")
+  spec.executables   = spec.files.grep(%r{^bin/}) { |f| File.basename(f) }
+  spec.test_files    = spec.files.grep(%r{^(test|spec|features)/})
+  spec.require_paths = ["lib"]
+
+  spec.add_development_dependency "bundler", "~> 1.7"
+  spec.add_development_dependency "rake", "~> 10.0"
+  spec.add_development_dependency "rspec", "~> 3.3"
+
+  spec.required_ruby_version = '>= 2.0.0'
+end

data/lib/bondie.rb

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+require "bondie/version"
+require "bondie/issue"
+
+module Bondie
+
+end

data/lib/bondie/issue.rb

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+require 'date'
+
+module Bondie
+  class Issue
+
+    DEFAULT_APPROXIMATION_ERROR = 0.001
+
+    def initialize(coupon: nil, maturity_date: nil, coupon_frequency: nil)
+      @coupon               = coupon
+      @maturity_date        = maturity_date
+      @coupon_frequency     = coupon_frequency
+    end
+
+    def price(ytm, date, fees: 0)
+      price_for_irr(irr_from_ytm(ytm), date, fees: fees)
+    end
+
+    def interest_payments(from_date)
+      payments = []
+      date = @maturity_date
+      while date >= from_date
+        payments << date
+        date = date.prev_month(12/@coupon_frequency)
+      end
+      payments.sort
+    end
+
+    def ytm(date, price: 100, fees: 0, approximation_error: DEFAULT_APPROXIMATION_ERROR)
+      ytm_down, ytm_up = ytm_limits(price, date, fees: fees)
+      approximate_ytm(ytm_down, ytm_up, price, date, fees: fees, approximation_error: approximation_error)
+    end
+
+
+    private
+
+    def irr_from_ytm(ytm)
+      (ytm/@coupon_frequency.to_f + 1) ** @coupon_frequency - 1
+    end
+
+
+    def approximate_ytm(ytm_down, ytm_up, price, date, fees: 0, approximation_error: DEFAULT_APPROXIMATION_ERROR)
+      approx_ytm = (ytm_up + ytm_down) / 2.0
+      return approx_ytm if ((ytm_up - approx_ytm)/approx_ytm).abs <= approximation_error
+      p = price(approx_ytm, date, fees: fees)
+      ytm_down, ytm_up = p < price ? [ytm_down, approx_ytm] : [approx_ytm, ytm_up]
+      approximate_ytm(ytm_down, ytm_up, price, date, fees: fees, approximation_error: approximation_error)
+    end
+
+    def ytm_limits(price, date, fees: 0)
+      ytm_up = 0.1
+      ytm_up *= 10 while price(ytm_up, date, fees: fees) > price
+      # IRR will be never lower than -1, so YTM should be never lower than -coupon_frequency (see irr_from_ytm)
+      ytm_down = price(0, date, fees: fees) > price ? 0.0 : -@coupon_frequency.to_f
+      [ytm_down, ytm_up]
+    end
+
+    def price_for_irr(irr, date, fees: 0)
+      raise "Date is after maturity_date!" if date > @maturity_date
+      last = date
+      interest_payments(date).map do |payday|
+        interest = @coupon * 100 * ((payday-last)/365)
+        interest += 100 if payday == @maturity_date
+        last = payday
+        interest / ((1+irr) ** ((payday-date)/365))
+      end.inject(:+) / (1+fees)
+    end
+
+  end
+end

data/lib/bondie/version.rb

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+module Bondie
+  VERSION = "0.1.1"
+end

data/spec/bondie/issue_spec.rb

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+require 'spec_helper'
+
+describe Bondie::Issue do
+  let(:issue) { Bondie::Issue.new(coupon: 0.0622, maturity_date: Date.parse('2016-08-22'), coupon_frequency: 4) }
+
+  describe 'price' do
+    it 'should return price for which bond should be bought to make given YTM' do
+      price = issue.price(0.05156, Date.parse('2015-09-07'), fees: 0.0019)
+      expect(price).to be_within(0.01).of(100.8)
+    end
+  end
+
+  describe 'interest_payments' do
+    it 'should return dates of interest payments' do
+      dates = %w(2015-11-22 2016-02-22 2016-05-22 2016-08-22).map { |d| Date.parse(d) }
+      expect(issue.interest_payments(Date.parse('2015-09-07'))).to match_array(dates)
+    end
+    it 'should return also from_date if it\'s one of the payments date' do
+      date = Date.parse('2016-05-22')
+      expect(issue.interest_payments(date)).to include(date)
+    end
+  end
+
+  describe 'ytm' do
+    it 'should calculate YTM for given date and price' do
+      result = issue.ytm(Date.parse('2015-09-07'), price: 100.8, fees: 0.0019)
+      expect(result).to be_within(0.0001).of(0.05156)
+    end
+  end
+end

data/spec/spec_helper.rb

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+require 'bondie'
+
+# This file was generated by the `rspec --init` command. Conventionally, all
+# specs live under a `spec` directory, which RSpec adds to the `$LOAD_PATH`.
+# The generated `.rspec` file contains `--require spec_helper` which will cause
+# this file to always be loaded, without a need to explicitly require it in any
+# files.
+#
+# Given that it is always loaded, you are encouraged to keep this file as
+# light-weight as possible. Requiring heavyweight dependencies from this file
+# will add to the boot time of your test suite on EVERY test run, even for an
+# individual file that may not need all of that loaded. Instead, consider making
+# a separate helper file that requires the additional dependencies and performs
+# the additional setup, and require it from the spec files that actually need
+# it.
+#
+# The `.rspec` file also contains a few flags that are not defaults but that
+# users commonly want.
+#
+# See http://rubydoc.info/gems/rspec-core/RSpec/Core/Configuration
+RSpec.configure do |config|
+  # rspec-expectations config goes here. You can use an alternate
+  # assertion/expectation library such as wrong or the stdlib/minitest
+  # assertions if you prefer.
+  config.expect_with :rspec do |expectations|
+    # This option will default to `true` in RSpec 4. It makes the `description`
+    # and `failure_message` of custom matchers include text for helper methods
+    # defined using `chain`, e.g.:
+    #     be_bigger_than(2).and_smaller_than(4).description
+    #     # => "be bigger than 2 and smaller than 4"
+    # ...rather than:
+    #     # => "be bigger than 2"
+    expectations.include_chain_clauses_in_custom_matcher_descriptions = true
+  end
+
+  # rspec-mocks config goes here. You can use an alternate test double
+  # library (such as bogus or mocha) by changing the `mock_with` option here.
+  config.mock_with :rspec do |mocks|
+    # Prevents you from mocking or stubbing a method that does not exist on
+    # a real object. This is generally recommended, and will default to
+    # `true` in RSpec 4.
+    mocks.verify_partial_doubles = true
+  end
+
+# The settings below are suggested to provide a good initial experience
+# with RSpec, but feel free to customize to your heart's content.
+=begin
+  # These two settings work together to allow you to limit a spec run
+  # to individual examples or groups you care about by tagging them with
+  # `:focus` metadata. When nothing is tagged with `:focus`, all examples
+  # get run.
+  config.filter_run :focus
+  config.run_all_when_everything_filtered = true
+
+  # Allows RSpec to persist some state between runs in order to support
+  # the `--only-failures` and `--next-failure` CLI options. We recommend
+  # you configure your source control system to ignore this file.
+  config.example_status_persistence_file_path = "spec/examples.txt"
+
+  # Limits the available syntax to the non-monkey patched syntax that is
+  # recommended. For more details, see:
+  #   - http://myronmars.to/n/dev-blog/2012/06/rspecs-new-expectation-syntax
+  #   - http://www.teaisaweso.me/blog/2013/05/27/rspecs-new-message-expectation-syntax/
+  #   - http://myronmars.to/n/dev-blog/2014/05/notable-changes-in-rspec-3#new__config_option_to_disable_rspeccore_monkey_patching
+  config.disable_monkey_patching!
+
+  # This setting enables warnings. It's recommended, but in some cases may
+  # be too noisy due to issues in dependencies.
+  config.warnings = true
+
+  # Many RSpec users commonly either run the entire suite or an individual
+  # file, and it's useful to allow more verbose output when running an
+  # individual spec file.
+  if config.files_to_run.one?
+    # Use the documentation formatter for detailed output,
+    # unless a formatter has already been configured
+    # (e.g. via a command-line flag).
+    config.default_formatter = 'doc'
+  end
+
+  # Print the 10 slowest examples and example groups at the
+  # end of the spec run, to help surface which specs are running
+  # particularly slow.
+  config.profile_examples = 10
+
+  # Run specs in random order to surface order dependencies. If you find an
+  # order dependency and want to debug it, you can fix the order by providing
+  # the seed, which is printed after each run.
+  #     --seed 1234
+  config.order = :random
+
+  # Seed global randomization in this process using the `--seed` CLI option.
+  # Setting this allows you to use `--seed` to deterministically reproduce
+  # test failures related to randomization by passing the same `--seed` value
+  # as the one that triggered the failure.
+  Kernel.srand config.seed
+=end
+end

metadata

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+--- !ruby/object:Gem::Specification
+name: bondie
+version: !ruby/object:Gem::Version
+  version: 0.1.1
+platform: ruby
+authors:
+- bewon
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2015-10-18 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: bundler
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '1.7'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '1.7'
+- !ruby/object:Gem::Dependency
+  name: rake
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '10.0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '10.0'
+- !ruby/object:Gem::Dependency
+  name: rspec
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.3'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.3'
+description: Bondie is a simple calculator for the bond properties - e.g. yield (YTM).
+email:
+- strong.neon@gmail.com
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- ".gitignore"
+- ".rspec"
+- Gemfile
+- LICENSE.txt
+- README.md
+- Rakefile
+- bondie.gemspec
+- lib/bondie.rb
+- lib/bondie/issue.rb
+- lib/bondie/version.rb
+- spec/bondie/issue_spec.rb
+- spec/spec_helper.rb
+homepage: https://github.com/bewon/bondie
+licenses:
+- MIT
+metadata: {}
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: 2.0.0
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: 
+rubygems_version: 2.4.8
+signing_key: 
+specification_version: 4
+summary: Bondie is a simple calculator for the bond properties - e.g. yield (YTM).
+test_files:
+- spec/bondie/issue_spec.rb
+- spec/spec_helper.rb