finance_engine 0.0.2 → 0.0.3
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checksums.yaml
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@@ -1,7 +1,7 @@
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metadata.gz: 910ed68ff0127eccd5709e5ec2df36c7968ea8fe
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data.tar.gz: 343a02977675f8bacb2745c01a8b2ad75ca2215e
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metadata.gz: 2dc680dc8b998586a574905f5eb60c78eb3675dcf535659cc7a7df509d549681c5cac43ec8b40a1185e05f7fa6df98f1594475f25569cb694d2ee6f4a8d91642
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data.tar.gz: aed0cb3ad69c71250d11a7a8e0d43c589a692ed1b682a573e4bc720e20ebb1c399c11cecfbad86c799f73fb687949eb205e725e06a4164852306335d377c3456
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Binary file
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@@ -25,21 +25,21 @@ module FinanceEngine
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elsif years_to_expiration.round(3) > 0
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create_tree_for_years((years_to_expiration - periods_in_year), periods_in_year, node+'u', price * @up_factor )
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create_tree_for_years((years_to_expiration - periods_in_year), periods_in_year, node+'d', price * @down_factor)
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get_put_value(node, periods_in_year)
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get_call_value(node, periods_in_year)
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get_put_value(price, node, periods_in_year)
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get_call_value(price, node, periods_in_year)
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end
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end
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def get_put_value(node, periods_in_year)
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def get_put_value(price, node, periods_in_year)
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up = @tree[node+'u']['put']
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down = @tree[node+'d']['put']
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@tree[node]['put'] = (Math::E**(-@rf* periods_in_year)*(@probability * up)+Math::E**(-@rf* periods_in_year)*((1-@probability) * down)).round(4)
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@tree[node]['put'] = [put_value(price), (Math::E**(-@rf* periods_in_year)*(@probability * up)+Math::E**(-@rf* periods_in_year)*((1-@probability) * down)).round(4)].max
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end
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def get_call_value(node, periods_in_year)
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def get_call_value(price, node, periods_in_year)
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up = @tree[node+'u']['call']
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down = @tree[node+'d']['call']
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@tree[node]['call'] = (Math::E**(-@rf* periods_in_year)*(@probability * up)+Math::E**(-@rf* periods_in_year)*((1-@probability) * down)).round(4)
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@tree[node]['call'] = [call_value(price), (Math::E**(-@rf* periods_in_year)*(@probability * up)+Math::E**(-@rf* periods_in_year)*((1-@probability) * down)).round(4)].max
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end
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def put_value(price)
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@@ -37,6 +37,6 @@ describe FinanceEngine::American_Options do
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first = FinanceEngine::American_Options.new(100,0.3,0.05,100)
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first.build_american_options(1, 4)
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expect(first.tree['original_']['put']).to be_within(0.0005).of(13.5240)
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expect(first.tree['original_']['call']).to be_within(0.0005).of(
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expect(first.tree['original_']['call']).to be_within(0.0005).of(9.535)
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end
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end
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metadata
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@@ -1,14 +1,14 @@
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--- !ruby/object:Gem::Specification
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name: finance_engine
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version: !ruby/object:Gem::Version
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version: 0.0.
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version: 0.0.3
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platform: ruby
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authors:
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- Jeffrey Penkar
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autorequire:
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bindir: bin
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cert_chain: []
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date: 2014-12-
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date: 2014-12-03 00:00:00.000000000 Z
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dependencies:
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- !ruby/object:Gem::Dependency
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name: bundler
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@@ -96,6 +96,7 @@ files:
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- README.md~
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- Rakefile
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- finance_engine-0.0.1.gem
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- finance_engine-0.0.2.gem
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- finance_engine.gemspec
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- lib/finance_engine.rb
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- lib/finance_engine/americanoptionpricing.rb
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