finance_engine 0.0.2 → 0.0.3

checksums.yaml

@@ -1,7 +1,7 @@
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data/lib/finance_engine/americanoptionpricing.rb

@@ -25,21 +25,21 @@ module FinanceEngine
 			elsif years_to_expiration.round(3) > 0
 				create_tree_for_years((years_to_expiration - periods_in_year), periods_in_year, node+'u', price * @up_factor )
 				create_tree_for_years((years_to_expiration - periods_in_year), periods_in_year, node+'d', price * @down_factor)
-				get_put_value(node, periods_in_year)
-				get_call_value(node, periods_in_year)
+				get_put_value(price, node, periods_in_year)
+				get_call_value(price, node, periods_in_year)
 			end
 		end
 
-		def get_put_value(node, periods_in_year)
+		def get_put_value(price, node, periods_in_year)
 			up = @tree[node+'u']['put']
 			down = @tree[node+'d']['put']
-			@tree[node]['put'] = (Math::E**(-@rf* periods_in_year)*(@probability * up)+Math::E**(-@rf* periods_in_year)*((1-@probability) * down)).round(4)
+			@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
 		end
 
-		def get_call_value(node, periods_in_year)
+		def get_call_value(price, node, periods_in_year)
 			up = @tree[node+'u']['call']
 			down = @tree[node+'d']['call']
-			@tree[node]['call'] = (Math::E**(-@rf* periods_in_year)*(@probability * up)+Math::E**(-@rf* periods_in_year)*((1-@probability) * down)).round(4)
+			@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
 		end
 
 		def put_value(price)

data/lib/finance_engine/version.rb

@@ -1,3 +1,3 @@
 module FinanceEngine
-  VERSION = "0.0.2"
+  VERSION = "0.0.3"
 end

data/spec/entities/americanoptionpricing_spec.rb

@@ -37,6 +37,6 @@ describe FinanceEngine::American_Options do
 		first = FinanceEngine::American_Options.new(100,0.3,0.05,100)
 		first.build_american_options(1, 4)
 		expect(first.tree['original_']['put']).to be_within(0.0005).of(13.5240)
-		expect(first.tree['original_']['call']).to be_within(0.0005).of(8.6469)
+		expect(first.tree['original_']['call']).to be_within(0.0005).of(9.535)
 	end
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: finance_engine
 version: !ruby/object:Gem::Version
-  version: 0.0.2
+  version: 0.0.3
 platform: ruby
 authors:
 - Jeffrey Penkar
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2014-12-01 00:00:00.000000000 Z
+date: 2014-12-03 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
@@ -96,6 +96,7 @@ files:
 - README.md~
 - Rakefile
 - finance_engine-0.0.1.gem
+- finance_engine-0.0.2.gem
 - finance_engine.gemspec
 - lib/finance_engine.rb
 - lib/finance_engine/americanoptionpricing.rb