greeks 1.0

data/lib/greeks.rb

@@ -0,0 +1,371 @@
+require 'rubygems'
+require 'hash_plus'
+
+require_relative 'greeks/calculations/delta'
+require_relative 'greeks/calculations/gamma'
+require_relative 'greeks/calculations/iv'
+require_relative 'greeks/calculations/normal_distribution'
+require_relative 'greeks/calculations/theta'
+require_relative 'greeks/calculations/rho'
+require_relative 'greeks/calculations/vega'
+require_relative 'greeks/calculations/time_values'
+require_relative 'greeks/version'
+
+
+module Math
+  module Greeks
+    class Calculator
+      class GreekCalculations
+        extend Math::GreekCalculations
+      end
+
+      attr_reader :stock_price
+      attr_reader :stock_dividend_rate
+      attr_reader :option_type  # :call, or :put
+      attr_reader :option_price # bid, mid, or ask
+      attr_reader :option_strike
+      attr_reader :option_expires_in_days
+      attr_reader :federal_reserve_interest_rate
+
+      attr_reader :option_expires_pct_year
+      attr_reader :option_expires_pct_year_sqrt
+      attr_reader :stock_dividend_rate_f
+      attr_reader :federal_reserve_interest_rate_f
+      attr_reader :rate_vs_expires
+      attr_reader :price_vs_rate_vs_expires
+      attr_reader :strike_vs_fed_vs_expires
+      attr_reader :price_ratio_log_less_rates
+
+
+      def initialize(opts)
+        @stock_price                   = opts[:stock_price]
+        @stock_dividend_rate           = opts[:stock_dividend_rate]
+        @option_type                   = opts[:option_type]
+        @option_price                  = opts[:option_price]
+        @option_strike                 = opts[:option_strike]
+        @option_expires_in_days        = opts[:option_expires_in_days]
+        @federal_reserve_interest_rate = opts[:federal_reserve_interest_rate]
+        
+        @federal_reserve_interest_rate_f = federal_reserve_interest_rate / 100.0
+        @stock_dividend_rate_f           = stock_dividend_rate / 100.0
+        @option_expires_pct_year         = (option_expires_in_days + 1.0) / 365.0
+        @option_expires_pct_year_sqrt    = Math.sqrt(option_expires_pct_year)
+        
+        
+        @price_vs_rate_vs_expires = GreekCalculations.misc_price_vs_rate_vs_expires(
+          :stock_price             => stock_price,
+          :stock_dividend_rate_f   => stock_dividend_rate_f,
+          :option_expires_pct_year => option_expires_pct_year
+        )
+
+        @rate_vs_expires = GreekCalculations.misc_rate_vs_expires(
+          :option_expires_pct_year => option_expires_pct_year, 
+          :stock_dividend_rate_f   => stock_dividend_rate_f
+        )
+        
+        @strike_vs_fed_vs_expires = GreekCalculations.misc_strike_vs_fed_vs_expires(
+          :option_strike                   => option_strike,
+          :option_expires_pct_year         => option_expires_pct_year, 
+          :federal_reserve_interest_rate_f => federal_reserve_interest_rate_f
+        )
+        
+        @price_ratio_log_less_rates = GreekCalculations.misc_price_ratio_log_less_rates(
+          :stock_price                     => stock_price, 
+          :stock_dividend_rate_f           => stock_dividend_rate_f, 
+          :option_strike                   => option_strike, 
+          :option_expires_pct_year         => option_expires_pct_year, 
+          :federal_reserve_interest_rate_f => federal_reserve_interest_rate_f
+        )
+      end
+
+
+      # Chance of Breakeven
+      # The probability that a stock will be trading beyond the breakeven price as implied by the option price.
+      # Chance of Breakeven can be used to get a sense for the valuation of the option by comparing the markets'
+      # estimate of Chance of Breakeven to estimates derived from your own fundamental research.
+      # If you believe the Chance of Breakeven is less than the probability that a stock will be beyond the
+      # breakeven price at option expiration, then you believe the option is undervalued, and visa versa.
+      def break_even
+        @break_even ||= GreekCalculations.break_even(
+          :stock_price                     => stock_price, 
+          :stock_dividend_rate_f           => stock_dividend_rate_f, 
+          :federal_reserve_interest_rate_f => federal_reserve_interest_rate_f, 
+          :option_type                     => option_type, 
+          :option_price                    => option_price, 
+          :option_strike                   => option_strike, 
+          :option_expires_pct_year         => option_expires_pct_year, 
+          :option_expires_pct_year_sqrt    => option_expires_pct_year_sqrt, 
+          :iv                              => iv
+        )
+      end
+
+
+      # Intrinsic Value
+      # The value that the option would pay if it were executed today. For example, if a stock is trading at $40,
+      # a call on that stock with a strike price of $35 would have $5 of intrinsic value ($40-$35) if it were 
+      # exercised today. However, the call should actually be worth more than $5 to account for the value of the 
+      # chance of any further appreciation until expiration, and the difference between the price and the 
+      # intrinsic value would be the time value.
+      def premium_value
+        @premium_value ||= GreekCalculations.premium_value(
+          :option_type   => option_type,
+          :option_strike => option_strike,
+          :stock_price   => stock_price
+        )
+      end
+
+
+      # Time Value
+      # The value of an option that captures the chance of further appreciation before expiration.
+      # The value of an option can be broken down into intrinsic value, or the value of the option 
+      # if it were exercised today, and time value, or the added value of the option over and above
+      # the intrinsic value. For example, if a stock is trading at $40 and a call with a strike price
+      # of $35 were trading for $7, the call would have a $5 intrinsic value ($40-$35) and a $2 time value ($7-$5). 
+      # Time value will decay by expiration assuming the underlying security stays at the same price.
+      def time_value
+        @time_value ||= GreekCalculations.time_value(
+          :option_price  => option_price,
+          :premium_value => premium_value
+        )
+      end
+
+
+      # Annualized Premium
+      # The annualized premium is the value of the option divided by the strike price. You can use annualized 
+      # premium to develop an intuitive understanding of how much the market is "paying" for a dollar of risk. 
+      # For example, if a stock is trading at $50 and you sell a $50 strike 6 month call for $4, you are getting
+      # paid 8% in 6 months, or about 16% annualized, in exchange for being willing to buy at $50, the current price.
+      def annualized_premium_value
+        @annualized_premium_value ||= GreekCalculations.annualized_premium_value(
+          :option_price            => option_price,
+          :option_strike           => option_strike,
+          :option_expires_pct_year => option_expires_pct_year
+        )
+      end
+
+
+      # Annualized Time Value
+      # The time value of the option divided by the strike price, then annualized. You can use annualized 
+      # time value to develop an intuitive understanding of how much value the option market is adding to
+      # an in-the-money option beyond the intrinsic value. For example, if a stock is trading at $40 and a
+      # six month call on that stock with a strike price of $35 has an intrinsic value of $5 and a total 
+      # value of $7, the time value ($2) divided by the strike is ($2/$40) = 5%. Annualizing that time value 
+      # to a one year horizon on a continuously compounded basis yields 9.76% (2 × ln(1 + 0.05)).
+      def annualized_time_value
+        @annualized_time_value ||= GreekCalculations.annualized_time_value(
+          :time_value              => time_value,
+          :option_strike           => option_strike,
+          :option_expires_pct_year => option_expires_pct_year
+        )
+      end
+
+
+      # Implied Volatility
+      # A measure of the "riskiness" of the underlying security. Implied volatility is the primary measure of
+      # the "price" of an option--how expensive it is relative to other options. It is the "plug" value in option
+      # pricing models (the only variable in the equation that isn't precisely known). The remaining variables are
+      # option price, stock price, strike price, time to expiration, interest rate, and estimated dividends. 
+      # Therefore, the implied volatility is the component of the option price that is determined by the market.
+      # Implied volatility is greater if the future outcome of the underlying stock price is more uncertain.
+      # All else equal, the wider the market expects the range of possible outcomes to be for a stock's price,
+      # the higher the implied volatility, and the more expensive the option.
+      def iv
+        @iv ||= GreekCalculations.iv(
+          :stock_price                     => stock_price,
+          :stock_dividend_rate             => stock_dividend_rate,
+          :stock_dividend_rate_f           => stock_dividend_rate_f,
+          :option_type                     => option_type,
+          :option_price                    => option_price,
+          :option_strike                   => option_strike,
+          :option_expires_in_days          => option_expires_in_days,
+          :option_expires_pct_year         => option_expires_pct_year,
+          :option_expires_pct_year_sqrt    => option_expires_pct_year_sqrt,
+          :federal_reserve_interest_rate   => federal_reserve_interest_rate,
+          :federal_reserve_interest_rate_f => federal_reserve_interest_rate_f,
+          :price_ratio_log_less_rates      => price_ratio_log_less_rates,
+          :rate_vs_expires                 => rate_vs_expires,
+          :strike_vs_fed_vs_expires        => strike_vs_fed_vs_expires,
+          :price_vs_rate_vs_expires        => price_vs_rate_vs_expires,
+        )
+      end
+
+
+      # Delta
+      # A measurement of the change in the price of an option resulting from a change in the price of the underlying security.
+      # Delta is positive for calls and negative for puts. Delta can be calculated as the dollar change of the option that an
+      # investor can expect for a one-dollar change in the underlying security. For example, let's say an option on a stock
+      # trading at $50 costs $1 and has a delta of $0.50 per dollar of underlying stock price change. If the stock price rises
+      # to $52, the price of the option will increase by $1 (the $2 price change times the $0.50 delta). After the stock price
+      # movement, the option will be worth $2 ($1 initial cost plus $1 delta). Delta can also be calculated as a percentage
+      # change in the option price for a one-percent change in the underlying security; this method of viewing the delta value
+      # is also known as "leverage."
+      def delta
+        @delta ||= GreekCalculations.delta(
+          :option_type            => option_type, 
+          :iv                     => iv,
+          :rate_vs_expires        => rate_vs_expires, 
+          :d1_normal_distribution => d1_normal_distribution
+        )
+      end
+
+
+      # Gamma
+      # A measurement of the change in delta as the price of the underlying stock changes. As the underlying stock price changes,
+      # the delta of the option changes, too. Gamma indicates how quickly your exposure to the price movement of the underlying
+      # security changes as the price of the underlying security varies. For example, if you have a call with a strike of $50
+      # and the stock price is $50, the delta likely will be approximately $0.50 for a one-dollar movement of the stock.
+      # At a stock price of $60, the delta will be greater, closer to $0.75. At a stock price of $40, the delta will be less,
+      # closer to $0.25. In this example, if the stock price changes from $50 to $60, then the delta will change from $0.50 to $0.75.
+      # The $10 change in stock price caused a $0.25 change in delta, so gamma is approximately $0.25/10, or $0.025, in this case.
+      def gamma
+        @gamma ||= GreekCalculations.gamma(
+          :stock_price                  => stock_price, 
+          :option_expires_pct_year_sqrt => option_expires_pct_year_sqrt, 
+          :iv                           => iv, 
+          :nd1                          => nd1, 
+          :rate_vs_expires              => rate_vs_expires
+        )
+      end
+
+
+      # Vega
+      # The change in the price of an option for a change in the implied volatility of the option, all else held equal.
+      # In general, as the options market thinks it is more difficult to value a stock, implied volatility and therefore
+      # the price of the options will increase. For example, if an option is trading for $1, the implied volatility is 20%,
+      # and the vega is $0.05, then a one-percentage-point increase in implied volatility to 21% would correspond to an increase in
+      # the price of the option to $1.05. In percentage terms, the vega in this case would be ($0.05/$1.00)/(1 percentage point) = 5%.
+      def vega
+        @vega ||= GreekCalculations.vega(
+          :price_vs_rate_vs_expires     => price_vs_rate_vs_expires, 
+          :option_expires_pct_year_sqrt => option_expires_pct_year_sqrt,
+          :nd1                          => nd1, 
+          :iv                           => iv
+        )
+      end
+
+
+      # Rho
+      # The change in the value of an option for a change in the prevailing interest rate that matches the duration of the option,
+      # all else held equal. Generally rho is not a big driver of price changes for options, as interest rates tend to be relatively stable.
+      def rho
+        @rho ||= GreekCalculations.rho(
+          :option_type              => option_type, 
+          :option_expires_pct_year  => option_expires_pct_year, 
+          :strike_vs_fed_vs_expires => strike_vs_fed_vs_expires, 
+          :d2_normal_distribution   => d2_normal_distribution,
+          :iv                       => iv
+        )
+      end
+
+
+      # Theta
+      # The change in an option's value that an investor can expect from the passage of one day, assuming nothing else changes.
+      # Theta can be calculated in two ways, as the dollar change of the option that an investor can expect for a one-day passage of time,
+      # all else remaining equal, or as a percentage change in the option price for a one-day passage of time, all else remaining equal.
+      # For example, if an option trades at $1 on Monday morning and it has a theta of -$0.10 per day, you can expect the option to trade
+      # at $0.90 on Tuesday morning. Another way of measuring theta for that option is ($0.90 - $1)/$1 or -10% per day.
+      def theta
+        @theta ||= GreekCalculations.theta(
+          :federal_reserve_interest_rate_f => federal_reserve_interest_rate_f, 
+          :stock_dividend_rate_f           => stock_dividend_rate_f, 
+          :option_type                     => option_type, 
+          :option_expires_pct_year_sqrt    => option_expires_pct_year_sqrt, 
+          :strike_vs_fed_vs_expires        => strike_vs_fed_vs_expires, 
+          :price_vs_rate_vs_expires        => price_vs_rate_vs_expires, 
+          :price_ratio_log_less_rates      => price_ratio_log_less_rates,
+          :iv                              => iv, 
+          :nd1                             => nd1, 
+          :d1_normal_distribution          => d1_normal_distribution, 
+          :d2_normal_distribution          => d2_normal_distribution
+        )
+      end
+      
+
+      def to_hash
+        hash = {
+          :federal_reserve_interest_rate => federal_reserve_interest_rate,
+          :stock_dividend_rate           => stock_dividend_rate,
+          :stock_price                   => stock_price,
+          :option_expires_in_days        => option_expires_in_days,
+          :option_type                   => option_type,
+          :option_strike                 => option_strike,
+          :option_price                  => option_price,
+          :break_even    => nil,
+          :iv            => nil,
+          :delta         => nil,
+          :gamma         => nil, 
+          :vega          => nil, 
+          :rho           => nil,
+          :theta         => nil,
+          :deta_vs_theta => nil,
+        }
+        hash[:break_even]    = break_even * 100                   unless break_even.nil?
+        hash[:iv]            = iv * 100                           unless iv.nil?
+        hash[:delta]         = delta * stock_price / option_price unless delta.nil?
+        hash[:gamma]         = gamma * stock_price / delta        unless gamma.nil?
+        hash[:vega]          = vega * iv * 100 / option_price     unless vega.nil?
+        hash[:rho]           = rho * 100 / option_price           unless rho.nil?
+        hash[:theta]         = theta * 100 / option_price         unless theta.nil?
+
+
+        # Delta/Theta
+        # A measure of the “bang for the buck” of an option.
+        # By dividing the dimensionless Delta or leverage of an option by the dimensionless Theta or 
+        # decay rate, the trend in the Delta/Theta column indicates which options give the most exposure
+        # to the movement of the underlying stock or index for a given decay rate of the option value.
+        # The highest numbers indicate the most bang for the buck for the least decay rate.
+        hash[:deta_vs_theta] = hash[:delta] / hash[:theta]        unless hash[:delta].nil? || hash[:theta].nil?
+        
+        [:iv, :delta, :gamma, :vega, :rho, :theta, :deta_vs_theta].each do |key|
+          hash[key] &&= hash[key].round(2)
+        end
+
+        hash
+      end
+      
+
+      private
+
+      
+      def d1
+        @d1 ||= GreekCalculations.misc_d1(
+          :price_ratio_log_less_rates   => price_ratio_log_less_rates, 
+          :option_expires_pct_year      => option_expires_pct_year, 
+          :option_expires_pct_year_sqrt => option_expires_pct_year_sqrt,
+          :iv                           => iv
+        )
+      end
+
+
+      def d2
+        @d2 ||= GreekCalculations.misc_d2(
+          :option_expires_pct_year_sqrt => option_expires_pct_year_sqrt,
+          :d1                           => d1,
+          :iv                           => iv
+        )
+      end
+
+
+      def d1_normal_distribution
+        @d1_normal_distribution ||= GreekCalculations.misc_d_normal_distribution(
+          :option_type => option_type, 
+          :d_value     => d1
+        )
+      end
+
+
+      def d2_normal_distribution
+        @d2_normal_distribution ||= GreekCalculations.misc_d_normal_distribution(
+          :option_type => option_type, 
+          :d_value     => d2
+        )
+      end
+
+
+      def nd1
+        @nd1 ||= GreekCalculations.misc_nd1(:d1 => d1)
+      end
+
+    end
+  end
+end

data/spec/greeks/calculations/delta_spec.rb

@@ -0,0 +1,9 @@
+require File.expand_path("../../spec_helper.rb", File.dirname(__FILE__))
+
+describe "Math::GreekCalculations::delta" do
+  extend  Math::GreekCalculations
+  include Math::GreekCalculations
+  
+  it { delta(:option_type => :call, :rate_vs_expires => 1.0, :d1_normal_distribution => 1.0, :iv => 'any value').should === 1.0 }
+  it { delta(:option_type => :put,  :rate_vs_expires => 1.0, :d1_normal_distribution => 1.0, :iv => 'any value').should === -1.0 }
+end

data/spec/greeks/calculations/gamma_spec.rb

@@ -0,0 +1,8 @@
+require File.expand_path("../../spec_helper.rb", File.dirname(__FILE__))
+
+describe "Math::GreekCalculations::gamma" do
+  extend  Math::GreekCalculations
+  include Math::GreekCalculations
+  
+  it { gamma(:stock_price => 1.0, :option_expires_pct_year_sqrt => 2.0, :iv => 3.0, :nd1 => 4.0, :rate_vs_expires => 5.0).round(2).should. === 3.33 }
+end

data/spec/greeks/calculations/iv_option_price_spec.rb

@@ -0,0 +1,67 @@
+require File.expand_path("../../spec_helper.rb", File.dirname(__FILE__))
+
+describe "Math::GreekCalculations::iv_option_price" do
+  include Math
+  include Math::GreekCalculations
+  include Math::GreekCalculationHelpers
+
+  let(:stock_price) { 10.00 }
+  let(:stock_dividend_rate_f) { 0.00 }
+  let(:option_type) { :call }
+  let(:option_expires_pct_year) { 1.00 }
+  let(:volatility_guess) { 0.50 }
+  
+  context "exactly at the money" do
+    let(:option_strike) { 10.00 }
+  
+    context "0% interest" do
+      let(:federal_reserve_interest_rate_f) { 0.00 }
+      let(:expected) { 1.9741254870839349 }
+      
+      it { var_option_price().should === expected }
+    end
+  
+    context "0.02% interest" do
+      let(:federal_reserve_interest_rate_f) { 0.0002 }
+      let(:expected) { 1.9749281489443273 }
+      
+      it { var_option_price().should === expected }
+    end
+  end
+  
+  context "out of the money" do
+    let(:option_strike) { 15.00 }
+  
+    context "0% interest" do
+      let(:federal_reserve_interest_rate_f) { 0.00 }
+      let(:expected) { 0.7088126378267066 }
+      
+      it { var_option_price().should === expected }
+    end
+  
+    context "0.02% interest" do
+      let(:federal_reserve_interest_rate_f) { 0.0002 }
+      let(:expected) { 0.7092458172337008 }
+      
+      it { var_option_price().should === expected }
+    end
+  end
+  
+  context "in of the money" do
+    let(:option_strike) { 5.00 }
+  
+    context "0% interest" do
+      let(:federal_reserve_interest_rate_f) { 0.00 }
+      let(:expected) { 5.130693877506824 }
+      
+      it { var_option_price().should === expected }
+    end
+  
+    context "0.02% interest" do
+      let(:federal_reserve_interest_rate_f) { 0.0002 }
+      let(:expected) { 5.1315659170286185 }
+      
+      it { var_option_price().should === expected }
+    end
+  end
+end

data/spec/greeks/calculations/iv_spec.rb

@@ -0,0 +1,56 @@
+require File.expand_path("../../spec_helper.rb", File.dirname(__FILE__))
+
+describe "Math::GreekCalculations::iv" do
+  extend  Math::GreekCalculations
+  include Math::GreekCalculations
+  include Math::GreekCalculationHelpers
+
+  let(:stock_price) { 10.00 }
+  let(:stock_dividend_rate) { 0.0 }
+  let(:stock_dividend_rate_f) { 0.0 }
+
+  let(:option_price) { 1.00 } 
+  let(:option_expires_in_days) { 364.0 }
+  let(:option_expires_pct_year) { 1.0 }
+
+  let(:federal_reserve_interest_rate) { 0.0 }
+  let(:federal_reserve_interest_rate_f) { 0.00 }
+
+  describe "call options" do
+    let(:option_type) { :call }
+    
+    context "exactly at the money" do
+      let(:option_strike) { 10.00 }
+      it { var_iv().should === 0.25089263455361754 }
+    end
+    
+    context "out of the money" do
+      let(:option_strike) { 15.00 }
+      it { var_iv().should === 0.5819996182323802 }
+    end
+    
+    context "in the money" do
+      let(:option_strike) { 5.00 }
+      it { var_iv().should === nil }
+    end
+  end
+  
+  describe "put options" do
+    let(:option_type) { :put }
+
+    context "exactly at the money" do
+      let(:option_strike) { 10.00 }
+      it { var_iv().should === 0.25089263455361754 }
+    end
+    
+    context "out of the money" do
+      let(:option_strike) { 15.00 }
+      it { var_iv().should === nil }
+    end
+    
+    context "in the money" do
+      let(:option_strike) { 5.00 }
+      it { var_iv().should === 1.0245859277769118 }
+    end
+  end
+end

data/spec/greeks/calculations/iv_vega_spec.rb

@@ -0,0 +1,66 @@
+require File.expand_path("../../spec_helper.rb", File.dirname(__FILE__))
+
+describe "Math::GreekCalculations::iv_vega" do
+  include Math
+  include Math::GreekCalculations
+  include Math::GreekCalculationHelpers
+
+  let(:stock_price) { 10.00 }
+  let(:stock_dividend_rate_f) { 0.00 }
+  let(:option_expires_pct_year) { 1.00 }
+  let(:volatility_guess) { 0.50 }
+  
+  context "exactly at the money" do
+    let(:option_strike) { 10.00 }
+  
+    context "0% interest" do
+      let(:federal_reserve_interest_rate_f) { 0.00 }
+      let(:expected) { 3.866681168028493 }
+      
+      it { var_vega().should === expected }
+    end
+  
+    context "0.02% interest" do
+      let(:federal_reserve_interest_rate_f) { 0.0002 }
+      let(:expected) { 3.866294209940902 }
+      
+      it { var_vega().should === expected }
+    end
+  end
+  
+  context "out of the money" do
+    let(:option_strike) { 15.00 }
+  
+    context "0% interest" do
+      let(:federal_reserve_interest_rate_f) { 0.00 }
+      let(:expected) { 3.4086802947730774 }
+      
+      it { var_vega().should === expected }
+    end
+  
+    context "0.02% interest" do
+      let(:federal_reserve_interest_rate_f) { 0.0002 }
+      let(:expected) { 3.4094449205351056 }
+      
+      it { var_vega().should === expected }
+    end
+  end
+  
+  context "in of the money" do
+    let(:option_strike) { 5.00 }
+  
+    context "0% interest" do
+      let(:federal_reserve_interest_rate_f) { 0.00 }
+      let(:expected) { 1.045940982192684 }
+      
+      it { var_vega().should === expected }
+    end
+  
+    context "0.02% interest" do
+      let(:federal_reserve_interest_rate_f) { 0.0002 }
+      let(:expected) { 1.045256535627944 }
+      
+      it { var_vega().should === expected }
+    end
+  end
+end

data/spec/greeks/calculations/normal_distribution_spec.rb

@@ -0,0 +1,22 @@
+require File.expand_path("../../spec_helper.rb", File.dirname(__FILE__))
+
+describe "Math::GreekCalculations::normal_distribution" do
+  extend  Math::GreekCalculations
+  include Math::GreekCalculations
+
+  it "should take 0.000005s per calculation" do
+    test_speed(0.000005) { normal_distribution(0.0) }
+  end
+
+  it "should calculate the normal_distribution" do
+    normal_distribution(-0.0).should === 0.5000000005248086
+    normal_distribution(0.038237059844021946).should === 0.5152507249371991
+    normal_distribution(0.038410221197121876).should === 0.5153197557441735
+    normal_distribution(0.05419795049563356).should === 0.5216113427954938
+    normal_distribution(0.08866836079942457).should === 0.5353273260368764
+    normal_distribution(0.22705303864277918).should === 0.5898087102891723
+    normal_distribution(0.23102722425730948).should === 0.5913531319833535
+    normal_distribution(0.24375225242810844).should === 0.5962886004762329
+    normal_distribution(0.24745839358343474).should === 0.5977232060736917
+  end
+end

data/spec/greeks/calculations/rho_spec.rb

@@ -0,0 +1,9 @@
+require File.expand_path("../../spec_helper.rb", File.dirname(__FILE__))
+
+describe "Math::GreekCalculations::rho" do
+  extend  Math::GreekCalculations
+  include Math::GreekCalculations
+  
+  it { rho(:option_type => :call, :option_expires_pct_year => 1.0, :strike_vs_fed_vs_expires => 2.0, :d2_normal_distribution => 3.0, :iv => 'any value').should ===  0.06 }
+  it { rho(:option_type => :put,  :option_expires_pct_year => 1.0, :strike_vs_fed_vs_expires => 2.0, :d2_normal_distribution => 3.0, :iv => 'any value').should === -0.06 }
+end

data/spec/greeks/calculations/theta_spec.rb

@@ -0,0 +1,10 @@
+require File.expand_path("../../spec_helper.rb", File.dirname(__FILE__))
+
+describe "Math::GreekCalculations::theta" do
+  extend  Math::GreekCalculations
+  include Math::GreekCalculations
+  
+  it { theta(:option_type => :call, :stock_dividend_rate_f => 1.0005, :federal_reserve_interest_rate_f => 2.0002, :option_expires_pct_year_sqrt => 1.0, :iv => 1.0, :strike_vs_fed_vs_expires => 3.0, :price_vs_rate_vs_expires => 4.0, :nd1 => 5.0, :d1_normal_distribution => 6.0, :d2_normal_distribution => 7.0).should === -0.0766909589041096 }
+  
+  it { theta(:option_type => :put,  :stock_dividend_rate_f => 1.0005, :federal_reserve_interest_rate_f => 2.0002, :option_expires_pct_year_sqrt => 1.0, :iv => 1.0, :strike_vs_fed_vs_expires => 3.0, :price_vs_rate_vs_expires => 4.0, :nd1 => 5.0, :d1_normal_distribution => 6.0, :d2_normal_distribution => 7.0).should === 0.021896438356164394 }
+end