greeks 1.0

data/spec/greeks/calculations/time_values_spec.rb

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+require File.expand_path("../../spec_helper.rb", File.dirname(__FILE__))
+
+describe "Math::GreekCalculations::misc_price_ratio_log_less_rates" 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 }
+
+  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) { 0.00 }
+
+      it { var_price_ratio_log_less_rates().should === expected }
+    end
+  
+    context "0.02% interest" do
+      let(:federal_reserve_interest_rate_f) { 0.0002 }
+      let(:expected) { 0.0002 }
+
+      it { var_price_ratio_log_less_rates().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) { -0.40546510810816444 }
+
+      it { var_price_ratio_log_less_rates().should === expected }
+    end
+  
+    context "0.02% interest" do
+      let(:federal_reserve_interest_rate_f) { 0.0002 }
+      let(:expected) { -0.40526510810816446 }
+
+      it { var_price_ratio_log_less_rates().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) { 0.6931471805599453 }
+
+      it { var_price_ratio_log_less_rates().should === expected }
+    end
+  
+    context "0.02% interest" do
+      let(:federal_reserve_interest_rate_f) { 0.0002 }
+      let(:expected) { 0.6933471805599453 }
+
+      it { var_price_ratio_log_less_rates().should === expected }
+    end
+  end
+end
+
+
+describe "Math::GreekCalculations::misc_price_vs_rate_vs_expires" do
+  include Math
+  include Math::GreekCalculations
+
+  let(:stock_price) { 10.00 }
+  let(:option_expires_pct_year) { 1.00 }
+  let(:stock_dividend_rate_f) { 0.05 }
+  let(:expected) { 9.51229424500714 }
+  subject { misc_price_vs_rate_vs_expires(:stock_price => stock_price, :option_expires_pct_year => option_expires_pct_year, :stock_dividend_rate_f => stock_dividend_rate_f) }
+  
+  it { should === expected }
+end

data/spec/greeks/calculations/vega_spec.rb

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+require File.expand_path("../../spec_helper.rb", File.dirname(__FILE__))
+
+describe "Math::GreekCalculations::vega" do
+  extend  Math::GreekCalculations
+  include Math::GreekCalculations
+  
+  it { vega(:price_vs_rate_vs_expires =>  1.0, :nd1 =>  1.0, :option_expires_pct_year_sqrt => 1.0, :iv => 'any value').should === 0.01 }
+  it { vega(:price_vs_rate_vs_expires =>  3.0, :nd1 =>  2.0, :option_expires_pct_year_sqrt => 1.0, :iv => 'any value').should === 0.06 }
+  it { vega(:price_vs_rate_vs_expires => 10.0, :nd1 => 10.0, :option_expires_pct_year_sqrt => 5.0, :iv => 'any value').should === 5.0 }
+end

data/spec/greeks/greeks_spec.rb

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+require File.expand_path("../spec_helper.rb", File.dirname(__FILE__))
+
+describe Math::Greeks::Calculator do
+  let(:entity) do 
+    {
+      :symbol => 'AMD',
+      :type   => :stock,
+      :date   => '2013-05-19',
+    }
+  end
+  
+  let(:date) { '2013-06-21' }
+  let(:days) { 35.0 }
+  
+  let(:call)  do
+    {
+      :strike     => 4.50,
+      :bid        => 0.16,
+      :iv         => 61.92,
+      :delta      => 8.59,
+      :gamma      => 5.57,
+      :vega       => 1.81,
+      :rho        => 0.75,
+      :theta      => -2.51,
+      :break_even => 21.38,
+    }
+  end
+
+  let(:put) do
+    {
+      :strike     => 4.50,
+      :bid        => 0.59,
+      :iv         => 61.93,
+      :delta      => -4.57,
+      :gamma      => -2.84,
+      :vega       => 0.49,
+      :rho        => -0.55,
+      :theta      => -0.68,
+      :break_even => 45.66,
+    }
+  end
+  
+  let(:base_opts) do
+    {
+      :stock_price                   => 4.07,
+      :stock_dividend_rate           => 0.00,
+      :option_expires_in_days        => 35.0,
+      :federal_reserve_interest_rate => 0.01,
+      :option_type                   => nil,
+      :option_price                  => nil,
+      :option_strike                 => nil,
+    }
+  end
+  
+  context "call option" do
+    let(:opts) do
+      base_opts.merge(
+        :option_type   => :call,
+        :option_price  => call[:bid],
+        :option_strike => call[:strike],
+      )
+    end
+
+    subject(:calc) { Math::Greeks::Calculator.new(opts) }
+
+    it { calc.stock_price.should === opts[:stock_price] }
+    it { calc.stock_dividend_rate.should === opts[:stock_dividend_rate] }
+    it { calc.option_type.should === opts[:option_type] }
+    it { calc.option_price.should === opts[:option_price] }
+    it { calc.option_strike.should === opts[:option_strike] }
+    it { calc.option_expires_in_days.should === opts[:option_expires_in_days] }
+    it { calc.federal_reserve_interest_rate.should === opts[:federal_reserve_interest_rate] }
+    
+    it { calc.to_hash[:iv].should === call[:iv] }
+    it { calc.to_hash[:delta].should === call[:delta] }
+    it { calc.to_hash[:gamma].should === call[:gamma] }
+    it { calc.to_hash[:vega].should === call[:vega] }
+    it { calc.to_hash[:theta].should === call[:theta] }
+    it { calc.to_hash[:rho].should === call[:rho] }
+    it { calc.to_hash[:break_even].round(2).should === call[:break_even] }
+  end
+  
+  context "put option" do
+    let(:opts) do
+      base_opts.merge(
+        :option_type   => :put,
+        :option_price  => put[:bid],
+        :option_strike => put[:strike],
+      )
+    end
+
+    subject(:calc) { Math::Greeks::Calculator.new(opts) }
+
+    it { calc.stock_price.should === opts[:stock_price] }
+    it { calc.stock_dividend_rate.should === opts[:stock_dividend_rate] }
+    it { calc.option_type.should === opts[:option_type] }
+    it { calc.option_price.should === opts[:option_price] }
+    it { calc.option_strike.should === opts[:option_strike] }
+    it { calc.option_expires_in_days.should === opts[:option_expires_in_days] }
+    it { calc.federal_reserve_interest_rate.should === opts[:federal_reserve_interest_rate] }
+    
+    it { calc.to_hash[:iv].should === put[:iv] }
+    it { calc.to_hash[:delta].should === put[:delta] }
+    it { calc.to_hash[:gamma].should === put[:gamma] }
+    it { calc.to_hash[:vega].should === put[:vega] }
+    it { calc.to_hash[:theta].should === put[:theta] }
+    it { calc.to_hash[:rho].should === put[:rho] }
+    it { calc.to_hash[:break_even].round(2).should === put[:break_even] }
+  end
+end

data/spec/spec_helper.rb

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+require 'rubygems'
+
+require 'rspec'
+require 'rspec-expectations'
+require 'benchmark'
+
+$:.push File.expand_path("../lib", File.dirname(__FILE__))
+require 'greeks'
+
+$spec_root = File.dirname(__FILE__)
+
+RSpec.configure do |config|
+  old_verbose, $VERBOSE = $VERBOSE, nil
+  
+  def puts(s)
+    file = File.basename(caller(1).first)
+    super("puts() from #{file}: #{s}")
+  end
+  
+  def print(s)
+    file = File.basename(caller(1).first)
+    super("print() from #{file}: #{s}")
+  end
+
+  def p(s)
+    file = File.basename(caller(1).first)
+    super("p() from #{file}: #{s}")
+  end
+  
+  def test_speed(x_speed, x_times = 1000)
+    time = Benchmark.realtime { x_times.times { |n| @result = yield } }
+    (time / x_times).should < x_speed
+    @result
+  end
+end
+
+module Math
+  module GreekCalculationHelpers
+    include Math
+    include Math::GreekCalculations
+
+    def var_price_ratio_log_less_rates
+      misc_price_ratio_log_less_rates(
+        :stock_price                     => stock_price, 
+        :option_strike                   => option_strike, 
+        :option_expires_pct_year         => option_expires_pct_year, 
+        :federal_reserve_interest_rate_f => federal_reserve_interest_rate_f, 
+        :stock_dividend_rate_f           => stock_dividend_rate_f
+      )
+    end
+
+    def var_price_vs_rate_vs_expires
+      misc_price_vs_rate_vs_expires(
+        :stock_price             => stock_price, 
+        :option_expires_pct_year => option_expires_pct_year, 
+        :stock_dividend_rate_f   => stock_dividend_rate_f
+      )
+    end
+  
+    def var_vega
+      iv_vega(stock_price, option_strike, option_expires_pct_year, volatility_guess, federal_reserve_interest_rate_f, stock_dividend_rate_f, var_price_ratio_log_less_rates, var_price_vs_rate_vs_expires)
+    end
+  
+    def var_vega
+      iv_vega(stock_price, option_strike, option_expires_pct_year, Math::sqrt(option_expires_pct_year), volatility_guess, federal_reserve_interest_rate_f, stock_dividend_rate_f, var_price_ratio_log_less_rates, var_price_vs_rate_vs_expires)
+    end
+  
+    def var_option_price
+      iv_option_price(stock_price, option_strike, option_expires_pct_year, Math::sqrt(option_expires_pct_year), volatility_guess, federal_reserve_interest_rate_f, stock_dividend_rate_f, option_type, var_price_ratio_log_less_rates, var_price_vs_rate_vs_expires, 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))
+    end
+    
+    def var_iv
+      iv(
+        :stock_price                     => stock_price, 
+        :option_strike                   => option_strike, 
+        :option_expires_pct_year         => option_expires_pct_year, 
+        :option_expires_pct_year_sqrt    => Math::sqrt(option_expires_pct_year), 
+        :federal_reserve_interest_rate_f => federal_reserve_interest_rate_f, 
+        :stock_dividend_rate_f           => stock_dividend_rate_f, 
+        :option_type                     => option_type,
+        :option_price                    => option_price, 
+        :rate_vs_expires                 => misc_rate_vs_expires(:option_expires_pct_year => option_expires_pct_year, :stock_dividend_rate_f => stock_dividend_rate_f), 
+        :price_vs_rate_vs_expires        => var_price_vs_rate_vs_expires, 
+        :strike_vs_fed_vs_expires        => 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      => var_price_ratio_log_less_rates
+      )
+    end
+  end
+end

metadata

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+--- !ruby/object:Gem::Specification
+name: greeks
+version: !ruby/object:Gem::Version
+  version: '1.0'
+platform: ruby
+authors:
+- Glenn Nagel
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2013-05-20 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: require_all
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: hash_plus
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: rspec
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: rspec-expectations
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+description: Calculate greeks (iv, delta, gamma, vega, rho, theta)
+email:
+- glenn@mercury-wireless.com
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- .gitignore
+- Gemfile
+- Gemfile.lock
+- README.md
+- greeks.gemspec
+- lib/greeks.rb
+- lib/greeks/calculations/delta.rb
+- lib/greeks/calculations/gamma.rb
+- lib/greeks/calculations/iv.rb
+- lib/greeks/calculations/normal_distribution.rb
+- lib/greeks/calculations/rho.rb
+- lib/greeks/calculations/theta.rb
+- lib/greeks/calculations/time_values.rb
+- lib/greeks/calculations/vega.rb
+- lib/greeks/version.rb
+- spec/greeks/calculations/delta_spec.rb
+- spec/greeks/calculations/gamma_spec.rb
+- spec/greeks/calculations/iv_option_price_spec.rb
+- spec/greeks/calculations/iv_spec.rb
+- spec/greeks/calculations/iv_vega_spec.rb
+- spec/greeks/calculations/normal_distribution_spec.rb
+- spec/greeks/calculations/rho_spec.rb
+- spec/greeks/calculations/theta_spec.rb
+- spec/greeks/calculations/time_values_spec.rb
+- spec/greeks/calculations/vega_spec.rb
+- spec/greeks/greeks_spec.rb
+- spec/spec_helper.rb
+homepage: https://github.com/gnagel/greeks
+licenses:
+- MIT
+metadata: {}
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+- tasks
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - '>='
+    - !ruby/object:Gem::Version
+      version: '0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - '>='
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: 
+rubygems_version: 2.0.3
+signing_key: 
+specification_version: 4
+summary: Calculate greeks for options trading (Implied Volatility, Delta, Gamma, Vega,
+  Rho, and Theta)
+test_files:
+- spec/greeks/calculations/delta_spec.rb
+- spec/greeks/calculations/gamma_spec.rb
+- spec/greeks/calculations/iv_option_price_spec.rb
+- spec/greeks/calculations/iv_spec.rb
+- spec/greeks/calculations/iv_vega_spec.rb
+- spec/greeks/calculations/normal_distribution_spec.rb
+- spec/greeks/calculations/rho_spec.rb
+- spec/greeks/calculations/theta_spec.rb
+- spec/greeks/calculations/time_values_spec.rb
+- spec/greeks/calculations/vega_spec.rb
+- spec/greeks/greeks_spec.rb
+- spec/spec_helper.rb