greeks 1.0 → 1.1

checksums.yaml

@@ -1,7 +1,7 @@
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-  data.tar.gz: e991c828fbdaaff0d99a23e3137115136bd00b5c
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data/Gemfile.lock

@@ -1,15 +1,15 @@
 PATH
   remote: .
   specs:
-    greeks (1.0)
-      hash_plus
+    greeks (1.1)
+      hash_plus (>= 1.3)
       require_all
 
 GEM
   remote: https://rubygems.org/
   specs:
     diff-lcs (1.2.4)
-    hash_plus (1.1)
+    hash_plus (1.3)
     require_all (1.2.1)
     rspec (2.13.0)
       rspec-core (~> 2.13.0)

data/README.md

@@ -2,3 +2,50 @@ greeks
 ======
 
 Calculate greeks for options trading (Implied Volatility, Delta, Gamma, Vega, Rho, and Theta)
+
+
+Examples
+========
+What are the Greeks for Calls & Puts for AMD ($4.07 @ 35days)?
+
+AMD stock      = $4.07
+Option Strike  = $4.50
+Option Expires = 35 days
+
+Fed Rate       = 0.01%
+Dividend Rate  = 0%
+
+Call Bid       = $0.16
+Put Bid        = $0.59
+
+```ruby
+# Calculate the Greeks for the Stock & Option Contract
+calc = Math::Greeks::Calculator.new(
+	:stock_price                   => 4.07,
+	:stock_dividend_rate           => 0.00,
+	:federal_reserve_interest_rate => 0.01,
+	:option_expires_in_days        => 35.0,
+	:option_strike                 => 4.50,
+	:option_type                   => :call,
+	:option_price                  => 0.16,
+)
+
+# What are the display values?
+hash = calc.to_hash # Convert the values for display/consumption
+hash[:iv]         # => 61.93 (Implied Volatility %)
+hash[:delta]      # => -4.57 (Delta %/%)
+hash[:gamma]      # => -2.84 (Gamma pp/pp)
+hash[:vega]       # =>  0.49 (Vega %/pp)
+hash[:rho]        # => -0.55 (Rho %/pp)
+hash[:theta]      # => -0.68 (Theta %/day)
+hash[:break_even] # => 45.66 (Chance of Breakeven)
+
+# What are the raw values?
+calc.break_even # What is the raw Break Even odds (0.000 to 1.000)
+calc.iv         # What is the raw IV value (0.000 to 1.000)
+calc.delta      # What is the raw Delta $/$?
+calc.gamma      # What is the raw Gamma $/$?
+calc.vega       # What is the raw Vega $/pp?
+calc.rho        # What is the raw Rho $/pp?
+calc.theta      # What is the raw Theta $/day?
+```

data/greeks.gemspec

@@ -1,17 +1,14 @@
 # -*- encoding: utf-8 -*-
-$:.push File.expand_path("../lib", __FILE__)
-require "greeks/version"
 
 Gem::Specification.new do |gem|
   gem.name          = "greeks"
-  gem.version       = Math::Greeks::VERSION
+  gem.version       = '1.1'
   gem.authors       = ["Glenn Nagel"]
   gem.email         = ["glenn@mercury-wireless.com"]
   gem.homepage      = "https://github.com/gnagel/greeks"
   gem.summary       = %q{Calculate greeks for options trading (Implied Volatility, Delta, Gamma, Vega, Rho, and Theta)}
   gem.description   = %q{Calculate greeks (iv, delta, gamma, vega, rho, theta)}
   gem.license       = 'MIT'
-  
 
   gem.files         = `git ls-files`.split($/)
   gem.executables   = gem.files.grep(%r{^bin/}).map{ |f| File.basename(f) }
@@ -20,7 +17,7 @@ Gem::Specification.new do |gem|
 
   # System
   gem.add_dependency('require_all')
-  gem.add_dependency('hash_plus')
+  gem.add_dependency('hash_plus', '>= 1.3')
 
   gem.add_development_dependency('rspec')
   gem.add_development_dependency('rspec-expectations')

data/lib/greeks/calculations/delta.rb

@@ -10,9 +10,11 @@ module Math
     # 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(opts)
-      opts.requires_fields(:option_type, :rate_vs_expires, :d1_normal_distribution, :iv)
-
+      opts.requires_keys_are_present(:iv)
       return nil if opts[:iv].nil?
+      
+      opts.requires_keys_are_not_nil(:option_type, :rate_vs_expires, :d1_normal_distribution, :iv)
+
 
       multiplier = case opts[:option_type]
       when :call

data/lib/greeks/calculations/gamma.rb

@@ -9,10 +9,11 @@ module Math
     # 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(opts = {})
-      opts.requires_fields(:stock_price, :option_expires_pct_year_sqrt, :iv, :nd1, :rate_vs_expires)
-
+      opts.requires_keys_are_present(:iv)
       return nil if opts[:iv].nil?
       
+      opts.requires_keys_are_not_nil(:stock_price, :option_expires_pct_year_sqrt, :nd1, :rate_vs_expires, :iv)
+      
     	opts[:nd1] * opts[:rate_vs_expires] / (opts[:stock_price] * opts[:iv] * opts[:option_expires_pct_year_sqrt])
     end
   end

data/lib/greeks/calculations/iv.rb

@@ -1,9 +1,11 @@
 module Math  
   module GreekCalculations
     def iv(opts)
-      opts.requires_fields(:stock_price, :option_strike, :option_expires_pct_year, :option_expires_pct_year_sqrt, :federal_reserve_interest_rate_f, :stock_dividend_rate_f, :option_type, :option_price, :rate_vs_expires, :price_vs_rate_vs_expires, :strike_vs_fed_vs_expires, :price_ratio_log_less_rates)
-
-      return nil if opts[:option_price].nil? || opts[:option_price] < 0
+      opts.requires_keys_are_present(:option_price)
+      return nil if opts[:option_price].nil?
+      return nil if opts[:option_price] <= 0
+      
+      opts.requires_keys_are_not_nil(:stock_price, :option_strike, :option_expires_pct_year, :option_expires_pct_year_sqrt, :federal_reserve_interest_rate_f, :stock_dividend_rate_f, :option_type, :option_price, :rate_vs_expires, :price_vs_rate_vs_expires, :strike_vs_fed_vs_expires, :price_ratio_log_less_rates)
       
       iv_calc(
         opts[:stock_price], 

data/lib/greeks/calculations/rho.rb

@@ -4,9 +4,10 @@ module Math
     # 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(opts = {})
-      opts.requires_fields(:option_type, :option_expires_pct_year, :strike_vs_fed_vs_expires, :d2_normal_distribution, :iv)
-
+      opts.requires_keys_are_present(:iv)
       return nil if opts[:iv].nil?
+      
+      opts.requires_keys_are_not_nil(:option_type, :option_expires_pct_year, :strike_vs_fed_vs_expires, :d2_normal_distribution, :iv)
 
       multiplier = case opts[:option_type]
       when :call

data/lib/greeks/calculations/theta.rb

@@ -1,10 +1,11 @@
 module Math
   module GreekCalculations
     def theta(opts = {})
-      opts.requires_fields(:stock_dividend_rate_f, :federal_reserve_interest_rate_f, :option_type, :option_expires_pct_year_sqrt, :iv, :strike_vs_fed_vs_expires, :price_vs_rate_vs_expires, :nd1, :d1_normal_distribution, :d2_normal_distribution)
-      
+      opts.requires_keys_are_present(:iv)
       return nil if opts[:iv].nil?
       
+      opts.requires_keys_are_not_nil(:stock_dividend_rate_f, :federal_reserve_interest_rate_f, :option_type, :option_expires_pct_year_sqrt, :iv, :strike_vs_fed_vs_expires, :price_vs_rate_vs_expires, :nd1, :d1_normal_distribution, :d2_normal_distribution)
+      
       part0 = opts[:price_vs_rate_vs_expires] * opts[:nd1] * opts[:iv]
       part1 = 2 * opts[:option_expires_pct_year_sqrt]
       part2 = opts[:stock_dividend_rate_f]           * opts[:price_vs_rate_vs_expires] * opts[:d1_normal_distribution]

data/lib/greeks/calculations/vega.rb

@@ -7,9 +7,10 @@ module Math
     # 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(opts = {})
-      opts.requires_fields(:price_vs_rate_vs_expires, :nd1, :option_expires_pct_year_sqrt, :iv)
-
+      opts.requires_keys_are_present(:iv)
       return nil if opts[:iv].nil?
+      
+      opts.requires_keys_are_not_nil(:price_vs_rate_vs_expires, :nd1, :option_expires_pct_year_sqrt, :iv)
 
       opts[:price_vs_rate_vs_expires] * opts[:option_expires_pct_year_sqrt] * opts[:nd1] / 100
     end

data/lib/greeks.rb

@@ -9,7 +9,6 @@ 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
@@ -290,23 +289,15 @@ module Math
           :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,
+          :break_even                    => (NilMath.new(break_even) * 100.0).to_f,                      # break_even * 100
+          :iv                            => (NilMath.new(iv)         * 100.0).to_f,                      # iv * 100
+          :delta                         => (NilMath.new(delta)      * stock_price / option_price).to_f, # delta * stock_price / option_price
+          :gamma                         => (NilMath.new(gamma)      * stock_price / delta).to_f,        # gamma * stock_price / delta
+          :vega                          => (NilMath.new(vega)       * 100.0 * iv / option_price).to_f,  # vega * iv * 100 / option_price
+          :rho                           => (NilMath.new(rho)        * 100.0 / option_price).to_f,       # rho * 100 / option_price
+          :theta                         => (NilMath.new(theta)      * 100.0 / option_price).to_f,       # theta * 100 / option_price
+          :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.
@@ -314,9 +305,10 @@ module Math
         # 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[:deta_vs_theta] = (NilMath.new(hash[:delta]) / hash[:theta]).to_f
+
+        # Iterate the generated columns and round the output
+        [:break_even, :iv, :delta, :gamma, :vega, :rho, :theta, :deta_vs_theta].each do |key|
           hash[key] &&= hash[key].round(2)
         end
 
@@ -366,6 +358,46 @@ module Math
         @nd1 ||= GreekCalculations.misc_nd1(:d1 => d1)
       end
 
+      class NilMath
+        def initialize(value)
+          @value = value
+        end
+        
+        def to_f
+          @value
+        end
+        
+        def *(input)
+          multiply(input)
+        end
+        
+        def /(input)
+          divide(input)
+        end
+        
+        def multiply(input)
+          if (@value.nil? || input.nil?)
+            @value = nil
+          else
+            @value *= input
+          end
+          self
+        end
+        
+        def multiply100()
+          multiply(100.0)
+        end
+        
+        def divide(input)
+          if (@value.nil? || input.nil?)
+            @value = nil
+          else
+            @value /= input
+          end
+          self
+        end
+      end
+
     end
   end
 end

data/spec/greeks/calculations/delta_spec.rb

@@ -4,6 +4,21 @@ 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 }
+  let(:opts) { {:rate_vs_expires => 1.0, :d1_normal_distribution => 1.0} }
+
+  ##
+  # General behavior tests
+  ##
+  it { expect{ delta(opts) }.to raise_error ArgumentError }
+
+  it { delta(opts.merge(:option_type => :call, :iv => nil)).should be_nil }
+  it { delta(opts.merge(:option_type => :put,  :iv => nil)).should be_nil }
+
+  it { delta(opts.merge(:option_type => :call, :iv => 'any value')).should === 1.0 }
+  it { delta(opts.merge(:option_type => :put,  :iv => 'any value')).should === -1.0 }
+
+  ##
+  # More specific examples
+  ##
+  # TODO
 end

data/spec/greeks/calculations/gamma_spec.rb

@@ -4,5 +4,19 @@ 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 }
+  let(:opts) { {:stock_price => 1.0, :option_expires_pct_year_sqrt => 2.0, :nd1 => 4.0, :rate_vs_expires => 5.0} }
+  
+  ##
+  # General behavior tests
+  ##
+  it { expect{ gamma(opts) }.to raise_error ArgumentError }
+
+  it { gamma(opts.merge(:iv => nil)).should be_nil }
+
+  it { gamma(opts.merge(:iv => 3.0)).round(2).should === 3.33 }
+
+  ##
+  # More specific examples
+  ##
+  # TODO
 end

data/spec/greeks/calculations/iv_spec.rb

@@ -5,10 +5,56 @@ describe "Math::GreekCalculations::iv" do
   include Math::GreekCalculations
   include Math::GreekCalculationHelpers
 
+  ##
+  # General behavior tests
+  ##
+  it { opts = {:a => :b}; expect { iv(opts) }.to raise_error ArgumentError, "Missing keys=option_price in opts={:a=>:b}" }
+
+  it { iv(:option_price => nil).should be_nil }
+
+  it { 
+    iv(
+      :federal_reserve_interest_rate_f => 0.0, 
+      :stock_price                     => 10.00, 
+      :stock_dividend_rate_f           => 0.0, 
+      :option_type                     => :call, 
+      :option_price                    => 1.0,
+      :option_strike                   => 10.00, 
+      :option_expires_pct_year         => 1.0, 
+      :option_expires_pct_year_sqrt    => 1.0, 
+      :rate_vs_expires                 => 1.0,
+      :price_vs_rate_vs_expires        => 1.0,
+      :strike_vs_fed_vs_expires        => 1.0,
+      :price_ratio_log_less_rates      => 1.0,
+      ).should === 21453795590575736000000.0
+  }
+
+  it { 
+    iv(
+      :federal_reserve_interest_rate_f => 0.0, 
+      :stock_price                     => 10.00, 
+      :stock_dividend_rate_f           => 0.0, 
+      :option_type                     => :put, 
+      :option_price                    => 1.0,
+      :option_strike                   => 10.00, 
+      :option_expires_pct_year         => 1.0, 
+      :option_expires_pct_year_sqrt    => 1.0, 
+      :rate_vs_expires                 => 1.0,
+      :price_vs_rate_vs_expires        => 1.0,
+      :strike_vs_fed_vs_expires        => 1.0,
+      :price_ratio_log_less_rates      => 1.0,
+      ).should === 21453795590575736000000.0
+  }
+
+
+  ##
+  # More specific examples
+  ##
   let(:stock_price) { 10.00 }
   let(:stock_dividend_rate) { 0.0 }
   let(:stock_dividend_rate_f) { 0.0 }
 
+  let(:option_strike) { 10.00 }
   let(:option_price) { 1.00 } 
   let(:option_expires_in_days) { 364.0 }
   let(:option_expires_pct_year) { 1.0 }

data/spec/greeks/calculations/rho_spec.rb

@@ -4,6 +4,21 @@ 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 }
+  let(:opts) { {:option_expires_pct_year => 1.0, :strike_vs_fed_vs_expires => 2.0, :d2_normal_distribution => 3.0} }
+
+  ##
+  # General behavior tests
+  ##
+  it { expect{ rho(opts) }.to raise_error ArgumentError }
+
+  it { rho(opts.merge(:option_type => :call, :iv => nil)).should be_nil }
+  it { rho(opts.merge(:option_type => :put,  :iv => nil)).should be_nil }
+
+  it { rho(opts.merge(:option_type => :call, :iv => 'any value')).should ===  0.06 }
+  it { rho(opts.merge(:option_type => :put,  :iv => 'any value')).should ===  -0.06 }
+
+  ##
+  # More specific examples
+  ##
+  # TODO
 end

data/spec/greeks/calculations/theta_spec.rb

@@ -4,6 +4,20 @@ describe "Math::GreekCalculations::theta" do
   extend  Math::GreekCalculations
   include Math::GreekCalculations
   
+  let(:opts) { {:option_type => :call, :stock_dividend_rate_f => 0.00, :federal_reserve_interest_rate_f => 0.00, :option_expires_pct_year_sqrt => 1.0, :strike_vs_fed_vs_expires => 1.0, :price_vs_rate_vs_expires => 1.0, :nd1 => 1.0, :d1_normal_distribution => 1.0, :d2_normal_distribution => 1.0} }
+
+  ##
+  # General behavior tests
+  ##
+  it { expect{ theta(opts) }.to raise_error ArgumentError }
+
+  it { theta(opts.merge(:iv => nil)).should be_nil }
+
+  it { theta(opts.merge(:iv => 1.0)).round(2).should. === 0.0 }
+
+  ##
+  # More specific examples
+  ##
   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 }

data/spec/greeks/calculations/vega_spec.rb

@@ -4,6 +4,20 @@ describe "Math::GreekCalculations::vega" do
   extend  Math::GreekCalculations
   include Math::GreekCalculations
   
+  let(:opts) { {:price_vs_rate_vs_expires =>  1.0, :nd1 =>  1.0, :option_expires_pct_year_sqrt => 1.0} }
+
+  ##
+  # General behavior tests
+  ##
+  it { expect{ vega(opts) }.to raise_error ArgumentError }
+
+  it { vega(opts.merge(:iv => nil)).should be_nil }
+
+  it { vega(opts.merge(:iv => 'any value')).round(2).should === 0.01 }
+
+  ##
+  # More specific examples
+  ##
   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 }

data/spec/spec_helper.rb

@@ -1,5 +1,4 @@
 require 'rubygems'
-
 require 'rspec'
 require 'rspec-expectations'
 require 'benchmark'

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: greeks
 version: !ruby/object:Gem::Version
-  version: '1.0'
+  version: '1.1'
 platform: ruby
 authors:
 - Glenn Nagel
@@ -30,14 +30,14 @@ dependencies:
     requirements:
     - - '>='
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '1.3'
   type: :runtime
   prerelease: false
   version_requirements: !ruby/object:Gem::Requirement
     requirements:
     - - '>='
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '1.3'
 - !ruby/object:Gem::Dependency
   name: rspec
   requirement: !ruby/object:Gem::Requirement
@@ -87,7 +87,6 @@ files:
 - 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

data/lib/greeks/version.rb

@@ -1,5 +0,0 @@
-module Math
-  module Greeks
-    VERSION = '1.0'
-  end
-end