greeks 1.1 → 1.2

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA1:
-  metadata.gz: 9ad37eae3c2ce021e59725e537dc1b77d8ee2eab
-  data.tar.gz: 555eb9d63d90e5765dada93c6c28d402c6c48298
+  metadata.gz: 6ce6ee63e7be1cf00d2a33bf5fabc7384edbd151
+  data.tar.gz: 319eddb79151564febe9384bb402057f78e3c4d6
 SHA512:
-  metadata.gz: 826582e8578e102704518e97a18c4d0d54e3e4bc3dd0f3d53981557b4499c657692d55cc736076623e05082f33be01c7f9e6955e9a5880fe9bd5c876b5ad8d4f
-  data.tar.gz: 7b172c97033ffacc91d37a6d60b934dd6b9e41a33d61285daa4893e2a4f57c881aa09d2092480f69a04ca8e9909965450195b3c709d58a3683ac607eae975d60
+  metadata.gz: cc93e88a7ef6f8096a0c18c003faf6005ee46f11e7eb7d77b0539b367c8fecb99266a315896d18b0ab866860f471cfd8073ef0de9167f1a64ae6829b092aaa64
+  data.tar.gz: 359124006d77696012957a0c4633632ef62ab1dd67c64041b67d41fb93b6e481f2bedeb15cd370e11ff1ec5991f5a2fd2417c6029f66eed7fa788ebb1ecfcef3

data/greeks.gemspec

@@ -2,7 +2,7 @@
 
 Gem::Specification.new do |gem|
   gem.name          = "greeks"
-  gem.version       = '1.1'
+  gem.version       = '1.2'
   gem.authors       = ["Glenn Nagel"]
   gem.email         = ["glenn@mercury-wireless.com"]
   gem.homepage      = "https://github.com/gnagel/greeks"

data/lib/greeks.rb

@@ -289,7 +289,6 @@ module Math
           :option_type                   => option_type,
           :option_strike                 => option_strike,
           :option_price                  => option_price,
-          :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
@@ -297,6 +296,7 @@ module Math
           :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,
+          :break_even                    => (NilMath.new(break_even) * 100.0).to_f,                      # break_even * 100
         }
 
         # Delta/Theta

data/lib/greeks/calculations/time_values.rb

@@ -81,11 +81,12 @@ module Math
     # 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(opts)
-      opts.requires_fields(:option_type, :option_price, :option_strike, :option_expires_pct_year, :option_expires_pct_year_sqrt, :stock_price, :stock_dividend_rate_f, :federal_reserve_interest_rate_f, :iv)
-
+      opts.requires_keys_are_present(:option_price, :iv)
       return nil if opts[:option_price].nil?
       return nil if opts[:option_price] < 0
       return nil if opts[:iv].nil?
+
+      opts.requires_keys_are_not_nil(:option_type, :option_price, :option_strike, :option_expires_pct_year, :option_expires_pct_year_sqrt, :stock_price, :stock_dividend_rate_f, :federal_reserve_interest_rate_f, :iv)
       
       part1 = (opts[:federal_reserve_interest_rate_f] - opts[:stock_dividend_rate_f] - opts[:iv] * opts[:iv] / 2) * opts[:option_expires_pct_year]
       part2 = opts[:iv] * opts[:option_expires_pct_year_sqrt]
@@ -135,35 +136,39 @@ module Math
    
 
     def misc_nd1(opts)
-      opts.requires_fields(:d1)
-
+      opts.requires_keys_are_present(:d1)
       return nil if opts[:d1].nil?
 
+      opts.requires_keys_are_not_nil(:d1)
+
       Math.exp(-0.5 * opts[:d1] * opts[:d1]) / Math.sqrt(2 * Math::PI)
     end
     
     
     def misc_d1(opts)
-      opts.requires_fields(:price_ratio_log_less_rates, :iv, :option_expires_pct_year, :option_expires_pct_year_sqrt)
-      
+      opts.requires_keys_are_present(:iv)
       return nil if opts[:iv].nil?
+
+      opts.requires_keys_are_not_nil(:price_ratio_log_less_rates, :iv, :option_expires_pct_year, :option_expires_pct_year_sqrt)
       
       (opts[:price_ratio_log_less_rates] + opts[:iv] * opts[:iv] * opts[:option_expires_pct_year] / 2) / (opts[:iv] * opts[:option_expires_pct_year_sqrt])
     end
    
 
     def misc_d2(opts)
-      opts.requires_fields(:d1, :iv, :option_expires_pct_year_sqrt)
-      
+      opts.requires_keys_are_present(:iv)
       return nil if opts[:iv].nil?
+
+      opts.requires_keys_are_not_nil(:d1, :iv, :option_expires_pct_year_sqrt)
       
       opts[:d1] - opts[:iv] * opts[:option_expires_pct_year_sqrt]
     end
 
     def misc_d_normal_distribution(opts)
-      opts.requires_fields(:option_type, :d_value)
-      
+      opts.requires_keys_are_present(:d_value)
       return nil if opts[:d_value].nil?
+
+      opts.requires_keys_are_not_nil(:option_type, :d_value)
       
       multiplier = case opts[:option_type]
       when :call

data/spec/greeks/calculations/iv_spec.rb

@@ -28,6 +28,10 @@ describe "Math::GreekCalculations::iv" do
       :price_ratio_log_less_rates      => 1.0,
       ).should === 21453795590575736000000.0
   }
+  
+  it {
+    iv(:stock_price=>1558.86, :stock_dividend_rate_f=>0.0, :federal_reserve_interest_rate_f=>0.0, :option_type=>:put, :option_price=>0.0, :option_strike=>800.0, :option_expires_pct_year=>0.00821917808219178, :option_expires_pct_year_sqrt=>0.09065968278232492, :iv=>nil).should be_nil
+  }
 
   it { 
     iv(

data/spec/greeks/greeks_spec.rb

@@ -107,4 +107,10 @@ describe Math::Greeks::Calculator do
     it { calc.to_hash[:rho].should === put[:rho] }
     it { calc.to_hash[:break_even].round(2).should === put[:break_even] }
   end
+  
+  it {
+    calculator = Math::Greeks::Calculator.new(:stock_price=>1558.86, :stock_dividend_rate=>0.0, :federal_reserve_interest_rate=>0.0, :option_type=>:call, :option_price=>751.50, :option_strike=>800.00, :option_expires_in_days=>2)
+    calculator.iv.should be_nil
+    calculator.to_hash[:iv].should be_nil
+  }
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: greeks
 version: !ruby/object:Gem::Version
-  version: '1.1'
+  version: '1.2'
 platform: ruby
 authors:
 - Glenn Nagel
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2013-05-20 00:00:00.000000000 Z
+date: 2013-05-29 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: require_all