greeks 1.2 → 1.3

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA1:
-  metadata.gz: 6ce6ee63e7be1cf00d2a33bf5fabc7384edbd151
-  data.tar.gz: 319eddb79151564febe9384bb402057f78e3c4d6
+  metadata.gz: 2ed185ec81ab234f6465a7a78a435ddfcd7055d6
+  data.tar.gz: 624f32c01e177d5cb626f081f5ed7068bc1d31bd
 SHA512:
-  metadata.gz: cc93e88a7ef6f8096a0c18c003faf6005ee46f11e7eb7d77b0539b367c8fecb99266a315896d18b0ab866860f471cfd8073ef0de9167f1a64ae6829b092aaa64
-  data.tar.gz: 359124006d77696012957a0c4633632ef62ab1dd67c64041b67d41fb93b6e481f2bedeb15cd370e11ff1ec5991f5a2fd2417c6029f66eed7fa788ebb1ecfcef3
+  metadata.gz: 3f0accecffdf8324a71297cc584b1d6fb53100c9a4f1cf9b48a52b0bf1c657e6cdce8d5a4ad12d82ca0ca0cd6af601ce833f33bf2b9c79a1db39a08a2e48e509
+  data.tar.gz: edafcc4521dbb21879e0ed7a575f61fb5616b818f03620d7054d47d5181383f09dbcfcb4d234c1d9347c034defa0dd84298f80350026f53328df534a3e5db32b

data/Gemfile.lock

@@ -1,7 +1,7 @@
 PATH
   remote: .
   specs:
-    greeks (1.1)
+    greeks (1.2)
       hash_plus (>= 1.3)
       require_all
 

data/greeks.gemspec

@@ -2,7 +2,7 @@
 
 Gem::Specification.new do |gem|
   gem.name          = "greeks"
-  gem.version       = '1.2'
+  gem.version       = '1.3'
   gem.authors       = ["Glenn Nagel"]
   gem.email         = ["glenn@mercury-wireless.com"]
   gem.homepage      = "https://github.com/gnagel/greeks"

data/lib/greeks/calculations/time_values.rb

@@ -2,7 +2,7 @@ module Math
   module GreekCalculations
     
     def nil_or_gte0(value)
-      value.nil? || value.to_f < 0 ? nil : value
+      value.nil? || value.to_f < 0.0 ? nil : value
     end
 
 
@@ -15,14 +15,16 @@ module Math
     def premium_value(opts)
       opts.requires_fields(:option_type, :option_strike, :stock_price)
       
-      case opts[:option_type]
+      value = case opts[:option_type]
       when :call
-        return [opts[:stock_price] - opts[:option_strike], 0].max
+        [opts[:stock_price] - opts[:option_strike], 0].max
       when :put
-        return [opts[:option_strike] - opts[:stock_price], 0].max
+        [opts[:option_strike] - opts[:stock_price], 0].max
       else
         raise ArgumentError, "Invalid option_type = #{opts[:option_type]}"
       end
+      
+      nil_or_gte0(value)
     end
 
 
@@ -34,10 +36,8 @@ module Math
     # 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(opts)
-      opts.requires_fields(:option_price, :premium_value)
-
-      return nil if opts[:option_price].nil?
-      return nil if opts[:option_price] < 0
+      return nil if opts[:option_price].nil? || opts[:option_price] < 0
+      return nil if opts[:premium_value].nil? || opts[:premium_value] < 0
       
       nil_or_gte0(opts[:option_price] - opts[:premium_value])
     end
@@ -48,11 +48,10 @@ module Math
     # 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
-      opts.requires_fields(:option_price, :option_strike, :option_expires_pct_year)
-
+    def annualized_premium_value(opts)
       return nil if opts[:option_price].nil?
       return nil if opts[:option_price] < 0
+      opts.requires_fields(:option_price, :option_strike, :option_expires_pct_year)
 
       nil_or_gte0(100 * Math.log(1 + opts[:option_price] / opts[:option_strike]) / opts[:option_expires_pct_year])
     end
@@ -65,10 +64,9 @@ module Math
     # 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
+    def annualized_time_value(opts)
+      return nil if opts[:time_value].nil? || opts[:time_value] < 0
       opts.requires_fields(:option_strike, :option_expires_pct_year, :time_value)
-
-      return nil if opts[:time_value].nil?
       
       nil_or_gte0(100 * Math.log(1.0 + opts[:time_value] / opts[:option_strike]) / opts[:option_expires_pct_year])
     end

data/lib/greeks.rb

@@ -34,6 +34,10 @@ module Math
       attr_reader :price_vs_rate_vs_expires
       attr_reader :strike_vs_fed_vs_expires
       attr_reader :price_ratio_log_less_rates
+      
+      # Optional fields
+      attr_reader :option_volume
+      attr_reader :option_open_interest
 
 
       def initialize(opts)
@@ -50,6 +54,9 @@ module Math
         @option_expires_pct_year         = (option_expires_in_days + 1.0) / 365.0
         @option_expires_pct_year_sqrt    = Math.sqrt(option_expires_pct_year)
         
+        @option_volume        = opts[:option_volume]
+        @option_open_interest = opts[:option_open_interest]
+        
         
         @price_vs_rate_vs_expires = GreekCalculations.misc_price_vs_rate_vs_expires(
           :stock_price             => stock_price,
@@ -281,7 +288,8 @@ module Math
       
 
       def to_hash
-        hash = {
+        return @hash if @hash
+        @hash = {
           :federal_reserve_interest_rate => federal_reserve_interest_rate,
           :stock_dividend_rate           => stock_dividend_rate,
           :stock_price                   => stock_price,
@@ -289,13 +297,19 @@ module Math
           :option_type                   => option_type,
           :option_strike                 => option_strike,
           :option_price                  => option_price,
+          :option_volume                 => option_volume,
+          :option_open_interest          => option_open_interest,
+          :premium_value                 => premium_value,
+          :time_value                    => time_value,
+          :annualized_premium_value      => annualized_premium_value,
+          :annualized_time_value         => annualized_time_value,
           :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,
+          :delta_vs_theta                => nil,
           :break_even                    => (NilMath.new(break_even) * 100.0).to_f,                      # break_even * 100
         }
 
@@ -305,14 +319,18 @@ 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] = (NilMath.new(hash[:delta]) / hash[:theta]).to_f
+        @hash[:delta_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)
+        # Skip all the fields related to the input data: Federal, Stock, & Option
+        @hash.keys.reject do |key| 
+          key = key.to_s
+          key.start_with?('federal_') || key.start_with?('stock_') || key.start_with?('option_')
+        end.each do |key|
+          @hash[key] &&= @hash[key].round(2)
         end
 
-        hash
+        @hash
       end
       
 

data/spec/greeks/22days.calls.csv

@@ -0,0 +1 @@
+:stock_price,:stock_dividend_rate,:federal_reserve_interest_rate,:option_expires_in_days,:option_strike,:option_price,:option_volume,:option_open_interest,:iv,:delta,:gamma,:vega,:rho,:theta,:delta_vs_theta,:annualized_premium_value,:premium_value,:time_value,:annualized_time_value,:break_even

data/spec/greeks/22days.puts.csv

@@ -0,0 +1 @@
+:stock_price,:stock_dividend_rate,:federal_reserve_interest_rate,:option_expires_in_days,:option_strike,:option_price,:option_volume,:option_open_interest,:iv,:delta,:gamma,:vega,:rho,:theta,:delta_vs_theta,:annualized_premium_value,:premium_value,:time_value,:annualized_time_value,:break_even

data/spec/greeks/50days.calls.csv

@@ -0,0 +1 @@
+:stock_price,:stock_dividend_rate,:federal_reserve_interest_rate,:option_expires_in_days,:option_strike,:option_price,:option_volume,:option_open_interest,:iv,:delta,:gamma,:vega,:rho,:theta,:delta_vs_theta,:annualized_premium_value,:premium_value,:time_value,:annualized_time_value,:break_even

data/spec/greeks/50days.puts.csv

@@ -0,0 +1 @@
+:stock_price,:stock_dividend_rate,:federal_reserve_interest_rate,:option_expires_in_days,:option_strike,:option_price,:option_volume,:option_open_interest,:iv,:delta,:gamma,:vega,:rho,:theta,:delta_vs_theta,:annualized_premium_value,:premium_value,:time_value,:annualized_time_value,:break_even

data/spec/greeks/calculations/iv_option_price_spec.rb

@@ -3,7 +3,6 @@ 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 }

data/spec/greeks/calculations/iv_spec.rb

@@ -3,7 +3,6 @@ require File.expand_path("../../spec_helper.rb", File.dirname(__FILE__))
 describe "Math::GreekCalculations::iv" do
   extend  Math::GreekCalculations
   include Math::GreekCalculations
-  include Math::GreekCalculationHelpers
 
   ##
   # General behavior tests

data/spec/greeks/calculations/iv_vega_spec.rb

@@ -3,7 +3,6 @@ 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 }

data/spec/greeks/calculations/time_values_spec.rb

@@ -3,7 +3,6 @@ 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 }

data/spec/greeks/greeks_spec.rb

@@ -1,116 +1,42 @@
 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
+  # Helper method to iterate the sample data
+  def compare_csv(days, option_type)
+    table = CSV.table(File.join(File.dirname(__FILE__), "#{days}days.#{option_type}s.csv"))
+    
+    table.each do |row|
+      # Convert to a hash
+      row = row.to_hash
 
-  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],
-      )
+      # Strip empty/nil values 
+      row.each do |k,v| 
+        if v.to_s === "nil" || v.to_s.strip.empty?
+          row[k] = nil
+        else
+          row[k] = row[k].to_f
+        end
+      end
+      
+      # Calculate the options
+      row.merge!(:option_type => option_type)
+      Math::Greeks::Calculator.new(row).should be_a_greeks_hash row
     end
+  end
 
-    subject(:calc) { Math::Greeks::Calculator.new(opts) }
+  it "compute call options @ 22 days" do
+    compare_csv(22, :call)
+  end
 
-    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] }
+  it "compute put options @ 22 days" do
+    compare_csv(22, :put)
   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 "compute call options @ 50 days" do
+    compare_csv(50, :call)
+  end
 
-    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] }
+  it "compute put options @ 50 days" do
+    compare_csv(50, :put)
   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

data/spec/helpers/greek_calculation_shorthand_helpers.rb

@@ -0,0 +1,54 @@
+
+module Math
+  module GreekCalculationShorthandHelpers
+    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

data/spec/spec_helper.rb

@@ -2,15 +2,29 @@ require 'rubygems'
 require 'rspec'
 require 'rspec-expectations'
 require 'benchmark'
+require 'require_all'
+require 'csv'
 
 $:.push File.expand_path("../lib", File.dirname(__FILE__))
 require 'greeks'
 
 $spec_root = File.dirname(__FILE__)
 
+require_all File.join($spec_root, 'support')
+require_all File.join($spec_root, 'helpers')
+
+
 RSpec.configure do |config|
+  config.include Math::GreekCalculationShorthandHelpers
+
   old_verbose, $VERBOSE = $VERBOSE, nil
   
+  def verbose_puts(s)
+    return unless $VERBOSE
+    file = File.basename(caller(1).first)
+    super("puts() from #{file}: #{s}")
+  end
+  
   def puts(s)
     file = File.basename(caller(1).first)
     super("puts() from #{file}: #{s}")
@@ -32,57 +46,3 @@ RSpec.configure do |config|
     @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

data/spec/support/calculate_greeks_hash.rb

@@ -0,0 +1,39 @@
+require 'rspec'
+require 'rspec-expectations'
+
+RSpec::Matchers.define :be_a_greeks_hash do |expected|
+  match do |actual|
+    hash = actual.to_hash
+    hash.should_not be_nil
+    hash.should_not be_empty
+    
+    keys = [hash.keys, expected.keys].flatten.uniq.sort
+    verbose_puts "Keys: #{keys.inspect}"
+    keys.each do |key|
+      verbose_puts "[#{"%30s" % key}] Hash: #{hash[key].inspect} vs Actual: #{expected[key].inspect}"
+    end
+
+    # Delete all the values that match
+    # This will leave only the values that differ
+    expected.keys.dup.each do |key|
+      if hash[key] == expected[key]
+        expected.delete(key) 
+        next
+      end
+      
+      if hash[key].class == expected[key].class && !hash[key].nil? && !hash[key].is_a?(Symbol) && hash[key].round(1) == expected[key].round(1)
+        expected.delete(key) 
+        next
+      end
+      
+      expected[key] = "#{expected.delete(key).inspect}(e) vs #{hash[key].inspect}(a)"
+    end
+    verbose_puts "Hash: #{hash}"
+    verbose_puts "Expected: #{expected}"
+    expected.should be_empty
+  end
+
+  failure_message_for_should do |actual|
+    "expected that #{actual.to_hash} would match values of #{expected}"
+  end
+end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: greeks
 version: !ruby/object:Gem::Version
-  version: '1.2'
+  version: '1.3'
 platform: ruby
 authors:
 - Glenn Nagel
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2013-05-29 00:00:00.000000000 Z
+date: 2013-05-31 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: require_all
@@ -77,6 +77,7 @@ files:
 - Gemfile
 - Gemfile.lock
 - README.md
+- greeks-1.1.gem
 - greeks.gemspec
 - lib/greeks.rb
 - lib/greeks/calculations/delta.rb
@@ -87,6 +88,10 @@ files:
 - lib/greeks/calculations/theta.rb
 - lib/greeks/calculations/time_values.rb
 - lib/greeks/calculations/vega.rb
+- spec/greeks/22days.calls.csv
+- spec/greeks/22days.puts.csv
+- spec/greeks/50days.calls.csv
+- spec/greeks/50days.puts.csv
 - spec/greeks/calculations/delta_spec.rb
 - spec/greeks/calculations/gamma_spec.rb
 - spec/greeks/calculations/iv_option_price_spec.rb
@@ -98,7 +103,9 @@ files:
 - spec/greeks/calculations/time_values_spec.rb
 - spec/greeks/calculations/vega_spec.rb
 - spec/greeks/greeks_spec.rb
+- spec/helpers/greek_calculation_shorthand_helpers.rb
 - spec/spec_helper.rb
+- spec/support/calculate_greeks_hash.rb
 homepage: https://github.com/gnagel/greeks
 licenses:
 - MIT
@@ -126,6 +133,10 @@ specification_version: 4
 summary: Calculate greeks for options trading (Implied Volatility, Delta, Gamma, Vega,
   Rho, and Theta)
 test_files:
+- spec/greeks/22days.calls.csv
+- spec/greeks/22days.puts.csv
+- spec/greeks/50days.calls.csv
+- spec/greeks/50days.puts.csv
 - spec/greeks/calculations/delta_spec.rb
 - spec/greeks/calculations/gamma_spec.rb
 - spec/greeks/calculations/iv_option_price_spec.rb
@@ -137,4 +148,6 @@ test_files:
 - spec/greeks/calculations/time_values_spec.rb
 - spec/greeks/calculations/vega_spec.rb
 - spec/greeks/greeks_spec.rb
+- spec/helpers/greek_calculation_shorthand_helpers.rb
 - spec/spec_helper.rb
+- spec/support/calculate_greeks_hash.rb