iron_warbler 2.0.7.25 → 2.0.7.26

data/app/models/iro/option.rb

@@ -1,23 +1,23 @@
-require 'distribution'
-N = Distribution::Normal
-# include Math
-# require 'business_time'
 
 class Iro::Option
   include Mongoid::Document
   include Mongoid::Timestamps
   include Mongoid::Paranoia
+  include Iro::OptionBlackScholes
   store_in collection: 'iro_options'
 
   attr_accessor :recompute
 
-  field :ticker
-  validates :ticker, presence: true
+  belongs_to :stock, class_name: 'Iro::Stock', inverse_of: :strategies
+  def ticker; stock.ticker; end
+  # field :ticker
+  # validates :ticker, presence: true
 
   field :symbol
-  validates :symbol, uniqueness: true, presence: true
+  ## each option can be a leg in a position, no uniqueness
+  # validates :symbol, uniqueness: true, presence: true
 
-  field :put_call, type: :string
+  field :put_call, type: :string # 'PUT' or 'CALL'
   validates :put_call, presence: true
 
   field :delta, type: :float
@@ -27,14 +27,29 @@ class Iro::Option
 
   field :expires_on, type: :date
   validates :expires_on, presence: true
+  def self.expirations_list full: false
+    [
+      [ nil, nil ],
+      [ 'Mar 22', '2024-03-22'.to_date ],
+      [ 'Mar 28', '2024-03-28'.to_date ],
+      [ 'Apr 5',  '2024-04-05'.to_date ],
+      [ 'Mar 12', '2024-03-12'.to_date ],
+      [ 'Mar 19', '2024-03-19'.to_date ],
+    ]
+  end
 
-  belongs_to :stock, class_name: 'Iro::Stock', inverse_of: :strategies
+  field :begin_price, type: :float
+  field :begin_delta, type: :float
+  field :end_price, type: :float
+  field :end_delta, type: :float
 
-  has_one :outer, class_name: 'Iro::Position', invese_of: :outer
-  has_one :inner, class_name: 'Iro::Position', invese_of: :inner
+
+  has_one :outer, class_name: 'Iro::Position', inverse_of: :outer
+  has_one :inner, class_name: 'Iro::Position', inverse_of: :inner
 
   field :last, type: :float
 
+  ## for TDA
   def symbol
     if !self[:symbol]
       p_c_ = put_call == 'PUT' ? 'P' : 'C'
@@ -46,146 +61,19 @@ class Iro::Option
     self[:symbol]
   end
 
-  ##
-  ## black-scholes pricing
-  ##
-
-=begin
-  ##
-  ##
-  ##
-  annual to daily:
-
-  AR = ((DR + 1)^365 – 1) x 100
-
-  ##
-  ##
-  ##
-  From: https://www.investopedia.com/articles/optioninvestor/07/options_beat_market.asp
-
-  K :: strike price
-  S_t :: last
-  r :: risk-free rate
-  t :: time to maturity
-
-  C = S_t N( d1 ) - K e^-rt N( d2 )
-
-  d1 = ln( St / K ) + (r + theta**2 /  2 )t
-    /{ theta_s * sqrt( t ) }
-
-  d2 = d1 - theta_s sqrt( t )
-
-  ##
-  ## From: https://en.wikipedia.org/wiki/Black%E2%80%93Scholes_model
-  ##
-
-  D  ::  e^(rt)    # discount factor
-  F  ::  e^(rt) S  # forward price of underlying
-
-  C(F,t) = D[ N(d1)F - N(d2)K ]
-
-  d1 = ln(F/K) + stdev**2 t / 2
-    /{ stdev sqrt(t) }
-  d2 = d1 - stdev sqrt(t)
-
-  ##
-  ## From: https://www.daytrading.com/options-pricing-models
-  ##
-  C0 = S0N(d1) – Xe-rtN(d2)
-
-  C0 = current call premium
-  S0 = current stock price
-  N(d1) = the probability that a value in a normal distribution will be less than d
-  N(d2) = the probability that the option will be in the money by expiration
-  X = strike price of the option
-  T = time until expiration (expressed in years)
-  r = risk-free interest rate
-  e = 2.71828, the base of the natural logarithm
-  ln = natural logarithm function
-  σ = standard deviation of the stock’s annualized rate of return (compounded continuously)
-  d1 = ln(S0/X) + (r + σ2/2)Tσ√T
-
-  d2 = d1 – σ√T
-
-  Note that:
-
-  Xe-rt = X/ert = the present value of the strike price using a continuously compounded interest rate
-
-  ##
-  ## From: https://www.wallstreetmojo.com/black-scholes-model/
-  ##
-
-
-  ## init
-  require 'distribution'
-  N = Distribution::Normal
-  stock = Iro::Stock.find_by ticker: 'NVDA'
-  strike = 910.0
-  r = Iro::Option.rate_daily
-  stdev = 91.0
-  t = 7.0
-  expires_on = '2024-03-22'
-
-=end
-  def d1
-    last   = stock.last
-    r      = self.class.rate_annual
-
-    out = Math.log( last / strike ) + ( r + stdev**2 / 2 ) * t
-    out = out /( stdev * Math.sqrt(t) )
-    return out
-  end
-  def d2
-    last   = stock.last
-    r      = self.class.rate_annual
-
-    out = d1 - stdev * Math.sqrt( t )
-    return out
-  end
-  def t
-    # t      = 1.0 / 365 * Date.today.business_days_until( expires_on )
-    t      = 1.0 / 365 * (expires_on - Date.today).to_i
-  end
-  def stdev
-    recompute = nil
-    stock.stdev( recompute: recompute )
-  end
-  def call_price
-    last   = stock.last
-    r      = self.class.rate_annual
-
-    out = N.cdf( d1 ) * last - N.cdf( d2 ) * strike * Math::E**( -1 * r * t )
-    return out
+  def sync
+    out = Tda::Option.get_quote({
+      contractType: put_call,
+      strike: strike,
+      expirationDate: expires_on,
+      ticker: ticker,
+    })
+    puts! out, 'option sync'
+    self.end_price = ( out.bid + out.ask ) / 2 rescue 0
+    self.end_delta = out.delta
+    # self.save
   end
 
-  def put_price
-    last   = stock.last
-    r      = self.class.rate_annual
-
-    out = N.cdf(-d2) * strike * exp(-r*t) - N.cdf(-d1) * last
-    return out
-  end
-
-
-  def self.rate_annual
-    0.05
-  end
-
-=begin
-  # test
-
-  inn = 100
-  n.times { inn = inn*(1.0+out) }
-  inn
-
-=end
-  def self.rate_daily
-    n = 250.0 # days
-    # n = 12 # months
-
-    out = (1.0+self.rate_annual)**(1.0/n) - 1.0
-    puts! out, 'rate_daily'
-    return out
-  end
+  before_save :sync
 
 end

data/app/models/iro/option_black_scholes.rb

@@ -0,0 +1,149 @@
+
+require 'distribution'
+N = Distribution::Normal
+
+module Iro::OptionBlackScholes
+
+  ##
+  ## black-scholes pricing
+  ##
+
+=begin
+  ##
+  ##
+  ##
+  annual to daily:
+
+  AR = ((DR + 1)^365 – 1) x 100
+
+  ##
+  ##
+  ##
+  From: https://www.investopedia.com/articles/optioninvestor/07/options_beat_market.asp
+
+  K :: strike price
+  S_t :: last
+  r :: risk-free rate
+  t :: time to maturity
+
+  C = S_t N( d1 ) - K e^-rt N( d2 )
+
+  d1 = ln( St / K ) + (r + theta**2 /  2 )t
+    /{ theta_s * sqrt( t ) }
+
+  d2 = d1 - theta_s sqrt( t )
+
+  ##
+  ## From: https://en.wikipedia.org/wiki/Black%E2%80%93Scholes_model
+  ##
+
+  D  ::  e^(rt)    # discount factor
+  F  ::  e^(rt) S  # forward price of underlying
+
+  C(F,t) = D[ N(d1)F - N(d2)K ]
+
+  d1 = ln(F/K) + stdev**2 t / 2
+    /{ stdev sqrt(t) }
+  d2 = d1 - stdev sqrt(t)
+
+  ##
+  ## From: https://www.daytrading.com/options-pricing-models
+  ##
+  C0 = S0N(d1) – Xe-rtN(d2)
+
+  C0 = current call premium
+  S0 = current stock price
+  N(d1) = the probability that a value in a normal distribution will be less than d
+  N(d2) = the probability that the option will be in the money by expiration
+  X = strike price of the option
+  T = time until expiration (expressed in years)
+  r = risk-free interest rate
+  e = 2.71828, the base of the natural logarithm
+  ln = natural logarithm function
+  σ = standard deviation of the stock’s annualized rate of return (compounded continuously)
+  d1 = ln(S0/X) + (r + σ2/2)Tσ√T
+
+  d2 = d1 – σ√T
+
+  Note that:
+
+  Xe-rt = X/ert = the present value of the strike price using a continuously compounded interest rate
+
+  ##
+  ## From: https://www.wallstreetmojo.com/black-scholes-model/
+  ##
+
+
+  ## init
+  require 'distribution'
+  N = Distribution::Normal
+  stock = Iro::Stock.find_by ticker: 'NVDA'
+  strike = 910.0
+  r = Iro::Option.rate_daily
+  stdev = 91.0
+  t = 7.0
+  expires_on = '2024-03-22'
+
+=end
+  def d1
+    last   = stock.last
+    r      = self.class.rate_annual
+
+    out = Math.log( last / strike ) + ( r + stdev**2 / 2 ) * t
+    out = out /( stdev * Math.sqrt(t) )
+    return out
+  end
+  def d2
+    last   = stock.last
+    r      = self.class.rate_annual
+
+    out = d1 - stdev * Math.sqrt( t )
+    return out
+  end
+  def t
+    # t      = 1.0 / 365 * Date.today.business_days_until( expires_on )
+    t      = 1.0 / 365 * (expires_on - Date.today).to_i
+  end
+  def stdev
+    recompute = nil
+    stock.stdev( recompute: recompute )
+  end
+  def call_price
+    last   = stock.last
+    r      = self.class.rate_annual
+
+    out = N.cdf( d1 ) * last - N.cdf( d2 ) * strike * Math::E**( -1 * r * t )
+    return out
+  end
+
+  def put_price
+    last   = stock.last
+    r      = self.class.rate_annual
+
+    out = N.cdf(-d2) * strike * exp(-r*t) - N.cdf(-d1) * last
+    return out
+  end
+
+
+  def self.rate_annual
+    0.05
+  end
+
+=begin
+# test
+
+inn = 100
+n.times { inn = inn*(1.0+out) }
+inn
+
+=end
+  def self.rate_daily
+    n = 250.0 # days
+    # n = 12 # months
+
+    out = (1.0+self.rate_annual)**(1.0/n) - 1.0
+    puts! out, 'rate_daily'
+    return out
+  end
+
+end