istox 0.2.3.pre.2 → 0.2.5

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
-  metadata.gz: 6d1176bd57c3e5f7c3cf169446b6aec6c51d101fe1db516fa33a492319bcfd1f
-  data.tar.gz: e6a8027c9e9f1ab224af5643209bb78165fd3686d384561a3cde9ae441fe40d7
+  metadata.gz: 7c8ef7c4357c0feca79a70611b469e24cec0239348762ef2ae4041228814588f
+  data.tar.gz: 57135bd1d76bf06b4fb353974f64e79bb62f930d82f1409fe6a944248b5e9d32
 SHA512:
-  metadata.gz: 00f2d9c5ed2399e76cab9b940f733e862eae42b79e4de1a7bec5ba301d1240ae95d9487d6a6b68163625da306b69620f2dd926e3ba7a3b67d65a5ad2415a315c
-  data.tar.gz: 742bd4f7b1bccc45dbf031704b1476d68fa52fc9ce68bb1d8445345d177911f9033c0d00807f9408a1cbe5b8a3ca080d529ad9b050ef76a9aeb0658682017c1a
+  metadata.gz: 01bbd03ee866809524a96872e87021dc0ddbfbee1c67eeda8e5cfd7a213cd9d81d4995084dcf7f6fa7e8f5ffab1e425396d3d6e4ca2228f9739b609e9bc316fa
+  data.tar.gz: 1a777141736244615a2470bd389382441e435db52c6496bae8ecf92ccb669afb7ef5450409bff9d061b287ca779ab3fb94c84b6615cb9d63dc75a2673ae81ca0

data/Gemfile.lock

@@ -1,7 +1,7 @@
 PATH
   remote: .
   specs:
-    istox (0.2.3.pre.2)
+    istox (0.2.3.pre.1)
       amazing_print
       awesome_print
       aws-sdk-sns (~> 1)

data/lib/istox/quant/bond.rb

@@ -73,6 +73,11 @@ module Istox
       end
 
       def ytm(date, ex_coupon_date: nil, price: 100, fees: 0, approximation_error: DEFAULT_APPROXIMATION_ERROR)
+        if !is_zero_coupon? && price == @face_value && date <= @start_date
+          # for non zero coupon bond, if price is face value and date is at or before start date
+          # YTM is simply the coupon rate
+          return @coupon
+        end
         ytm_down, ytm_up = ytm_limits(price, date, ex_coupon_date: ex_coupon_date, fees: fees)
         approximate_ytm(ytm_down, ytm_up, price, date, ex_coupon_date: ex_coupon_date, fees: fees, approximation_error: approximation_error)
       end
@@ -185,7 +190,7 @@ module Istox
           if @pay_accrued_interest
             # accrued interest + face value discounted to the current date
             discounted_accrued_interest = 0
-            if ex_coupon_date.nil? || ex_coupon_date == @maturity_date
+            if ex_coupon_date.nil? || date < ex_coupon_date
               discounted_accrued_interest = @coupon*@face_value*accrued_interest_factor*discount_factor
             end
             discounted_face_value = @face_value*discount_factor
@@ -193,7 +198,7 @@ module Istox
             return price
           else
             discounted_last_coupon = 0
-            if ex_coupon_date.nil? || ex_coupon_date == @maturity_date
+            if ex_coupon_date.nil? || date < ex_coupon_date
               discounted_last_coupon = @coupon*@face_value/@coupon_frequency*discount_factor
             end
             discounted_face_value = @face_value*discount_factor
@@ -292,6 +297,8 @@ module Istox
             previous_coupon_date = @coupon_payment_dates.last
           end
         end
+
+        return previous_coupon_date
       end
 
       def first_coupon_factor

data/lib/istox/version.rb

@@ -1,3 +1,3 @@
 module Istox
-  VERSION = '0.2.3-2'.freeze
+  VERSION = '0.2.5'.freeze
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: istox
 version: !ruby/object:Gem::Version
-  version: 0.2.3.pre.2
+  version: 0.2.5
 platform: ruby
 authors:
 - Siong Leng
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2021-03-30 00:00:00.000000000 Z
+date: 2021-04-12 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: amazing_print
@@ -542,9 +542,9 @@ required_ruby_version: !ruby/object:Gem::Requirement
       version: '0'
 required_rubygems_version: !ruby/object:Gem::Requirement
   requirements:
-  - - ">"
+  - - ">="
     - !ruby/object:Gem::Version
-      version: 1.3.1
+      version: '0'
 requirements: []
 rubygems_version: 3.0.6
 signing_key: