istox 0.1.79 → 0.1.80

checksums.yaml

@@ -1,7 +1,7 @@
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data/Gemfile.lock

@@ -1,7 +1,7 @@
 PATH
   remote: .
   specs:
-    istox (0.1.77)
+    istox (0.1.79)
       binding_of_caller
       bunny (>= 2.12.0)
       graphlient
@@ -68,7 +68,6 @@ GEM
       uniform_notifier (~> 1.11.0)
     bunny (2.14.2)
       amq-protocol (~> 2.3, >= 2.3.0)
-    byebug (8.2.5)
     concurrent-ruby (1.1.4)
     crass (1.0.4)
     database_cleaner (1.6.2)
@@ -89,21 +88,21 @@ GEM
     ffi (1.11.1)
     globalid (0.4.2)
       activesupport (>= 4.2.0)
-    google-protobuf (3.9.1)
+    google-protobuf (3.9.1-universal-darwin)
     googleapis-common-protos-types (1.0.4)
       google-protobuf (~> 3.0)
     graphlient (0.3.6)
       faraday
       faraday_middleware
       graphql-client
-    graphql (1.9.9)
+    graphql (1.9.11)
     graphql-client (0.15.0)
       activesupport (>= 3.0)
       graphql (~> 1.8)
-    grpc (1.22.0)
+    grpc (1.23.0-universal-darwin)
       google-protobuf (~> 3.8)
       googleapis-common-protos-types (~> 1.0)
-    grpc-tools (1.22.0)
+    grpc-tools (1.23.0)
     gruf (2.7.0)
       activesupport (> 4)
       concurrent-ruby (> 1)
@@ -217,7 +216,6 @@ PLATFORMS
 DEPENDENCIES
   bullet (~> 5.7.5)
   bundler (~> 1.16)
-  byebug
   database_cleaner (~> 1.6.0)
   factory_bot_rails (~> 4.8.2)
   faker (~> 1.7.3)
@@ -229,4 +227,4 @@ DEPENDENCIES
   sqlite3 (~> 1.3.6)
 
 BUNDLED WITH
-   1.17.1
+   1.17.3

data/lib/istox.rb

@@ -30,4 +30,5 @@ module Istox
   require "istox/migrations/create_blockchain_receipts"
   require "istox/logging/hash_logging"
   require "istox/logging/log_formatter"
+  require "istox/quant/bond"
 end

data/lib/istox/helpers/f_math.rb

@@ -47,7 +47,14 @@ module Istox
         x = to_fixed(x)
         y = to_fixed(y)
 
+        return ::BigDecimal.new("1").to_s if x == y
+
         fixed_1 = ::BigDecimal.new("1e18")
+        
+        if (((x.div(y, 100)).modulo(BigDecimal.new(10)) == 0) && (x.modulo(y) == 0)) 
+          return from_fixed((x.div(y, 100).mult(fixed_1, 100)))
+        end
+
         r_y = fixed_1.mult(fixed_1, 100).truncate(0).div(y, 100).truncate(0)
 
         result = from_fixed(x.mult(r_y, 100).truncate(0).div(fixed_1, 100).truncate(0))

data/lib/istox/quant/bond.rb

@@ -0,0 +1,93 @@
+# frozen_string_literal: true
+require 'date'
+
+# This class is modified for ISTOX use case based on open source Bondie 
+
+# YTM based on price and date:
+
+# bond = Istox::Quant::Bond.new(coupon: 0.0622, maturity_date: Date.parse('2016-08-22'), coupon_frequency: 4)
+# bond.ytm(Date.parse('2015-09-07'), price: 100.8)
+# It will not count exact yield, but it will approximate it - you can set maximum approximation error by adding approximation_error parameter to the method.
+
+# You can also check interest payments dates:
+
+# bond = Istox::Quant::Bond.new(coupon: 0.0622, maturity_date: Date.parse('2016-08-22'), coupon_frequency: 4)
+# bond.interest_payments(Date.parse('2015-09-07'))
+# Currently it will not skip weekends or other days without bond quotations, so it can be inaccurate.
+
+# Also it's possible to check price on which it will generate given yield:
+
+# bond = Istox::Quant::Bond.new(coupon: 0.0622, maturity_date: Date.parse('2016-08-22'), coupon_frequency: 4)
+# bond.price(0.05156, Date.parse('2015-09-07'))
+
+
+module Istox
+  module Quant
+    class Bond
+
+      DEFAULT_APPROXIMATION_ERROR = 0.0001
+
+      def initialize(coupon: nil, maturity_date: nil, coupon_frequency: nil, face_value: 100, days_of_year: 365)
+        @coupon               = coupon
+        @maturity_date        = maturity_date
+        @coupon_frequency     = coupon_frequency
+        @days_of_year         = days_of_year
+        @face_value           = face_value
+      end
+
+      def price(ytm, date, fees: 0)
+        price_for_irr(irr_from_ytm(ytm), date, fees: fees)
+      end
+
+      def interest_payments(from_date)
+        payments = []
+        date = @maturity_date
+        while date >= from_date
+          payments << date
+          date = date.prev_month(12/@coupon_frequency)
+        end
+        payments.sort
+      end
+
+      def ytm(date, price: 100, fees: 0, approximation_error: DEFAULT_APPROXIMATION_ERROR)
+        ytm_down, ytm_up = ytm_limits(price, date, fees: fees)
+        approximate_ytm(ytm_down, ytm_up, price, date, fees: fees, approximation_error: approximation_error)
+      end
+
+
+      private
+
+      def irr_from_ytm(ytm)
+        (ytm/@coupon_frequency.to_f + 1) ** @coupon_frequency - 1
+      end
+
+
+      def approximate_ytm(ytm_down, ytm_up, price, date, fees: 0, approximation_error: DEFAULT_APPROXIMATION_ERROR)
+        approx_ytm = (ytm_up + ytm_down) / 2.0
+        return approx_ytm if ((ytm_up - approx_ytm)/approx_ytm).abs <= approximation_error
+        p = price(approx_ytm, date, fees: fees)
+        ytm_down, ytm_up = p < price ? [ytm_down, approx_ytm] : [approx_ytm, ytm_up]
+        approximate_ytm(ytm_down, ytm_up, price, date, fees: fees, approximation_error: approximation_error)
+      end
+
+      def ytm_limits(price, date, fees: 0)
+        ytm_up = 0.1
+        ytm_up *= 10 while price(ytm_up, date, fees: fees) > price
+        # IRR will be never lower than -1, so YTM should be never lower than -coupon_frequency (see irr_from_ytm)
+        ytm_down = price(0, date, fees: fees) > price ? 0.0 : -@coupon_frequency.to_f
+        [ytm_down, ytm_up]
+      end
+
+      def price_for_irr(irr, date, fees: 0)
+        raise "Date is after maturity_date!" if date > @maturity_date
+        last = date
+        interest_payments(date).map do |payday|
+          interest = @coupon * @face_value * ((payday-last)/@days_of_year)
+          interest += @face_value if payday == @maturity_date
+          last = payday
+          interest / ((1+irr) ** ((payday-date)/@days_of_year))
+        end.inject(:+) / (1+fees)
+      end
+    end
+  end
+end

data/lib/istox/version.rb

@@ -1,3 +1,3 @@
 module Istox
-  VERSION = "0.1.79"
+  VERSION = "0.1.80"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: istox
 version: !ruby/object:Gem::Version
-  version: 0.1.79
+  version: 0.1.80
 platform: ruby
 authors:
 - Siong Leng
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2019-08-29 00:00:00.000000000 Z
+date: 2019-09-04 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bunny
@@ -305,6 +305,7 @@ files:
 - lib/istox/migrations/create_blockchain_receipts.rb
 - lib/istox/models/blockchain_receipt.rb
 - lib/istox/models/concerns/blockchain_receipt_query.rb
+- lib/istox/quant/bond.rb
 - lib/istox/version.rb
 homepage: http://www.abc.com
 licenses: []
@@ -324,8 +325,7 @@ required_rubygems_version: !ruby/object:Gem::Requirement
     - !ruby/object:Gem::Version
       version: '0'
 requirements: []
-rubyforge_project: 
-rubygems_version: 2.7.8
+rubygems_version: 3.0.6
 signing_key: 
 specification_version: 4
 summary: istox backend shared gem