option_lab 0.1.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- checksums.yaml +7 -0
- data/.rspec +3 -0
- data/.rubocop.yml +139 -0
- data/.yard/hooks/before_generate.rb +7 -0
- data/.yardopts +11 -0
- data/Gemfile +26 -0
- data/LICENSE.txt +21 -0
- data/README.md +180 -0
- data/Rakefile +44 -0
- data/docs/OptionLab/BinomialTree.html +1271 -0
- data/docs/OptionLab/BjerksundStensland.html +2022 -0
- data/docs/OptionLab/BlackScholes.html +2388 -0
- data/docs/OptionLab/Engine.html +1716 -0
- data/docs/OptionLab/Models/AmericanModelInputs.html +937 -0
- data/docs/OptionLab/Models/ArrayInputs.html +463 -0
- data/docs/OptionLab/Models/BaseModel.html +223 -0
- data/docs/OptionLab/Models/BinomialModelInputs.html +1161 -0
- data/docs/OptionLab/Models/BlackScholesInfo.html +967 -0
- data/docs/OptionLab/Models/BlackScholesModelInputs.html +851 -0
- data/docs/OptionLab/Models/ClosedPosition.html +445 -0
- data/docs/OptionLab/Models/EngineData.html +2523 -0
- data/docs/OptionLab/Models/EngineDataResults.html +435 -0
- data/docs/OptionLab/Models/Inputs.html +2241 -0
- data/docs/OptionLab/Models/LaplaceInputs.html +777 -0
- data/docs/OptionLab/Models/Option.html +736 -0
- data/docs/OptionLab/Models/Outputs.html +1753 -0
- data/docs/OptionLab/Models/PoPOutputs.html +645 -0
- data/docs/OptionLab/Models/PricingResult.html +848 -0
- data/docs/OptionLab/Models/Stock.html +583 -0
- data/docs/OptionLab/Models/TreeVisualization.html +688 -0
- data/docs/OptionLab/Models.html +251 -0
- data/docs/OptionLab/Plotting.html +548 -0
- data/docs/OptionLab/Support.html +2884 -0
- data/docs/OptionLab/Utils.html +619 -0
- data/docs/OptionLab.html +133 -0
- data/docs/_index.html +376 -0
- data/docs/class_list.html +54 -0
- data/docs/css/common.css +1 -0
- data/docs/css/full_list.css +58 -0
- data/docs/css/style.css +503 -0
- data/docs/file.LICENSE.html +70 -0
- data/docs/file.README.html +263 -0
- data/docs/file_list.html +64 -0
- data/docs/frames.html +22 -0
- data/docs/index.html +263 -0
- data/docs/js/app.js +344 -0
- data/docs/js/full_list.js +242 -0
- data/docs/js/jquery.js +4 -0
- data/docs/method_list.html +1974 -0
- data/docs/top-level-namespace.html +110 -0
- data/examples/american_options.rb +163 -0
- data/examples/covered_call.rb +76 -0
- data/lib/option_lab/binomial_tree.rb +238 -0
- data/lib/option_lab/bjerksund_stensland.rb +276 -0
- data/lib/option_lab/black_scholes.rb +323 -0
- data/lib/option_lab/engine.rb +492 -0
- data/lib/option_lab/models.rb +768 -0
- data/lib/option_lab/plotting.rb +182 -0
- data/lib/option_lab/support.rb +471 -0
- data/lib/option_lab/utils.rb +107 -0
- data/lib/option_lab/version.rb +5 -0
- data/lib/option_lab.rb +134 -0
- data/option_lab.gemspec +43 -0
- metadata +207 -0
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Class: OptionLab::Models::BlackScholesModelInputs
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— OptionLab Documentation
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<a href="../../_index.html">Index (B)</a> »
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<span class='title'><span class='object_link'><a href="../../OptionLab.html" title="OptionLab (module)">OptionLab</a></span></span> » <span class='title'><span class='object_link'><a href="../Models.html" title="OptionLab::Models (module)">Models</a></span></span>
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<span class="title">BlackScholesModelInputs</span>
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<div id="content"><h1>Class: OptionLab::Models::BlackScholesModelInputs
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<dt>Inherits:</dt>
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<span class="inheritName"><span class='object_link'><a href="BaseModel.html" title="OptionLab::Models::BaseModel (class)">BaseModel</a></span></span>
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<li class="next">OptionLab::Models::BlackScholesModelInputs</li>
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<dt>Defined in:</dt>
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<dd>lib/option_lab/models.rb</dd>
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<h2>Overview</h2><div class="docstring">
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<p>Black-Scholes model inputs</p>
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<h2>Instance Attribute Summary <small><a href="#" class="summary_toggle">collapse</a></small></h2>
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<a href="#dividend_yield-instance_method" title="#dividend_yield (instance method)">#<strong>dividend_yield</strong> ⇒ Object </a>
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<span class="summary_desc"><div class='inline'><p>Returns the value of attribute dividend_yield.</p>
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<a href="#interest_rate-instance_method" title="#interest_rate (instance method)">#<strong>interest_rate</strong> ⇒ Object </a>
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<span class="summary_desc"><div class='inline'><p>Returns the value of attribute interest_rate.</p>
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<a href="#model-instance_method" title="#model (instance method)">#<strong>model</strong> ⇒ Object </a>
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<span class="summary_desc"><div class='inline'><p>Returns the value of attribute model.</p>
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<a href="#stock_price-instance_method" title="#stock_price (instance method)">#<strong>stock_price</strong> ⇒ Object </a>
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<span class="summary_desc"><div class='inline'><p>Returns the value of attribute stock_price.</p>
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<a href="#volatility-instance_method" title="#volatility (instance method)">#<strong>volatility</strong> ⇒ Object </a>
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<span class="summary_desc"><div class='inline'><p>Returns the value of attribute volatility.</p>
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<a href="#years_to_target_date-instance_method" title="#years_to_target_date (instance method)">#<strong>years_to_target_date</strong> ⇒ Object </a>
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<span class="summary_desc"><div class='inline'><p>Returns the value of attribute years_to_target_date.</p>
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Instance Method Summary
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<a href="#initialize-instance_method" title="#initialize (instance method)">#<strong>initialize</strong>(attributes = {}) ⇒ BlackScholesModelInputs </a>
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<span class="note title constructor">constructor</span>
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#<strong>initialize</strong>(attributes = {}) ⇒ <tt><span class='object_link'><a href="" title="OptionLab::Models::BlackScholesModelInputs (class)">BlackScholesModelInputs</a></span></tt>
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<p>Returns a new instance of BlackScholesModelInputs.</p>
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<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 437</span>
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<span class='kw'>def</span> <span class='id identifier rubyid_initialize'>initialize</span><span class='lparen'>(</span><span class='id identifier rubyid_attributes'>attributes</span> <span class='op'>=</span> <span class='lbrace'>{</span><span class='rbrace'>}</span><span class='rparen'>)</span>
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<span class='comment'># Set defaults
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</span> <span class='ivar'>@interest_rate</span> <span class='op'>=</span> <span class='float'>0.0</span>
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<span class='ivar'>@dividend_yield</span> <span class='op'>=</span> <span class='float'>0.0</span>
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<span class='ivar'>@model</span> <span class='op'>=</span> <span class='tstring'><span class='tstring_beg'>'</span><span class='tstring_content'>black-scholes</span><span class='tstring_end'>'</span></span>
|
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<span class='kw'>super</span><span class='lparen'>(</span><span class='id identifier rubyid_attributes'>attributes</span><span class='rparen'>)</span>
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<span class='id identifier rubyid_validate!'>validate!</span>
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<span class='kw'>end</span></pre>
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<div id="instance_attr_details" class="attr_details">
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<h2>Instance Attribute Details</h2>
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|
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<span id="dividend_yield=-instance_method"></span>
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<h3 class="signature first" id="dividend_yield-instance_method">
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#<strong>dividend_yield</strong> ⇒ <tt>Object</tt>
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<p>Returns the value of attribute dividend_yield.</p>
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<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 434</span>
|
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|
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<span class='kw'>def</span> <span class='id identifier rubyid_dividend_yield'>dividend_yield</span>
|
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<span class='ivar'>@dividend_yield</span>
|
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<span class='kw'>end</span></pre>
|
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|
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|
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<span id="interest_rate=-instance_method"></span>
|
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<div class="method_details ">
|
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<h3 class="signature " id="interest_rate-instance_method">
|
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|
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#<strong>interest_rate</strong> ⇒ <tt>Object</tt>
|
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|
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|
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<div class="discussion">
|
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<p>Returns the value of attribute interest_rate.</p>
|
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|
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|
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|
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|
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<div class="tags">
|
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<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 434</span>
|
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|
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|
+
<span class='kw'>def</span> <span class='id identifier rubyid_interest_rate'>interest_rate</span>
|
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|
+
<span class='ivar'>@interest_rate</span>
|
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|
+
<span class='kw'>end</span></pre>
|
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|
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|
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|
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|
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|
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</div>
|
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|
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|
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|
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|
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<span id="model=-instance_method"></span>
|
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|
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|
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|
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<h3 class="signature " id="model-instance_method">
|
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|
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|
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|
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#<strong>model</strong> ⇒ <tt>Object</tt>
|
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|
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|
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|
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|
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|
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|
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<div class="discussion">
|
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|
+
<p>Returns the value of attribute model.</p>
|
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|
+
|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 434</span>
|
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|
+
|
568
|
+
<span class='kw'>def</span> <span class='id identifier rubyid_model'>model</span>
|
569
|
+
<span class='ivar'>@model</span>
|
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|
+
<span class='kw'>end</span></pre>
|
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|
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</td>
|
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|
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</tr>
|
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</table>
|
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|
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</div>
|
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|
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|
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|
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|
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|
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<span id="stock_price=-instance_method"></span>
|
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|
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<div class="method_details ">
|
579
|
+
<h3 class="signature " id="stock_price-instance_method">
|
580
|
+
|
581
|
+
#<strong>stock_price</strong> ⇒ <tt>Object</tt>
|
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|
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|
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|
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|
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|
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|
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|
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|
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|
+
|
587
|
+
</h3><div class="docstring">
|
588
|
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<div class="discussion">
|
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|
+
<p>Returns the value of attribute stock_price.</p>
|
590
|
+
|
591
|
+
|
592
|
+
</div>
|
593
|
+
</div>
|
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|
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<div class="tags">
|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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<pre class="lines">
|
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|
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|
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|
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|
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|
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|
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|
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<td>
|
608
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 434</span>
|
609
|
+
|
610
|
+
<span class='kw'>def</span> <span class='id identifier rubyid_stock_price'>stock_price</span>
|
611
|
+
<span class='ivar'>@stock_price</span>
|
612
|
+
<span class='kw'>end</span></pre>
|
613
|
+
</td>
|
614
|
+
</tr>
|
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|
+
</table>
|
616
|
+
</div>
|
617
|
+
|
618
|
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|
619
|
+
<span id="volatility=-instance_method"></span>
|
620
|
+
<div class="method_details ">
|
621
|
+
<h3 class="signature " id="volatility-instance_method">
|
622
|
+
|
623
|
+
#<strong>volatility</strong> ⇒ <tt>Object</tt>
|
624
|
+
|
625
|
+
|
626
|
+
|
627
|
+
|
628
|
+
|
629
|
+
</h3><div class="docstring">
|
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|
+
<div class="discussion">
|
631
|
+
<p>Returns the value of attribute volatility.</p>
|
632
|
+
|
633
|
+
|
634
|
+
</div>
|
635
|
+
</div>
|
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|
+
<div class="tags">
|
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|
+
|
638
|
+
|
639
|
+
</div><table class="source_code">
|
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|
+
<tr>
|
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|
+
<td>
|
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|
+
<pre class="lines">
|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
+
</td>
|
649
|
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<td>
|
650
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 434</span>
|
651
|
+
|
652
|
+
<span class='kw'>def</span> <span class='id identifier rubyid_volatility'>volatility</span>
|
653
|
+
<span class='ivar'>@volatility</span>
|
654
|
+
<span class='kw'>end</span></pre>
|
655
|
+
</td>
|
656
|
+
</tr>
|
657
|
+
</table>
|
658
|
+
</div>
|
659
|
+
|
660
|
+
|
661
|
+
<span id="years_to_target_date=-instance_method"></span>
|
662
|
+
<div class="method_details ">
|
663
|
+
<h3 class="signature " id="years_to_target_date-instance_method">
|
664
|
+
|
665
|
+
#<strong>years_to_target_date</strong> ⇒ <tt>Object</tt>
|
666
|
+
|
667
|
+
|
668
|
+
|
669
|
+
|
670
|
+
|
671
|
+
</h3><div class="docstring">
|
672
|
+
<div class="discussion">
|
673
|
+
<p>Returns the value of attribute years_to_target_date.</p>
|
674
|
+
|
675
|
+
|
676
|
+
</div>
|
677
|
+
</div>
|
678
|
+
<div class="tags">
|
679
|
+
|
680
|
+
|
681
|
+
</div><table class="source_code">
|
682
|
+
<tr>
|
683
|
+
<td>
|
684
|
+
<pre class="lines">
|
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|
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|
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|
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|
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|
+
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|
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|
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|
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|
+
436</pre>
|
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|
+
</td>
|
691
|
+
<td>
|
692
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 434</span>
|
693
|
+
|
694
|
+
<span class='kw'>def</span> <span class='id identifier rubyid_years_to_target_date'>years_to_target_date</span>
|
695
|
+
<span class='ivar'>@years_to_target_date</span>
|
696
|
+
<span class='kw'>end</span></pre>
|
697
|
+
</td>
|
698
|
+
</tr>
|
699
|
+
</table>
|
700
|
+
</div>
|
701
|
+
|
702
|
+
</div>
|
703
|
+
|
704
|
+
|
705
|
+
<div id="instance_method_details" class="method_details_list">
|
706
|
+
<h2>Instance Method Details</h2>
|
707
|
+
|
708
|
+
|
709
|
+
<div class="method_details first">
|
710
|
+
<h3 class="signature first" id="==-instance_method">
|
711
|
+
|
712
|
+
#<strong>==</strong>(other) ⇒ <tt>Object</tt>
|
713
|
+
|
714
|
+
|
715
|
+
|
716
|
+
<span class="aliases">Also known as:
|
717
|
+
<span class="names"><span id='eql?-instance_method'>eql?</span></span>
|
718
|
+
</span>
|
719
|
+
|
720
|
+
|
721
|
+
|
722
|
+
</h3><table class="source_code">
|
723
|
+
<tr>
|
724
|
+
<td>
|
725
|
+
<pre class="lines">
|
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|
+
|
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|
+
|
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|
+
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|
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|
+
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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458
|
735
|
+
459
|
736
|
+
460
|
737
|
+
461</pre>
|
738
|
+
</td>
|
739
|
+
<td>
|
740
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 452</span>
|
741
|
+
|
742
|
+
<span class='kw'>def</span> <span class='op'>==</span><span class='lparen'>(</span><span class='id identifier rubyid_other'>other</span><span class='rparen'>)</span>
|
743
|
+
<span class='kw'>return</span> <span class='kw'>false</span> <span class='kw'>unless</span> <span class='id identifier rubyid_other'>other</span><span class='period'>.</span><span class='id identifier rubyid_is_a?'>is_a?</span><span class='lparen'>(</span><span class='const'><span class='object_link'><a href="" title="OptionLab::Models::BlackScholesModelInputs (class)">BlackScholesModelInputs</a></span></span><span class='rparen'>)</span>
|
744
|
+
|
745
|
+
<span class='id identifier rubyid_stock_price'>stock_price</span> <span class='op'>==</span> <span class='id identifier rubyid_other'>other</span><span class='period'>.</span><span class='id identifier rubyid_stock_price'>stock_price</span> <span class='op'>&&</span>
|
746
|
+
<span class='id identifier rubyid_volatility'>volatility</span> <span class='op'>==</span> <span class='id identifier rubyid_other'>other</span><span class='period'>.</span><span class='id identifier rubyid_volatility'>volatility</span> <span class='op'>&&</span>
|
747
|
+
<span class='id identifier rubyid_years_to_target_date'>years_to_target_date</span> <span class='op'>==</span> <span class='id identifier rubyid_other'>other</span><span class='period'>.</span><span class='id identifier rubyid_years_to_target_date'>years_to_target_date</span> <span class='op'>&&</span>
|
748
|
+
<span class='id identifier rubyid_interest_rate'>interest_rate</span> <span class='op'>==</span> <span class='id identifier rubyid_other'>other</span><span class='period'>.</span><span class='id identifier rubyid_interest_rate'>interest_rate</span> <span class='op'>&&</span>
|
749
|
+
<span class='id identifier rubyid_dividend_yield'>dividend_yield</span> <span class='op'>==</span> <span class='id identifier rubyid_other'>other</span><span class='period'>.</span><span class='id identifier rubyid_dividend_yield'>dividend_yield</span> <span class='op'>&&</span>
|
750
|
+
<span class='id identifier rubyid_model'>model</span> <span class='op'>==</span> <span class='id identifier rubyid_other'>other</span><span class='period'>.</span><span class='id identifier rubyid_model'>model</span>
|
751
|
+
<span class='kw'>end</span></pre>
|
752
|
+
</td>
|
753
|
+
</tr>
|
754
|
+
</table>
|
755
|
+
</div>
|
756
|
+
|
757
|
+
<div class="method_details ">
|
758
|
+
<h3 class="signature " id="hash-instance_method">
|
759
|
+
|
760
|
+
#<strong>hash</strong> ⇒ <tt>Object</tt>
|
761
|
+
|
762
|
+
|
763
|
+
|
764
|
+
|
765
|
+
|
766
|
+
</h3><table class="source_code">
|
767
|
+
<tr>
|
768
|
+
<td>
|
769
|
+
<pre class="lines">
|
770
|
+
|
771
|
+
|
772
|
+
465
|
773
|
+
466
|
774
|
+
467</pre>
|
775
|
+
</td>
|
776
|
+
<td>
|
777
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 465</span>
|
778
|
+
|
779
|
+
<span class='kw'>def</span> <span class='id identifier rubyid_hash'>hash</span>
|
780
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<span class='lbracket'>[</span><span class='id identifier rubyid_stock_price'>stock_price</span><span class='comma'>,</span> <span class='id identifier rubyid_volatility'>volatility</span><span class='comma'>,</span> <span class='id identifier rubyid_years_to_target_date'>years_to_target_date</span><span class='comma'>,</span> <span class='id identifier rubyid_interest_rate'>interest_rate</span><span class='comma'>,</span> <span class='id identifier rubyid_dividend_yield'>dividend_yield</span><span class='comma'>,</span> <span class='id identifier rubyid_model'>model</span><span class='rbracket'>]</span><span class='period'>.</span><span class='id identifier rubyid_hash'>hash</span>
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<span class='kw'>end</span></pre>
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#<strong>validate!</strong> ⇒ <tt>Object</tt>
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<pre class="lines">
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450</pre>
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<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 448</span>
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<span class='kw'>def</span> <span class='id identifier rubyid_validate!'>validate!</span>
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<span class='id identifier rubyid_raise'>raise</span> <span class='const'>ArgumentError</span><span class='comma'>,</span> <span class='tstring'><span class='tstring_beg'>"</span><span class='tstring_content'>model must be 'black-scholes' or 'normal'</span><span class='tstring_end'>"</span></span> <span class='kw'>unless</span> <span class='lbracket'>[</span><span class='tstring'><span class='tstring_beg'>'</span><span class='tstring_content'>black-scholes</span><span class='tstring_end'>'</span></span><span class='comma'>,</span> <span class='tstring'><span class='tstring_beg'>'</span><span class='tstring_content'>normal</span><span class='tstring_end'>'</span></span><span class='rbracket'>]</span><span class='period'>.</span><span class='id identifier rubyid_include?'>include?</span><span class='lparen'>(</span><span class='id identifier rubyid_model'>model</span><span class='rparen'>)</span>
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<span class='kw'>end</span></pre>
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<div id="footer">
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Generated on Sun Apr 27 16:09:34 2025 by
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<a href="https://yardoc.org" title="Yay! A Ruby Documentation Tool" target="_parent">yard</a>
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0.9.37 (ruby-3.3.3).
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