option_lab 0.1.0

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Files changed (64) hide show
  1. checksums.yaml +7 -0
  2. data/.rspec +3 -0
  3. data/.rubocop.yml +139 -0
  4. data/.yard/hooks/before_generate.rb +7 -0
  5. data/.yardopts +11 -0
  6. data/Gemfile +26 -0
  7. data/LICENSE.txt +21 -0
  8. data/README.md +180 -0
  9. data/Rakefile +44 -0
  10. data/docs/OptionLab/BinomialTree.html +1271 -0
  11. data/docs/OptionLab/BjerksundStensland.html +2022 -0
  12. data/docs/OptionLab/BlackScholes.html +2388 -0
  13. data/docs/OptionLab/Engine.html +1716 -0
  14. data/docs/OptionLab/Models/AmericanModelInputs.html +937 -0
  15. data/docs/OptionLab/Models/ArrayInputs.html +463 -0
  16. data/docs/OptionLab/Models/BaseModel.html +223 -0
  17. data/docs/OptionLab/Models/BinomialModelInputs.html +1161 -0
  18. data/docs/OptionLab/Models/BlackScholesInfo.html +967 -0
  19. data/docs/OptionLab/Models/BlackScholesModelInputs.html +851 -0
  20. data/docs/OptionLab/Models/ClosedPosition.html +445 -0
  21. data/docs/OptionLab/Models/EngineData.html +2523 -0
  22. data/docs/OptionLab/Models/EngineDataResults.html +435 -0
  23. data/docs/OptionLab/Models/Inputs.html +2241 -0
  24. data/docs/OptionLab/Models/LaplaceInputs.html +777 -0
  25. data/docs/OptionLab/Models/Option.html +736 -0
  26. data/docs/OptionLab/Models/Outputs.html +1753 -0
  27. data/docs/OptionLab/Models/PoPOutputs.html +645 -0
  28. data/docs/OptionLab/Models/PricingResult.html +848 -0
  29. data/docs/OptionLab/Models/Stock.html +583 -0
  30. data/docs/OptionLab/Models/TreeVisualization.html +688 -0
  31. data/docs/OptionLab/Models.html +251 -0
  32. data/docs/OptionLab/Plotting.html +548 -0
  33. data/docs/OptionLab/Support.html +2884 -0
  34. data/docs/OptionLab/Utils.html +619 -0
  35. data/docs/OptionLab.html +133 -0
  36. data/docs/_index.html +376 -0
  37. data/docs/class_list.html +54 -0
  38. data/docs/css/common.css +1 -0
  39. data/docs/css/full_list.css +58 -0
  40. data/docs/css/style.css +503 -0
  41. data/docs/file.LICENSE.html +70 -0
  42. data/docs/file.README.html +263 -0
  43. data/docs/file_list.html +64 -0
  44. data/docs/frames.html +22 -0
  45. data/docs/index.html +263 -0
  46. data/docs/js/app.js +344 -0
  47. data/docs/js/full_list.js +242 -0
  48. data/docs/js/jquery.js +4 -0
  49. data/docs/method_list.html +1974 -0
  50. data/docs/top-level-namespace.html +110 -0
  51. data/examples/american_options.rb +163 -0
  52. data/examples/covered_call.rb +76 -0
  53. data/lib/option_lab/binomial_tree.rb +238 -0
  54. data/lib/option_lab/bjerksund_stensland.rb +276 -0
  55. data/lib/option_lab/black_scholes.rb +323 -0
  56. data/lib/option_lab/engine.rb +492 -0
  57. data/lib/option_lab/models.rb +768 -0
  58. data/lib/option_lab/plotting.rb +182 -0
  59. data/lib/option_lab/support.rb +471 -0
  60. data/lib/option_lab/utils.rb +107 -0
  61. data/lib/option_lab/version.rb +5 -0
  62. data/lib/option_lab.rb +134 -0
  63. data/option_lab.gemspec +43 -0
  64. metadata +207 -0
data/docs/OptionLab/Models.html ADDED
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+ <!DOCTYPE html>
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+ <html>
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+ <head>
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+ <meta charset="utf-8">
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+ <meta name="viewport" content="width=device-width, initial-scale=1.0">
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+ <title>
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+ Module: OptionLab::Models
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+
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+ &mdash; OptionLab Documentation
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+
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+ </title>
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+
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+ <link rel="stylesheet" href="../css/style.css" type="text/css" />
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+
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+ <link rel="stylesheet" href="../css/common.css" type="text/css" />
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+
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+ <script type="text/javascript">
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+ pathId = "OptionLab::Models";
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+ relpath = '../';
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+ </script>
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+ <script type="text/javascript" charset="utf-8" src="../js/jquery.js"></script>
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+ <script type="text/javascript" charset="utf-8" src="../js/app.js"></script>
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+ </head>
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+ <body>
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+ <div class="nav_wrap">
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+ <iframe id="nav" src="../class_list.html?1"></iframe>
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+ <div id="resizer"></div>
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+ </div>
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+
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+ <div id="main" tabindex="-1">
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+ <div id="header">
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+ <div id="menu">
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+
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+ <a href="../_index.html">Index (M)</a> &raquo;
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+ <span class='title'><span class='object_link'><a href="../OptionLab.html" title="OptionLab (module)">OptionLab</a></span></span>
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+ &raquo;
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+ <span class="title">Models</span>
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+
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+ </div>
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+
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+ <div id="search">
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+
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+ <a class="full_list_link" id="class_list_link"
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+ href="../class_list.html">
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+
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+ <svg width="24" height="24">
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+ <rect x="0" y="4" width="24" height="4" rx="1" ry="1"></rect>
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+ <rect x="0" y="12" width="24" height="4" rx="1" ry="1"></rect>
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+ <rect x="0" y="20" width="24" height="4" rx="1" ry="1"></rect>
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+ </svg>
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+ </a>
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+
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+ </div>
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+ <div class="clear"></div>
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+ </div>
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+
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+ <div id="content"><h1>Module: OptionLab::Models
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+
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+
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+
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+ </h1>
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+ <div class="box_info">
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+
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+ <dl>
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+ <dt>Defined in:</dt>
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+ <dd>lib/option_lab/models.rb</dd>
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+ </dl>
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+
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+ </div>
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+
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+ <h2>Defined Under Namespace</h2>
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+ <p class="children">
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+
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+
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+
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+
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+ <strong class="classes">Classes:</strong> <span class='object_link'><a href="Models/AmericanModelInputs.html" title="OptionLab::Models::AmericanModelInputs (class)">AmericanModelInputs</a></span>, <span class='object_link'><a href="Models/ArrayInputs.html" title="OptionLab::Models::ArrayInputs (class)">ArrayInputs</a></span>, <span class='object_link'><a href="Models/BaseModel.html" title="OptionLab::Models::BaseModel (class)">BaseModel</a></span>, <span class='object_link'><a href="Models/BinomialModelInputs.html" title="OptionLab::Models::BinomialModelInputs (class)">BinomialModelInputs</a></span>, <span class='object_link'><a href="Models/BlackScholesInfo.html" title="OptionLab::Models::BlackScholesInfo (class)">BlackScholesInfo</a></span>, <span class='object_link'><a href="Models/BlackScholesModelInputs.html" title="OptionLab::Models::BlackScholesModelInputs (class)">BlackScholesModelInputs</a></span>, <span class='object_link'><a href="Models/ClosedPosition.html" title="OptionLab::Models::ClosedPosition (class)">ClosedPosition</a></span>, <span class='object_link'><a href="Models/EngineData.html" title="OptionLab::Models::EngineData (class)">EngineData</a></span>, <span class='object_link'><a href="Models/EngineDataResults.html" title="OptionLab::Models::EngineDataResults (class)">EngineDataResults</a></span>, <span class='object_link'><a href="Models/Inputs.html" title="OptionLab::Models::Inputs (class)">Inputs</a></span>, <span class='object_link'><a href="Models/LaplaceInputs.html" title="OptionLab::Models::LaplaceInputs (class)">LaplaceInputs</a></span>, <span class='object_link'><a href="Models/Option.html" title="OptionLab::Models::Option (class)">Option</a></span>, <span class='object_link'><a href="Models/Outputs.html" title="OptionLab::Models::Outputs (class)">Outputs</a></span>, <span class='object_link'><a href="Models/PoPOutputs.html" title="OptionLab::Models::PoPOutputs (class)">PoPOutputs</a></span>, <span class='object_link'><a href="Models/PricingResult.html" title="OptionLab::Models::PricingResult (class)">PricingResult</a></span>, <span class='object_link'><a href="Models/Stock.html" title="OptionLab::Models::Stock (class)">Stock</a></span>, <span class='object_link'><a href="Models/TreeVisualization.html" title="OptionLab::Models::TreeVisualization (class)">TreeVisualization</a></span>
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+
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+
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+ </p>
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+
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+
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+ <h2>
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+ Constant Summary
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+ <small><a href="#" class="constants_summary_toggle">collapse</a></small>
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+ </h2>
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+
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+ <dl class="constants">
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+
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+ <dt id="PRICING_MODELS-constant" class="">PRICING_MODELS =
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+ <div class="docstring">
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+ <div class="discussion">
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+ <p>Add pricing model constant to the existing models</p>
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+
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+
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+ </div>
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+ </div>
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+ <div class="tags">
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+
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+
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+ </div>
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+ </dt>
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+ <dd><pre class="code"><span class='qwords_beg'>%w[</span><span class='tstring_content'>black-scholes</span><span class='words_sep'> </span><span class='tstring_content'>binomial</span><span class='words_sep'> </span><span class='tstring_content'>bjerksund-stensland</span><span class='tstring_end'>]</span></span><span class='period'>.</span><span class='id identifier rubyid_freeze'>freeze</span></pre></dd>
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+
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+ <dt id="OPTION_TYPES-constant" class="">OPTION_TYPES =
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+ <div class="docstring">
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+ <div class="discussion">
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+ <p>Option types allowed in the system</p>
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+
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+
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+ </div>
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+ </div>
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+ <div class="tags">
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+
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+
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+ </div>
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+ </dt>
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+ <dd><pre class="code"><span class='qwords_beg'>%w[</span><span class='tstring_content'>call</span><span class='words_sep'> </span><span class='tstring_content'>put</span><span class='tstring_end'>]</span></span><span class='period'>.</span><span class='id identifier rubyid_freeze'>freeze</span></pre></dd>
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+
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+ <dt id="ACTION_TYPES-constant" class="">ACTION_TYPES =
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+ <div class="docstring">
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+ <div class="discussion">
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+ <p>Action types allowed in the system</p>
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+
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+
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+ </div>
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+ </div>
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+ <div class="tags">
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+
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+
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+ </div>
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+ </dt>
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+ <dd><pre class="code"><span class='qwords_beg'>%w[</span><span class='tstring_content'>buy</span><span class='words_sep'> </span><span class='tstring_content'>sell</span><span class='tstring_end'>]</span></span><span class='period'>.</span><span class='id identifier rubyid_freeze'>freeze</span></pre></dd>
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+ </dl>
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+ <h2>
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+ Class Method Summary
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+ <small><a href="#" class="summary_toggle">collapse</a></small>
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+ </h2>
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+
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+ <ul class="summary">
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+
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+ <li class="public ">
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+ <span class="summary_signature">
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+
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+ <a href="#init_empty_array-class_method" title="init_empty_array (class method)">.<strong>init_empty_array</strong> &#x21d2; Object </a>
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+
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+ </span>
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+ <span class="summary_desc"><div class='inline'><p>Initialize empty Numo array.</p>
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+ </div></span>
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+
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+ </li>
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+
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+ </ul>
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+
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+ <div id="class_method_details" class="method_details_list">
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+ <h2>Class Method Details</h2>
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+
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+
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+ <div class="method_details first">
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+ <h3 class="signature first" id="init_empty_array-class_method">
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+
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+ .<strong>init_empty_array</strong> &#x21d2; <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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+ </h3><div class="docstring">
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+ <div class="discussion">
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+ <p>Initialize empty Numo array</p>
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+
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+
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+ </div>
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+ </div>
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+ <div class="tags">
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+
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+ </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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+ 137
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+ 138
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+ 139</pre>
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+ </td>
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+ <td>
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+ <pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 137</span>
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+
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+ <span class='kw'>def</span> <span class='kw'>self</span><span class='period'>.</span><span class='id identifier rubyid_init_empty_array'>init_empty_array</span>
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+ <span class='const'>Numo</span><span class='op'>::</span><span class='const'>DFloat</span><span class='period'>.</span><span class='id identifier rubyid_new'>new</span><span class='lparen'>(</span><span class='int'>0</span><span class='rparen'>)</span>
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+ <span class='kw'>end</span></pre>
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+ </td>
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+ </tr>
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+ </table>
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+ </div>
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+ </div>
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+
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+ </div>
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+
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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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+ </div>
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+
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+ </div>
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+ </body>
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+ </html>