option_lab 0.1.0

data/lib/option_lab/utils.rb

@@ -0,0 +1,107 @@
+# frozen_string_literal: true
+
+require 'date'
+require 'holidays'
+require 'numo/narray'
+
+module OptionLab
+  module Utils
+    # Calendar cache to improve performance
+    @holiday_cache = {}
+    
+    class << self
+      # Get number of non-business days between dates
+      # @param start_date [Date] Start date
+      # @param end_date [Date] End date
+      # @param country [String] Country code
+      # @return [Integer] Number of non-business days
+      def get_nonbusiness_days(start_date, end_date, country = "US")
+        if end_date <= start_date
+          raise ArgumentError, "End date must be after start date!"
+        end
+        
+        # Create cache key
+        cache_key = "#{country}-#{start_date}-#{end_date}"
+        
+        # Return cached result if available
+        return @holiday_cache[cache_key] if @holiday_cache.key?(cache_key)
+        
+        # Calculate number of days
+        n_days = (end_date - start_date).to_i
+        
+        # Get holidays for the country (default to :us if there's an issue)
+        begin
+          holidays = Holidays.between(start_date, end_date, country.to_sym)
+        rescue Holidays::InvalidRegion
+          holidays = Holidays.between(start_date, end_date, :us)
+        end
+        holiday_dates = holidays.map { |h| h[:date].strftime('%Y-%m-%d') }
+        
+        # Count non-business days
+        nonbusiness_days = 0
+        
+        n_days.times do |i|
+          current_date = start_date + i
+          
+          # Check if weekend or holiday
+          if current_date.saturday? || current_date.sunday? || 
+             holiday_dates.include?(current_date.strftime('%Y-%m-%d'))
+            nonbusiness_days += 1
+          end
+        end
+        
+        # Cache the result
+        @holiday_cache[cache_key] = nonbusiness_days
+        
+        nonbusiness_days
+    end
+    
+      # Get profit/loss data
+      # @param outputs [Models::Outputs] Strategy outputs
+      # @param leg [Integer, nil] Strategy leg index
+      # @return [Array<Numo::DFloat, Numo::DFloat>] Stock prices and profits/losses
+      def get_pl(outputs, leg = nil)
+        if outputs.data.profit.size > 0 && leg && leg < outputs.data.profit.shape[0]
+          [outputs.data.stock_price_array, outputs.data.profit[leg, true]]
+        else
+          [outputs.data.stock_price_array, outputs.data.strategy_profit]
+        end
+    end
+    
+      # Save profit/loss data to CSV
+      # @param outputs [Models::Outputs] Strategy outputs
+      # @param filename [String, IO] CSV filename or IO object
+      # @param leg [Integer, nil] Strategy leg index
+      # @return [void]
+      def pl_to_csv(outputs, filename = "pl.csv", leg = nil)
+        stock_prices, profits = get_pl(outputs, leg)
+        
+        # Create matrix with stock prices and profits
+        data = Numo::DFloat.zeros(stock_prices.size, 2)
+        data[true, 0] = stock_prices
+        data[true, 1] = profits
+        
+        # Handle filename as string or IO object
+        if filename.is_a?(String)
+          # Save to CSV file
+          File.open(filename, 'w') do |file|
+            file.puts "StockPrice,Profit/Loss"
+            
+            data.shape[0].times do |i|
+              file.puts "#{data[i, 0]},#{data[i, 1]}"
+            end
+          end
+        elsif filename.respond_to?(:puts)
+          # Write to IO object
+          filename.puts "StockPrice,Profit/Loss"
+          
+          data.shape[0].times do |i|
+            filename.puts "#{data[i, 0]},#{data[i, 1]}"
+          end
+        else
+          raise ArgumentError, "Filename must be a String or an IO object"
+        end
+      end
+    end
+  end
+end

data/lib/option_lab/version.rb

@@ -0,0 +1,5 @@
+# frozen_string_literal: true
+
+module OptionLab
+  VERSION = "0.1.0"
+end

data/lib/option_lab.rb

@@ -0,0 +1,134 @@
+# frozen_string_literal: true
+
+require_relative 'option_lab/version'
+require_relative 'option_lab/models'
+require_relative 'option_lab/black_scholes'
+require_relative 'option_lab/binomial_tree'
+require_relative 'option_lab/bjerksund_stensland'
+require_relative 'option_lab/support'
+require_relative 'option_lab/engine'
+require_relative 'option_lab/utils'
+require_relative 'option_lab/plotting'
+
+# Main module for OptionLab
+module OptionLab
+
+  class Error < StandardError; end
+
+  # Public API methods
+  class << self
+
+    # Run a strategy calculation
+    # @param inputs [Hash, Models::Inputs] Input data for the strategy calculation
+    # @return [Models::Outputs] Output data from the strategy calculation
+    def run_strategy(inputs)
+      Engine.run_strategy(inputs)
+    end
+
+    # Plot profit/loss diagram
+    # @param outputs [Models::Outputs] Output data from a strategy calculation
+    # @return [void]
+    def plot_pl(outputs)
+      Plotting.plot_pl(outputs)
+    end
+
+    # Create price array
+    # @param inputs_data [Hash, Models::BlackScholesModelInputs, Models::LaplaceInputs]
+    # @param n [Integer] Number of prices to generate
+    # @param seed [Integer, nil] Random seed
+    # @return [Numo::DFloat] Array of prices
+    def create_price_array(inputs_data, n: 100_000, seed: nil)
+      Support.create_price_array(inputs_data, n: n, seed: seed)
+    end
+
+    # Get profit/loss data
+    # @param outputs [Models::Outputs] Output data from a strategy calculation
+    # @param leg [Integer, nil] Index of a strategy leg
+    # @return [Array<Numo::DFloat, Numo::DFloat>] Array of stock prices and profits/losses
+    def get_pl(outputs, leg = nil)
+      Utils.get_pl(outputs, leg)
+    end
+
+    # Save profit/loss data to CSV
+    # @param outputs [Models::Outputs] Output data from a strategy calculation
+    # @param filename [String] Name of the CSV file
+    # @param leg [Integer, nil] Index of a strategy leg
+    # @return [void]
+    def pl_to_csv(outputs, filename = 'pl.csv', leg = nil)
+      Utils.pl_to_csv(outputs, filename, leg)
+    end
+
+    # Price an option using the Cox-Ross-Rubinstein binomial tree model
+    # @param option_type [String] 'call' or 'put'
+    # @param s0 [Float] Spot price
+    # @param x [Float] Strike price
+    # @param r [Float] Risk-free interest rate
+    # @param volatility [Float] Volatility
+    # @param years_to_maturity [Float] Time to maturity in years
+    # @param n_steps [Integer] Number of time steps
+    # @param is_american [Boolean] True for American options, false for European
+    # @param dividend_yield [Float] Continuous dividend yield
+    # @return [Float] Option price
+    def price_binomial(option_type, s0, x, r, volatility, years_to_maturity, n_steps = 100, is_american = true, dividend_yield = 0.0)
+      BinomialTree.price_option(option_type, s0, x, r, volatility, years_to_maturity, n_steps, is_american, dividend_yield)
+    end
+
+    # Get binomial tree data for visualization and analysis
+    # @param option_type [String] 'call' or 'put'
+    # @param s0 [Float] Spot price
+    # @param x [Float] Strike price
+    # @param r [Float] Risk-free interest rate
+    # @param volatility [Float] Volatility
+    # @param years_to_maturity [Float] Time to maturity in years
+    # @param n_steps [Integer] Number of time steps
+    # @param is_american [Boolean] True for American options, false for European
+    # @param dividend_yield [Float] Continuous dividend yield
+    # @return [Hash] Tree structure with stock prices and option values
+    def get_binomial_tree(option_type, s0, x, r, volatility, years_to_maturity, n_steps = 15, is_american = true, dividend_yield = 0.0)
+      BinomialTree.get_tree(option_type, s0, x, r, volatility, years_to_maturity, n_steps, is_american, dividend_yield)
+    end
+
+    # Calculate option Greeks using the CRR binomial tree model
+    # @param option_type [String] 'call' or 'put'
+    # @param s0 [Float] Spot price
+    # @param x [Float] Strike price
+    # @param r [Float] Risk-free interest rate
+    # @param volatility [Float] Volatility
+    # @param years_to_maturity [Float] Time to maturity in years
+    # @param n_steps [Integer] Number of time steps
+    # @param is_american [Boolean] True for American options, false for European
+    # @param dividend_yield [Float] Continuous dividend yield
+    # @return [Hash] Option Greeks (delta, gamma, theta, vega, rho)
+    def get_binomial_greeks(option_type, s0, x, r, volatility, years_to_maturity, n_steps = 100, is_american = true, dividend_yield = 0.0)
+      BinomialTree.get_greeks(option_type, s0, x, r, volatility, years_to_maturity, n_steps, is_american, dividend_yield)
+    end
+
+    # Price an option using the Bjerksund-Stensland model
+    # @param option_type [String] 'call' or 'put'
+    # @param s0 [Float] Spot price
+    # @param x [Float] Strike price
+    # @param r [Float] Risk-free interest rate
+    # @param volatility [Float] Volatility
+    # @param years_to_maturity [Float] Time to maturity in years
+    # @param dividend_yield [Float] Continuous dividend yield
+    # @return [Float] Option price
+    def price_american(option_type, s0, x, r, volatility, years_to_maturity, dividend_yield = 0.0)
+      BjerksundStensland.price_option(option_type, s0, x, r, volatility, years_to_maturity, dividend_yield)
+    end
+
+    # Calculate option Greeks using the Bjerksund-Stensland model
+    # @param option_type [String] 'call' or 'put'
+    # @param s0 [Float] Spot price
+    # @param x [Float] Strike price
+    # @param r [Float] Risk-free interest rate
+    # @param volatility [Float] Volatility
+    # @param years_to_maturity [Float] Time to maturity in years
+    # @param dividend_yield [Float] Continuous dividend yield
+    # @return [Hash] Option Greeks (delta, gamma, theta, vega, rho)
+    def get_american_greeks(option_type, s0, x, r, volatility, years_to_maturity, dividend_yield = 0.0)
+      BjerksundStensland.get_greeks(option_type, s0, x, r, volatility, years_to_maturity, dividend_yield)
+    end
+
+  end
+
+end

data/option_lab.gemspec

@@ -0,0 +1,43 @@
+# frozen_string_literal: true
+
+require_relative 'lib/option_lab/version'
+
+Gem::Specification.new do |spec|
+  spec.name = 'option_lab'
+  spec.version = OptionLab::VERSION
+  spec.authors = ['Jack Killilea']
+  spec.email = ['xkillilea@gmail.com']
+
+  spec.summary = 'Ruby library for evaluating options trading strategies'
+  spec.description = 'A lightweight Ruby library designed to provide quick evaluation of option strategies.'
+  spec.homepage = 'https://github.com/xjackk/option_lab'
+  spec.license = 'MIT'
+  spec.required_ruby_version = '>= 3.3.0'
+
+  spec.metadata['homepage_uri'] = spec.homepage
+  spec.metadata['source_code_uri'] = spec.homepage
+  spec.metadata['changelog_uri'] = "#{spec.homepage}/blob/main/CHANGELOG.md"
+
+  # Specify which files should be added to the gem when it is released.
+  # The `git ls-files -z` loads the files in the RubyGem that have been added into git.
+  spec.files = Dir.chdir(__dir__) do
+    %x(git ls-files -z).split("\x0").reject do |f|
+      (File.expand_path(f) == __FILE__) ||
+        f.start_with?(*%w[bin/ test/ spec/ features/ .git .circleci appveyor])
+    end
+  end
+  spec.bindir = 'exe'
+  spec.executables = spec.files.grep(%r{\Aexe/}) { |f| File.basename(f) }
+  spec.require_paths = ['lib']
+
+  # Dependencies
+  spec.add_dependency 'distribution', '~> 0.8.0' # Statistical distributions
+  spec.add_dependency 'unicode_plot', '~> 0.0.5' # For terminal-based plotting
+  spec.add_dependency 'numo-linalg', '~> 0.1.7'  # Linear algebra functions
+  spec.add_dependency 'numo-narray', '~> 0.9.2'  # For numerical operations (similar to numpy)
+
+  # Development dependencies
+  spec.add_development_dependency 'rake', '~> 13.0'
+  spec.add_development_dependency 'rspec', '~> 3.12'
+  spec.add_development_dependency 'rubocop', '~> 1.50'
+end

metadata

@@ -0,0 +1,207 @@
+--- !ruby/object:Gem::Specification
+name: option_lab
+version: !ruby/object:Gem::Version
+  version: 0.1.0
+platform: ruby
+authors:
+- Jack Killilea
+autorequire: 
+bindir: exe
+cert_chain: []
+date: 2025-04-27 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: distribution
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.8.0
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.8.0
+- !ruby/object:Gem::Dependency
+  name: unicode_plot
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.0.5
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.0.5
+- !ruby/object:Gem::Dependency
+  name: numo-linalg
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.1.7
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.1.7
+- !ruby/object:Gem::Dependency
+  name: numo-narray
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.9.2
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.9.2
+- !ruby/object:Gem::Dependency
+  name: rake
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '13.0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '13.0'
+- !ruby/object:Gem::Dependency
+  name: rspec
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.12'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.12'
+- !ruby/object:Gem::Dependency
+  name: rubocop
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '1.50'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '1.50'
+description: A lightweight Ruby library designed to provide quick evaluation of option
+  strategies.
+email:
+- xkillilea@gmail.com
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- ".rspec"
+- ".rubocop.yml"
+- ".yard/hooks/before_generate.rb"
+- ".yardopts"
+- Gemfile
+- LICENSE.txt
+- README.md
+- Rakefile
+- docs/OptionLab.html
+- docs/OptionLab/BinomialTree.html
+- docs/OptionLab/BjerksundStensland.html
+- docs/OptionLab/BlackScholes.html
+- docs/OptionLab/Engine.html
+- docs/OptionLab/Models.html
+- docs/OptionLab/Models/AmericanModelInputs.html
+- docs/OptionLab/Models/ArrayInputs.html
+- docs/OptionLab/Models/BaseModel.html
+- docs/OptionLab/Models/BinomialModelInputs.html
+- docs/OptionLab/Models/BlackScholesInfo.html
+- docs/OptionLab/Models/BlackScholesModelInputs.html
+- docs/OptionLab/Models/ClosedPosition.html
+- docs/OptionLab/Models/EngineData.html
+- docs/OptionLab/Models/EngineDataResults.html
+- docs/OptionLab/Models/Inputs.html
+- docs/OptionLab/Models/LaplaceInputs.html
+- docs/OptionLab/Models/Option.html
+- docs/OptionLab/Models/Outputs.html
+- docs/OptionLab/Models/PoPOutputs.html
+- docs/OptionLab/Models/PricingResult.html
+- docs/OptionLab/Models/Stock.html
+- docs/OptionLab/Models/TreeVisualization.html
+- docs/OptionLab/Plotting.html
+- docs/OptionLab/Support.html
+- docs/OptionLab/Utils.html
+- docs/_index.html
+- docs/class_list.html
+- docs/css/common.css
+- docs/css/full_list.css
+- docs/css/style.css
+- docs/file.LICENSE.html
+- docs/file.README.html
+- docs/file_list.html
+- docs/frames.html
+- docs/index.html
+- docs/js/app.js
+- docs/js/full_list.js
+- docs/js/jquery.js
+- docs/method_list.html
+- docs/top-level-namespace.html
+- examples/american_options.rb
+- examples/covered_call.rb
+- lib/option_lab.rb
+- lib/option_lab/binomial_tree.rb
+- lib/option_lab/bjerksund_stensland.rb
+- lib/option_lab/black_scholes.rb
+- lib/option_lab/engine.rb
+- lib/option_lab/models.rb
+- lib/option_lab/plotting.rb
+- lib/option_lab/support.rb
+- lib/option_lab/utils.rb
+- lib/option_lab/version.rb
+- option_lab.gemspec
+homepage: https://github.com/xjackk/option_lab
+licenses:
+- MIT
+metadata:
+  homepage_uri: https://github.com/xjackk/option_lab
+  source_code_uri: https://github.com/xjackk/option_lab
+  changelog_uri: https://github.com/xjackk/option_lab/blob/main/CHANGELOG.md
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: 3.3.0
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubygems_version: 3.5.11
+signing_key: 
+specification_version: 4
+summary: Ruby library for evaluating options trading strategies
+test_files: []