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::BinomialModelInputs
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— OptionLab Documentation
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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">BinomialModelInputs</span>
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<div id="content"><h1>Class: OptionLab::Models::BinomialModelInputs
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<h2>Overview</h2><div class="docstring">
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<p>Binomial Tree model inputs</p>
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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="#is_american-instance_method" title="#is_american (instance method)">#<strong>is_american</strong> ⇒ Object </a>
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<span class="summary_desc"><div class='inline'><p>Returns the value of attribute is_american.</p>
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<span class="summary_desc"><div class='inline'><p>Returns the value of attribute option_type.</p>
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<span class="summary_desc"><div class='inline'><p>Returns the value of attribute stock_price.</p>
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<span class="summary_desc"><div class='inline'><p>Returns the value of attribute years_to_maturity.</p>
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Instance Method Summary
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<small><a href="#" class="summary_toggle">collapse</a></small>
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<span class="summary_signature">
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<a href="#greeks-instance_method" title="#greeks (instance method)">#<strong>greeks</strong> ⇒ Object </a>
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<span class="summary_desc"><div class='inline'></div></span>
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<span class="summary_signature">
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<a href="#initialize-instance_method" title="#initialize (instance method)">#<strong>initialize</strong>(attributes = {}) ⇒ BinomialModelInputs </a>
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</span>
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<span class="note title constructor">constructor</span>
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<span class="summary_desc"><div class='inline'><p>A new instance of BinomialModelInputs.</p>
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<span class="summary_signature">
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<a href="#price-instance_method" title="#price (instance method)">#<strong>price</strong> ⇒ Object </a>
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</span>
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<span class="summary_desc"><div class='inline'></div></span>
|
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</li>
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<li class="public ">
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<span class="summary_signature">
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<a href="#tree-instance_method" title="#tree (instance method)">#<strong>tree</strong> ⇒ Object </a>
|
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</span>
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|
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|
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<span class="summary_desc"><div class='inline'></div></span>
|
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|
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</li>
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<li class="public ">
|
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<span class="summary_signature">
|
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|
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|
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<a href="#validate!-instance_method" title="#validate! (instance method)">#<strong>validate!</strong> ⇒ Object </a>
|
|
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|
+
|
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|
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|
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</span>
|
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|
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|
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|
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|
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<span class="summary_desc"><div class='inline'></div></span>
|
|
477
|
+
|
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</li>
|
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|
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|
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</ul>
|
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+
|
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+
|
|
484
|
+
|
|
485
|
+
|
|
486
|
+
<div id="constructor_details" class="method_details_list">
|
|
487
|
+
<h2>Constructor Details</h2>
|
|
488
|
+
|
|
489
|
+
<div class="method_details first">
|
|
490
|
+
<h3 class="signature first" id="initialize-instance_method">
|
|
491
|
+
|
|
492
|
+
#<strong>initialize</strong>(attributes = {}) ⇒ <tt><span class='object_link'><a href="" title="OptionLab::Models::BinomialModelInputs (class)">BinomialModelInputs</a></span></tt>
|
|
493
|
+
|
|
494
|
+
|
|
495
|
+
|
|
496
|
+
|
|
497
|
+
|
|
498
|
+
</h3><div class="docstring">
|
|
499
|
+
<div class="discussion">
|
|
500
|
+
<p>Returns a new instance of BinomialModelInputs.</p>
|
|
501
|
+
|
|
502
|
+
|
|
503
|
+
</div>
|
|
504
|
+
</div>
|
|
505
|
+
<div class="tags">
|
|
506
|
+
|
|
507
|
+
|
|
508
|
+
</div><table class="source_code">
|
|
509
|
+
<tr>
|
|
510
|
+
<td>
|
|
511
|
+
<pre class="lines">
|
|
512
|
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|
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|
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|
|
514
|
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551
|
|
515
|
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552
|
|
516
|
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553
|
|
517
|
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554
|
|
518
|
+
555
|
|
519
|
+
556
|
|
520
|
+
557
|
|
521
|
+
558
|
|
522
|
+
559</pre>
|
|
523
|
+
</td>
|
|
524
|
+
<td>
|
|
525
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 551</span>
|
|
526
|
+
|
|
527
|
+
<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>
|
|
528
|
+
<span class='comment'># Set defaults
|
|
529
|
+
</span> <span class='ivar'>@option_type</span> <span class='op'>=</span> <span class='tstring'><span class='tstring_beg'>'</span><span class='tstring_content'>call</span><span class='tstring_end'>'</span></span>
|
|
530
|
+
<span class='ivar'>@steps</span> <span class='op'>=</span> <span class='int'>100</span>
|
|
531
|
+
<span class='ivar'>@is_american</span> <span class='op'>=</span> <span class='kw'>true</span>
|
|
532
|
+
<span class='ivar'>@dividend_yield</span> <span class='op'>=</span> <span class='float'>0.0</span>
|
|
533
|
+
|
|
534
|
+
<span class='kw'>super</span><span class='lparen'>(</span><span class='id identifier rubyid_attributes'>attributes</span><span class='rparen'>)</span>
|
|
535
|
+
<span class='kw'>end</span></pre>
|
|
536
|
+
</td>
|
|
537
|
+
</tr>
|
|
538
|
+
</table>
|
|
539
|
+
</div>
|
|
540
|
+
|
|
541
|
+
</div>
|
|
542
|
+
|
|
543
|
+
<div id="instance_attr_details" class="attr_details">
|
|
544
|
+
<h2>Instance Attribute Details</h2>
|
|
545
|
+
|
|
546
|
+
|
|
547
|
+
<span id="dividend_yield=-instance_method"></span>
|
|
548
|
+
<div class="method_details first">
|
|
549
|
+
<h3 class="signature first" id="dividend_yield-instance_method">
|
|
550
|
+
|
|
551
|
+
#<strong>dividend_yield</strong> ⇒ <tt>Object</tt>
|
|
552
|
+
|
|
553
|
+
|
|
554
|
+
|
|
555
|
+
|
|
556
|
+
|
|
557
|
+
</h3><div class="docstring">
|
|
558
|
+
<div class="discussion">
|
|
559
|
+
<p>Returns the value of attribute dividend_yield.</p>
|
|
560
|
+
|
|
561
|
+
|
|
562
|
+
</div>
|
|
563
|
+
</div>
|
|
564
|
+
<div class="tags">
|
|
565
|
+
|
|
566
|
+
|
|
567
|
+
</div><table class="source_code">
|
|
568
|
+
<tr>
|
|
569
|
+
<td>
|
|
570
|
+
<pre class="lines">
|
|
571
|
+
|
|
572
|
+
|
|
573
|
+
541
|
|
574
|
+
542
|
|
575
|
+
543</pre>
|
|
576
|
+
</td>
|
|
577
|
+
<td>
|
|
578
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 541</span>
|
|
579
|
+
|
|
580
|
+
<span class='kw'>def</span> <span class='id identifier rubyid_dividend_yield'>dividend_yield</span>
|
|
581
|
+
<span class='ivar'>@dividend_yield</span>
|
|
582
|
+
<span class='kw'>end</span></pre>
|
|
583
|
+
</td>
|
|
584
|
+
</tr>
|
|
585
|
+
</table>
|
|
586
|
+
</div>
|
|
587
|
+
|
|
588
|
+
|
|
589
|
+
<span id="interest_rate=-instance_method"></span>
|
|
590
|
+
<div class="method_details ">
|
|
591
|
+
<h3 class="signature " id="interest_rate-instance_method">
|
|
592
|
+
|
|
593
|
+
#<strong>interest_rate</strong> ⇒ <tt>Object</tt>
|
|
594
|
+
|
|
595
|
+
|
|
596
|
+
|
|
597
|
+
|
|
598
|
+
|
|
599
|
+
</h3><div class="docstring">
|
|
600
|
+
<div class="discussion">
|
|
601
|
+
<p>Returns the value of attribute interest_rate.</p>
|
|
602
|
+
|
|
603
|
+
|
|
604
|
+
</div>
|
|
605
|
+
</div>
|
|
606
|
+
<div class="tags">
|
|
607
|
+
|
|
608
|
+
|
|
609
|
+
</div><table class="source_code">
|
|
610
|
+
<tr>
|
|
611
|
+
<td>
|
|
612
|
+
<pre class="lines">
|
|
613
|
+
|
|
614
|
+
|
|
615
|
+
541
|
|
616
|
+
542
|
|
617
|
+
543</pre>
|
|
618
|
+
</td>
|
|
619
|
+
<td>
|
|
620
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 541</span>
|
|
621
|
+
|
|
622
|
+
<span class='kw'>def</span> <span class='id identifier rubyid_interest_rate'>interest_rate</span>
|
|
623
|
+
<span class='ivar'>@interest_rate</span>
|
|
624
|
+
<span class='kw'>end</span></pre>
|
|
625
|
+
</td>
|
|
626
|
+
</tr>
|
|
627
|
+
</table>
|
|
628
|
+
</div>
|
|
629
|
+
|
|
630
|
+
|
|
631
|
+
<span id="is_american=-instance_method"></span>
|
|
632
|
+
<div class="method_details ">
|
|
633
|
+
<h3 class="signature " id="is_american-instance_method">
|
|
634
|
+
|
|
635
|
+
#<strong>is_american</strong> ⇒ <tt>Object</tt>
|
|
636
|
+
|
|
637
|
+
|
|
638
|
+
|
|
639
|
+
|
|
640
|
+
|
|
641
|
+
</h3><div class="docstring">
|
|
642
|
+
<div class="discussion">
|
|
643
|
+
<p>Returns the value of attribute is_american.</p>
|
|
644
|
+
|
|
645
|
+
|
|
646
|
+
</div>
|
|
647
|
+
</div>
|
|
648
|
+
<div class="tags">
|
|
649
|
+
|
|
650
|
+
|
|
651
|
+
</div><table class="source_code">
|
|
652
|
+
<tr>
|
|
653
|
+
<td>
|
|
654
|
+
<pre class="lines">
|
|
655
|
+
|
|
656
|
+
|
|
657
|
+
541
|
|
658
|
+
542
|
|
659
|
+
543</pre>
|
|
660
|
+
</td>
|
|
661
|
+
<td>
|
|
662
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 541</span>
|
|
663
|
+
|
|
664
|
+
<span class='kw'>def</span> <span class='id identifier rubyid_is_american'>is_american</span>
|
|
665
|
+
<span class='ivar'>@is_american</span>
|
|
666
|
+
<span class='kw'>end</span></pre>
|
|
667
|
+
</td>
|
|
668
|
+
</tr>
|
|
669
|
+
</table>
|
|
670
|
+
</div>
|
|
671
|
+
|
|
672
|
+
|
|
673
|
+
<span id="option_type=-instance_method"></span>
|
|
674
|
+
<div class="method_details ">
|
|
675
|
+
<h3 class="signature " id="option_type-instance_method">
|
|
676
|
+
|
|
677
|
+
#<strong>option_type</strong> ⇒ <tt>Object</tt>
|
|
678
|
+
|
|
679
|
+
|
|
680
|
+
|
|
681
|
+
|
|
682
|
+
|
|
683
|
+
</h3><div class="docstring">
|
|
684
|
+
<div class="discussion">
|
|
685
|
+
<p>Returns the value of attribute option_type.</p>
|
|
686
|
+
|
|
687
|
+
|
|
688
|
+
</div>
|
|
689
|
+
</div>
|
|
690
|
+
<div class="tags">
|
|
691
|
+
|
|
692
|
+
|
|
693
|
+
</div><table class="source_code">
|
|
694
|
+
<tr>
|
|
695
|
+
<td>
|
|
696
|
+
<pre class="lines">
|
|
697
|
+
|
|
698
|
+
|
|
699
|
+
541
|
|
700
|
+
542
|
|
701
|
+
543</pre>
|
|
702
|
+
</td>
|
|
703
|
+
<td>
|
|
704
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 541</span>
|
|
705
|
+
|
|
706
|
+
<span class='kw'>def</span> <span class='id identifier rubyid_option_type'>option_type</span>
|
|
707
|
+
<span class='ivar'>@option_type</span>
|
|
708
|
+
<span class='kw'>end</span></pre>
|
|
709
|
+
</td>
|
|
710
|
+
</tr>
|
|
711
|
+
</table>
|
|
712
|
+
</div>
|
|
713
|
+
|
|
714
|
+
|
|
715
|
+
<span id="steps=-instance_method"></span>
|
|
716
|
+
<div class="method_details ">
|
|
717
|
+
<h3 class="signature " id="steps-instance_method">
|
|
718
|
+
|
|
719
|
+
#<strong>steps</strong> ⇒ <tt>Object</tt>
|
|
720
|
+
|
|
721
|
+
|
|
722
|
+
|
|
723
|
+
|
|
724
|
+
|
|
725
|
+
</h3><div class="docstring">
|
|
726
|
+
<div class="discussion">
|
|
727
|
+
<p>Returns the value of attribute steps.</p>
|
|
728
|
+
|
|
729
|
+
|
|
730
|
+
</div>
|
|
731
|
+
</div>
|
|
732
|
+
<div class="tags">
|
|
733
|
+
|
|
734
|
+
|
|
735
|
+
</div><table class="source_code">
|
|
736
|
+
<tr>
|
|
737
|
+
<td>
|
|
738
|
+
<pre class="lines">
|
|
739
|
+
|
|
740
|
+
|
|
741
|
+
541
|
|
742
|
+
542
|
|
743
|
+
543</pre>
|
|
744
|
+
</td>
|
|
745
|
+
<td>
|
|
746
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 541</span>
|
|
747
|
+
|
|
748
|
+
<span class='kw'>def</span> <span class='id identifier rubyid_steps'>steps</span>
|
|
749
|
+
<span class='ivar'>@steps</span>
|
|
750
|
+
<span class='kw'>end</span></pre>
|
|
751
|
+
</td>
|
|
752
|
+
</tr>
|
|
753
|
+
</table>
|
|
754
|
+
</div>
|
|
755
|
+
|
|
756
|
+
|
|
757
|
+
<span id="stock_price=-instance_method"></span>
|
|
758
|
+
<div class="method_details ">
|
|
759
|
+
<h3 class="signature " id="stock_price-instance_method">
|
|
760
|
+
|
|
761
|
+
#<strong>stock_price</strong> ⇒ <tt>Object</tt>
|
|
762
|
+
|
|
763
|
+
|
|
764
|
+
|
|
765
|
+
|
|
766
|
+
|
|
767
|
+
</h3><div class="docstring">
|
|
768
|
+
<div class="discussion">
|
|
769
|
+
<p>Returns the value of attribute stock_price.</p>
|
|
770
|
+
|
|
771
|
+
|
|
772
|
+
</div>
|
|
773
|
+
</div>
|
|
774
|
+
<div class="tags">
|
|
775
|
+
|
|
776
|
+
|
|
777
|
+
</div><table class="source_code">
|
|
778
|
+
<tr>
|
|
779
|
+
<td>
|
|
780
|
+
<pre class="lines">
|
|
781
|
+
|
|
782
|
+
|
|
783
|
+
541
|
|
784
|
+
542
|
|
785
|
+
543</pre>
|
|
786
|
+
</td>
|
|
787
|
+
<td>
|
|
788
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 541</span>
|
|
789
|
+
|
|
790
|
+
<span class='kw'>def</span> <span class='id identifier rubyid_stock_price'>stock_price</span>
|
|
791
|
+
<span class='ivar'>@stock_price</span>
|
|
792
|
+
<span class='kw'>end</span></pre>
|
|
793
|
+
</td>
|
|
794
|
+
</tr>
|
|
795
|
+
</table>
|
|
796
|
+
</div>
|
|
797
|
+
|
|
798
|
+
|
|
799
|
+
<span id="strike=-instance_method"></span>
|
|
800
|
+
<div class="method_details ">
|
|
801
|
+
<h3 class="signature " id="strike-instance_method">
|
|
802
|
+
|
|
803
|
+
#<strong>strike</strong> ⇒ <tt>Object</tt>
|
|
804
|
+
|
|
805
|
+
|
|
806
|
+
|
|
807
|
+
|
|
808
|
+
|
|
809
|
+
</h3><div class="docstring">
|
|
810
|
+
<div class="discussion">
|
|
811
|
+
<p>Returns the value of attribute strike.</p>
|
|
812
|
+
|
|
813
|
+
|
|
814
|
+
</div>
|
|
815
|
+
</div>
|
|
816
|
+
<div class="tags">
|
|
817
|
+
|
|
818
|
+
|
|
819
|
+
</div><table class="source_code">
|
|
820
|
+
<tr>
|
|
821
|
+
<td>
|
|
822
|
+
<pre class="lines">
|
|
823
|
+
|
|
824
|
+
|
|
825
|
+
541
|
|
826
|
+
542
|
|
827
|
+
543</pre>
|
|
828
|
+
</td>
|
|
829
|
+
<td>
|
|
830
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 541</span>
|
|
831
|
+
|
|
832
|
+
<span class='kw'>def</span> <span class='id identifier rubyid_strike'>strike</span>
|
|
833
|
+
<span class='ivar'>@strike</span>
|
|
834
|
+
<span class='kw'>end</span></pre>
|
|
835
|
+
</td>
|
|
836
|
+
</tr>
|
|
837
|
+
</table>
|
|
838
|
+
</div>
|
|
839
|
+
|
|
840
|
+
|
|
841
|
+
<span id="volatility=-instance_method"></span>
|
|
842
|
+
<div class="method_details ">
|
|
843
|
+
<h3 class="signature " id="volatility-instance_method">
|
|
844
|
+
|
|
845
|
+
#<strong>volatility</strong> ⇒ <tt>Object</tt>
|
|
846
|
+
|
|
847
|
+
|
|
848
|
+
|
|
849
|
+
|
|
850
|
+
|
|
851
|
+
</h3><div class="docstring">
|
|
852
|
+
<div class="discussion">
|
|
853
|
+
<p>Returns the value of attribute volatility.</p>
|
|
854
|
+
|
|
855
|
+
|
|
856
|
+
</div>
|
|
857
|
+
</div>
|
|
858
|
+
<div class="tags">
|
|
859
|
+
|
|
860
|
+
|
|
861
|
+
</div><table class="source_code">
|
|
862
|
+
<tr>
|
|
863
|
+
<td>
|
|
864
|
+
<pre class="lines">
|
|
865
|
+
|
|
866
|
+
|
|
867
|
+
541
|
|
868
|
+
542
|
|
869
|
+
543</pre>
|
|
870
|
+
</td>
|
|
871
|
+
<td>
|
|
872
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 541</span>
|
|
873
|
+
|
|
874
|
+
<span class='kw'>def</span> <span class='id identifier rubyid_volatility'>volatility</span>
|
|
875
|
+
<span class='ivar'>@volatility</span>
|
|
876
|
+
<span class='kw'>end</span></pre>
|
|
877
|
+
</td>
|
|
878
|
+
</tr>
|
|
879
|
+
</table>
|
|
880
|
+
</div>
|
|
881
|
+
|
|
882
|
+
|
|
883
|
+
<span id="years_to_maturity=-instance_method"></span>
|
|
884
|
+
<div class="method_details ">
|
|
885
|
+
<h3 class="signature " id="years_to_maturity-instance_method">
|
|
886
|
+
|
|
887
|
+
#<strong>years_to_maturity</strong> ⇒ <tt>Object</tt>
|
|
888
|
+
|
|
889
|
+
|
|
890
|
+
|
|
891
|
+
|
|
892
|
+
|
|
893
|
+
</h3><div class="docstring">
|
|
894
|
+
<div class="discussion">
|
|
895
|
+
<p>Returns the value of attribute years_to_maturity.</p>
|
|
896
|
+
|
|
897
|
+
|
|
898
|
+
</div>
|
|
899
|
+
</div>
|
|
900
|
+
<div class="tags">
|
|
901
|
+
|
|
902
|
+
|
|
903
|
+
</div><table class="source_code">
|
|
904
|
+
<tr>
|
|
905
|
+
<td>
|
|
906
|
+
<pre class="lines">
|
|
907
|
+
|
|
908
|
+
|
|
909
|
+
541
|
|
910
|
+
542
|
|
911
|
+
543</pre>
|
|
912
|
+
</td>
|
|
913
|
+
<td>
|
|
914
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 541</span>
|
|
915
|
+
|
|
916
|
+
<span class='kw'>def</span> <span class='id identifier rubyid_years_to_maturity'>years_to_maturity</span>
|
|
917
|
+
<span class='ivar'>@years_to_maturity</span>
|
|
918
|
+
<span class='kw'>end</span></pre>
|
|
919
|
+
</td>
|
|
920
|
+
</tr>
|
|
921
|
+
</table>
|
|
922
|
+
</div>
|
|
923
|
+
|
|
924
|
+
</div>
|
|
925
|
+
|
|
926
|
+
|
|
927
|
+
<div id="instance_method_details" class="method_details_list">
|
|
928
|
+
<h2>Instance Method Details</h2>
|
|
929
|
+
|
|
930
|
+
|
|
931
|
+
<div class="method_details first">
|
|
932
|
+
<h3 class="signature first" id="greeks-instance_method">
|
|
933
|
+
|
|
934
|
+
#<strong>greeks</strong> ⇒ <tt>Object</tt>
|
|
935
|
+
|
|
936
|
+
|
|
937
|
+
|
|
938
|
+
|
|
939
|
+
|
|
940
|
+
</h3><table class="source_code">
|
|
941
|
+
<tr>
|
|
942
|
+
<td>
|
|
943
|
+
<pre class="lines">
|
|
944
|
+
|
|
945
|
+
|
|
946
|
+
587
|
|
947
|
+
588
|
|
948
|
+
589
|
|
949
|
+
590
|
|
950
|
+
591
|
|
951
|
+
592
|
|
952
|
+
593
|
|
953
|
+
594
|
|
954
|
+
595
|
|
955
|
+
596
|
|
956
|
+
597
|
|
957
|
+
598
|
|
958
|
+
599</pre>
|
|
959
|
+
</td>
|
|
960
|
+
<td>
|
|
961
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 587</span>
|
|
962
|
+
|
|
963
|
+
<span class='kw'>def</span> <span class='id identifier rubyid_greeks'>greeks</span>
|
|
964
|
+
<span class='const'><span class='object_link'><a href="../../OptionLab.html" title="OptionLab (module)">OptionLab</a></span></span><span class='period'>.</span><span class='id identifier rubyid_get_binomial_greeks'>get_binomial_greeks</span><span class='lparen'>(</span>
|
|
965
|
+
<span class='id identifier rubyid_option_type'>option_type</span><span class='comma'>,</span>
|
|
966
|
+
<span class='id identifier rubyid_stock_price'>stock_price</span><span class='comma'>,</span>
|
|
967
|
+
<span class='id identifier rubyid_strike'>strike</span><span class='comma'>,</span>
|
|
968
|
+
<span class='id identifier rubyid_interest_rate'>interest_rate</span><span class='comma'>,</span>
|
|
969
|
+
<span class='id identifier rubyid_volatility'>volatility</span><span class='comma'>,</span>
|
|
970
|
+
<span class='id identifier rubyid_years_to_maturity'>years_to_maturity</span><span class='comma'>,</span>
|
|
971
|
+
<span class='id identifier rubyid_steps'>steps</span><span class='comma'>,</span>
|
|
972
|
+
<span class='id identifier rubyid_is_american'>is_american</span><span class='comma'>,</span>
|
|
973
|
+
<span class='id identifier rubyid_dividend_yield'>dividend_yield</span><span class='comma'>,</span>
|
|
974
|
+
<span class='rparen'>)</span>
|
|
975
|
+
<span class='kw'>end</span></pre>
|
|
976
|
+
</td>
|
|
977
|
+
</tr>
|
|
978
|
+
</table>
|
|
979
|
+
</div>
|
|
980
|
+
|
|
981
|
+
<div class="method_details ">
|
|
982
|
+
<h3 class="signature " id="price-instance_method">
|
|
983
|
+
|
|
984
|
+
#<strong>price</strong> ⇒ <tt>Object</tt>
|
|
985
|
+
|
|
986
|
+
|
|
987
|
+
|
|
988
|
+
|
|
989
|
+
|
|
990
|
+
</h3><table class="source_code">
|
|
991
|
+
<tr>
|
|
992
|
+
<td>
|
|
993
|
+
<pre class="lines">
|
|
994
|
+
|
|
995
|
+
|
|
996
|
+
573
|
|
997
|
+
574
|
|
998
|
+
575
|
|
999
|
+
576
|
|
1000
|
+
577
|
|
1001
|
+
578
|
|
1002
|
+
579
|
|
1003
|
+
580
|
|
1004
|
+
581
|
|
1005
|
+
582
|
|
1006
|
+
583
|
|
1007
|
+
584
|
|
1008
|
+
585</pre>
|
|
1009
|
+
</td>
|
|
1010
|
+
<td>
|
|
1011
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 573</span>
|
|
1012
|
+
|
|
1013
|
+
<span class='kw'>def</span> <span class='id identifier rubyid_price'>price</span>
|
|
1014
|
+
<span class='const'><span class='object_link'><a href="../../OptionLab.html" title="OptionLab (module)">OptionLab</a></span></span><span class='period'>.</span><span class='id identifier rubyid_price_binomial'>price_binomial</span><span class='lparen'>(</span>
|
|
1015
|
+
<span class='id identifier rubyid_option_type'>option_type</span><span class='comma'>,</span>
|
|
1016
|
+
<span class='id identifier rubyid_stock_price'>stock_price</span><span class='comma'>,</span>
|
|
1017
|
+
<span class='id identifier rubyid_strike'>strike</span><span class='comma'>,</span>
|
|
1018
|
+
<span class='id identifier rubyid_interest_rate'>interest_rate</span><span class='comma'>,</span>
|
|
1019
|
+
<span class='id identifier rubyid_volatility'>volatility</span><span class='comma'>,</span>
|
|
1020
|
+
<span class='id identifier rubyid_years_to_maturity'>years_to_maturity</span><span class='comma'>,</span>
|
|
1021
|
+
<span class='id identifier rubyid_steps'>steps</span><span class='comma'>,</span>
|
|
1022
|
+
<span class='id identifier rubyid_is_american'>is_american</span><span class='comma'>,</span>
|
|
1023
|
+
<span class='id identifier rubyid_dividend_yield'>dividend_yield</span><span class='comma'>,</span>
|
|
1024
|
+
<span class='rparen'>)</span>
|
|
1025
|
+
<span class='kw'>end</span></pre>
|
|
1026
|
+
</td>
|
|
1027
|
+
</tr>
|
|
1028
|
+
</table>
|
|
1029
|
+
</div>
|
|
1030
|
+
|
|
1031
|
+
<div class="method_details ">
|
|
1032
|
+
<h3 class="signature " id="tree-instance_method">
|
|
1033
|
+
|
|
1034
|
+
#<strong>tree</strong> ⇒ <tt>Object</tt>
|
|
1035
|
+
|
|
1036
|
+
|
|
1037
|
+
|
|
1038
|
+
|
|
1039
|
+
|
|
1040
|
+
</h3><table class="source_code">
|
|
1041
|
+
<tr>
|
|
1042
|
+
<td>
|
|
1043
|
+
<pre class="lines">
|
|
1044
|
+
|
|
1045
|
+
|
|
1046
|
+
601
|
|
1047
|
+
602
|
|
1048
|
+
603
|
|
1049
|
+
604
|
|
1050
|
+
605
|
|
1051
|
+
606
|
|
1052
|
+
607
|
|
1053
|
+
608
|
|
1054
|
+
609
|
|
1055
|
+
610
|
|
1056
|
+
611
|
|
1057
|
+
612
|
|
1058
|
+
613</pre>
|
|
1059
|
+
</td>
|
|
1060
|
+
<td>
|
|
1061
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 601</span>
|
|
1062
|
+
|
|
1063
|
+
<span class='kw'>def</span> <span class='id identifier rubyid_tree'>tree</span>
|
|
1064
|
+
<span class='const'><span class='object_link'><a href="../../OptionLab.html" title="OptionLab (module)">OptionLab</a></span></span><span class='period'>.</span><span class='id identifier rubyid_get_binomial_tree'>get_binomial_tree</span><span class='lparen'>(</span>
|
|
1065
|
+
<span class='id identifier rubyid_option_type'>option_type</span><span class='comma'>,</span>
|
|
1066
|
+
<span class='id identifier rubyid_stock_price'>stock_price</span><span class='comma'>,</span>
|
|
1067
|
+
<span class='id identifier rubyid_strike'>strike</span><span class='comma'>,</span>
|
|
1068
|
+
<span class='id identifier rubyid_interest_rate'>interest_rate</span><span class='comma'>,</span>
|
|
1069
|
+
<span class='id identifier rubyid_volatility'>volatility</span><span class='comma'>,</span>
|
|
1070
|
+
<span class='id identifier rubyid_years_to_maturity'>years_to_maturity</span><span class='comma'>,</span>
|
|
1071
|
+
<span class='lbracket'>[</span><span class='id identifier rubyid_steps'>steps</span><span class='comma'>,</span> <span class='int'>15</span><span class='rbracket'>]</span><span class='period'>.</span><span class='id identifier rubyid_min'>min</span><span class='comma'>,</span>
|
|
1072
|
+
<span class='id identifier rubyid_is_american'>is_american</span><span class='comma'>,</span>
|
|
1073
|
+
<span class='id identifier rubyid_dividend_yield'>dividend_yield</span><span class='comma'>,</span>
|
|
1074
|
+
<span class='rparen'>)</span>
|
|
1075
|
+
<span class='kw'>end</span></pre>
|
|
1076
|
+
</td>
|
|
1077
|
+
</tr>
|
|
1078
|
+
</table>
|
|
1079
|
+
</div>
|
|
1080
|
+
|
|
1081
|
+
<div class="method_details ">
|
|
1082
|
+
<h3 class="signature " id="validate!-instance_method">
|
|
1083
|
+
|
|
1084
|
+
#<strong>validate!</strong> ⇒ <tt>Object</tt>
|
|
1085
|
+
|
|
1086
|
+
|
|
1087
|
+
|
|
1088
|
+
|
|
1089
|
+
|
|
1090
|
+
</h3><div class="docstring">
|
|
1091
|
+
<div class="discussion">
|
|
1092
|
+
|
|
1093
|
+
|
|
1094
|
+
</div>
|
|
1095
|
+
</div>
|
|
1096
|
+
<div class="tags">
|
|
1097
|
+
|
|
1098
|
+
<p class="tag_title">Raises:</p>
|
|
1099
|
+
<ul class="raise">
|
|
1100
|
+
|
|
1101
|
+
<li>
|
|
1102
|
+
|
|
1103
|
+
|
|
1104
|
+
<span class='type'>(<tt>ArgumentError</tt>)</span>
|
|
1105
|
+
|
|
1106
|
+
|
|
1107
|
+
|
|
1108
|
+
</li>
|
|
1109
|
+
|
|
1110
|
+
</ul>
|
|
1111
|
+
|
|
1112
|
+
</div><table class="source_code">
|
|
1113
|
+
<tr>
|
|
1114
|
+
<td>
|
|
1115
|
+
<pre class="lines">
|
|
1116
|
+
|
|
1117
|
+
|
|
1118
|
+
561
|
|
1119
|
+
562
|
|
1120
|
+
563
|
|
1121
|
+
564
|
|
1122
|
+
565
|
|
1123
|
+
566
|
|
1124
|
+
567
|
|
1125
|
+
568
|
|
1126
|
+
569
|
|
1127
|
+
570
|
|
1128
|
+
571</pre>
|
|
1129
|
+
</td>
|
|
1130
|
+
<td>
|
|
1131
|
+
<pre class="code"><span class="info file"># File 'lib/option_lab/models.rb', line 561</span>
|
|
1132
|
+
|
|
1133
|
+
<span class='kw'>def</span> <span class='id identifier rubyid_validate!'>validate!</span>
|
|
1134
|
+
<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'>option_type must be 'call' or 'put'</span><span class='tstring_end'>"</span></span> <span class='kw'>unless</span> <span class='const'><span class='object_link'><a href="../Models.html#OPTION_TYPES-constant" title="OptionLab::Models::OPTION_TYPES (constant)">OPTION_TYPES</a></span></span><span class='period'>.</span><span class='id identifier rubyid_include?'>include?</span><span class='lparen'>(</span><span class='id identifier rubyid_option_type'>option_type</span><span class='rparen'>)</span>
|
|
1135
|
+
<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'>stock_price must be positive</span><span class='tstring_end'>'</span></span> <span class='kw'>unless</span> <span class='id identifier rubyid_stock_price'>stock_price</span><span class='period'>.</span><span class='id identifier rubyid_is_a?'>is_a?</span><span class='lparen'>(</span><span class='const'>Numeric</span><span class='rparen'>)</span> <span class='op'>&&</span> <span class='id identifier rubyid_stock_price'>stock_price</span><span class='period'>.</span><span class='id identifier rubyid_positive?'>positive?</span>
|
|
1136
|
+
<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'>strike must be positive</span><span class='tstring_end'>'</span></span> <span class='kw'>unless</span> <span class='id identifier rubyid_strike'>strike</span><span class='period'>.</span><span class='id identifier rubyid_is_a?'>is_a?</span><span class='lparen'>(</span><span class='const'>Numeric</span><span class='rparen'>)</span> <span class='op'>&&</span> <span class='id identifier rubyid_strike'>strike</span><span class='period'>.</span><span class='id identifier rubyid_positive?'>positive?</span>
|
|
1137
|
+
<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'>interest_rate must be non-negative</span><span class='tstring_end'>'</span></span> <span class='kw'>unless</span> <span class='id identifier rubyid_interest_rate'>interest_rate</span><span class='period'>.</span><span class='id identifier rubyid_is_a?'>is_a?</span><span class='lparen'>(</span><span class='const'>Numeric</span><span class='rparen'>)</span> <span class='op'>&&</span> <span class='id identifier rubyid_interest_rate'>interest_rate</span> <span class='op'>>=</span> <span class='int'>0</span>
|
|
1138
|
+
<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'>volatility must be positive</span><span class='tstring_end'>'</span></span> <span class='kw'>unless</span> <span class='id identifier rubyid_volatility'>volatility</span><span class='period'>.</span><span class='id identifier rubyid_is_a?'>is_a?</span><span class='lparen'>(</span><span class='const'>Numeric</span><span class='rparen'>)</span> <span class='op'>&&</span> <span class='id identifier rubyid_volatility'>volatility</span><span class='period'>.</span><span class='id identifier rubyid_positive?'>positive?</span>
|
|
1139
|
+
<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'>years_to_maturity must be non-negative</span><span class='tstring_end'>'</span></span> <span class='kw'>unless</span> <span class='id identifier rubyid_years_to_maturity'>years_to_maturity</span><span class='period'>.</span><span class='id identifier rubyid_is_a?'>is_a?</span><span class='lparen'>(</span><span class='const'>Numeric</span><span class='rparen'>)</span> <span class='op'>&&</span> <span class='id identifier rubyid_years_to_maturity'>years_to_maturity</span> <span class='op'>>=</span> <span class='int'>0</span>
|
|
1140
|
+
<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'>steps must be positive</span><span class='tstring_end'>'</span></span> <span class='kw'>unless</span> <span class='id identifier rubyid_steps'>steps</span><span class='period'>.</span><span class='id identifier rubyid_is_a?'>is_a?</span><span class='lparen'>(</span><span class='const'>Integer</span><span class='rparen'>)</span> <span class='op'>&&</span> <span class='id identifier rubyid_steps'>steps</span><span class='period'>.</span><span class='id identifier rubyid_positive?'>positive?</span>
|
|
1141
|
+
<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'>is_american must be boolean</span><span class='tstring_end'>'</span></span> <span class='kw'>unless</span> <span class='id identifier rubyid_is_american'>is_american</span><span class='period'>.</span><span class='id identifier rubyid_is_a?'>is_a?</span><span class='lparen'>(</span><span class='const'>TrueClass</span><span class='rparen'>)</span> <span class='op'>||</span> <span class='id identifier rubyid_is_american'>is_american</span><span class='period'>.</span><span class='id identifier rubyid_is_a?'>is_a?</span><span class='lparen'>(</span><span class='const'>FalseClass</span><span class='rparen'>)</span>
|
|
1142
|
+
<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'>dividend_yield must be non-negative</span><span class='tstring_end'>'</span></span> <span class='kw'>unless</span> <span class='id identifier rubyid_dividend_yield'>dividend_yield</span><span class='period'>.</span><span class='id identifier rubyid_is_a?'>is_a?</span><span class='lparen'>(</span><span class='const'>Numeric</span><span class='rparen'>)</span> <span class='op'>&&</span> <span class='id identifier rubyid_dividend_yield'>dividend_yield</span> <span class='op'>>=</span> <span class='int'>0</span>
|
|
1143
|
+
<span class='kw'>end</span></pre>
|
|
1144
|
+
</td>
|
|
1145
|
+
</tr>
|
|
1146
|
+
</table>
|
|
1147
|
+
</div>
|
|
1148
|
+
|
|
1149
|
+
</div>
|
|
1150
|
+
|
|
1151
|
+
</div>
|
|
1152
|
+
|
|
1153
|
+
<div id="footer">
|
|
1154
|
+
Generated on Sun Apr 27 16:09:34 2025 by
|
|
1155
|
+
<a href="https://yardoc.org" title="Yay! A Ruby Documentation Tool" target="_parent">yard</a>
|
|
1156
|
+
0.9.37 (ruby-3.3.3).
|
|
1157
|
+
</div>
|
|
1158
|
+
|
|
1159
|
+
</div>
|
|
1160
|
+
</body>
|
|
1161
|
+
</html>
|