option_lab 0.1.0

checksums.yaml

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data/.rspec

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+--require spec_helper
+--format documentation
+--color

data/.rubocop.yml

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+inherit_gem:
+  rubocop-shopify: rubocop.yml
+
+AllCops:
+  TargetRubyVersion: 3.3
+  NewCops: enable
+  Exclude:
+    - 'vendor/**/*'
+    - 'bin/**/*'
+    - 'spec/spec_helper.rb'
+    - 'tmp/**/*'
+
+# General style settings
+Style/StringLiterals:
+  EnforcedStyle: single_quotes
+  Enabled: true
+
+Style/StringLiteralsInInterpolation:
+  EnforcedStyle: single_quotes
+  Enabled: true
+
+# Documentation is important for a library
+Style/Documentation:
+  Enabled: true
+
+# Use modern Ruby features
+Style/FrozenStringLiteralComment:
+  Enabled: true
+  EnforcedStyle: always
+
+# Method length and complexity
+Metrics/MethodLength:
+  Max: 30
+
+Metrics/AbcSize:
+  Max: 30
+
+Metrics/CyclomaticComplexity:
+  Max: 15
+
+Metrics/PerceivedComplexity:
+  Max: 15
+
+Metrics/ParameterLists:
+  Max: 8
+
+# Class and module length
+Metrics/ClassLength:
+  Max: 300
+
+Metrics/ModuleLength:
+  Max: 300
+
+# Line length
+Layout/LineLength:
+  Max: 100
+  Exclude:
+    - 'spec/**/*'
+
+# Block length exception for specs
+Metrics/BlockLength:
+  Max: 30
+  Exclude:
+    - 'spec/**/*'
+
+# Naming conventions
+Naming/MethodParameterName:
+  MinNameLength: 1  # Allow single letter variables for mathematical formulas
+
+# Prefer compact module/class definitions
+Style/ClassAndModuleChildren:
+  Enabled: true
+  EnforcedStyle: nested
+
+# Discourage usage of globals
+Style/GlobalVars:
+  Enabled: true
+
+# Allow more descriptive module/class variable names
+Naming/ClassAndModuleCamelCase:
+  Enabled: true
+
+# Use snake_case for variables and methods
+Naming/VariableName:
+  EnforcedStyle: snake_case
+
+Naming/MethodName:
+  EnforcedStyle: snake_case
+
+# Parentheses for method definitions
+Style/DefWithParentheses:
+  Enabled: true
+
+# Method call with or without parentheses
+Style/MethodCallWithArgsParentheses:
+  Enabled: false
+
+# Raise exceptions with explicit new
+Style/RaiseArgs:
+  EnforcedStyle: exploded
+
+# Prefer the newer safe navigation operator
+Style/SafeNavigation:
+  Enabled: true
+
+# Trailing commas
+Style/TrailingCommaInArrayLiteral:
+  EnforcedStyleForMultiline: consistent_comma
+
+Style/TrailingCommaInHashLiteral:
+  EnforcedStyleForMultiline: consistent_comma
+
+# Prefer %i for symbol arrays
+Style/SymbolArray:
+  EnforcedStyle: percent
+  MinSize: 3
+
+# Prefer %w for word arrays
+Style/WordArray:
+  EnforcedStyle: percent
+  MinSize: 3
+
+# Prefer &&/|| over and/or
+Style/AndOr:
+  EnforcedStyle: always
+
+# Accessibility modifiers should be indented consistently
+Layout/AccessModifierIndentation:
+  EnforcedStyle: indent
+
+# Consistent empty lines
+Layout/EmptyLinesAroundClassBody:
+  EnforcedStyle: empty_lines
+
+Layout/EmptyLinesAroundModuleBody:
+  EnforcedStyle: empty_lines
+
+Layout/EmptyLinesAroundMethodBody:
+  EnforcedStyle: empty_lines

data/.yard/hooks/before_generate.rb

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+# frozen_string_literal: true
+
+YARD::Hooks.register_hook(:before_generate) do
+  # Ensure the images directory exists
+  FileUtils.mkdir_p('docs/images')
+  puts "✅ Created docs/images directory"
+end

data/.yardopts

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+--markup markdown
+--markup-provider redcarpet
+--title 'OptionLab Documentation'
+--readme README.md
+--protected
+--private
+--embed-mixins
+--asset docs/images:.
+--output-dir docs
+-
+LICENSE.txt

data/Gemfile

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+# frozen_string_literal: true
+
+source "https://rubygems.org"
+
+# Specify your gem's dependencies in option_lab.gemspec
+gemspec
+
+# Runtime dependencies - these are always installed
+gem "numo-narray", "~> 0.9.2"
+gem "numo-linalg", "~> 0.1.7"
+gem "distribution", "~> 0.8.0"
+gem "unicode_plot", "~> 0.0.5"
+gem "holidays", "~> 8.6.0"
+gem "prime"
+gem "bigdecimal"
+gem "matrix"
+
+# Development dependencies - only installed with `bundle install --with development`
+group :development do
+  gem "rake", "~> 13.0"
+  gem "rspec", "~> 3.12"
+  gem "rubocop-shopify", require: false
+  gem "solargraph", "~> 0.49.0"
+  gem "yard", "~> 0.9.34"
+  gem "redcarpet", "~> 3.6.1" # Markdown processor for YARD
+end

data/LICENSE.txt

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+The MIT License (MIT)
+
+Copyright (c) 2025 Your Name
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in
+all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN
+THE SOFTWARE.

data/README.md

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+# OptionLab
+
+OptionLab is a lightweight Ruby library designed to provide quick evaluation of options trading strategies.
+It aims to be a direct port of the popular Python library - [OptionLab](https://github.com/rgaveiga/optionlab)
+
+***docs page coming soon***
+[![Documentation](https://img.shields.io/badge/docs-YARD-blue.svg)](https://xjackk.github.io/option_lab/)
+
+## Features
+
+- Calculate profit/loss profiles for options strategies
+- Estimate probability of profit using Black-Scholes or custom models
+- Calculate option Greeks (Delta, Gamma, Theta, Vega, Rho)
+- Generate profit/loss diagrams
+- Support for complex multi-leg strategies
+- Handle stock positions and previously closed trades
+- Support for different dividend yield and interest rate scenarios
+- Business day calculations across different countries
+
+## Installation
+
+Add this line to your application's Gemfile:
+
+```ruby
+gem 'option_lab'
+```
+
+And then execute:
+
+```
+$ bundle install
+```
+
+Or install it yourself as:
+
+```
+$ gem install option_lab
+```
+
+## Requirements
+
+OptionLab requires:
+
+- Ruby 3.3.0 or higher
+- numo-narray gem for numerical computations
+- distribution gem for statistical calculations
+
+## Basic Usage
+
+The evaluation of a strategy is done by calling the `run_strategy` method provided by the library. This method receives the input data as a Ruby hash or an `Inputs` object.
+
+Here's an example of evaluating a naked call strategy:
+
+```ruby
+require 'option_lab'
+
+# Define the strategy
+input_data = {
+  stock_price: 164.04,
+  start_date: Date.new(2023, 11, 22),
+  target_date: Date.new(2023, 12, 17),
+  volatility: 0.272,
+  interest_rate: 0.0002,
+  min_stock: 120,
+  max_stock: 200,
+  strategy: [
+    {
+      type: "call",
+      strike: 175.0,
+      premium: 1.15,
+      n: 100,
+      action: "sell"
+    }
+  ]
+}
+
+# Run the strategy calculation
+outputs = OptionLab.run_strategy(input_data)
+
+# Export P/L data to CSV
+OptionLab.pl_to_csv(outputs, filename: "covered_call_pl.csv")
+```
+
+## Analyzing Results
+
+The `Outputs` object returned by `run_strategy` contains a wealth of information:
+
+```ruby
+# Key probability metrics
+probability_of_profit = outputs.probability_of_profit
+profit_ranges = outputs.profit_ranges
+expected_profit = outputs.expected_profit
+expected_loss = outputs.expected_loss
+
+# Strategy costs
+strategy_cost = outputs.strategy_cost
+per_leg_cost = outputs.per_leg_cost
+
+# Returns
+min_return = outputs.minimum_return_in_the_domain
+max_return = outputs.maximum_return_in_the_domain
+
+# Option Greeks
+delta = outputs.delta
+gamma = outputs.gamma
+theta = outputs.theta
+vega = outputs.vega
+rho = outputs.rho
+
+# Print all metrics
+puts outputs
+```
+
+## Contributing
+
+1. Fork it
+2. Create your feature branch (`git checkout -b my-new-feature`)
+3. Commit your changes (`git commit -am 'Add some feature'`)
+4. Push to the branch (`git push origin my-new-feature`)
+5. Create a new Pull Request
+
+## License
+
+The gem is available as open source under the terms of the [MIT License](https://opensource.org/licenses/MIT).
+
+# Plot the profit/loss diagram
+OptionLab.plot_pl(outputs)
+```
+
+## Common Strategies
+
+OptionLab supports all standard options strategies, including:
+
+- Covered calls
+- Naked puts
+- Bull/bear spreads
+- Straddles/strangles
+- Iron condors
+- Butterflies
+- Calendar spreads
+- And more...
+
+## Advanced Usage
+
+The library also allows for more advanced use cases, such as:
+
+```ruby
+# Create a custom distribution model
+bs_inputs = OptionLab::Models::BlackScholesModelInputs.new(
+  stock_price: 168.99,
+  volatility: 0.483,
+  interest_rate: 0.045,
+  years_to_target_date: 24.0 / 365
+)
+
+# Generate price array with 10,000 samples
+prices = OptionLab.create_price_array(bs_inputs, n: 10_000, seed: 42)
+
+# Run a strategy with the custom price array
+input_data = {
+  stock_price: 168.99,
+  volatility: 0.483,
+  interest_rate: 0.045,
+  min_stock: 120,
+  max_stock: 200,
+  model: "array",
+  array: prices,
+  strategy: [
+    { type: "stock", n: 100, action: "buy" },
+    {
+      type: "call",
+      strike: 185.0,
+      premium: 4.1,
+      n: 100,
+      action: "sell"
+    }
+  ]
+}
+
+outputs = OptionLab.run_strategy(input_data)

data/Rakefile

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+# frozen_string_literal: true
+
+require 'bundler/gem_tasks'
+require 'rspec/core/rake_task'
+
+RSpec::Core::RakeTask.new(:spec)
+
+require 'rubocop/rake_task'
+
+RuboCop::RakeTask.new
+
+task default: %i[spec rubocop]
+
+desc 'Run example script'
+task :example do
+  ruby 'examples/covered_call.rb'
+end
+
+desc 'Run benchmarks'
+task :benchmark do
+  ruby 'spec/benchmarks/benchmark.rb'
+end
+
+desc 'Generate documentation using YARD'
+task :doc do
+  sh 'mkdir -p docs/images'
+  sh 'yard doc lib/**/*.rb --output-dir docs'
+end
+
+desc 'Clean temporary files and build artifacts'
+task :clean do
+  sh 'rm -rf *.gem *.rbc coverage .rspec docs doc'
+  sh 'rm -rf .bundle vendor Gemfile.lock'
+  sh 'rm -rf .yardoc log pkg tmp'
+end
+
+desc 'Open a console with the gem loaded'
+task :console do
+  require 'irb'
+  require 'irb/completion'
+  require 'option_lab'
+  ARGV.clear
+  IRB.start
+end