options_library 1.0.0

data/Manifest

@@ -0,0 +1,5 @@
+Rakefile
+lib/options_library.rb
+lib/options_library/option_calculator.rb
+options_library.gemspec
+Manifest

data/Rakefile

@@ -0,0 +1,12 @@
+require 'rubygems'
+require 'rake'
+require 'echoe'
+
+Echoe.new('options_library', '1.0.0') do |p|
+  p.description = 'A gem used to calc the price of an option.'
+  p.url = 'http://github.com/codertrader/options_library'
+  p.author = 'Dan Tylenda-Emmons'
+  p.email = 'jrubyist@gmail.com'
+  p.ignore_pattern = ["tmp/*", "script/*"]
+  p.development_dependencies = []
+end

data/lib/options_library/option_calculator.rb

@@ -0,0 +1,125 @@
+# Author Dan Tylenda-Emmons
+# Since Feb 13, 2011
+# Based on Black-Scholes forumla for pricing options
+
+module Option
+  class Calculator
+	class << self
+	
+	  include Math
+	
+	  # computes the call price sensitivity to a change in underlying price
+	  def delta_call( underlying, strike, time, interest, sigma, dividend )
+		norm_sdist( d_one( underlying, strike, time, interest, sigma, dividend ) )
+	  end
+
+	  # computes the put price sensitivity to a change in underlying price	
+	  def delta_put( underlying, strike, time, interest, sigma, dividend )
+		call_delta( underlying, strike, time, interest, sigma, dividend ) - 1
+	  end
+
+	  # computes the option price sensitivity to a change in delta	
+	  def gamma( underlying, strike, time, interest, sigma, dividend )
+		phi( d_one( underlying, strike, time, interest, sigma, dividend ) ) / ( underlying * sigma * sqrt(time) )
+	  end
+	
+	  # computes the option price sensitivity to a change in volatility
+	  def vega( underlying, strike, time, interest, sigma, dividend )
+		0.01 * underlying * sqrt(time) * phi(d_one(underlying, strike, time, interest, sigma, dividend))
+	  end
+	
+	  # computes the fair value of the call based on the knowns and assumed volatility (sigma)
+	  def price_call( underlying, strike, time, interest, sigma, dividend )
+		d1 = d_one( underlying, strike, time, interest, sigma, dividend )
+		discounted_underlying = exp(-1.0 * dividend * time) * underlying
+		probability_weighted_value_of_being_exercised = discounted_underlying * norm_sdist( d1 )
+						
+		d2 = d1 - ( sigma * sqrt(time) )
+		discounted_strike = exp(-1.0 * interest * time) * strike
+		probability_weighted_value_of_discounted_strike = discounted_strike * norm_sdist( d2 )
+		
+		expected_value = probability_weighted_value_of_being_exercised - probability_weighted_value_of_discounted_strike
+	  end
+	
+	  # computes the fair value of the put based on the knowns and assumed volatility (sigma)
+	  def price_put( underlying, strike, time, interest, sigma, dividend )
+		d2 = d_two( underlying, strike, time, interest, sigma, dividend )
+		discounted_strike = strike * exp(-1.0 * interest * time)
+		probabiltity_weighted_value_of_discounted_strike = discounted_strike * norm_sdist( -1.0 * d2 )
+		
+		d1 = d2 + ( sigma * sqrt(time) )
+		discounted_underlying = underlying * exp(-1.0 * dividend * time)
+		probability_weighted_value_of_being_exercised = discounted_underlying * norm_sdist( -1.0 * d1 )
+		
+		expected_value = probabiltity_weighted_value_of_discounted_strike - probability_weighted_value_of_being_exercised
+	  end
+	
+	  # finds the implied volatility based on the target_price passed in.
+	  def implied_vol_call( underlying, strike, time, interest, target_price, dividend )
+		low, high = 0, 5
+		
+		while( high - low > 0.0001 )
+			if( call_option( underlying, strike, time, interest, (high+low)/2.0, dividend ) > target_price )
+				high = (high + low) / 2.0
+			else
+				low = (high + low) / 2.0
+			end
+		end
+		
+		(high + low) / 2.0
+      end
+
+	  # finds the implied volatility based on the target_price passed in.
+	  def implied_vol_put( underlying, strike, time, interest, target_price, dividend )
+		low, high = 0, 5
+		
+		while( high - low > 0.0001 )
+			if( put_option( underlying, strike, time, interest, (high+low)/2.0, dividend ) > target_price )
+				high = (high + low) / 2.0
+			else
+				low = (high + low) / 2.0
+			end
+		end
+		
+		(high + low) / 2.0
+	  end
+	
+	  # probability of being exercised at maturity (must be greater than d2 by (sigma*sqrt(time)) if exercised)
+	  def d_one( underlying, strike, time, interest, sigma, dividend )
+		numerator = ( log(underlying / strike) + (interest - dividend + 0.5 * sigma ** 2.0 ) * time)
+		denominator = ( sigma * sqrt(time) )
+		numerator / denominator
+	  end
+	
+	  # probability of underlying reaching the strike price (must be smaller than d1 by (sigma*sqrt(time)) if exercised.
+	  def d_two( underlying, strike, time, interest, sigma, dividend ) 
+		d_one( underlying, strike, time, interest, sigma, dividend ) - ( sigma * sqrt(time) )
+	  end
+	
+	  # Normal Standard Distribution
+	  # using Taylor's approximation
+	  def norm_sdist( z )
+		return 0.0 if z < -8.0
+		return 1.0 if z > +8.0
+		
+		i, sum, term = 3.0, 0.0, z
+		
+		while( sum + term != sum )
+			sum = sum + term
+			term = term * z * z / i
+			i += 2.0
+		end
+		
+		0.5 + sum * phi(z)
+	  end
+	
+	  # Standard Gaussian pdf
+	  def phi(x)
+		numerator = exp(-1.0 * x*x / 2.0)
+		denominator = sqrt(2.0 * PI)
+		numerator / denominator
+	  end
+	
+	end
+  end
+end

data/lib/options_library.rb

@@ -0,0 +1,5 @@
+# Author Dan Tylenda-Emmons
+# Since Feb 13, 2011
+# Based on Black-Scholes forumla for pricing options
+
+require "options_library/option_calculator.rb"

data/options_library.gemspec

@@ -0,0 +1,29 @@
+# -*- encoding: utf-8 -*-
+
+Gem::Specification.new do |s|
+  s.name = %q{options_library}
+  s.version = "1.0.0"
+
+  s.required_rubygems_version = Gem::Requirement.new(">= 1.2") if s.respond_to? :required_rubygems_version=
+  s.authors = ["Dan Tylenda-Emmons"]
+  s.date = %q{2011-02-13}
+  s.description = %q{A gem used to calc the price of an option.}
+  s.email = %q{jrubyist@gmail.com}
+  s.extra_rdoc_files = ["lib/options_library.rb", "lib/options_library/option_calculator.rb"]
+  s.files = ["Rakefile", "lib/options_library.rb", "lib/options_library/option_calculator.rb", "options_library.gemspec", "Manifest"]
+  s.homepage = %q{http://github.com/codertrader/options_library}
+  s.rdoc_options = ["--line-numbers", "--inline-source", "--title", "Options_library"]
+  s.require_paths = ["lib"]
+  s.rubyforge_project = %q{options_library}
+  s.rubygems_version = %q{1.5.2}
+  s.summary = %q{A gem used to calc the price of an option.}
+
+  if s.respond_to? :specification_version then
+    s.specification_version = 3
+
+    if Gem::Version.new(Gem::VERSION) >= Gem::Version.new('1.2.0') then
+    else
+    end
+  else
+  end
+end

metadata

@@ -0,0 +1,64 @@
+--- !ruby/object:Gem::Specification 
+name: options_library
+version: !ruby/object:Gem::Version 
+  prerelease: 
+  version: 1.0.0
+platform: ruby
+authors: 
+  - Dan Tylenda-Emmons
+autorequire: 
+bindir: bin
+cert_chain: []
+
+date: 2011-02-13 00:00:00 -06:00
+default_executable: 
+dependencies: []
+
+description: A gem used to calc the price of an option.
+email: jrubyist@gmail.com
+executables: []
+
+extensions: []
+
+extra_rdoc_files: 
+  - lib/options_library.rb
+  - lib/options_library/option_calculator.rb
+files: 
+  - Rakefile
+  - lib/options_library.rb
+  - lib/options_library/option_calculator.rb
+  - options_library.gemspec
+  - Manifest
+has_rdoc: true
+homepage: http://github.com/codertrader/options_library
+licenses: []
+
+post_install_message: 
+rdoc_options: 
+  - --line-numbers
+  - --inline-source
+  - --title
+  - Options_library
+require_paths: 
+  - lib
+required_ruby_version: !ruby/object:Gem::Requirement 
+  none: false
+  requirements: 
+    - - ">="
+      - !ruby/object:Gem::Version 
+        version: "0"
+required_rubygems_version: !ruby/object:Gem::Requirement 
+  none: false
+  requirements: 
+    - - ">="
+      - !ruby/object:Gem::Version 
+        version: "1.2"
+requirements: []
+
+rubyforge_project: options_library
+rubygems_version: 1.5.2
+signing_key: 
+specification_version: 3
+summary: A gem used to calc the price of an option.
+test_files: []
+