options_library 1.0.0
Sign up to get free protection for your applications and to get access to all the features.
- data/Manifest +5 -0
- data/Rakefile +12 -0
- data/lib/options_library/option_calculator.rb +125 -0
- data/lib/options_library.rb +5 -0
- data/options_library.gemspec +29 -0
- metadata +64 -0
data/Manifest
ADDED
data/Rakefile
ADDED
@@ -0,0 +1,12 @@
|
|
1
|
+
require 'rubygems'
|
2
|
+
require 'rake'
|
3
|
+
require 'echoe'
|
4
|
+
|
5
|
+
Echoe.new('options_library', '1.0.0') do |p|
|
6
|
+
p.description = 'A gem used to calc the price of an option.'
|
7
|
+
p.url = 'http://github.com/codertrader/options_library'
|
8
|
+
p.author = 'Dan Tylenda-Emmons'
|
9
|
+
p.email = 'jrubyist@gmail.com'
|
10
|
+
p.ignore_pattern = ["tmp/*", "script/*"]
|
11
|
+
p.development_dependencies = []
|
12
|
+
end
|
@@ -0,0 +1,125 @@
|
|
1
|
+
# Author Dan Tylenda-Emmons
|
2
|
+
# Since Feb 13, 2011
|
3
|
+
# Based on Black-Scholes forumla for pricing options
|
4
|
+
|
5
|
+
module Option
|
6
|
+
class Calculator
|
7
|
+
class << self
|
8
|
+
|
9
|
+
include Math
|
10
|
+
|
11
|
+
# computes the call price sensitivity to a change in underlying price
|
12
|
+
def delta_call( underlying, strike, time, interest, sigma, dividend )
|
13
|
+
norm_sdist( d_one( underlying, strike, time, interest, sigma, dividend ) )
|
14
|
+
end
|
15
|
+
|
16
|
+
# computes the put price sensitivity to a change in underlying price
|
17
|
+
def delta_put( underlying, strike, time, interest, sigma, dividend )
|
18
|
+
call_delta( underlying, strike, time, interest, sigma, dividend ) - 1
|
19
|
+
end
|
20
|
+
|
21
|
+
# computes the option price sensitivity to a change in delta
|
22
|
+
def gamma( underlying, strike, time, interest, sigma, dividend )
|
23
|
+
phi( d_one( underlying, strike, time, interest, sigma, dividend ) ) / ( underlying * sigma * sqrt(time) )
|
24
|
+
end
|
25
|
+
|
26
|
+
# computes the option price sensitivity to a change in volatility
|
27
|
+
def vega( underlying, strike, time, interest, sigma, dividend )
|
28
|
+
0.01 * underlying * sqrt(time) * phi(d_one(underlying, strike, time, interest, sigma, dividend))
|
29
|
+
end
|
30
|
+
|
31
|
+
# computes the fair value of the call based on the knowns and assumed volatility (sigma)
|
32
|
+
def price_call( underlying, strike, time, interest, sigma, dividend )
|
33
|
+
d1 = d_one( underlying, strike, time, interest, sigma, dividend )
|
34
|
+
discounted_underlying = exp(-1.0 * dividend * time) * underlying
|
35
|
+
probability_weighted_value_of_being_exercised = discounted_underlying * norm_sdist( d1 )
|
36
|
+
|
37
|
+
d2 = d1 - ( sigma * sqrt(time) )
|
38
|
+
discounted_strike = exp(-1.0 * interest * time) * strike
|
39
|
+
probability_weighted_value_of_discounted_strike = discounted_strike * norm_sdist( d2 )
|
40
|
+
|
41
|
+
expected_value = probability_weighted_value_of_being_exercised - probability_weighted_value_of_discounted_strike
|
42
|
+
end
|
43
|
+
|
44
|
+
# computes the fair value of the put based on the knowns and assumed volatility (sigma)
|
45
|
+
def price_put( underlying, strike, time, interest, sigma, dividend )
|
46
|
+
d2 = d_two( underlying, strike, time, interest, sigma, dividend )
|
47
|
+
discounted_strike = strike * exp(-1.0 * interest * time)
|
48
|
+
probabiltity_weighted_value_of_discounted_strike = discounted_strike * norm_sdist( -1.0 * d2 )
|
49
|
+
|
50
|
+
d1 = d2 + ( sigma * sqrt(time) )
|
51
|
+
discounted_underlying = underlying * exp(-1.0 * dividend * time)
|
52
|
+
probability_weighted_value_of_being_exercised = discounted_underlying * norm_sdist( -1.0 * d1 )
|
53
|
+
|
54
|
+
expected_value = probabiltity_weighted_value_of_discounted_strike - probability_weighted_value_of_being_exercised
|
55
|
+
end
|
56
|
+
|
57
|
+
# finds the implied volatility based on the target_price passed in.
|
58
|
+
def implied_vol_call( underlying, strike, time, interest, target_price, dividend )
|
59
|
+
low, high = 0, 5
|
60
|
+
|
61
|
+
while( high - low > 0.0001 )
|
62
|
+
if( call_option( underlying, strike, time, interest, (high+low)/2.0, dividend ) > target_price )
|
63
|
+
high = (high + low) / 2.0
|
64
|
+
else
|
65
|
+
low = (high + low) / 2.0
|
66
|
+
end
|
67
|
+
end
|
68
|
+
|
69
|
+
(high + low) / 2.0
|
70
|
+
end
|
71
|
+
|
72
|
+
# finds the implied volatility based on the target_price passed in.
|
73
|
+
def implied_vol_put( underlying, strike, time, interest, target_price, dividend )
|
74
|
+
low, high = 0, 5
|
75
|
+
|
76
|
+
while( high - low > 0.0001 )
|
77
|
+
if( put_option( underlying, strike, time, interest, (high+low)/2.0, dividend ) > target_price )
|
78
|
+
high = (high + low) / 2.0
|
79
|
+
else
|
80
|
+
low = (high + low) / 2.0
|
81
|
+
end
|
82
|
+
end
|
83
|
+
|
84
|
+
(high + low) / 2.0
|
85
|
+
end
|
86
|
+
|
87
|
+
# probability of being exercised at maturity (must be greater than d2 by (sigma*sqrt(time)) if exercised)
|
88
|
+
def d_one( underlying, strike, time, interest, sigma, dividend )
|
89
|
+
numerator = ( log(underlying / strike) + (interest - dividend + 0.5 * sigma ** 2.0 ) * time)
|
90
|
+
denominator = ( sigma * sqrt(time) )
|
91
|
+
numerator / denominator
|
92
|
+
end
|
93
|
+
|
94
|
+
# probability of underlying reaching the strike price (must be smaller than d1 by (sigma*sqrt(time)) if exercised.
|
95
|
+
def d_two( underlying, strike, time, interest, sigma, dividend )
|
96
|
+
d_one( underlying, strike, time, interest, sigma, dividend ) - ( sigma * sqrt(time) )
|
97
|
+
end
|
98
|
+
|
99
|
+
# Normal Standard Distribution
|
100
|
+
# using Taylor's approximation
|
101
|
+
def norm_sdist( z )
|
102
|
+
return 0.0 if z < -8.0
|
103
|
+
return 1.0 if z > +8.0
|
104
|
+
|
105
|
+
i, sum, term = 3.0, 0.0, z
|
106
|
+
|
107
|
+
while( sum + term != sum )
|
108
|
+
sum = sum + term
|
109
|
+
term = term * z * z / i
|
110
|
+
i += 2.0
|
111
|
+
end
|
112
|
+
|
113
|
+
0.5 + sum * phi(z)
|
114
|
+
end
|
115
|
+
|
116
|
+
# Standard Gaussian pdf
|
117
|
+
def phi(x)
|
118
|
+
numerator = exp(-1.0 * x*x / 2.0)
|
119
|
+
denominator = sqrt(2.0 * PI)
|
120
|
+
numerator / denominator
|
121
|
+
end
|
122
|
+
|
123
|
+
end
|
124
|
+
end
|
125
|
+
end
|
@@ -0,0 +1,29 @@
|
|
1
|
+
# -*- encoding: utf-8 -*-
|
2
|
+
|
3
|
+
Gem::Specification.new do |s|
|
4
|
+
s.name = %q{options_library}
|
5
|
+
s.version = "1.0.0"
|
6
|
+
|
7
|
+
s.required_rubygems_version = Gem::Requirement.new(">= 1.2") if s.respond_to? :required_rubygems_version=
|
8
|
+
s.authors = ["Dan Tylenda-Emmons"]
|
9
|
+
s.date = %q{2011-02-13}
|
10
|
+
s.description = %q{A gem used to calc the price of an option.}
|
11
|
+
s.email = %q{jrubyist@gmail.com}
|
12
|
+
s.extra_rdoc_files = ["lib/options_library.rb", "lib/options_library/option_calculator.rb"]
|
13
|
+
s.files = ["Rakefile", "lib/options_library.rb", "lib/options_library/option_calculator.rb", "options_library.gemspec", "Manifest"]
|
14
|
+
s.homepage = %q{http://github.com/codertrader/options_library}
|
15
|
+
s.rdoc_options = ["--line-numbers", "--inline-source", "--title", "Options_library"]
|
16
|
+
s.require_paths = ["lib"]
|
17
|
+
s.rubyforge_project = %q{options_library}
|
18
|
+
s.rubygems_version = %q{1.5.2}
|
19
|
+
s.summary = %q{A gem used to calc the price of an option.}
|
20
|
+
|
21
|
+
if s.respond_to? :specification_version then
|
22
|
+
s.specification_version = 3
|
23
|
+
|
24
|
+
if Gem::Version.new(Gem::VERSION) >= Gem::Version.new('1.2.0') then
|
25
|
+
else
|
26
|
+
end
|
27
|
+
else
|
28
|
+
end
|
29
|
+
end
|
metadata
ADDED
@@ -0,0 +1,64 @@
|
|
1
|
+
--- !ruby/object:Gem::Specification
|
2
|
+
name: options_library
|
3
|
+
version: !ruby/object:Gem::Version
|
4
|
+
prerelease:
|
5
|
+
version: 1.0.0
|
6
|
+
platform: ruby
|
7
|
+
authors:
|
8
|
+
- Dan Tylenda-Emmons
|
9
|
+
autorequire:
|
10
|
+
bindir: bin
|
11
|
+
cert_chain: []
|
12
|
+
|
13
|
+
date: 2011-02-13 00:00:00 -06:00
|
14
|
+
default_executable:
|
15
|
+
dependencies: []
|
16
|
+
|
17
|
+
description: A gem used to calc the price of an option.
|
18
|
+
email: jrubyist@gmail.com
|
19
|
+
executables: []
|
20
|
+
|
21
|
+
extensions: []
|
22
|
+
|
23
|
+
extra_rdoc_files:
|
24
|
+
- lib/options_library.rb
|
25
|
+
- lib/options_library/option_calculator.rb
|
26
|
+
files:
|
27
|
+
- Rakefile
|
28
|
+
- lib/options_library.rb
|
29
|
+
- lib/options_library/option_calculator.rb
|
30
|
+
- options_library.gemspec
|
31
|
+
- Manifest
|
32
|
+
has_rdoc: true
|
33
|
+
homepage: http://github.com/codertrader/options_library
|
34
|
+
licenses: []
|
35
|
+
|
36
|
+
post_install_message:
|
37
|
+
rdoc_options:
|
38
|
+
- --line-numbers
|
39
|
+
- --inline-source
|
40
|
+
- --title
|
41
|
+
- Options_library
|
42
|
+
require_paths:
|
43
|
+
- lib
|
44
|
+
required_ruby_version: !ruby/object:Gem::Requirement
|
45
|
+
none: false
|
46
|
+
requirements:
|
47
|
+
- - ">="
|
48
|
+
- !ruby/object:Gem::Version
|
49
|
+
version: "0"
|
50
|
+
required_rubygems_version: !ruby/object:Gem::Requirement
|
51
|
+
none: false
|
52
|
+
requirements:
|
53
|
+
- - ">="
|
54
|
+
- !ruby/object:Gem::Version
|
55
|
+
version: "1.2"
|
56
|
+
requirements: []
|
57
|
+
|
58
|
+
rubyforge_project: options_library
|
59
|
+
rubygems_version: 1.5.2
|
60
|
+
signing_key:
|
61
|
+
specification_version: 3
|
62
|
+
summary: A gem used to calc the price of an option.
|
63
|
+
test_files: []
|
64
|
+
|