options_library 1.0.2 → 1.0.3

data/Manifest

@@ -3,4 +3,8 @@ README.md
 Rakefile
 lib/options_library.rb
 lib/options_library/option_calculator.rb
+lib/options_library/option_call.rb
+lib/options_library/option_model.rb
+lib/options_library/option_put.rb
 options_library.gemspec
+options_library/options_library.iml

data/README.md

@@ -30,6 +30,22 @@ Usage
     require 'rubygems'
     require 'options_library'
 
+    call = Option::Call.new
+    call.underlying = 95.40  # spot price of the underlying
+    call.strike = 90.00  # strike price of option
+    call.time = 0.015 # time in years
+    call.interest = 0.01 # equates to 1% risk free interest
+    call.sigma = 0.4875  # equates to 48.75% volatility
+    call.dividend = 0.0  # no annual dividend yield
+   
+    price = call.calc_price # theoretical value of the option
+    delta = call.calc_delta # option price sensitivity to a change in underlying price
+    gamma = call.calc_gamma # option delta sensitivity to a change in underlying price
+    vega  = call.calc_vega  # option price sensitivity to a change in sigma (volatility)
+    
+    implied_vol = call.calc_implied_vol( 1.80 ) # implied volatility based on the target price 
+
+    # Or go straight at the Calculator methods
     # Option::Calculator.price_call( underlying, strike, time, interest, sigma, dividend )
     call_price = Option::Calculator.price_call( 94.5, 90.5, 0.015, 0.01, 0.4875, 0.0 ) 
 

data/Rakefile

@@ -2,7 +2,7 @@ require 'rubygems'
 require 'rake'
 require 'echoe'
 
-Echoe.new('options_library', '1.0.2') do |p|
+Echoe.new('options_library', '1.0.3') 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'

data/lib/options_library.rb

@@ -3,3 +3,6 @@
 # Based on Black-Scholes forumla for pricing options
 
 require "options_library/option_calculator.rb"
+require "options_library/option_model.rb"
+require "options_library/option_call.rb"
+require "options_library/option_put.rb"

data/lib/options_library/option_call.rb

@@ -0,0 +1,13 @@
+# Author Dan Tylenda-Emmons
+# Since Feb 18, 2011
+# Based on Black-Scholes forumla for pricing options
+
+module Option
+  class Call < Model
+
+    def initialize
+      super(:call)
+    end
+    
+  end
+end

data/lib/options_library/option_model.rb

@@ -0,0 +1,50 @@
+# Author Dan Tylenda-Emmons
+# Since Feb 18, 2011
+# Based on Black-Scholes forumla for pricing options
+
+module Option
+  class Model
+
+    # The two known option types, Call and Put
+    KNOWN_OPTION_TYPES = [:call, :put]
+
+    # A map to define methods to call based on option_type
+    CALC_PRICE_METHODS  = { :call=>Calculator.method('price_call'),       :put=>Calculator.method('price_put') }
+    CALC_DELTA_METHODS  = { :call=>Calculator.method('delta_call'),       :put=>Calculator.method('delta_put') }
+    IMPLIED_VOL_METHODS = { :call=>Calculator.method('implied_vol_call'), :put=>Calculator.method('implied_vol_put') }
+
+    attr_accessor :underlying, :strike, :time, :interest, :sigma, :dividend, :option_type
+
+    def initialize(option_type)
+      self.option_type = option_type
+      self.underlying = 0.0
+      self.strike = 0.0
+      self.time = 0.0
+      self.interest = 0.0
+      self.sigma = 0.0
+      self.dividend = 0.0
+      raise 'Unknown option_type' unless KNOWN_OPTION_TYPES.include?(option_type) 
+    end
+
+    def calc_price
+      CALC_PRICE_METHODS[option_type].call(underlying, strike, time, interest, sigma, dividend)
+    end
+
+    def calc_delta
+      CALC_DELTA_METHODS[option_type].call(underlying, strike, time, interest, sigma, dividend)
+    end
+
+    def calc_gamma
+      Calculator.gamma(underlying, strike, time, interest, sigma, dividend)
+    end
+
+    def calc_vega
+      Calculator.vega(underlying, strike, time, interest, sigma, dividend)
+    end
+
+    def calc_implied_vol(target_price)
+      IMPLIED_VOL_METHODS[option_type].call(underlying, strike, time, interest, target_price, dividend)
+    end
+
+  end
+end

data/lib/options_library/option_put.rb

@@ -0,0 +1,13 @@
+# Author Dan Tylenda-Emmons
+# Since Feb 18, 2011
+# Based on Black-Scholes forumla for pricing options
+
+module Option
+  class Put < Model
+
+    def initialize
+      super(:put)
+    end
+    
+  end
+end

data/options_library.gemspec

@@ -2,15 +2,15 @@
 
 Gem::Specification.new do |s|
   s.name = %q{options_library}
-  s.version = "1.0.2"
+  s.version = "1.0.3"
 
   s.required_rubygems_version = Gem::Requirement.new(">= 1.2") if s.respond_to? :required_rubygems_version=
   s.authors = ["Dan Tylenda-Emmons"]
-  s.date = %q{2011-02-16}
+  s.date = %q{2011-02-17}
   s.description = %q{A gem used to calc the price of an option.}
   s.email = %q{jrubyist@gmail.com}
-  s.extra_rdoc_files = ["README.md", "lib/options_library.rb", "lib/options_library/option_calculator.rb"]
-  s.files = ["Manifest", "README.md", "Rakefile", "lib/options_library.rb", "lib/options_library/option_calculator.rb", "options_library.gemspec"]
+  s.extra_rdoc_files = ["README.md", "lib/options_library.rb", "lib/options_library/option_calculator.rb", "lib/options_library/option_call.rb", "lib/options_library/option_model.rb", "lib/options_library/option_put.rb"]
+  s.files = ["Manifest", "README.md", "Rakefile", "lib/options_library.rb", "lib/options_library/option_calculator.rb", "lib/options_library/option_call.rb", "lib/options_library/option_model.rb", "lib/options_library/option_put.rb", "options_library.gemspec", "options_library/options_library.iml"]
   s.homepage = %q{http://github.com/codertrader/options_library}
   s.rdoc_options = ["--line-numbers", "--inline-source", "--title", "Options_library", "--main", "README.md"]
   s.require_paths = ["lib"]

data/options_library/options_library.iml

@@ -0,0 +1,10 @@
+<?xml version="1.0" encoding="UTF-8"?>
+<module type="RUBY_MODULE" version="4">
+  <component name="NewModuleRootManager" inherit-compiler-output="true">
+    <exclude-output />
+    <content url="file://$MODULE_DIR$/.." />
+    <orderEntry type="jdk" jdkName="JRuby SDK 1.6.0.RC1" jdkType="JRUBY_SDK" />
+    <orderEntry type="sourceFolder" forTests="false" />
+  </component>
+</module>
+

metadata

@@ -2,7 +2,7 @@
 name: options_library
 version: !ruby/object:Gem::Version 
   prerelease: 
-  version: 1.0.2
+  version: 1.0.3
 platform: ruby
 authors: 
   - Dan Tylenda-Emmons
@@ -10,7 +10,7 @@ autorequire:
 bindir: bin
 cert_chain: []
 
-date: 2011-02-16 00:00:00 -06:00
+date: 2011-02-17 00:00:00 -06:00
 default_executable: 
 dependencies: []
 
@@ -24,13 +24,20 @@ extra_rdoc_files:
   - README.md
   - lib/options_library.rb
   - lib/options_library/option_calculator.rb
+  - lib/options_library/option_call.rb
+  - lib/options_library/option_model.rb
+  - lib/options_library/option_put.rb
 files: 
   - Manifest
   - README.md
   - Rakefile
   - lib/options_library.rb
   - lib/options_library/option_calculator.rb
+  - lib/options_library/option_call.rb
+  - lib/options_library/option_model.rb
+  - lib/options_library/option_put.rb
   - options_library.gemspec
+  - options_library/options_library.iml
 has_rdoc: true
 homepage: http://github.com/codertrader/options_library
 licenses: []