penfold 1.0.0

data/.autotest

@@ -0,0 +1,23 @@
+# -*- ruby -*-
+
+require 'autotest/restart'
+
+# Autotest.add_hook :initialize do |at|
+#   at.extra_files << "../some/external/dependency.rb"
+#
+#   at.libs << ":../some/external"
+#
+#   at.add_exception 'vendor'
+#
+#   at.add_mapping(/dependency.rb/) do |f, _|
+#     at.files_matching(/test_.*rb$/)
+#   end
+#
+#   %w(TestA TestB).each do |klass|
+#     at.extra_class_map[klass] = "test/test_misc.rb"
+#   end
+# end
+
+# Autotest.add_hook :run_command do |at|
+#   system "rake build"
+# end

data/History.txt

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+=== 1.0.0 / 2010-07-22
+
+* 1 major enhancement
+
+  * Birthday!
+

data/Manifest.txt

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+.autotest
+History.txt
+Manifest.txt
+README.rdoc
+Rakefile
+bin/penfold
+bin/penfold-position
+bin/penfold-try
+lib/argument_processor.rb
+lib/commission.rb
+lib/core_ext.rb
+lib/covered_call_early_exit.rb
+lib/covered_call_exit.rb
+lib/covered_call_expiry_itm_exit.rb
+lib/covered_call_expiry_otm_exit.rb
+lib/covered_call_position.rb
+lib/market.rb
+lib/option.rb
+lib/penfold.rb
+lib/stock.rb
+portfolio.yml
+test/test_penfold.rb

data/README.rdoc

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+= penfold
+
+http://github.com/aasmith/penfold
+
+== DESCRIPTION
+
+Penfold is an assistant for screening potentital and tracking current 
+covered call positions.
+
+== FEATURES
+
+* Reports on the current profitability of a current position.
+* Shows the potential profitability of hypothetical positions.
+
+== TODO
+
+ * Add portfolio read/write frontend.
+ * Allow penfold-try to use a default ITM strike price.
+ * Some arguments to penfold-try are incomplete.
+ * Make commission class more flexible.
+
+== USAGE
+
+  Usage: penfold [position|try|show|list|add|remove] [options]
+  
+=== Position 
+
+Reports on a current position.
+
+  Usage: penfold position [[-n NAME|-A] exit options]
+  
+  Position options:
+      -n, --name NAME                  Name of position in portfolio
+      -A, --all                        Use all positions in portfolio
+  
+  Exit options:
+      -s, --exit-stock-price PRICE     Stock price to exit at
+      -o, --exit-option-price PRICE    Option price to exit at
+      -e, --exit-days DAYS             Exit in n DAYS (default 0)
+      -E, --expires                    Hold position until expiry
+  
+  Common options:
+      -c, --commission=NAME            Commission fees to apply
+      -h, --help                       Show this message
+      -v, --verbose
+  
+=== Try
+
+Tries out a hypothetical position.
+
+  Usage: penfold try [[[ticker options] entry options] exit options]
+  
+  Ticker options:
+      -t, --ticker=SYMBOL              Stock ticker SYMBOL to try
+      -n, --num-shares=NUM             Number of shares in position
+      -d, --option-date=DATE           Expiry DATE of option contract
+      -x, --option-strike=PRICE        Option strike PRICE
+  
+  Entry options:
+      -s, --entry-stock-price=PRICE    Stock PRICE to enter at
+      -o, --entry-option-price=PRICE   Option PRICE to enter at
+  
+  Exit options:
+      -S, --exit-stock-price=PRICE     Stock PRICE to exit at
+      -O, --exit-option-price=PRICE    Option PRICE to exit at
+      -e, --exit-days=DAYS             Exit in n DAYS (default expiry)
+      -E, --expires                    Hold position until expiry
+  
+  Common options:
+      -c, --commission=NAME            Commission fees to apply
+      -L, --last                       Use last price instead of bid/ask for stock pricing
+      -h, --help                       Show this message
+      -v, --verbose
+  
+
+== EXAMPLES
+
+  # Commands for checking a current position
+  
+  # check the profit of a position, using current market pricing
+  # assuming an immediate exit
+  
+  penfold position --name=example
+  
+  # check the profit of a position, using a hypothetical exit price,
+  # assuming an exit 3 days from now
+  
+  penfold position 
+          --name=example
+          --exit-stock-price=4.56
+          --exit-option-price=0.52
+          --exit-days=3
+  
+  # check the profit of a position, using current market pricing
+  # assuming the expiry of the contract
+  
+  penfold position --name=example --expires
+  
+  
+  # Commands for checking a potentital position
+  
+  # check the profit of stock XYZ, with an August 2010 option with $4 strike,
+  # using current market pricing and assuming an expiry of the contract
+  
+  penfold try --stock=XYZ --num-shares=1000 --option-date=100821 --option-strike=4
+  
+  # check the profit of stock XYZ with an August 2010 option with $4 strike,
+  # using provided entry pricing and assuming an exit in 5 days with provided
+  # exit pricing
+  
+  penfold try 
+          --stock=XYZ --num-shares=1000 --option-date=100821 --option-strike=4
+          --stock-entry-price=4.25 --option-entry-price=0.35
+          --exit-days=5 --stock-exit-price=4.51 --option-exit-price=0.39
+  
+  
+  # Batch position checks
+  
+  # Show all positions assuming expiry with current market prices
+  penfold position --all --expires
+  
+  # Show all positions assuming immediate exit with current market prices
+  penfold position --all 
+  
+  
+  # Portfolio commands
+  
+  # List current portfolio positions
+  
+  penfold [show|list]
+  
+  penfold add example 
+              --stock=XYZ --num-shares=1000 --option-date=100821 --option-strike=4
+              --stock-entry-price=4.5 --option-entry-price=0.34
+  
+  penfold remove example
+  
+  penfold rename example new_example
+
+
+== REQUIREMENTS
+
+ * nokogiri, if fetching quotes
+
+== LICENSE
+
+Copyright (c) 2010 Andrew A. Smith
+
+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/Rakefile

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+# -*- ruby -*-
+
+require 'rubygems'
+require 'hoe'
+
+Hoe.spec 'penfold' do |p|
+  p.developer('Andrew A. Smith', 'andy@tinnedfruit.org')
+  p.readme_file = "README.rdoc"
+end
+
+Hoe.add_include_dirs '.'
+
+# vim: syntax=Ruby

data/bin/penfold

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+#!/usr/bin/env ruby
+
+require 'abbrev'
+
+names = %w(position try show list add remove)
+
+name = names.abbrev[ARGV.first]
+
+if name
+  exec "#{__FILE__}-#{name}", *ARGV
+else
+  abort "Usage: penfold [#{names.join("|")}] [options]"
+end
+

data/bin/penfold-position

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+#!/usr/bin/env ruby
+
+require 'optparse'
+require 'yaml'
+
+LIB_DIR = File.expand_path(File.join(File.dirname(__FILE__), '..', 'lib'))
+$LOAD_PATH << LIB_DIR
+
+require 'lib/penfold'
+
+class Parser
+  Options = Struct.new(
+    :portfolio, :all, :name, :exit_stock_price, :exit_option_price, :days, :commission, :last
+  )
+
+  def self.parse(args)
+    options = Options.new
+    options.portfolio = "portfolio.yml"
+    options.days = 0
+
+    parser = OptionParser.new do |o|
+
+      o.banner = "Usage: penfold position [[-n NAME|-A] exit options]"
+
+      o.separator ""
+      o.separator "Position options:"
+
+      o.on("-n", "--name NAME", "Name of position in portfolio", /\w+/) do |name|
+        options.name = name
+      end
+
+      o.on("-A", "--all", "Use all positions in portfolio") do
+        options.all = true
+      end
+
+      o.separator ""
+      o.separator "Exit options:"
+
+      o.on("-s", "--exit-stock-price PRICE", "Stock price to exit at", Float) do |price|
+        options.exit_stock_price = price * 100
+      end
+
+      o.on("-o", "--exit-option-price PRICE", "Option price to exit at", Float) do |price|
+        options.exit_option_price = price * 100
+      end
+
+      o.on("-e", "--exit-days DAYS", "Exit in n DAYS (default 0)", Integer) do |days|
+        options.days = days
+      end
+
+      o.on("-E", "--expires", "Hold position until expiry") do
+        options.days = 999999
+      end
+
+      o.separator ""
+      o.separator "Common options:"
+
+      o.on("-c", "--commission=NAME", "Commission fees to apply", /\w+/) do |name|
+        options.commission = Commission.const_get(name)
+      end
+      
+      o.on("-L", "--last", "Use last price instead of bid/ask for ",
+                           "stock pricing. Best used when the market ",
+                           "is closed.") do
+        options.last = true
+      end
+
+      o.on_tail("-h", "--help", "Show this message") do
+        puts o
+        exit
+      end
+      
+      o.on_tail("-v", "--verbose") do
+        $VERBOSE = true
+      end
+    end
+
+    parser.parse!(args)
+    options
+  end
+end
+
+options = Parser.parse(ARGV) rescue abort($!.message)
+
+portfolio = YAML.load(File.read(options.portfolio))
+
+positions = if options.all or options.name.nil?
+  portfolio
+else
+  [[options.name, YAML.load(File.read(options.portfolio))[options.name]]]
+end
+
+positions.each do |position_name, position|
+  position.commission = options.commission if options.commission
+
+  begin
+    exit_option_price = 
+      options.exit_option_price || 
+        Market.fetch(position.option.to_ticker_s).ask
+
+    exit_stock_price  = 
+      options.exit_stock_price || 
+        Market.fetch(position.stock.symbol.upcase).
+          send(options.last ? :last : :bid)
+
+  rescue => e
+    puts e if $VERBOSE
+    puts "Unable to fetch data for position #{position_name}, skipping"
+    next
+  end
+
+  closing_position = CoveredCallExit.new(
+    :opening_position => position,
+    :exit_date => Date.today + options.days,
+    :stock_price => exit_stock_price,
+    :option_price => exit_option_price
+  )
+
+  output = <<EOT
+Position: %s
+Entry: %s @ %s, %s @ %s [spread %s]
+       IV %.2f%%     Probability (Max) Profit (%.2f%%) %.2f%%
+
+    Stock Total %s  (inc %s comm)
+  -   Call Sale %s  (inc %s comm)
+  =  Net Outlay %s  (%s per share)
+
+ Downside Protection: %s
+
+Exit: %s @ %s, %s @ %s on %s [spread %s]
+
+  #{closing_position.explain.chomp}
+
+     Period Return: %s
+ Annualized Return: %s
+  Days in Position: %s
+
+EOT
+
+  puts output % [
+    (position_name + " ").ljust(70, "="),
+    position.option,
+    position.option.price.to_money_s,
+    position.stock.symbol,
+    position.stock.price.to_money_s,
+    (position.stock.price - position.option.price).to_money_s,
+
+    position.implied_volatility * 100,
+    position.probability_max_profit * 100,
+    position.probability_profit * 100,
+
+    position.stock_total.to_money_s.rjust(12),
+    position.commission.stock_entry.to_money_s,
+    position.call_sale.to_money_s.rjust(12),
+    position.commission.option_entry.to_money_s,
+    position.net_outlay.to_money_s.rjust(12),
+    position.net_per_share.to_money_s,
+
+    position.downside_protection.to_percent_s,
+
+    closing_position.option,
+    closing_position.option.price.to_money_s,
+    closing_position.stock.symbol,
+    closing_position.stock.price.to_money_s,
+    closing_position.exit_date,
+    (closing_position.stock.price - closing_position.option.price).to_money_s,
+
+    closing_position.period_return.to_percent_s,
+    closing_position.annualized_return.to_percent_s,
+    closing_position.days_in_position
+  ]
+
+end

data/bin/penfold-try

@@ -0,0 +1,184 @@
+#!/usr/bin/env ruby
+
+require 'optparse'
+require 'yaml'
+
+LIB_DIR = File.expand_path(File.join(File.dirname(__FILE__), '..', 'lib'))
+$LOAD_PATH << LIB_DIR
+
+require 'lib/penfold'
+
+class Parser
+  Options = Struct.new(
+    :symbol, :num_shares, :option_date, :option_strike,
+    :entry_stock_price, :entry_option_price, 
+    :exit_stock_price, :exit_option_price, :days,
+    :commission, :last
+  )
+
+  def self.parse(args)
+    options = Options.new
+    options.days = 999999
+    options.commission = Commission::FREE
+
+    parser = OptionParser.new do |o|
+      o.banner = "Usage: penfold try [[[ticker options] entry options] exit options]"
+
+      o.separator ""
+      o.separator "Ticker options:"
+
+      o.on("-t", "--ticker=SYMBOL", "Stock ticker SYMBOL to try", /\w+/) do |symbol|
+        options.symbol = symbol
+      end
+
+      o.on("-n", "--num-shares=NUM", "Number of shares in position", Integer) do |num_shares|
+        options.num_shares = num_shares
+      end
+
+      o.on("-d", "--option-date=DATE", "Expiry DATE of option contract", Integer) do |date|
+        date = date.to_s
+        date = "20#{date}" unless date =~ /^20/
+
+        options.option_date = Date.parse(date)
+      end
+
+      o.on("-x", "--option-strike=PRICE", "Option strike PRICE", Float) do |price|
+        options.option_strike = price * 100
+      end
+
+      o.separator ""
+      o.separator "Entry options:"
+
+      o.on("-s", "--entry-stock-price=PRICE", "Stock PRICE to enter at", Float) do |price|
+        options.entry_stock_price = price * 100
+      end
+
+      o.on("-o", "--entry-option-price=PRICE", "Option PRICE to enter at", Float) do |price|
+        options.entry_option_price = price * 100
+      end
+
+      o.separator ""
+      o.separator "Exit options:"
+
+      o.on("-S", "--exit-stock-price=PRICE", "Stock PRICE to exit at", Float) do |price|
+        options.exit_stock_price = price * 100
+      end
+
+      o.on("-O", "--exit-option-price=PRICE", "Option PRICE to exit at", Float) do |price|
+        options.exit_option_price = price * 100
+      end
+
+      o.on("-e", "--exit-days=DAYS", "Exit in n DAYS (default expiry)", Integer) do |days|
+        options.days = days
+      end
+
+      o.on("-E", "--expires", "Hold position until expiry") do
+        options.days = 999999
+      end
+
+      o.separator ""
+      o.separator "Common options:"
+
+      o.on("-c", "--commission=NAME", "Commission fees to apply", /\w+/) do |name|
+        options.commission = Commission.const_get(name)
+      end
+
+      o.on("-L", "--last", "Use last price instead of bid/ask for stock pricing") do
+        options.last = true
+      end
+
+      o.on_tail("-h", "--help", "Show this message") do
+        puts o
+        exit
+      end
+
+      o.on_tail("-v", "--verbose") do
+        $VERBOSE = true
+      end
+    end
+
+    parser.parse!(args)
+    options
+  end
+end
+
+options = Parser.parse(ARGV) rescue abort($!.message)
+
+unless options.symbol && options.num_shares && options.option_date && options.option_strike
+  abort "Must provide all of -t, -n, -d, -x"
+end
+
+options.entry_stock_price ||= Market.fetch(options.symbol).send(options.last ? :last : :ask)
+
+stock = Stock.new(
+  :symbol => options.symbol, 
+  :price => options.entry_stock_price
+)
+
+call = Call.new(
+  :stock => stock, 
+  :strike => options.option_strike, 
+  :expires => options.option_date
+)
+
+call.price = options.entry_option_price || Market.fetch(call.to_ticker_s).bid
+
+opening_position = CoveredCallPosition.new(
+  :num_shares => options.num_shares, 
+  :date_established => Date.today, 
+  :option => call, 
+  :commission => options.commission
+)
+
+closing_position = CoveredCallExit.new(
+  :opening_position => opening_position,
+  :exit_date => Date.today + options.days,
+  :stock_price => options.exit_stock_price || options.entry_stock_price,
+  :option_price => options.exit_option_price || options.entry_option_price
+)
+
+output = <<EOT
+Entry: %s @ %s, %s @ %s
+
+    Stock Total %s  (inc %s comm)
+  -   Call Sale %s  (inc %s comm)
+  =  Net Outlay %s  (%s per share)
+
+ Downside Protection: %s
+
+Exit: %s @ %s, %s @ %s on %s
+
+#{closing_position.explain.chomp}
+
+     Period Return: %s
+ Annualized Return: %s
+  Days in Position: %s
+
+EOT
+
+puts output % [
+  opening_position.option,
+  opening_position.option.price.to_money_s,
+  opening_position.stock.symbol,
+  opening_position.stock.price.to_money_s,
+  opening_position.stock_total.to_money_s.rjust(12),
+  opening_position.commission.stock_entry.to_money_s,
+  opening_position.call_sale.to_money_s.rjust(12),
+  opening_position.commission.total_option_entry(opening_position.num_shares).to_money_s,
+  opening_position.net_outlay.to_money_s.rjust(12),
+  opening_position.net_per_share.to_money_s,
+
+  opening_position.downside_protection.to_percent_s,
+
+  closing_position.option,
+  closing_position.option.price.to_money_s,
+  closing_position.stock.symbol,
+  closing_position.stock.price.to_money_s,
+  closing_position.exit_date,
+
+  closing_position.period_return.to_percent_s,
+  closing_position.annualized_return.to_percent_s,
+  closing_position.days_in_position
+]
+
+

data/lib/argument_processor.rb

@@ -0,0 +1,6 @@
+module ArgumentProcessor
+  def process_args(hash)
+    hash.each { |k,v| send(:"#{k}=", v) }
+  end
+end
+

data/lib/commission.rb

@@ -0,0 +1,44 @@
+class Commission
+  include ArgumentProcessor
+  
+  attr_accessor :shares, :contracts
+
+  def initialize(args = {})
+    if instance_of? Commission
+      raise ArgumentError, "Commission cannot be instantiated"
+    end
+
+    process_args(args)
+
+    @shares ||= 0
+    @contracts ||= 0
+  end
+end
+
+class Commission::Free < Commission
+  def option_entry;      0 end
+  def stock_entry;       0 end
+  def option_assignment; 0 end
+end
+
+class Commission::OptionsHouse < Commission
+  def option_entry
+    contracts.zero? ? 0 : 8_50 + (contracts * 15)
+  end
+
+  def stock_entry
+    shares.zero? ? 0 : 2_95
+  end
+
+  def option_assignment
+    contracts.zero? ? 0 : 5_00
+  end
+end
+
+class Commission::OptionsHouseAlt < Commission::OptionsHouse
+  def option_entry
+    return 0 if contracts.zero?
+
+    contracts <= 5 ? 5_00 : contracts * 1_00
+  end
+end

data/lib/core_ext.rb

@@ -0,0 +1,32 @@
+require 'date'
+
+class Date
+  undef inspect
+  def inspect
+    "#<Date: #{strftime("%c")}>"
+  end
+end
+
+class String
+  def commify
+    reverse.gsub(/(\d\d\d)(?=\d)(?!\d*\.)/, '\1,').reverse
+  end
+end
+
+class Numeric
+  def to_money_s
+    ("$%g" % (self / 100.0)).commify.sub(/\.(\d)\Z/, '.\10')
+  end
+
+  def to_percent_s(p = nil)
+    (p ? "%.#{p}f%%" : "%g%%") % (self * 100)
+  end
+end
+
+class Array
+  def in_groups_of(n)
+    raise ArgumentError, "Data is not in multiples of #{n}" unless size % n == 0
+    
+    inject([[]]) { |a,e| (a.last.size == n) ? (a << [e]) : (a.last << e);  a }
+  end
+end