penfold 1.0.0

data/lib/covered_call_early_exit.rb

@@ -0,0 +1,26 @@
+module CoveredCallEarlyExit
+  def proceeds
+    stock_sale - option_sale
+  end
+
+  def explain
+    template = <<-EOT
+    Early Exit
+      Stock Sale %s
+  - Call Buyback %s
+  = Net Proceeds %s (%s per share)
+  -   Net Outlay %s
+  =       Profit %s
+    EOT
+
+    template % [
+      stock_sale.to_money_s.rjust(12), 
+      option_sale.to_money_s.rjust(12), 
+      proceeds.to_money_s.rjust(12), 
+      proceeds_per_share.to_money_s, 
+      opening_position.net_outlay.to_money_s.rjust(12), 
+      profit.to_money_s.rjust(12)
+    ]
+  end
+end
+

data/lib/covered_call_exit.rb

@@ -0,0 +1,82 @@
+class CoveredCallExit
+  include ArgumentProcessor
+
+  attr_reader :opening_position, :option
+
+  def initialize(args = {})
+    @opening_position = args[:opening_position]
+
+    @option = opening_position.option.dup
+    @option.stock = opening_position.stock.dup
+
+    stock.price = args[:stock_price] if args[:stock_price]
+    option.price = args[:option_price] if args[:option_price]
+    option.current_date = args[:exit_date] if args[:exit_date]
+
+    raise ArgumentError, "Stock does not match" unless stock == opening_position.stock
+    raise ArgumentError, "Option does not match" unless option == opening_position.option
+
+    extend exit_type
+  end
+
+  def exit_type
+    if    option.expired? and option.in_the_money?  then CoveredCallExpiryItmExit
+    elsif option.expired? and option.out_the_money? then CoveredCallExpiryOtmExit
+    else                                                 CoveredCallEarlyExit
+    end
+  end
+
+  def days_in_position
+    ([option.expires, option.current_date].min - opening_position.date_established).to_i
+  end
+
+  def annualized_return
+    #(1 + period_return) ** (1 / (opening_position.option.days_to_expiry/365.0)) - 1
+    (1 + period_return) ** (1 / (days_in_position/365.0)) - 1
+  end
+
+  def period_return
+    profit / opening_position.net_outlay.to_f
+  end
+
+  def profit
+    proceeds - opening_position.net_outlay
+  end
+
+  def proceeds
+    raise NotImplementedError
+  end
+
+  def proceeds_per_share
+    proceeds / num_shares
+  end
+
+  def stock
+    option.stock
+  end
+
+  def commission
+    opening_position.commission
+  end
+
+  def num_shares
+    opening_position.num_shares
+  end
+
+  def exit_date
+    opening_position.date_established + days_in_position
+  end
+
+  def exercise
+    (num_shares * option.strike) - commission.option_assignment
+  end
+
+  def stock_sale
+    (num_shares * stock.price) - commission.stock_entry
+  end
+
+  def option_sale
+    (num_shares * option.price) - commission.option_entry
+  end
+end
+

data/lib/covered_call_expiry_itm_exit.rb

@@ -0,0 +1,26 @@
+module CoveredCallExpiryItmExit
+  def proceeds
+    exercise
+  end
+
+  def explain
+    template = <<-EOT
+    Call Expires ITM
+           Exercise %s (inc %s Assignment Fee)
+  =    Net Proceeds %s (%s per share)
+  -      Net Outlay %s
+  =          Profit %s
+
+    EOT
+
+    template % [
+      exercise.to_money_s.rjust(12), 
+      commission.option_assignment.to_money_s,
+      proceeds.to_money_s.rjust(12), 
+      proceeds_per_share.to_money_s, 
+      opening_position.net_outlay.to_money_s.rjust(12), 
+      profit.to_money_s.rjust(12)
+    ]
+  end
+end
+

data/lib/covered_call_expiry_otm_exit.rb

@@ -0,0 +1,24 @@
+module CoveredCallExpiryOtmExit
+  def proceeds
+    stock_sale
+  end
+
+  def explain
+    template = <<-EOT
+    Call Expires OTM
+    Stock Sale %s (%s per share)
+  - Net Outlay %s
+  =     Profit %s
+
+
+    EOT
+
+    template % [
+      stock_sale.to_money_s.rjust(12), 
+      proceeds_per_share.to_money_s, 
+      opening_position.net_outlay.to_money_s.rjust(12), 
+      profit.to_money_s.rjust(12)
+    ]
+  end
+end
+

data/lib/covered_call_position.rb

@@ -0,0 +1,86 @@
+class CoveredCallPosition
+  include ArgumentProcessor
+
+  attr_accessor :num_shares, :date_established, :option
+
+  def initialize(args = {})
+    process_args(args)
+  end
+
+  def commission=(name)
+    @commission = name.to_s
+  end
+
+  def commission
+    @commission_instance ||= Commission.const_get(@commission).new(
+      :shares => num_shares, :contracts => num_shares / 100
+    )
+  end
+
+  undef num_shares=
+  def num_shares=(num)
+    raise ArgumentError, "Shares must be assigned in lots of 100." unless num % 100 == 0
+    @num_shares = num
+  end
+
+  def stock_total
+    num_shares * stock.price + commission.stock_entry
+  end
+
+  def call_sale
+    num_shares * option.price - commission.option_entry
+  end
+
+  def net_outlay
+    stock_total - call_sale
+  end
+
+  def net_per_share
+    net_outlay.to_f / num_shares
+  end
+
+  def downside_protection
+    (net_per_share.to_f - stock.price) / stock.price
+  end
+
+  def stock
+    option.stock
+  end
+
+  def implied_volatility
+    @iv ||= BlackScholes.call_iv(
+      stock.price / 100.0, 
+      option.strike / 100.0, 
+      0.27, # TODO: risk-free rate
+      option.days_to_expiry(date_established),
+      option.price / 100.0
+    )
+  end
+
+  def probability_max_profit
+    BlackScholes.probability_above(
+      stock.price / 100.0,
+      option.strike / 100.0,
+      option.days_to_expiry(date_established),
+      implied_volatility
+    )
+  end
+
+  def probability_profit
+    BlackScholes.probability_above(
+      stock.price / 100.0,
+      net_per_share / 100.0,
+      option.days_to_expiry(date_established),
+      implied_volatility
+    )
+  end
+
+#  def exit(exit_date = Date.today + 1, stock_price = stock.price)
+#    CoveredCallExit.new(
+#      :opening_position => self,
+#      :stock_price => stock_price,
+#      :exit_date => exit_date
+#    )
+#  end
+end
+

data/lib/market.rb

@@ -0,0 +1,254 @@
+require 'rubygems'
+require 'nokogiri'
+require 'open-uri'
+require 'date'
+require 'cgi'
+
+class Market
+  HEADERS = {
+    "Accept" => "application/xml,application/xhtml+xml,text/html;q=0.9,text/plain;q=0.8,image/png,*/*;q=0.5",
+    "Accept-Charset" => "ISO-8859-1,utf-8;q=0.7,*;q=0.3",
+    "Accept-Language" => "en-US,en;q=0.8",
+    "Cache-Control" => "max-age=0",
+    "Connection" => "keep-alive",
+    "Host" => "finance.yahoo.com",
+    "Referer" => "http://finance.yahoo.com/",
+    "User-Agent" => "Mozilla/5.0 (Windows; U; Windows NT 6.0; en-US) AppleWebKit/534.10 (KHTML, like Gecko) Chrome/8.0.552.215 Safari/534.10"
+  }
+
+  class Quote
+    include ArgumentProcessor
+
+    attr_accessor :symbol, :last, :bid, :ask, :extra
+
+    def initialize(args = {})
+      process_args(args)
+      self.extra = {}
+    end
+
+    def mid
+      @mid ||= [bid, ask].reduce(:+) / 2.0
+    end
+
+    def inspect
+      "<%s: L:%s B:%s A:%s>" % [
+        symbol, last.to_money_s, bid.to_money_s, ask.to_money_s
+      ]
+    end
+  end
+
+  class << self
+    def fetch(ticker, opts = {})
+      url = "http://finance.yahoo.com/q?s=%s" % ticker
+      puts "Fetching #{url}..." if $VERBOSE
+
+      doc = with_retry do
+        Nokogiri::HTML.parse(open(url, HEADERS).read)
+      end
+
+      # Realtime last is at yfs_l90_sym, use if exists
+      if opts[:try_rt]
+        last = (doc.at_css("#yfs_l90_#{ticker.downcase}").text.to_f * 100) rescue nil
+      end
+
+      last ||= (doc.at_css("#yfs_l10_#{ticker.downcase}").text.to_f * 100)
+      bid  = (doc.at_css("#yfs_b00_#{ticker.downcase}").text.to_f * 100) rescue 0
+      ask  = (doc.at_css("#yfs_a00_#{ticker.downcase}").text.to_f * 100) rescue 0
+
+      quote = Quote.new(
+        :symbol => ticker, :last => last, :bid => bid, :ask => ask)
+
+      if opts[:extra]
+        name   = doc.at('h1').text.scan(/(.*) \([\w-]+\)$/).to_s # strip trailing (SYMBOL)
+        mktcap = doc.at_css("#yfs_j10_#{ticker.downcase}").text rescue nil
+
+        divyield = doc.at("#table2 .end td").text.scan(/\((.*)\)/).to_s.to_f rescue nil
+
+        begin
+          pe_row = doc.at("#table2 tr:nth-child(6)")
+          pe_label, pe_data = pe_row.search("th,td").map{|e|e.text}
+
+          unless pe_label =~ %r(P/E)
+            puts "P/E label mismatch" 
+            pe_data = nil
+          end
+        rescue
+          # nothing
+        end
+
+        sector, industry = doc.search("#company_details a").map{|e|e.text} rescue nil
+
+        quote.extra = {
+          :name => name,
+          :mktcap => mktcap,
+          :divyield => divyield,
+          :pe => pe_data.to_f,
+          :sector => sector,
+          :industry => industry
+        }
+      end
+
+      puts quote.inspect if $VERBOSE
+
+      quote
+    end
+
+    require 'json'
+    def gchain(ticker, expiry)
+      url = "http://www.google.com/finance/option_chain?q=%s&expd=%s&expm=%s&expy=%s&output=json"
+      url = url % [ticker.gsub(/-/, "."), expiry.day, expiry.month, expiry.year]
+
+      puts "Fetching #{url}..." if $VERBOSE
+      doc = with_retry do
+        JSON.parse(
+          open(url).read.
+            gsub(/(\:"\w+):/, '\1').                # Remove extra colon that appears inside strings
+            gsub('\\', "").                         # Remove slashes
+            gsub(/(['"])?(\w+)(['"])?:/m, '"\2":'), # Quote each key
+          :symbolize_names => true)
+      end
+
+      doc[:calls].map do |call|
+        quote =  Quote.new(
+          :symbol => call[:s],
+          :last   => call[:p].to_f * 100,
+          :bid    => call[:b].to_f * 100,
+          :ask    => call[:a].to_f * 100
+        )
+
+        unless quote.symbol =~ /^\w+\d+[CP]\d+$/
+          puts "Dropping bad option #{quote.symbol.inspect}"
+          next
+        end
+
+        unless quote.bid > 0 and quote.ask > 0
+          puts "Option #{quote.symbol.inspect} has no bid or ask"
+          next
+        end
+        
+        [call[:strike].to_f * 100, quote]
+      end.compact
+    end
+
+    def chain(ticker, expiry)
+      url = "http://finance.yahoo.com/q/op?s=%s&m=%s" % [ticker, expiry.strftime("%Y-%m")]
+      puts "Fetching #{url}..." if $VERBOSE
+
+      doc = with_retry do
+        Nokogiri::HTML.parse(open(url, HEADERS).read)
+      end
+
+      itm_call_data = doc.
+        search("//table[@class='yfnc_datamodoutline1'][1]//td[@class='yfnc_h']").
+        map   { |e| e.text }
+
+      rows = itm_call_data.in_groups_of(8)
+
+      rows.map do |row|
+        strike = row[0].to_f * 100
+        symbol = row[1]
+        last   = row[2].to_f * 100
+        bid    = row[4].to_f * 100
+        ask    = row[5].to_f * 100
+
+        raise "Expected symbol, got #{symbol.inspect}" unless symbol =~ /^\w+\d+[CP]\d+$/
+
+        # Only pick symbols that have the correct expiry
+        # Occurs when multiple series appear for the same month (i.e. weeklys)
+        next unless symbol =~ /#{expiry.strftime("%y%m%d")}/
+
+        quote =  Quote.new(
+          :symbol => symbol, :last => last, :bid => bid, :ask => ask)
+
+        [strike, quote]
+      end.compact
+    end
+
+    def event?(ticker, on_or_before_date)
+      url = "http://finance.yahoo.com/q/ce?s=%s" % ticker
+      puts "Fetching #{url}..." if $VERBOSE
+
+      doc = with_retry do
+        Nokogiri::HTML.parse(open(url, HEADERS).read)
+      end
+
+      return false if doc.text =~ /There is no Company Events data/
+
+      fragment = doc.
+        search("//table[@class='yfnc_datamodoutline1'][1]//td[@class='yfnc_tabledata1']")
+
+      return false if fragment.text =~ /No Upcoming Events/i
+
+      events = fragment.map{|e|e.text}.in_groups_of(3)
+
+      events.any? do |date, event, _|
+        event_date = Date.strptime date, "%d-%b-%y"
+
+        event_date <= on_or_before_date
+      end
+    end
+
+    def historical_prices(ticker, from = Date.today - 365)
+      to = Date.today
+
+      url = "http://ichart.finance.yahoo.com/table.csv?s=%s&a=%s&b=%s&c=%s&d=%se=%s&f=%sg=d&ignore=.csv"
+      url = url % [ticker, from.month - 1, from.day, from.year, to.month - 1, to.year, to.day]
+
+      puts "Fetching #{url}..." if $VERBOSE
+
+      csv = with_retry do
+        open(url, HEADERS).read
+      end
+
+      # [newest, ..., oldest]
+      csv.scan(/\d+\.\d+$/).map { |p| p.to_f }
+    end
+
+    def constituents(ticker, offset = 0, traverse = true)
+      ticker = "^#{ticker}" unless ticker =~ /^\^/
+
+      url = "http://finance.yahoo.com/q/cp?s=%s&c=%s" % [CGI.escape(ticker), offset]
+      puts "Fetching #{url}..." if $VERBOSE
+
+      doc = with_retry do
+        Nokogiri::HTML.parse(open(url, HEADERS).read)
+      end
+
+      symbols = doc.at("#yfncsumtab").search("tr td:first-child.yfnc_tabledata1").map{ |td| td.text }
+      next_link = doc.at("#yfncsumtab").at("//a[text()='Next']")
+
+      if next_link && traverse
+        return symbols + constituents(ticker, offset + 1)
+      end
+
+      return symbols
+    end
+
+    INDEXES = {}
+
+    def member_of?(ticker, index_ticker)
+      index_members = INDEXES[index_ticker] ||= constituents(index_ticker)
+
+      index_members.include?(ticker)
+    end
+
+    def with_retry(&block)
+      retries = 20
+
+      begin
+        timeout(5) do
+          block.call
+        end
+      rescue Exception
+        retries -= 1
+        unless retries.zero?
+          puts "Got error, retrying"
+          puts $!
+          retry
+        end
+        raise
+      end
+    end
+  end
+end
+

data/lib/option.rb

@@ -0,0 +1,96 @@
+class Option
+  include ArgumentProcessor
+
+  attr_accessor :symbol, :stock, :strike, :expires, :price, :current_date
+
+  def initialize(args = {})
+    raise ArgumentError, "An option cannot be instantiated" if instance_of? Option
+
+    @current_date = nil
+
+    process_args(args)
+  end
+
+  def days_to_expiry(opening_date = current_date)
+    [0, (expires - opening_date).to_i].max
+  end
+
+  def expired?
+    expires < current_date
+  end
+
+  undef current_date
+  def current_date
+    @current_date || Date.today
+  end
+
+  def call?
+    false
+  end
+
+  def put?
+    false
+  end
+
+  def in_the_money?
+    raise NotImplementedError
+  end
+
+  def out_the_money?
+    !in_the_money?
+  end
+
+  # A specific sub state of being out the money.
+  def at_the_money?
+    stock.price == strike
+  end
+
+  def to_s
+    [stock.symbol, float_if_needed(strike), 
+      expires.strftime("%b %y").upcase, self.class.name.upcase].join(" ")
+  end
+
+  def to_ticker_s
+    return symbol if symbol
+
+    call_or_put = call? ? "C" : "P"
+
+    dollar  = (strike.to_i / 100).to_s.rjust(5, "0")
+    decimal = (strike.to_i % 100).to_s.ljust(3, "0")
+
+    [stock.symbol, expires.strftime("%y%m%d"), call_or_put, dollar, decimal].join.upcase
+  end
+
+  def ==(other)
+    other.stock == stock &&
+      other.strike == strike &&
+      other.expires == expires
+  end
+
+  private
+  
+  def float_if_needed(num)
+    num / 100.0 == num / 100 ? num / 100 : num / 100.0
+  end
+end
+
+class Call < Option
+  def call?
+    true
+  end
+
+  def in_the_money?
+    stock.price > strike
+  end
+end
+
+class Put < Option
+  def put?
+    true
+  end
+
+  def in_the_money?
+    stock.price < strike
+  end
+end
+

data/lib/penfold.rb

@@ -0,0 +1,20 @@
+require 'core_ext'
+require 'argument_processor'
+
+require 'stock'
+require 'option'
+require 'commission'
+
+require 'market'
+
+require 'covered_call_position'
+require 'covered_call_exit'
+require 'covered_call_early_exit'
+require 'covered_call_expiry_itm_exit'
+require 'covered_call_expiry_otm_exit'
+
+require 'black_scholes'
+
+module Penfold
+  VERSION = '1.0.0'
+end

data/lib/stock.rb

@@ -0,0 +1,15 @@
+class Stock
+  include ArgumentProcessor
+
+  attr_accessor :symbol, :price
+
+  def initialize(args = {})
+    process_args(args)
+    symbol.upcase! if symbol
+  end
+
+  def ==(other)
+    symbol == other.symbol
+  end
+end
+