penfold 1.0.0

data/portfolio.yml

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+--- 
+#C: !ruby/object:CoveredCallPosition 
+#  commission: OptionsHouseAlt
+#  num_shares: 2500
+#  date_established: 2010-07-19
+#  option: !ruby/object:Call 
+#    expires: 2011-01-22
+#    price: 50
+#    stock: !ruby/object:Stock 
+#      price: 395
+#      symbol: C
+#    strike: 400
+
+#S: !ruby/object:CoveredCallPosition 
+#  commission: OptionsHouseAlt
+#  num_shares: 2000
+#  date_established: 2010-07-19
+#  option: !ruby/object:Call 
+#    expires: 2011-01-22
+#    price: 118
+#    stock: !ruby/object:Stock 
+#      price: 471
+#      symbol: S
+#    strike: 400
+
+#LYG: !ruby/object:CoveredCallPosition 
+#  commission: OptionsHouseAlt
+#  num_shares: 400
+#  date_established: 2010-07-22
+#  option: !ruby/object:Call 
+#    expires: 2010-08-21
+#    price: 11
+#    stock: !ruby/object:Stock 
+#      price: 371
+#      symbol: LYG
+#    strike: 400
+
+#CBS: !ruby/object:CoveredCallPosition 
+#  commission: OptionsHouseAlt
+#  num_shares: 100
+#  date_established: 2010-07-29
+#  option: !ruby/object:Call 
+#    expires: 2010-08-21
+#    price: 96
+#    stock: !ruby/object:Stock 
+#      price: 1449
+#      symbol: CBS
+#    strike: 1400
+
+#RIG: !ruby/object:CoveredCallPosition 
+#  commission: OptionsHouseAlt
+#  num_shares: 200
+#  date_established: 2010-08-05
+#  option: !ruby/object:Call 
+#    expires: 2010-08-06
+#    price: 225
+#    stock: !ruby/object:Stock 
+#      price: 5681
+#      symbol: RIG
+#    strike: 5500
+
+#VXX: !ruby/object:CoveredCallPosition 
+#  commission: OptionsHouseAlt
+#  num_shares: 200
+#  date_established: 2010-08-05
+#  option: !ruby/object:Call 
+#    expires: 2010-08-21
+#    price: 187
+#    stock: !ruby/object:Stock 
+#      price: 2143
+#      symbol: VXX
+#    strike: 2000
+
+#WY: !ruby/object:CoveredCallPosition 
+#  commission: OptionsHouseAlt
+#  num_shares: 600
+#  date_established: 2010-08-13
+#  option: !ruby/object:Call 
+#    expires: 2010-08-21
+#    price: 80
+#    stock: !ruby/object:Stock 
+#      price: 1651
+#      symbol: WY
+#    strike: 1600
+
+#ING: !ruby/object:CoveredCallPosition 
+#  commission: OptionsHouseAlt
+#  num_shares: 1000
+#  date_established: 2010-08-11
+#  option: !ruby/object:Call 
+#    expires: 2010-09-18
+#    price: 50
+#    stock: !ruby/object:Stock 
+#      price: 886
+#      symbol: ING
+#    strike: 900
+
+BCS: !ruby/object:CoveredCallPosition 
+  commission: OptionsHouseAlt
+  num_shares: 500
+  date_established: 2010-08-02
+  option: !ruby/object:Call 
+    expires: 2010-12-18
+    price: 30
+    stock: !ruby/object:Stock 
+      price: 1966
+      symbol: BCS
+    strike: 2100
+
+# DOW: !ruby/object:CoveredCallPosition 
+#   commission: OptionsHouseAlt
+#   num_shares: 400
+#   date_established: 2010-08-02
+#   option: !ruby/object:Call 
+#     expires: 2010-10-16
+#     price: 22
+#     stock: !ruby/object:Stock 
+#       price: 2714
+#       symbol: DOW
+#     strike: 2800
+
+#F: !ruby/object:CoveredCallPosition 
+#  commission: OptionsHouseAlt
+#  num_shares: 900
+#  date_established: 2010-08-04
+#  option: !ruby/object:Call 
+#    expires: 2010-09-18
+#    price: 33
+#    stock: !ruby/object:Stock 
+#      price: 1189
+#      symbol: F
+#    strike: 1200
+
+#GRMN: !ruby/object:CoveredCallPosition 
+#  commission: OptionsHouseAlt
+#  num_shares: 400
+#  date_established: 2010-08-04
+#  option: !ruby/object:Call 
+#    expires: 2010-09-18
+#    price: 64
+#    stock: !ruby/object:Stock 
+#      price: 2760
+#      symbol: GRMN
+#    strike: 2800
+
+#BP: !ruby/object:CoveredCallPosition 
+#  commission: OptionsHouseAlt
+#  num_shares: 300
+#  date_established: 2010-08-30
+#  option: !ruby/object:Call 
+#    expires: 2010-09-03
+#    price: 122
+#    stock: !ruby/object:Stock 
+#      price: 3589
+#      symbol: BP
+#    strike: 3500
+
+#BP2: !ruby/object:CoveredCallPosition 
+#  commission: OptionsHouseAlt
+#  num_shares: 300
+#  date_established: 2010-09-02
+#  option: !ruby/object:Call
+#    expires: 2010-09-10
+#    price: 48
+#    stock: !ruby/object:Stock 
+#      price: 3640
+#      symbol: BP
+#    strike: 3700
+
+#RIG: !ruby/object:CoveredCallPosition 
+#  commission: OptionsHouseAlt
+#  num_shares: 200
+#  date_established: 2010-09-08
+#  option: !ruby/object:Call
+#    expires: 2010-09-18
+#    price: 242
+#    stock: !ruby/object:Stock 
+#      price: 5404
+#      symbol: RIG
+#    strike: 5250
+
+#WFC: !ruby/object:CoveredCallPosition 
+#  commission: OptionsHouseAlt
+#  num_shares: 400
+#  date_established: 2010-09-13
+#  option: !ruby/object:Call
+#    expires: 2010-09-18
+#    price: 55
+#    stock: !ruby/object:Stock 
+#      price: 2629
+#      symbol: WFC
+#    strike: 2600
+
+# ING: !ruby/object:CoveredCallPosition 
+#   commission: OptionsHouseAlt
+#   num_shares: 1000
+#   date_established: 2010-09-21
+#   option: !ruby/object:Call
+#     expires: 2010-10-16
+#     price: 55
+#     stock: !ruby/object:Stock 
+#       price: 1026
+#       symbol: ING
+#     strike: 1000
+
+#BP: !ruby/object:CoveredCallPosition 
+#  commission: OptionsHouseAlt
+#  num_shares: 300
+#  date_established: 2010-09-27
+#  option: !ruby/object:Call
+#    expires: 2010-10-01
+#    price: 74
+#    stock: !ruby/object:Stock 
+#      price: 3856
+#      symbol: BP
+#    strike: 3800
+
+JPM: !ruby/object:CoveredCallPosition 
+  commission: OptionsHouseAlt
+  num_shares: 300
+  date_established: 2010-09-27
+  option: !ruby/object:Call
+    expires: 2010-11-20
+    price: 133
+    stock: !ruby/object:Stock 
+      price: 3734
+      symbol: JPM
+    strike: 3800
+
+# HPQ: !ruby/object:CoveredCallPosition 
+#   commission: OptionsHouseAlt
+#   num_shares: 300
+#   date_established: 2010-09-29
+#   option: !ruby/object:Call
+#     expires: 2010-10-16
+#     price: 179
+#     stock: !ruby/object:Stock 
+#       price: 4221
+#       symbol: HPQ
+#     strike: 4100
+# 
+# AET: !ruby/object:CoveredCallPosition 
+#   commission: OptionsHouseAlt
+#   num_shares: 400
+#   date_established: 2010-09-29
+#   option: !ruby/object:Call
+#     expires: 2010-10-16
+#     price: 120
+#     stock: !ruby/object:Stock 
+#       price: 3079
+#       symbol: AET
+#     strike: 3000
+# 
+# MON: !ruby/object:CoveredCallPosition 
+#   commission: OptionsHouseAlt
+#   num_shares: 200
+#   date_established: 2010-10-06
+#   option: !ruby/object:Call
+#     expires: 2010-10-16
+#     price: 212
+#     stock: !ruby/object:Stock 
+#       price: 4891
+#       symbol: MON
+#     strike: 4750
+
+PKX: !ruby/object:CoveredCallPosition 
+  commission: OptionsHouseAlt
+  num_shares: 100
+  date_established: 2010-10-19
+  option: !ruby/object:Call
+    expires: 2010-11-20
+    price: 490
+    stock: !ruby/object:Stock 
+      price: 10720
+      symbol: PKX
+    strike: 10500
+

data/test/test_option_calendar.rb

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+require 'option_calendar'
+require 'test/unit'
+
+class OptionCalendarTest < Test::Unit::TestCase
+
+  # Saturday expiries
+  EXPIRY_MONTHS = [
+    [Date.parse("Jan 1 2010"), Date.parse("Jan 16 2010")],
+    [Date.parse("Feb 1 2010"), Date.parse("Feb 20 2010")],
+    [Date.parse("Mar 1 2010"), Date.parse("Mar 20 2010")],
+    [Date.parse("Apr 1 2010"), Date.parse("Apr 17 2010")],
+    [Date.parse("May 1 2010"), Date.parse("May 22 2010")],
+    [Date.parse("Jun 1 2010"), Date.parse("Jun 19 2010")],
+    [Date.parse("Jul 1 2010"), Date.parse("Jul 17 2010")],
+    [Date.parse("Aug 1 2010"), Date.parse("Aug 21 2010")],
+    [Date.parse("Sep 1 2010"), Date.parse("Sep 18 2010")],
+    [Date.parse("Oct 1 2010"), Date.parse("Oct 16 2010")],
+    [Date.parse("Nov 1 2010"), Date.parse("Nov 20 2010")],
+    [Date.parse("Dec 1 2010"), Date.parse("Dec 18 2010")],
+
+    [Date.parse("Jan 1 2011"), Date.parse("Jan 22 2011")],
+    [Date.parse("Feb 1 2011"), Date.parse("Feb 19 2011")],
+    [Date.parse("Mar 1 2011"), Date.parse("Mar 19 2011")],
+    [Date.parse("Apr 1 2011"), Date.parse("Apr 16 2011")],
+    [Date.parse("May 1 2011"), Date.parse("May 21 2011")],
+    [Date.parse("Jun 1 2011"), Date.parse("Jun 18 2011")],
+    [Date.parse("Jul 1 2011"), Date.parse("Jul 16 2011")],
+    [Date.parse("Aug 1 2011"), Date.parse("Aug 20 2011")],
+    [Date.parse("Sep 1 2011"), Date.parse("Sep 17 2011")],
+    [Date.parse("Oct 1 2011"), Date.parse("Oct 22 2011")],
+    [Date.parse("Nov 1 2011"), Date.parse("Nov 19 2011")],
+    [Date.parse("Dec 1 2011"), Date.parse("Dec 17 2011")]
+  ]
+
+  def test_monthly_expirations
+    EXPIRY_MONTHS.each do |month, exp|
+      message = "Month #{month.strftime("%b")} should have expiry of #{exp}"
+
+      assert_equal exp, OptionCalendar.expiration_for(month), message
+      assert_equal exp, OptionCalendar.expiration_for(month.end_of_month), message
+    end
+  end
+
+  NEXT_MONTHS = [
+    [Date.parse("Sep 15 2010"), Date.parse("Sep 18 2010"), Date.parse("Oct 16 2010")],
+    [Date.parse("Sep 16 2010"), Date.parse("Sep 18 2010"), Date.parse("Oct 16 2010")],
+    [Date.parse("Sep 17 2010"), Date.parse("Oct 16 2010"), Date.parse("Nov 20 2010")],
+    [Date.parse("Sep 18 2010"), Date.parse("Oct 16 2010"), Date.parse("Nov 20 2010")],
+    [Date.parse("Sep 19 2010"), Date.parse("Oct 16 2010"), Date.parse("Nov 20 2010")]
+  ]
+
+  def test_next_expiring_months
+    NEXT_MONTHS.each do |date, *expected|
+      message = "#{date} should have expirations #{expected.inspect}"
+
+      assert_equal expected, OptionCalendar.next_expiring_months(date), message
+    end
+  end
+
+  def test_nearest_expiration
+    jan_expiry = OptionCalendar.expiration_for(Date.parse("Jan 2011"))
+    feb_expiry = OptionCalendar.expiration_for(Date.parse("Feb 2011"))
+
+    assert_equal jan_expiry, OptionCalendar.nearest_expiration(jan_expiry - 4.days, 3.days)
+    assert_equal feb_expiry, OptionCalendar.nearest_expiration(jan_expiry - 3.days, 3.days)
+    assert_equal feb_expiry, OptionCalendar.nearest_expiration(jan_expiry - 2.days, 3.days)
+
+    assert_equal jan_expiry, OptionCalendar.nearest_expiration(Date.parse("Dec 31 2010"), 3.days)
+    assert_equal feb_expiry, OptionCalendar.nearest_expiration(Date.parse("Dec 31 2010"), 30.days)
+    assert_equal feb_expiry, OptionCalendar.nearest_expiration(Date.parse("Nov 30 2010"), 60.days)
+  end
+
+end
+

data/test/test_penfold.rb

@@ -0,0 +1,315 @@
+require "test/unit"
+require "flexmock/test_unit"
+require "penfold"
+
+class TestPenfold < Test::Unit::TestCase
+
+  # options
+  def test_call_type
+    call = Call.new
+
+    assert call.call?
+    assert !call.put?
+  end
+
+  def test_put_type
+    put = Put.new
+
+    assert !put.call?
+    assert put.put?
+  end
+
+  def test_option_cannot_be_instantiated
+    assert_raise ArgumentError do
+      Option.new
+    end
+  end
+
+  def test_option_expiry
+    unexpired     = Call.new(:expires => Date.today + 10)
+    expired       = Call.new(:expires => Date.today - 10)
+    expires_today = Call.new(:expires => Date.today)
+
+    assert !unexpired.expired?
+    assert_equal 10, unexpired.days_to_expiry
+
+    assert expired.expired?
+    assert_equal 0, expired.days_to_expiry
+
+    assert !expires_today.expired?
+    assert_equal 0, expires_today.days_to_expiry
+  end
+
+  def test_to_s
+    expires = Date.today + 93
+
+    stock = Stock.new(:symbol => "XYZ", :price => 50_00)
+
+    option = Call.new(
+      :stock => stock, 
+      :strike => 35_00, 
+      :expires => expires,
+      :price => 4_50
+    )
+
+    assert_equal "XYZ 35 #{expires.strftime("%b %y").upcase} CALL", option.to_s, 
+      "A whole dollar amount does not require a floating point strike price"
+    
+    option = Call.new(
+      :stock => stock, 
+      :strike => 5_50, 
+      :expires => expires,
+      :price => 4_50
+    )
+
+    assert_equal "XYZ 5.5 #{expires.strftime("%b %y").upcase} CALL", option.to_s, 
+      "A partial dollar amount requires a floating point strike price"
+  end
+
+  def test_out_the_money?
+    assert flexmock(Call.new, :in_the_money? => false).out_the_money?
+    assert !flexmock(Call.new, :in_the_money? => true).out_the_money?
+  end
+
+  def test_call_moneyness
+    call = Call.new(:strike => 5_00, :stock => Stock.new(:price => 4_90))
+
+    assert !call.in_the_money?
+    assert !call.at_the_money?
+
+    call.stock.price += 10
+    assert !call.in_the_money?
+    assert call.at_the_money?
+
+    call.stock.price += 10
+    assert call.in_the_money?
+    assert !call.at_the_money?
+  end
+
+  def test_put_moneyness
+    put = Put.new(:strike => 5_00, :stock => Stock.new(:price => 4_90))
+
+    assert put.in_the_money?
+    assert !put.at_the_money?
+
+    put.stock.price += 10
+    assert !put.in_the_money?
+    assert put.at_the_money?
+
+    put.stock.price += 10
+    assert !put.in_the_money?
+    assert !put.at_the_money?
+  end
+
+  # position
+
+  def test_stock_total
+    position = CoveredCallPosition.new(
+      :num_shares => 500, 
+      :option => Call.new(:stock => Stock.new(:price => 50_00)), 
+      :commission => "OptionsHouse"
+    )
+    
+    assert_equal 500 * 50_00 + position.commission.stock_entry, position.stock_total
+  end
+
+  def test_call_sale
+    position = CoveredCallPosition.new(
+      :num_shares => 500,
+      :option => Call.new(:price => 6_00),
+      :commission => "OptionsHouse"
+    )
+
+    assert_equal 3_000_00 - (position.commission.option_entry), position.call_sale
+  end
+
+  def test_net_outlay
+    position = flexmock(
+      CoveredCallPosition.new, 
+      :stock_total => 25_000_00,
+      :call_sale => 3_000_00
+    )
+
+    assert_equal 22_000_00, position.net_outlay
+  end
+
+  def test_net_per_share
+    position = CoveredCallPosition.new(:num_shares => 500)
+    flexmock(position, :net_outlay => 22_012_20)
+
+    assert_equal 44_02.44, position.net_per_share
+  end
+
+  def test_downside_protection
+    position = flexmock(
+      CoveredCallPosition.new, 
+      :net_per_share => 44_00, 
+      :stock => Stock.new(:price => 50_00)
+    )
+
+    assert_equal(-0.12, position.downside_protection, "should be -12%")
+  end
+
+  def test_odd_lots
+    assert_raise ArgumentError do
+      CoveredCallPosition.new(:num_shares => 23)
+    end
+
+    assert_nothing_raised do
+      CoveredCallPosition.new(:num_shares => 100)
+    end
+  end
+
+  def test_num_options
+    assert 3, CoveredCallPosition.new(:num_shares => 300)
+  end
+
+  def test_stock
+    stock = Stock.new
+    position = CoveredCallPosition.new(:option => Put.new(:stock => stock))
+
+    assert_equal stock, position.stock
+  end
+
+  # exit
+
+  def test_creation
+    date = Date.today
+
+    position = CoveredCallPosition.new(
+      :num_shares => 500,
+      :commission => "OptionsHouse",
+      :date_established => date,
+
+      :option => Call.new(
+        :expires => date + 30,
+        :strike  => 50_00,
+        :price   => 6_00,
+        :stock => Stock.new(
+          :symbol => "XYZ",
+          :price => 50_00
+        )
+      )
+    )
+
+    closing_position = CoveredCallExit.new(
+      :opening_position => position,
+      :exit_date => date + 34,
+      :stock_price => 55_00
+    )
+
+    assert_not_same position.stock, closing_position.stock
+    assert_equal position.stock, closing_position.stock
+
+    assert_not_same position.option, closing_position.option
+    assert_equal position.option, closing_position.option
+
+    assert_same position.commission, closing_position.commission
+    
+    assert_equal date + 30, closing_position.exit_date
+    assert closing_position.option.expired?
+
+    assert_equal 55_00, closing_position.stock.price
+  end
+
+  def test_creates_expired_position_when_expired_in_the_money
+    position = CoveredCallPosition.new(
+      :option => Call.new(
+        :stock => Stock.new(:price => 48_00),
+        :strike => 50_00,
+        :expires => Date.today + 10
+      )
+    )
+
+    expired_itm = CoveredCallExit.new(
+      :opening_position => position,
+      :stock_price => 52_00,
+      :exit_date => Date.today + 11
+    )
+
+    expired_otm = CoveredCallExit.new(
+      :opening_position => position,
+      :stock_price => 48_00,
+      :exit_date => Date.today + 11
+    )
+
+    unexpired_itm = CoveredCallExit.new(
+      :opening_position => position,
+      :stock_price => 52_00,
+      :exit_date => Date.today + 1
+    )
+
+    unexpired_otm = CoveredCallExit.new(
+      :opening_position => position,
+      :stock_price => 48_00,
+      :exit_date => Date.today + 1
+    )
+
+    assert_kind_of CoveredCallExpiryItmExit, expired_itm
+    assert !expired_otm.kind_of?(CoveredCallExpiryItmExit)
+    assert !unexpired_itm.kind_of?(CoveredCallExpiryItmExit)
+    assert !unexpired_otm.kind_of?(CoveredCallExpiryItmExit)
+  end
+
+  def test_no_profit_method_body_for_default_class
+    assert_raise NotImplementedError do
+      CoveredCallExit.allocate.profit
+    end
+  end
+
+  # Option pricing
+
+  def test_black_scholes
+    assert_in_delta 0.35725, BlackScholes.call_iv(19.18, 17.50, 0.27, 32, 1.89), 0.0001
+    assert_in_delta 0.25866, BlackScholes.call_iv(19.18, 19, 0.27, 32, 0.68), 0.0001
+  end
+
+  def test_probability
+    vol = BlackScholes.call_iv(19.18, 19, 0.27, 32, 0.68)
+
+    below, above = BlackScholes.probability(19.18, 19, 32, vol)
+
+    assert_in_delta 0.548, above, 0.001
+    assert_in_delta 0.451, below, 0.001
+
+    assert_equal above, BlackScholes.probability_above(19.18, 19, 32, vol)
+    assert_equal below, BlackScholes.probability_below(19.18, 19, 32, vol)
+  end
+
+  # comms
+
+  def test_optionshouse
+    (0..10).each do |i|
+      cost = 8_50 + (i * 15)
+
+      oh = Commission::OptionsHouse.new(:contracts => i)
+      assert_equal i.zero? ? 0 : cost, oh.option_entry
+    end
+
+    oh = Commission::OptionsHouse.new(:shares => 0)
+    assert_equal 0, oh.stock_entry
+
+    oh = Commission::OptionsHouse.new(:shares => 123)
+    assert_equal 2_95, oh.stock_entry
+
+    oh = Commission::OptionsHouse.new
+    assert_equal 0, oh.stock_entry
+    assert_equal 0, oh.option_entry
+    assert_equal 0, oh.option_assignment
+  end
+
+  def test_optionshouse_alt
+    opt_comms = [
+      [0, 0],
+      [4, 5_00],
+      [5, 5_00],
+      [6, 6_00]
+    ]
+
+    opt_comms.each do |num_contracts, cost|
+      oha = Commission::OptionsHouseAlt.new(:shares => 0, :contracts => num_contracts)
+      assert_equal cost, oha.option_entry
+      assert_equal num_contracts.zero? ? 0 : 5_00, oha.option_assignment
+    end
+  end
+end