pure_greeks 0.1.0

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Files changed (32) hide show
  1. checksums.yaml +7 -0
  2. data/.ruby-version +1 -0
  3. data/BENCHMARKS.md +50 -0
  4. data/CHANGELOG.md +25 -0
  5. data/LICENSE.txt +21 -0
  6. data/PLAN.md +2927 -0
  7. data/README.md +97 -0
  8. data/REGRESSION_REPORT.md +89 -0
  9. data/Rakefile +21 -0
  10. data/bench/batch.rb +30 -0
  11. data/bench/single_option.rb +26 -0
  12. data/docs/_config.yml +12 -0
  13. data/docs/engines.md +44 -0
  14. data/docs/index.md +22 -0
  15. data/docs/limitations.md +16 -0
  16. data/docs/usage.md +76 -0
  17. data/docs/validation.md +35 -0
  18. data/lib/pure_greeks/engines/black_scholes_european.rb +67 -0
  19. data/lib/pure_greeks/engines/crr_binomial_american.rb +118 -0
  20. data/lib/pure_greeks/engines/fallback_chain.rb +44 -0
  21. data/lib/pure_greeks/engines/intrinsic.rb +31 -0
  22. data/lib/pure_greeks/errors.rb +9 -0
  23. data/lib/pure_greeks/greeks.rb +5 -0
  24. data/lib/pure_greeks/implied_volatility/brent_solver.rb +80 -0
  25. data/lib/pure_greeks/math/normal.rb +17 -0
  26. data/lib/pure_greeks/option.rb +113 -0
  27. data/lib/pure_greeks/version.rb +5 -0
  28. data/lib/pure_greeks.rb +9 -0
  29. data/sig/pure_greeks.rbs +4 -0
  30. data/tools/drift_report.rb +109 -0
  31. data/tools/golden_dataset_export.rb +124 -0
  32. metadata +137 -0
metadata ADDED
@@ -0,0 +1,137 @@
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+ --- !ruby/object:Gem::Specification
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+ name: pure_greeks
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+ version: !ruby/object:Gem::Version
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+ version: 0.1.0
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+ platform: ruby
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+ authors:
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+ - Jay Ravaliya
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+ autorequire:
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+ bindir: exe
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+ cert_chain: []
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+ date: 2026-04-27 00:00:00.000000000 Z
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+ dependencies:
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+ - !ruby/object:Gem::Dependency
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+ name: distribution
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+ requirement: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - "~>"
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+ - !ruby/object:Gem::Version
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+ version: '0.8'
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+ type: :runtime
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+ prerelease: false
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+ version_requirements: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - "~>"
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+ - !ruby/object:Gem::Version
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+ version: '0.8'
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+ - !ruby/object:Gem::Dependency
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+ name: bigdecimal
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+ requirement: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - "~>"
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+ - !ruby/object:Gem::Version
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+ version: '3.0'
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+ type: :runtime
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+ prerelease: false
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+ version_requirements: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - "~>"
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+ - !ruby/object:Gem::Version
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+ version: '3.0'
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+ - !ruby/object:Gem::Dependency
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+ name: prime
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+ requirement: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - "~>"
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+ - !ruby/object:Gem::Version
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+ version: '0.1'
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+ type: :runtime
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+ prerelease: false
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+ version_requirements: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - "~>"
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+ - !ruby/object:Gem::Version
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+ version: '0.1'
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+ - !ruby/object:Gem::Dependency
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+ name: benchmark-ips
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+ requirement: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - "~>"
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+ - !ruby/object:Gem::Version
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+ version: '2.13'
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+ type: :development
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+ prerelease: false
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+ version_requirements: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - "~>"
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+ - !ruby/object:Gem::Version
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+ version: '2.13'
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+ description: Pure-Ruby implementation of Black-Scholes European and CRR Binomial American
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+ option pricing with delta, gamma, theta, vega, rho, and Brent's-method implied volatility.
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+ No Python, no QuantLib system dep, no native code.
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+ email:
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+ - jayrav13@gmail.com
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+ executables: []
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+ extensions: []
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+ extra_rdoc_files: []
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+ files:
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+ - ".ruby-version"
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+ - BENCHMARKS.md
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+ - CHANGELOG.md
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+ - LICENSE.txt
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+ - PLAN.md
83
+ - README.md
84
+ - REGRESSION_REPORT.md
85
+ - Rakefile
86
+ - bench/batch.rb
87
+ - bench/single_option.rb
88
+ - docs/_config.yml
89
+ - docs/engines.md
90
+ - docs/index.md
91
+ - docs/limitations.md
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+ - docs/usage.md
93
+ - docs/validation.md
94
+ - lib/pure_greeks.rb
95
+ - lib/pure_greeks/engines/black_scholes_european.rb
96
+ - lib/pure_greeks/engines/crr_binomial_american.rb
97
+ - lib/pure_greeks/engines/fallback_chain.rb
98
+ - lib/pure_greeks/engines/intrinsic.rb
99
+ - lib/pure_greeks/errors.rb
100
+ - lib/pure_greeks/greeks.rb
101
+ - lib/pure_greeks/implied_volatility/brent_solver.rb
102
+ - lib/pure_greeks/math/normal.rb
103
+ - lib/pure_greeks/option.rb
104
+ - lib/pure_greeks/version.rb
105
+ - sig/pure_greeks.rbs
106
+ - tools/drift_report.rb
107
+ - tools/golden_dataset_export.rb
108
+ homepage: https://github.com/jayrav13/ruby-pure-greeks
109
+ licenses:
110
+ - MIT
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+ metadata:
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+ allowed_push_host: https://rubygems.org
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+ homepage_uri: https://github.com/jayrav13/ruby-pure-greeks
114
+ source_code_uri: https://github.com/jayrav13/ruby-pure-greeks
115
+ changelog_uri: https://github.com/jayrav13/ruby-pure-greeks/blob/main/CHANGELOG.md
116
+ documentation_uri: https://jayrav13.github.io/ruby-pure-greeks/
117
+ post_install_message:
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+ rdoc_options: []
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+ require_paths:
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+ - lib
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+ required_ruby_version: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
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+ version: 3.2.0
126
+ required_rubygems_version: !ruby/object:Gem::Requirement
127
+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
130
+ version: '0'
131
+ requirements: []
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+ rubygems_version: 3.4.19
133
+ signing_key:
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+ specification_version: 4
135
+ summary: Pure-Ruby options Greeks, pricing, and implied volatility for vanilla European
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+ and American options.
137
+ test_files: []