rmarket 0.0.1 → 0.0.2

data/{README → README.rdoc}

@@ -6,7 +6,9 @@ RMarket is a ruby gem for making stock market simulations.
 * OrderLedger - one side of a CDA order book; enforces transactions to occur at the current bid/ask price depending on its assigned type
 * OrderBook - a model of a CDA order book; manages a buy and sell ledger and enforces orders to match a specific label
 * Trader - tracks a portfolio or stocks and cash; passes off the real work to the user defined objects: TradingStrategy, ValueFunction, and Beliefs
-
+* News - container class for distributing information to traders
+* NewsGenerator - generates News by adding noise from a given distribution to dividend shock information
+* DividendGenerator - generates dividends from a given distribution according to a mean reverting process
 == Contributing
 
 If you are interested in making a contribution, first propose the change or added feature on the issues page.  Once this project is a little more hammered down, we'll move to the fork-pull request model.

data/lib/rmarket/beliefs.rb

@@ -0,0 +1,3 @@
+Dir[File.dirname(__FILE__) + '/beliefs/*.rb'].each do |file|
+  require "rmarket/beliefs/#{File.basename(file, File.extname(file))}"
+end

data/lib/rmarket/beliefs/news.rb

@@ -0,0 +1,47 @@
+module RMarket
+  module Beliefs
+    # Piece of news patterned after Epstein-Schneider 2008
+    class News
+      attr_reader :signal, :previous_dividend
+  
+      def initialize(signal, previous_dividend=nil)
+        @signal = signal
+        @previous_dividend = previous_dividend
+      end
+    end
+
+    # noise in news perturbs the next period dividend shock
+    class NewsGenerator
+
+      def noise_mean; @noise_distribution.mu; end
+      def noise_std; @noise_distribution.sigma; end
+  
+      def initialize(noise_distribution)
+        @noise_distribution = noise_distribution
+      end
+  
+      def generate_news(next_shock, last_dividend)
+        News.new(@noise_distribution.sample+next_shock, last_dividend)
+      end
+    end
+
+    # Mean reverting dividend generation
+    class DividendGenerator
+
+      attr_reader :kappa, :last_period_dividend
+      def dividend_mean; @dividend_distribution.mu; end
+      def dividend_std; @dividend_distribution.sigma; end
+  
+      def initialize(dividend_distribution, kappa=0)
+        @dividend_distribution, @kappa = dividend_distribution, kappa
+        @next_period_dividend = dividend_mean
+      end
+  
+      def generate_next_dividend
+        @next_shock = @dividend_distribution.sample
+        @last_period_dividend = @next_period_dividend
+        @next_period_dividend = (dividend_mean*@kappa)+((1-@kappa)*@next_period_dividend)+next_shock
+      end
+    end
+  end
+end

data/lib/rmarket/version.rb

@@ -1,3 +1,3 @@
 module RMarket
-  VERSION = "0.0.1"
+  VERSION = "0.0.2"
 end

data/rmarket.gemspec

@@ -23,5 +23,5 @@ Gem::Specification.new do |s|
   s.add_development_dependency "growl"
   s.add_development_dependency "guard-rspec"
   s.add_development_dependency "rb-fsevent"
-  # s.add_runtime_dependency "rest-client"
+  s.add_development_dependency "ruby-gsl-ng"
 end

data/spec/rmarket/news_spec.rb

@@ -0,0 +1,22 @@
+require 'spec_helper'
+require 'gslng'
+
+module RMarket
+  module Beliefs
+    describe NewsGenerator do
+      describe "#generate_news" do
+        before(:each) { @news_g = NewsGenerator.new(GSLng::RNG::Gaussian.new(1, 1)); @news = @news_g.generate_news(0.2, 4) }
+        it { @news_g.noise_mean.should == 1}
+        it { @news_g.noise_std.should == 1}
+        it { @news.is_a?(News).should == true }
+        it { @news.signal.should_not == 0.2 }
+        it { @news.previous_dividend.should == 4}
+      end
+    end
+    describe DividendGenerator do
+      let!(:div_g){DividendGenerator.new(GSLng::RNG::Gaussian.new(1, 1))}
+      it {div_g.dividend_mean.should == 1}
+      it {div_g.dividend_std.should == 1}
+    end
+  end
+end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: rmarket
 version: !ruby/object:Gem::Version
-  version: 0.0.1
+  version: 0.0.2
   prerelease: 
 platform: ruby
 authors:
@@ -9,11 +9,11 @@ authors:
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2011-11-01 00:00:00.000000000 Z
+date: 2011-11-14 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: rspec
-  requirement: &70175638857640 !ruby/object:Gem::Requirement
+  requirement: &70269586796800 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ! '>='
@@ -21,10 +21,10 @@ dependencies:
         version: '0'
   type: :development
   prerelease: false
-  version_requirements: *70175638857640
+  version_requirements: *70269586796800
 - !ruby/object:Gem::Dependency
   name: growl
-  requirement: &70175638857140 !ruby/object:Gem::Requirement
+  requirement: &70269586796340 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ! '>='
@@ -32,10 +32,10 @@ dependencies:
         version: '0'
   type: :development
   prerelease: false
-  version_requirements: *70175638857140
+  version_requirements: *70269586796340
 - !ruby/object:Gem::Dependency
   name: guard-rspec
-  requirement: &70175638856680 !ruby/object:Gem::Requirement
+  requirement: &70269586795620 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ! '>='
@@ -43,10 +43,10 @@ dependencies:
         version: '0'
   type: :development
   prerelease: false
-  version_requirements: *70175638856680
+  version_requirements: *70269586795620
 - !ruby/object:Gem::Dependency
   name: rb-fsevent
-  requirement: &70175638856220 !ruby/object:Gem::Requirement
+  requirement: &70269586794780 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ! '>='
@@ -54,7 +54,18 @@ dependencies:
         version: '0'
   type: :development
   prerelease: false
-  version_requirements: *70175638856220
+  version_requirements: *70269586794780
+- !ruby/object:Gem::Dependency
+  name: ruby-gsl-ng
+  requirement: &70269586794140 !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ! '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: *70269586794140
 description: rmarket provides classes for modeling market interactions in ruby, such
   as an order book that operates as a CDA.
 email:
@@ -66,15 +77,18 @@ files:
 - .gitignore
 - Gemfile
 - Guardfile
-- README
+- README.rdoc
 - Rakefile
 - lib/rmarket.rb
+- lib/rmarket/beliefs.rb
+- lib/rmarket/beliefs/news.rb
 - lib/rmarket/order.rb
 - lib/rmarket/order_book.rb
 - lib/rmarket/order_ledger.rb
 - lib/rmarket/trader.rb
 - lib/rmarket/version.rb
 - rmarket.gemspec
+- spec/rmarket/news_spec.rb
 - spec/rmarket/order_book_spec.rb
 - spec/rmarket/order_ledger_spec.rb
 - spec/rmarket/trader_spec.rb
@@ -104,7 +118,9 @@ signing_key:
 specification_version: 3
 summary: Classes for modeling market interactions in ruby
 test_files:
+- spec/rmarket/news_spec.rb
 - spec/rmarket/order_book_spec.rb
 - spec/rmarket/order_ledger_spec.rb
 - spec/rmarket/trader_spec.rb
 - spec/spec_helper.rb
+has_rdoc: