rupee 0.1.5 → 0.1.6

data/README.rdoc

@@ -1,9 +1,10 @@
 = Rupee - financial tools for Ruby
 
-Homepage::  http://www.brymck.com
-Author::    Bryan McKelvey
-Copyright:: (c) 2011 Bryan McKelvey
-License::   MIT
+Homepage::      http://www.brymck.com
+Author::        Bryan McKelvey
+Copyright::     (c) 2011 Bryan McKelvey
+License::       MIT
+Documentation:: http://rdoc.info/github/brymck/rupee/master/frames
 
         /|\
        / | \

data/ext/rupee/bond.c

@@ -224,6 +224,24 @@ macaulay_discrete(self, _times, _cflows, _price)
   return macaulay(self, _times, _cflows, _price, true);
 }
 
+// Modified duration of a discretely compounded bond
+static VALUE
+modified_discrete(self, _times, _cflows, _price)
+  VALUE self, _times, _cflows, _price;
+{
+  int len = RARRAY_LEN(_cflows);
+  double y, D, times[len], cflows[len], price;
+
+  rtofa(times, _times, len);
+  rtofa(cflows, _cflows, len);
+  price = NUM2DBL(_price);
+
+  y = bond_ytm(times, cflows, price, len, true);
+  D = bond_dur(times, cflows, y, len, true);
+
+  return rb_float_new(D / (1 + y));
+};
+
 // Price of a continuously compounded bond
 static VALUE
 price_continuous(self, _times, _cflows, _r)
@@ -296,6 +314,8 @@ init_bond()
   rb_define_alias(singleton, "dur", "duration");
   rb_define_singleton_method(klass, "macaulay", macaulay_discrete, 3);
   rb_define_alias(singleton, "macaulay_duration", "macaulay");
+  rb_define_singleton_method(klass, "modified", modified_discrete, 3);
+  rb_define_alias(singleton, "modified_duration", "modified");
   rb_define_singleton_method(klass, "price", price_discrete, 3);
   rb_define_alias(singleton, "value", "price");
   rb_define_singleton_method(klass, "yield_to_maturity", yield_to_maturity_discrete, 3);

data/lib/rupee/quote/source.rb

@@ -4,14 +4,14 @@ module Rupee
     class Source
       # The name of the source
       attr :name
-
+      # The full URL for where the security information is located, where
+      # <tt>%s</tt> is a query parameter
+      attr :url
       # The parameters available
       attr :params
 
-      def initialize(name, aliases = [], params = {})
-        @name = name
-        @aliases = aliases
-        @params = params
+      def initialize(name, url, params = {})
+        @name, @url, @params = name, url, params
       end
     end
 
@@ -27,7 +27,8 @@ module Rupee
         @sources ||= {}
 
         # Bloomberg
-        @sources[:bloomberg] = Source.new(:bloomberg, [:bberg, :bb, :b], 
+        @sources[:bloomberg] = Source.new(:bloomberg,
+          "http://www.bloomberg.com/apps/quote?ticker=%s",
           :price => /(?:PRICE|VALUE): <span class="amount">([0-9.,NA-]{1,})/,
           :change => /Change<\/td>\n<td class="value[^>]+>([0-9.,NA-]{1,})/,
           :pct_change => /Change<\/td>\n<td class="value[^>]+>[0-9.,NA-]{1,} \(([0-9NA.,-]{1,})\%/,
@@ -41,8 +42,8 @@ module Rupee
           :volume => /Volume<\/td>\n<td class="value[^>]+>([0-9.,NA-]{1,})/,
           :mkt_cap => /Market Cap[^<]+<\/td>\n<td class="value">([0-9.,NA-]{1,})/,
           :p_e     => /Price\/Earnings[^<]+<\/td>\n<td class="value">([0-9.,NA-]{1,})/)
-        @sources[:yahoo] = Source.new(:yahoo)
-        @sources[:google] = Source.new(:google)
+        @sources[:yahoo] = Source.new(:yahoo, "yahoo.com")
+        @sources[:google] = Source.new(:google, "google.com")
         @default_source = :bloomberg
       end
     end

data/lib/rupee/quote.rb

@@ -49,7 +49,7 @@ module Rupee
     def initialize(ticker, opts = {})
       opts = { :source => :bloomberg, :frequency => 15 }.merge opts
       @ticker = ticker
-      @source = shorten_source(Quote.sources[opts[:source]])
+      @source = Quote.sources[opts[:source]]
       @frequency = opts[:frequency]
       @next_pull = Time.now
     end
@@ -61,10 +61,9 @@ module Rupee
 
       if now >= @next_pull
         @next_pull = now + @frequency
-        url = BLOOMBERG_URL % ticker
         @results = {}
-        url = URI.parse(url)
-        @html = Net::HTTP.start(url.host, url.port) do |http|
+        url = URI.parse(@source.url % ticker)
+        html = Net::HTTP.start(url.host, url.port) do |http|
           http.get url.request_uri
         end.body
 
@@ -84,9 +83,9 @@ module Rupee
       end
     end
 
-    # call-seq: Rupee#price
+    # call-seq: #price
     #
-    # Blah
+    # Test
     [:price, :change, :pct_change, :date, :time, :bid, :ask, :open, :high,
       :low, :volume, :mkt_cap, :p_e].each do |method_name|
       define_method method_name do
@@ -101,21 +100,6 @@ module Rupee
 
     private
 
-    # The URL for Bloomberg's quotes service
-    BLOOMBERG_URL = "http://www.bloomberg.com/apps/quote?ticker=%s"
-
-    # Returns an intepretation of an abbreviated source name
-    def shorten_source(source)
-      case source.downcase.to_sym
-      when :"", :bloomberg, :bberg, :bb, :b
-        :bloomberg
-      when :google, :goog, :g
-        :google
-      when :yahoo!, :yahoo, :yhoo, :y!, :y
-        :yahoo
-      end
-    end
-
     # Parses an object that might be a number
     #
     #   parse "15"  #=> 15

data/lib/rupee/version.rb

@@ -1,4 +1,4 @@
 module Rupee
   # The current version
-  VERSION = "0.1.5"
+  VERSION = "0.1.6"
 end

data/rupee.gemspec

@@ -3,25 +3,27 @@ $:.push File.expand_path("../lib", __FILE__)
 require "rupee/version"
 
 Gem::Specification.new do |s|
-  s.name              = "rupee"
-  s.version           = Rupee::VERSION
-  s.authors           = ["Bryan McKelvey"]
-  s.email             = ["bryan.mckelvey@gmail.com"]
-  s.homepage          = "https://github.com/brymck/rupee"
-  s.summary           = "Financial tools for Ruby"
-  s.description       = "rupee aims to provide user-friendly tools for use in financial gems and applications."
+  s.name          = "rupee"
+  s.version       = Rupee::VERSION
+  s.authors       = ["Bryan McKelvey"]
+  s.email         = ["bryan.mckelvey@gmail.com"]
+  s.homepage      = "https://github.com/brymck/rupee"
+  s.summary       = "Financial tools for Ruby"
+  s.description   = <<-eos
+                      rupee aims to provide user-friendly tools for use in
+                      financial gems and applications.
+                    eos
 
   s.rubyforge_project = "rupee"
 
-  s.files             = `git ls-files`.split("\n")
-  s.test_files        = `git ls-files -- spec/**/*_spec.rb`.split("\n")
-  s.executables       = `git ls-files -- bin/*`.split("\n").map{ |f| File.basename(f) }
-  s.extensions        = "ext/rupee/extconf.rb"
-  s.require_paths     = ["lib", "ext"]
+  s.files         = `git ls-files`.split("\n")
+  s.test_files    = `git ls-files -- spec/**/*_spec.rb`.split("\n")
+  s.executables   = `git ls-files -- bin/*`.split("\n").map do |f|
+    File.basename(f)
+  end
+  s.extensions    = "ext/rupee/extconf.rb"
+  s.require_paths = ["lib", "ext"]
 
-  # specify any dependencies here; for example:
-  s.add_development_dependency "bundler",  "~> 1.0"
-  s.add_development_dependency "rspec",    "~> 2.0"
-  s.add_development_dependency "autotest", "~> 4.0"
-  # s.add_runtime_dependency "rest-client"
+  s.add_development_dependency "bundler",       "~> 1.0"
+  s.add_development_dependency "rspec",         "~> 2.0"
 end

data/spec/c/bond_spec.rb

@@ -1,7 +1,6 @@
 require File.dirname(__FILE__) + "/../spec_helper"
 
 # Discrete discounting
-# bond duration modified = 2.5128
 # new bond price = 100
 #Continous discounting
 # bond yield to maturity = 0.09
@@ -16,20 +15,27 @@ describe Rupee::Bond do
   end
 
   describe "with discrete discounting" do
+    before :each do
+      @price = Rupee::Bond.price(@times, @cflows, @r)
+    end
+
     it "should produce an accurate price" do
-      Rupee::Bond.price(@times, @cflows, @r).should be_within(@tolerance).of 102.531
+      @price.should be_within(@tolerance).of 102.531
     end
 
     it "should produce an accurate duration" do
       Rupee::Bond.duration(@times, @cflows, @r).should be_within(@tolerance).of 2.73895
     end
 
+    it "should produce an accurate modified duration" do
+      Rupee::Bond.modified(@times, @cflows, @price).should be_within(@tolerance).of 2.5128
+    end
+
     it "should produce an accurate convexity" do
       Rupee::Bond.convexity(@times, @cflows, @r).should be_within(@tolerance).of 8.93248
     end
 
     it "should produce an accurate yield to maturity" do
-      @price = Rupee::Bond.price(@times, @cflows, @r)
       Rupee::Bond.yield_to_maturity(@times, @cflows, @price).should be_within(@tolerance).of @r
     end
   end

data/spec/c/future_spec.rb

@@ -2,12 +2,15 @@ require File.dirname(__FILE__) + "/../spec_helper"
 
 describe Rupee::Future do
   before :each do
+    @tolerance = 0.001
     @underlying = 100
     @rfr = 0.10
     @ttm = 0.5
   end
 
   it "should produce an accurate price" do
-    Rupee::Future.price(@underlying, @rfr, @ttm).should be_within(TOLERANCE).of 105.127
+    Rupee::Future.price(@underlying, @rfr, @ttm).should(
+      be_within(@tolerance).of 105.127
+    )
   end
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: rupee
 version: !ruby/object:Gem::Version
-  version: 0.1.5
+  version: 0.1.6
   prerelease: 
 platform: ruby
 authors:
@@ -9,11 +9,11 @@ authors:
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2011-09-28 00:00:00.000000000 Z
+date: 2011-09-29 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
-  requirement: &84129210 !ruby/object:Gem::Requirement
+  requirement: &70967150 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ~>
@@ -21,10 +21,10 @@ dependencies:
         version: '1.0'
   type: :development
   prerelease: false
-  version_requirements: *84129210
+  version_requirements: *70967150
 - !ruby/object:Gem::Dependency
   name: rspec
-  requirement: &84128900 !ruby/object:Gem::Requirement
+  requirement: &70966890 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ~>
@@ -32,20 +32,9 @@ dependencies:
         version: '2.0'
   type: :development
   prerelease: false
-  version_requirements: *84128900
-- !ruby/object:Gem::Dependency
-  name: autotest
-  requirement: &84127610 !ruby/object:Gem::Requirement
-    none: false
-    requirements:
-    - - ~>
-      - !ruby/object:Gem::Version
-        version: '4.0'
-  type: :development
-  prerelease: false
-  version_requirements: *84127610
-description: rupee aims to provide user-friendly tools for use in financial gems and
-  applications.
+  version_requirements: *70966890
+description: ! "                      rupee aims to provide user-friendly tools for
+  use in\n                      financial gems and applications.\n"
 email:
 - bryan.mckelvey@gmail.com
 executables: []
@@ -53,7 +42,6 @@ extensions:
 - ext/rupee/extconf.rb
 extra_rdoc_files: []
 files:
-- .autotest
 - .gitignore
 - .rspec
 - COPYING

data/.autotest

@@ -1,2 +0,0 @@
-# ~.autotest
-require 'rubygems'