rupee 0.1.7 → 0.1.8

data/ext/rupee/rupee.h

@@ -16,7 +16,13 @@ double simple_df(double r, double time, bool discrete);
 
 /* Statistics */
 double cnd(double);
+double corr(double *, double *, int);
+double cov(double *, double *, int);
+double mean(double *, int);
 double std(double *, int);
+double sum(double *, int);
+double sum_prod(double *, double *, int);
+double var(double *, int);
 void init_distribution();
 
 /* Options */

data/ext/rupee/statistics.c

@@ -32,35 +32,93 @@ cnd(z)
 }
 
 double
-mean(values, len)
-  double *values;
+sum_prod(xvals, yvals, len)
+  double *xvals, *yvals;
   int len;
 {
   double result;
   int i;
+
   result = 0;
-  
+
   for (i = 0; i < len; i++)
-    result += values[i];
+    result += xvals[i] * yvals[i];
+
+  return result;
+}
+
+double
+corr(xvals, yvals, len)
+  double *xvals, *yvals;
+  int len;
+{
+  return cov(xvals, yvals, len) / std(xvals, len) / std(yvals, len);
+}
+
+double
+cov(xvals, yvals, len)
+  double *xvals, *yvals;
+  int len;
+{
+  double result, x_bar, y_bar;
+  int i;
+
+  result = 0;
+  x_bar = mean(xvals, len);
+  y_bar = mean(yvals, len);
+
+  for (i = 0; i < len; i++)
+    result += (xvals[i] - x_bar) * (yvals[i] - y_bar);
 
   return result / len;
 }
 
 double
-std(values, len)
+var(values, len)
   double *values;
   int len;
 {
-  double bar_x, result;
+  double x_bar, result;
   int i;
   result = 0;
 
-  bar_x = mean(values, len);
+  x_bar = mean(values, len);
 
   for (i = 0; i < len; i++)
-    result += pow(values[i] - bar_x, 2);
+    result += pow(values[i] - x_bar, 2);
 
-  return sqrt(result / (len - 1));
+  return result / len;
+}
+
+double
+sum(values, len)
+  double *values;
+  int len;
+{
+  double result;
+  int i;
+  result = 0;
+
+  for (i = 0; i < len; i++)
+    result += values[i];
+  
+  return result;
+}
+
+double
+mean(values, len)
+  double *values;
+  int len;
+{
+  return sum(values, len) / len;
+}
+
+double
+std(values, len)
+  double *values;
+  int len;
+{
+  return sqrt(var(values, len));
 }
 
 /* call-seq: cnd(z)
@@ -79,18 +137,80 @@ rupee_cnd(self, _z)
   return rb_float_new(cnd(NUM2DBL(_z)));
 }
 
+static VALUE
+rupee_corr(self, _xvals, _yvals)
+  VALUE self, _xvals, _yvals;
+{
+  int len = RARRAY_LEN(_xvals);
+  double xvals[len], yvals[len];
+
+  rtofa(xvals, _xvals, len);
+  rtofa(yvals, _yvals, len);
+
+  return rb_float_new(corr(xvals, yvals, len));
+}
+
+static VALUE
+rupee_cov(self, _xvals, _yvals)
+  VALUE self, _xvals, _yvals;
+{
+  int len = RARRAY_LEN(_xvals);
+  double xvals[len], yvals[len];
+
+  rtofa(xvals, _xvals, len);
+  rtofa(yvals, _yvals, len);
+
+  return rb_float_new(cov(xvals, yvals, len));
+}
+
+static VALUE
+rupee_mean(self, _values)
+  VALUE self, _values;
+{
+  int len = RARRAY_LEN(_values);
+  double values[len];
+
+  rtofa(values, _values, len);
+
+  return rb_float_new(mean(values, len));
+}
+
 static VALUE
 rupee_std(self, _values)
   VALUE self, _values;
 {
   int len = RARRAY_LEN(_values);
-  double *values;
+  double values[len];
 
   rtofa(values, _values, len);
 
   return rb_float_new(std(values, len));
 }
 
+static VALUE
+rupee_sum(self, _values)
+  VALUE self, _values;
+{
+  int len = RARRAY_LEN(_values);
+  double values[len];
+
+  rtofa(values, _values, len);
+
+  return rb_float_new(sum(values, len));
+}
+
+static VALUE
+rupee_var(self, _values)
+  VALUE self, _values;
+{
+  int len = RARRAY_LEN(_values);
+  double values[len];
+
+  rtofa(values, _values, len);
+
+  return rb_float_new(var(values, len));
+}
+
 void
 init_distribution()
 {
@@ -103,9 +223,21 @@ init_distribution()
   klass = rb_define_class_under(module, "Statistics", rb_cObject);
   singleton = rb_singleton_class(klass);
 
+  rb_define_singleton_method(klass, "correlation", rupee_corr, 2);
+  rb_define_alias(singleton, "corr", "correlation");
+  rb_define_alias(singleton, "correl", "correlation");
+  rb_define_singleton_method(klass, "covariance", rupee_cov, 2);
+  rb_define_alias(singleton, "cov", "covariance");
+  rb_define_alias(singleton, "covar", "covariance");
   rb_define_singleton_method(klass, "cumulative_normal_distribution", rupee_cnd, 1);
   rb_define_alias(singleton, "cnd", "cumulative_normal_distribution");
+  rb_define_singleton_method(klass, "mean", rupee_mean, 1);
+  rb_define_alias(singleton, "average", "mean");
+  rb_define_alias(singleton, "avg", "mean");
   rb_define_singleton_method(klass, "standard_deviation", rupee_std, 1);
   rb_define_alias(singleton, "std", "standard_deviation");
   rb_define_alias(singleton, "stdev", "standard_deviation");
+  rb_define_singleton_method(klass, "sum", rupee_sum, 1);
+  rb_define_singleton_method(klass, "variance", rupee_var, 1);
+  rb_define_alias(singleton, "var", "variance");
 }

data/lib/rupee/version.rb

@@ -1,4 +1,4 @@
 module Rupee
   # The current version
-  VERSION = "0.1.7"
+  VERSION = "0.1.8"
 end

data/spec/c/bond_spec.rb

@@ -6,7 +6,7 @@ require File.dirname(__FILE__) + "/../spec_helper"
 # bond yield to maturity = 0.09
 # new bond price = 104.282
 
-describe Rupee::Bond do
+describe Bond do
   before :each do
     @tolerance = 0.001
     @times = [1, 2, 3]
@@ -16,7 +16,7 @@ describe Rupee::Bond do
 
   describe "with discrete discounting" do
     before :each do
-      @price = Rupee::Bond.price(@times, @cflows, @r)
+      @price = Bond.price(@times, @cflows, @r)
     end
 
     it "should produce an accurate price" do
@@ -24,38 +24,38 @@ describe Rupee::Bond do
     end
 
     it "should produce an accurate duration" do
-      Rupee::Bond.duration(@times, @cflows, @r).should be_within(@tolerance).of 2.73895
+      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
+      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
+      Bond.convexity(@times, @cflows, @r).should be_within(@tolerance).of 8.93248
     end
 
     it "should produce an accurate yield to maturity" do
-      Rupee::Bond.yield_to_maturity(@times, @cflows, @price).should be_within(@tolerance).of @r
+      Bond.yield_to_maturity(@times, @cflows, @price).should be_within(@tolerance).of @r
     end
   end
 
   describe "with continuous discounting" do
     it "should produce an accurate price" do
-      Rupee::Bond.continuous_price(@times, @cflows, @r).should be_within(@tolerance).of 101.464
+      Bond.continuous_price(@times, @cflows, @r).should be_within(@tolerance).of 101.464
     end
 
     it "should produce an accurate duration" do
-      Rupee::Bond.continuous_duration(@times, @cflows, @r).should be_within(@tolerance).of 2.73753
+      Bond.continuous_duration(@times, @cflows, @r).should be_within(@tolerance).of 2.73753
     end
 
     it "should produce an accurate convexity" do
-      Rupee::Bond.continuous_convexity(@times, @cflows, @r).should be_within(@tolerance).of 7.86779
+      Bond.continuous_convexity(@times, @cflows, @r).should be_within(@tolerance).of 7.86779
     end
 
     it "should produce an accurate yield to maturity" do
-      @price = Rupee::Bond.continuous_price(@times, @cflows, @r)
-      Rupee::Bond.continuous_yield_to_maturity(@times, @cflows, @price).should be_within(@tolerance).of @r
+      @price = Bond.continuous_price(@times, @cflows, @r)
+      Bond.continuous_yield_to_maturity(@times, @cflows, @price).should be_within(@tolerance).of @r
     end
   end
 end

data/spec/c/future_spec.rb

@@ -1,6 +1,6 @@
 require File.dirname(__FILE__) + "/../spec_helper"
 
-describe Rupee::Future do
+describe Future do
   before :each do
     @tolerance = 0.001
     @underlying = 100
@@ -9,7 +9,7 @@ describe Rupee::Future do
   end
 
   it "should produce an accurate price" do
-    Rupee::Future.price(@underlying, @rfr, @ttm).should(
+    Future.price(@underlying, @rfr, @ttm).should(
       be_within(@tolerance).of 105.127
     )
   end

data/spec/c/option_spec.rb

@@ -1,10 +1,10 @@
 require File.dirname(__FILE__) + "/../spec_helper"
 
-describe Rupee::Option do
+describe Option do
   describe "European option valuation" do
     before :each do
       @tolerance = 0.0001
-      @call = Rupee::Option.new(
+      @call = Option.new(
         :underlying => 60,
         :strike     => 65,
         :time       => 0.25,
@@ -17,11 +17,11 @@ describe Rupee::Option do
     describe "using the Black-76 model" do
       describe "on a call option of price $60, strike $65, time to expiry 0.25, risk-free rate 8%, and volatility 30%" do
         it "should return $1.7202 for a call" do
-          Rupee::Option.black76("c", 60, 65, 0.25, 0.08, 0.3).should be_within(@tolerance).of 1.7202
+          Option.black76("c", 60, 65, 0.25, 0.08, 0.3).should be_within(@tolerance).of 1.7202
         end
 
         it "should return $6.6212 for a put" do
-          Rupee::Option.black76("p", 60, 65, 0.25, 0.08, 0.3).should be_within(@tolerance).of 6.6212
+          Option.black76("p", 60, 65, 0.25, 0.08, 0.3).should be_within(@tolerance).of 6.6212
         end
       end
     end
@@ -29,13 +29,13 @@ describe Rupee::Option do
     describe "using the generalized Black-Scholes model" do
       describe "on a call option of price $60, strike $65, time to expiry 0.25, risk-free rate 8%, and volatility 30%" do
         it "should return $1.7202 for a call" do
-          Rupee::Option.generalized_black_scholes("c", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 1.7202
-          Rupee::Option.gbs("c", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 1.7202
+          Option.generalized_black_scholes("c", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 1.7202
+          Option.gbs("c", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 1.7202
         end
 
         it "should return $6.6212 for a put" do
-          Rupee::Option.generalized_black_scholes("p", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 6.6212
-          Rupee::Option.gbs("p", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 6.6212
+          Option.generalized_black_scholes("p", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 6.6212
+          Option.gbs("p", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 6.6212
         end
       end
     end
@@ -43,14 +43,14 @@ describe Rupee::Option do
     describe "using the Black-Scholes model" do
       describe "on a call option of price $60, strike $65, time to expiry 0.25, risk-free rate 8%, and volatility 30%" do
         it "should return $1.7202 for a call" do
-          Rupee::Option.black_scholes("c", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 2.1334
-          Rupee::Option.bs("c", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 2.1334
+          Option.black_scholes("c", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 2.1334
+          Option.bs("c", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 2.1334
           @call.black_scholes.should be_within(@tolerance).of 2.1334
         end
 
         it "should return $6.6212 for a put" do
-          Rupee::Option.black_scholes("p", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 5.8463
-          Rupee::Option.bs("p", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 5.8463
+          Option.black_scholes("p", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 5.8463
+          Option.bs("p", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 5.8463
         end
       end
     end

data/spec/c/statistics_spec.rb

@@ -1,7 +1,49 @@
 require File.dirname(__FILE__) + "/../spec_helper"
 
-describe Rupee::Statistics do
-  it "cumulative normal distribution should return 50% for 0" do
-    Rupee::Statistics.cnd(0).round(4).should == 0.5
+describe Statistics do
+  before :each do
+    @tolerance = 0.0001
+    @values = [0, 1, 2, 3, 4]
+    @more_values = [0, 1, 2, 4, 8]
+  end
+
+  it "should return an accurate cumulative normal distribution" do
+    @result = Statistics.cnd(0)
+    @result.should be_within(@tolerance).of 0.5
+    Statistics.cumulative_normal_distribution(0).should == @result
+  end
+
+  it "should return an accurate sum" do
+    Statistics.sum(@values).should == 10
+  end
+
+  it "should return an accurate mean" do
+    Statistics.mean(@values).should == 2
+    Statistics.average(@values).should == 2
+    Statistics.avg(@values).should == 2
+  end
+
+  it "should return an accurate standard deviation" do
+    @result = Statistics.standard_deviation(@values)
+    @result.should be_within(@tolerance).of 1.4142
+    Statistics.std(@values).should == @result
+    Statistics.stdev(@values).should == @result
+  end
+
+  it "should return an accurate variance" do
+    Statistics.variance(@values).should == 2
+    Statistics.var(@values).should == 2
+  end
+
+  it "should return an accurate covariance" do
+    Statistics.covariance(@values, @more_values).should == 3.8
+    Statistics.cov(@values, @more_values).should == 3.8
+    Statistics.covar(@values, @more_values).should == 3.8
+  end
+
+  it "should return an accurate correlation" do
+    Statistics.correlation(@values, @more_values).should == 0.95
+    Statistics.corr(@values, @more_values).should == 0.95
+    Statistics.correl(@values, @more_values).should == 0.95
   end
 end

data/spec/import/quote_spec.rb

@@ -1,14 +1,14 @@
 require File.dirname(__FILE__) + "/../spec_helper"
 
-describe Rupee::Quote do
+describe Quote do
   it "should automatically have a Bloomberg source" do
-    Rupee::Quote.sources.should include :bloomberg
+    Quote.sources.should include :bloomberg
   end
 
   describe "when pulling quotes" do
     describe "without any parameters specified" do
       before :each do
-        @wfc = Rupee::Quote.new("WFC")
+        @wfc = Quote.new("WFC")
       end
 
       it "should default to pulling the price" do

data/spec/spec_helper.rb

@@ -1,2 +1,3 @@
 $:.unshift File.join(File.dirname(__FILE__), *%w[.. lib])
 require "rupee"
+include Rupee

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: rupee
 version: !ruby/object:Gem::Version
-  version: 0.1.7
+  version: 0.1.8
   prerelease: 
 platform: ruby
 authors:
@@ -13,7 +13,7 @@ date: 2011-09-29 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
-  requirement: &68970630 !ruby/object:Gem::Requirement
+  requirement: &85358040 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ~>
@@ -21,10 +21,10 @@ dependencies:
         version: '1.0'
   type: :development
   prerelease: false
-  version_requirements: *68970630
+  version_requirements: *85358040
 - !ruby/object:Gem::Dependency
   name: rspec
-  requirement: &68970360 !ruby/object:Gem::Requirement
+  requirement: &85357630 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ~>
@@ -32,7 +32,7 @@ dependencies:
         version: '2.0'
   type: :development
   prerelease: false
-  version_requirements: *68970360
+  version_requirements: *85357630
 description: ! "                      rupee aims to provide user-friendly tools for
   use in\n                      financial gems and applications.\n"
 email: