rupee 0.1.8 → 0.1.9
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- data/.gitignore +1 -0
- data/README.rdoc +24 -2
- data/Rakefile +14 -0
- data/lib/rupee/version.rb +1 -1
- data/rupee.gemspec +3 -2
- data/spec/{c → native}/bond_spec.rb +0 -0
- data/spec/{c → native}/future_spec.rb +0 -0
- data/spec/{c → native}/option_spec.rb +0 -0
- data/spec/{c → native}/statistics_spec.rb +0 -0
- data/tasks/benchmark.rake +41 -42
- data/test_rubies +21 -0
- metadata +25 -14
- data/COPYING +0 -19
data/.gitignore
CHANGED
data/README.rdoc
CHANGED
@@ -79,9 +79,9 @@ call option with Black-Scholes 100,000 times. You can test the same on yours
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with rake, but in any case it makes the point that for the mathematical side
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of finance a native extension has substantial benefits:
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-
rake benchmark
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+
rake benchmark
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-
Results:
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+
Results for Black-Scholes:
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85
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user system total real
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Rupee (class): 0.190000 0.000000 0.190000 ( 0.194001)
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@@ -102,3 +102,25 @@ However, if you're creating and reusing an object, I strongly recommend
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preserving the object orientation of Ruby: the penalty for using a new instance
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rather than calling the class method directly is almost entirely in the object
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initialization itself.
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+
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+
== License
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+
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Copyright (c) 2011 Bryan McKelvey
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+
Permission is hereby granted, free of charge, to any person obtaining a copy of
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this software and associated documentation files (the "Software"), to deal in
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+
the Software without restriction, including without limitation the rights to
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use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies
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+
of the Software, and to permit persons to whom the Software is furnished to do
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+
so, subject to the following conditions:
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+
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+
The above copyright notice and this permission notice shall be included in all
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+
copies or substantial portions of the Software.
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+
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+
THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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+
IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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+
FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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+
AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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+
LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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+
OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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+
SOFTWARE.
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data/Rakefile
CHANGED
@@ -1,5 +1,19 @@
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1
1
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require "bundler/gem_tasks"
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2
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+
require "rdoc/task"
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+
require "sdoc"
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4
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3
5
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Dir["tasks/**/*.rake"].each do |rake|
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load File.expand_path(rake)
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7
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end
|
8
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+
|
9
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+
RDoc::Task.new do |rdoc|
|
10
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+
rdoc.main = "README.rdoc"
|
11
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+
rdoc.rdoc_dir = "doc"
|
12
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+
rdoc.rdoc_files.include "README.rdoc"
|
13
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+
rdoc.rdoc_files.include "ext/**/*.{c, h, rb}"
|
14
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+
rdoc.rdoc_files.include "lib/**/*.rb"
|
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+
rdoc.options << "-f" << "sdoc"
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+
rdoc.options << "-c" << "utf-8"
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+
rdoc.options << "-g"
|
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+
rdoc.options << "-m" << "README.rdoc"
|
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+
end
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data/lib/rupee/version.rb
CHANGED
data/rupee.gemspec
CHANGED
@@ -24,6 +24,7 @@ Gem::Specification.new do |s|
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24
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s.extensions = "ext/rupee/extconf.rb"
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25
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s.require_paths = ["lib", "ext"]
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26
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27
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-
s.add_development_dependency "bundler",
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-
s.add_development_dependency "rspec",
|
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+
s.add_development_dependency "bundler", "~> 1.0"
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+
s.add_development_dependency "rspec", "~> 2.0"
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+
s.add_development_dependency "sdoc", "~> 0.3"
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end
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File without changes
|
File without changes
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File without changes
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File without changes
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data/tasks/benchmark.rake
CHANGED
@@ -1,53 +1,52 @@
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1
1
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autoload :Benchmark, "benchmark"
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2
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-
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-
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-
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-
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-
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-
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-
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-
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-
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-
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-
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-
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15
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-
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-
end
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3
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+
desc "Run some tests comparing native C implementations vs pure Ruby"
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+
task :benchmark do
|
5
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+
require "rupee"
|
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+
require "rupee/benchmark"
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7
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+
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8
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+
n = 100_000
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9
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+
|
10
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puts "Black-Scholes (#{n.to_s.gsub /(\d)(?=(\d\d\d)+(?!\d))/, "\\1,"} times)"
|
11
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+
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+
Benchmark.bm(19) do |x|
|
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+
x.report "Rupee (class):" do
|
14
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n.times do
|
15
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+
Rupee::Option.black_scholes "c", 60, 65, 0.25, 0.08, 0, 0.3
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17
16
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end
|
17
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+
end
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18
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-
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-
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-
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-
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-
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-
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-
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-
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-
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-
end
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+
x.report "Rupee (one object):" do
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call = Rupee::Call.new(
|
21
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+
:underlying => 60,
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+
:strike => 65,
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+
:time => 0.25,
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+
:rate => 0.08,
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25
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+
:div_yield => 0.00,
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26
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+
:volatility => 0.3
|
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+
)
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+
|
29
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n.times do
|
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+
call.black_scholes
|
32
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end
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+
end
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-
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-
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-
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-
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-
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-
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-
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-
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-
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-
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-
end
|
34
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+
x.report "Rupee (new object):" do
|
35
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+
n.times do
|
36
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+
Rupee::Call.new(
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+
:underlying => 60,
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+
:strike => 65,
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+
:time => 0.25,
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40
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+
:rate => 0.08,
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+
:div_yield => 0.00,
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+
:volatility => 0.3
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+
).black_scholes
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44
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end
|
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+
end
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-
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-
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-
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-
end
|
47
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+
x.report("Pure Ruby:") do
|
48
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+
n.times do
|
49
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+
Rupee::Benchmark.black_scholes "c", 60, 65, 0.25, 0.08, 0.3
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end
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51
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end
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end
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data/test_rubies
ADDED
@@ -0,0 +1,21 @@
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|
1
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+
#!/bin/bash
|
2
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+
echo "Installing and running RSpec tests on all supported Rubies..."
|
3
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+
|
4
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+
# Save current Ruby in use under RVM
|
5
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+
CURRENT=`rvm current`
|
6
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+
|
7
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+
# Prints the name of the Ruby, sets it to use under RVM, installs, tests
|
8
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+
function test_ruby {
|
9
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+
echo -e "\n\033[1m$1\033[0m"
|
10
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+
rvm use $1
|
11
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+
rake install
|
12
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+
rspec spec
|
13
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+
}
|
14
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+
|
15
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+
# Run tests on these versions
|
16
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+
test_ruby 1.8.7
|
17
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+
test_ruby 1.9.2
|
18
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+
test_ruby 1.9.3
|
19
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+
|
20
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+
# Restore original Ruby in use
|
21
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+
rvm use $CURRENT
|
metadata
CHANGED
@@ -1,7 +1,7 @@
|
|
1
1
|
--- !ruby/object:Gem::Specification
|
2
2
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name: rupee
|
3
3
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version: !ruby/object:Gem::Version
|
4
|
-
version: 0.1.
|
4
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+
version: 0.1.9
|
5
5
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prerelease:
|
6
6
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platform: ruby
|
7
7
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authors:
|
@@ -13,7 +13,7 @@ date: 2011-09-29 00:00:00.000000000 Z
|
|
13
13
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dependencies:
|
14
14
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- !ruby/object:Gem::Dependency
|
15
15
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name: bundler
|
16
|
-
requirement: &
|
16
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+
requirement: &72675190 !ruby/object:Gem::Requirement
|
17
17
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none: false
|
18
18
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requirements:
|
19
19
|
- - ~>
|
@@ -21,10 +21,10 @@ dependencies:
|
|
21
21
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version: '1.0'
|
22
22
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type: :development
|
23
23
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prerelease: false
|
24
|
-
version_requirements: *
|
24
|
+
version_requirements: *72675190
|
25
25
|
- !ruby/object:Gem::Dependency
|
26
26
|
name: rspec
|
27
|
-
requirement: &
|
27
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+
requirement: &72674810 !ruby/object:Gem::Requirement
|
28
28
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none: false
|
29
29
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requirements:
|
30
30
|
- - ~>
|
@@ -32,7 +32,18 @@ dependencies:
|
|
32
32
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version: '2.0'
|
33
33
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type: :development
|
34
34
|
prerelease: false
|
35
|
-
version_requirements: *
|
35
|
+
version_requirements: *72674810
|
36
|
+
- !ruby/object:Gem::Dependency
|
37
|
+
name: sdoc
|
38
|
+
requirement: &72674470 !ruby/object:Gem::Requirement
|
39
|
+
none: false
|
40
|
+
requirements:
|
41
|
+
- - ~>
|
42
|
+
- !ruby/object:Gem::Version
|
43
|
+
version: '0.3'
|
44
|
+
type: :development
|
45
|
+
prerelease: false
|
46
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+
version_requirements: *72674470
|
36
47
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description: ! " rupee aims to provide user-friendly tools for
|
37
48
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use in\n financial gems and applications.\n"
|
38
49
|
email:
|
@@ -45,7 +56,6 @@ files:
|
|
45
56
|
- .autotest
|
46
57
|
- .gitignore
|
47
58
|
- .rspec
|
48
|
-
- COPYING
|
49
59
|
- Gemfile
|
50
60
|
- README.rdoc
|
51
61
|
- Rakefile
|
@@ -65,13 +75,14 @@ files:
|
|
65
75
|
- lib/rupee/security.rb
|
66
76
|
- lib/rupee/version.rb
|
67
77
|
- rupee.gemspec
|
68
|
-
- spec/c/bond_spec.rb
|
69
|
-
- spec/c/future_spec.rb
|
70
|
-
- spec/c/option_spec.rb
|
71
|
-
- spec/c/statistics_spec.rb
|
72
78
|
- spec/import/quote_spec.rb
|
79
|
+
- spec/native/bond_spec.rb
|
80
|
+
- spec/native/future_spec.rb
|
81
|
+
- spec/native/option_spec.rb
|
82
|
+
- spec/native/statistics_spec.rb
|
73
83
|
- spec/spec_helper.rb
|
74
84
|
- tasks/benchmark.rake
|
85
|
+
- test_rubies
|
75
86
|
homepage: https://github.com/brymck/rupee
|
76
87
|
licenses: []
|
77
88
|
post_install_message:
|
@@ -98,8 +109,8 @@ signing_key:
|
|
98
109
|
specification_version: 3
|
99
110
|
summary: Financial tools for Ruby
|
100
111
|
test_files:
|
101
|
-
- spec/c/bond_spec.rb
|
102
|
-
- spec/c/future_spec.rb
|
103
|
-
- spec/c/option_spec.rb
|
104
|
-
- spec/c/statistics_spec.rb
|
105
112
|
- spec/import/quote_spec.rb
|
113
|
+
- spec/native/bond_spec.rb
|
114
|
+
- spec/native/future_spec.rb
|
115
|
+
- spec/native/option_spec.rb
|
116
|
+
- spec/native/statistics_spec.rb
|
data/COPYING
DELETED
@@ -1,19 +0,0 @@
|
|
1
|
-
Copyright (c) 2011 Bryan McKelvey
|
2
|
-
|
3
|
-
Permission is hereby granted, free of charge, to any person obtaining a copy of
|
4
|
-
this software and associated documentation files (the "Software"), to deal in
|
5
|
-
the Software without restriction, including without limitation the rights to
|
6
|
-
use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies
|
7
|
-
of the Software, and to permit persons to whom the Software is furnished to do
|
8
|
-
so, subject to the following conditions:
|
9
|
-
|
10
|
-
The above copyright notice and this permission notice shall be included in all
|
11
|
-
copies or substantial portions of the Software.
|
12
|
-
|
13
|
-
THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
|
14
|
-
IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
|
15
|
-
FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
|
16
|
-
AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
|
17
|
-
LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
|
18
|
-
OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
|
19
|
-
SOFTWARE.
|