rupee 0.2.1 → 0.2.2

data/ext/rupee/rupee.h

@@ -15,10 +15,14 @@ double avg(double x, double y);
 double simple_df(double r, double time, bool discrete);
 
 /* Statistics */
+double bnd(double, double, double);
 double cnd(double);
+double cndev(double);
 double corr(double *, double *, int);
 double cov(double *, double *, int);
 double mean(double *, int);
+double nd(double);
+double pdf(double);
 double std(double *, int);
 double sum(double *, int);
 double sum_prod(double *, double *, int);
@@ -26,8 +30,20 @@ double var(double *, int);
 void init_distribution();
 
 /* Options */
-double gbs(const char *call_put_flag, double S, double X, double T, double r,
-    double b, double v);
+double bs(const char *call_put_flag, double S, double K, double T, double r,
+    double q, double v);
+double bs_gamma(const char *call_put_flag, double S, double K, double T, double r,
+    double q, double v);
+double delta(const char *call_put_flag, double S, double K, double T, double r,
+    double q, double v);
+double gbs(const char *call_put_flag, double S, double K, double T, double r,
+    double q, double v);
+double rho(const char *call_put_flag, double S, double K, double T, double r,
+    double q, double v);
+double theta(const char *call_put_flag, double S, double K, double T, double r,
+    double q, double v);
+double vega(const char *call_put_flag, double S, double K, double T, double r,
+    double q, double v);
 void init_option();
 
 /* Bonds */

data/ext/rupee/statistics.c

@@ -2,6 +2,16 @@
 
 #define PI 3.1415926536
 
+// DISTRIBUTIONS
+
+double
+bnd(x, y, rho)
+  double x, y, rho;
+{
+  return exp(-1.0 / (2.0 * (1.0 - rho * rho)) * (x * x + y * y - 2.0 * x * y * rho)) /
+    (2.0 * PI * sqrt(1.0 - rho * rho));
+}
+
 double
 cnd(z)
   double z;
@@ -31,6 +41,71 @@ cnd(z)
     return dCND;
 }
 
+double
+cndev(U)
+  double U;
+{
+  double x;
+  double r;
+
+  static const double A0 = 2.50662823884;
+  static const double A1 = -18.61500062529;
+  static const double A2 = 41.39119773534;
+  static const double A3 = -25.44106049637;
+
+  static const double B0 = -8.4735109309;
+  static const double B1 = 23.08336743743;
+  static const double B2 = -21.06224101826;
+  static const double B3 = 3.1308290983;
+
+  static const double C0 = 0.337475482272615;
+  static const double C1 = 0.976169019091719;
+  static const double C2 = 0.160797971491821;
+  static const double C3 = 2.76438810333863e-02;
+  static const double C4 = 3.8405729373609e-03;
+  static const double C5 = 3.951896511919e-04;
+  static const double C6 = 3.21767881767818e-05;
+  static const double C7 = 2.888167364e-07;
+  static const double C8 = 3.960315187e-07;
+
+  x = U - .5;
+  if (abs(x) < .92) {
+    r = x * x;
+    r = x * (((A3 * r + A2) * r + A1) * r + A0) /
+      ((((B3 * r + B2) * r + B1) * r + B0) * r + 1.0);
+    return r;
+  }
+  else {
+    if (x >= 0.0)
+      r = 1.0 - U;
+    else
+      r = U;
+
+    r = log(-log(r));
+    r = C0 + r * (C1 + r * (C2 + r * (C3 + r + (C4 +
+        r * (C5 + r * (C6 + r * (C7 + r * C8)))))));
+
+    if (x < 0.0)
+      return -r;
+    else
+      return r;
+  }
+}
+
+double
+nd(x)
+  double x;
+{
+  return exp(-x * x / 2.0) / sqrt(2.0 * PI);
+}
+
+double
+pdf(z)
+  double z;
+{
+  return exp(-(z * z) / 2) / sqrt(2 * PI);
+}
+
 double
 sum_prod(xvals, yvals, len)
   double *xvals, *yvals;
@@ -121,6 +196,23 @@ std(values, len)
   return sqrt(var(values, len));
 }
 
+/* call-seq: bnd(x, y, rho)
+ *
+ * Returns the bivariate normal distribution function
+ */
+static VALUE
+rupee_bnd(self, _x, _y, _rho)
+  VALUE self, _x, _y, _rho;
+{
+  double x, y, rho;
+
+  x = NUM2DBL(_x);
+  y = NUM2DBL(_y);
+  rho = NUM2DBL(_rho);
+
+  return rb_float_new(bnd(x, y, rho));
+}
+
 /* call-seq: cnd(z)
  *
  * Returns the standard normal cumulative distribution (has a mean of zero and
@@ -133,6 +225,17 @@ rupee_cnd(self, _z)
   return rb_float_new(cnd(NUM2DBL(_z)));
 }
 
+/* call-seq: cndev(U)
+ *
+ * Returns the inverse cumulative normal distribution function
+ */
+static VALUE
+rupee_cndev(self, _U)
+  VALUE self, _U;
+{
+  return rb_float_new(cndev(NUM2DBL(_U)));
+}
+
 /* call-seq: correlation(xvalues, yvalues)
  *
  * Returns the correlation of the supplied x- and y-values.
@@ -183,6 +286,28 @@ rupee_mean(self, _values)
   return rb_float_new(mean(values, len));
 }
 
+/* call-seq: nd(x)
+ *
+ * Returns the normal distribution function
+ */
+static VALUE
+rupee_nd(self, _x)
+  VALUE self, _x;
+{
+  return rb_float_new(nd(NUM2DBL(_x)));
+}
+
+/* call-seq: pdf(z)
+ *
+ * Returns the probability density function
+ */
+static VALUE
+rupee_pdf(self, _z)
+  VALUE self, _z;
+{
+  return rb_float_new(pdf(NUM2DBL(_z)));
+}
+
 /* call-seq: standard_deviation(values)
  *
  * Finds the standard deviation of the specified values.
@@ -243,6 +368,8 @@ init_distribution()
   klass = rb_define_class_under(module, "Statistics", rb_cObject);
   singleton = rb_singleton_class(klass);
 
+  rb_define_singleton_method(klass, "bivariate_normal_distribution", rupee_bnd, 3);
+  rb_define_alias(singleton, "bnd", "bivariate_normal_distribution");
   rb_define_singleton_method(klass, "correlation", rupee_corr, 2);
   rb_define_alias(singleton, "corr", "correlation");
   rb_define_alias(singleton, "correl", "correlation");
@@ -251,9 +378,15 @@ init_distribution()
   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, "inverse_cumulative_normal_distribution", rupee_cndev, 1);
+  rb_define_alias(singleton, "cndev", "inverse_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, "normal_distribution", rupee_cnd, 1);
+  rb_define_alias(singleton, "nd", "normal_distribution");
+  rb_define_singleton_method(klass, "probability_density_function", rupee_pdf, 1);
+  rb_define_alias(singleton, "pdf", "probability_density_function");
   rb_define_singleton_method(klass, "standard_deviation", rupee_std, 1);
   rb_define_alias(singleton, "std", "standard_deviation");
   rb_define_alias(singleton, "stdev", "standard_deviation");

data/lib/rupee.rb

@@ -19,5 +19,6 @@ require "rupee/option.rb"
 # This module contains all modules and classes associated with Rupee
 module Rupee
   # autoload :Option, "rupee/option.rb"
+  autoload :Calendar, "rupee/calendar"
   autoload :Quote, "rupee/quote"
 end

data/lib/rupee/calendar.rb

@@ -0,0 +1,238 @@
+module Rupee
+  # An object representing a calendar, for use in determining the next payout
+  # date for a cash flow. Simple example:
+  #
+  #   require "rupee/calendar"
+  #
+  #   module Rupee
+  #     class Calendar
+  #       # It's recommended that you store your calendar inside the Calendar
+  #       # class, as that way you'll have access to them as "constants." Also,
+  #       # it gives you access to the month constants (JANUARY, FEBRUARY,
+  #       # MARCH, etc.)
+  #       MyCalendar = Rupee::Calendar.new("Sample calendar")
+  #
+  #       # Weekends
+  #       MyCalendar.has_weekends_off
+  #  
+  #       # Thanksgiving (fourth Thursday of November
+  #         MyCalendar.has_day_off_on :thanksgiving do |date|
+  #         date.month == NOVEMBER && date.thursday? && week_of(date) == 4
+  #       end
+  #    
+  #       # Christmas (December 25 or nearest weekday)
+  #       MyCalendar.has_day_off_on :christmas do |date|
+  #         date.month == DECEMBER && nearest_weekday(date, 25)
+  #       end
+  #    
+  #       # New Year's Day (January 1 or next weekday)
+  #       MyCalendar.has_day_off_on :new_years do |date|
+  #         date.month == JANUARY && next_weekday(date, 1)
+  #       end
+  #     end
+  #   end
+  #
+  #   # Christmas falls on a Sunday in 2011...
+  #   Rupee::Calendar::MyCalendar.day_off?(Time.new(2011, 12, 25))
+  #   # => true
+  #    
+  #   # ... so we have the following Monday off...
+  #   Rupee::Calendar::MyCalendar.day_off?(Time.new(2011, 12, 26))
+  #   # => true
+  #    
+  #   # ...then it's back to work
+  #   Rupee::Calendar::MyCalendar.day_off?(Time.new(2011, 12, 27))
+  #   # => false
+  #
+  # You can also inherit from other calendars easily:
+  #
+  #   require "rupee/calendar"
+  #
+  #   class Rupee::Calendar
+  #     # Pirates generally observe the Federal Reserve holiday schedule
+  #     Blackbeard = US.copy
+  #
+  #     # But they do observer Talk Like a Pirate Day
+  #     Blackbeard.has_day_off_on :talk_like_a_pirate_day do |date|
+  #       date.month == SEPTEMBER && date.day == 19
+  #     end
+  #
+  #     # And curse the flag Columbus flew under
+  #     Blackbeard.remove_day_off_for :columbus_day
+  #   end
+  #
+  #   # Talk Like a Pirate Day
+  #   Rupee::Calendar::Blackbeard.day_off?(Time.new(2011, 9, 19))
+  #   # => true
+  #   Rupee::Calendar::US.day_off?(Time.new(2011, 9, 19))
+  #   # => false
+  #
+  #   # Columbus Day
+  #   Rupee::Calendar::Blackbeard.day_off?(Time.new(2011, 10, 10))
+  #   # => false
+  #   Rupee::Calendar::US.day_off?(Time.new(2011, 10, 10))
+  #   # => true
+  class Calendar
+    # A constant representing the month of January
+    JANUARY   = 1
+    # A constant representing the month of February
+    FEBRUARY  = 2
+    #  A constant representing the month of March
+    MARCH     = 3
+    # A constant representing the month of April
+    APRIL     = 4
+    # A constant representing the month of May
+    MAY       = 5
+    # A constant representing the month of June
+    JUNE      = 6
+    # A constant representing the month of July
+    JULY      = 7
+    # A constant representing the month of August
+    AUGUST    = 8
+    # A constant representing the month of September
+    SEPTEMBER = 9
+    # A constant representing the month of October
+    OCTOBER   = 10
+    # A constant representing the month of November
+    NOVEMBER  = 11
+    # A constant representing the month of December
+    DECEMBER  = 12
+
+    autoload :Japan, "rupee/calendar/japan"
+    autoload :US, "rupee/calendar/us"
+
+    # A description of the calendar
+    attr :description
+    # Functions used to determine whether a day is off
+    attr :days_off
+
+    # Builds a calendar
+    def initialize(description)
+      @description = description
+      @days_off = {}
+    end
+
+    # Makes a copy of the calendar
+    def copy
+      new_cal = Calendar.new @description.dup
+      
+      @days_off.each_pair do |key, day_off|
+        new_cal.days_off[key] = day_off
+      end
+
+      new_cal
+    end
+
+    # Provides a function telling that calendar how to evaluate whether a
+    # particular day is off. Note that within this block you can use the
+    # helper methods week_of, nearest_weekday, next_weekday and
+    # previous_weekday:
+    #
+    #   # Thanksgiving (fourth Thursday of November
+    #   MyCalendar.has_day_off_on :thanksgiving do |date|
+    #     date.month == NOVEMBER && date.thursday? && week_of(date) == 4
+    #   end
+    #
+    #   # Christmas (December 25 or nearest weekday)
+    #   MyCalendar.has_day_off_on :christmas do |date|
+    #     date.month == DECEMBER && nearest_weekday(date, 25)
+    #   end
+    #
+    #   # New Year's Day (January 1 or next weekday)
+    #   MyCalendar.has_day_off_on :new_years do |date|
+    #     date.month == JANUARY && next_weekday(date, 1)
+    #   end
+    def has_day_off_on(key, &block)
+      @days_off[key] = block
+    end
+
+    # Removes the day off for the specified key
+    def remove_day_off_for(key)
+      @days_off.delete key
+    end
+
+    # A simple helper method for the commonality among most countries that
+    # weekends are not workdays or trading days:
+    #
+    #   MyCalendar.has_weekends_off
+    def has_weekends_off
+      @days_off[:weekends] = Proc.new do |date|
+        date.saturday? || date.sunday?
+      end
+    end
+
+    # Returns true if the specified date is a holiday or day off
+    def day_off?(date)
+      @days_off.each_value do |day_off|
+        return true if day_off.call(date)
+      end
+
+      false
+    end
+
+    class << self
+      # Calculates the week of the month in which the given date falls
+      def week_of(date)
+        (date.day - 1) / 7 + 1
+      end
+
+      # Whether the provided date falls in the last week of the month
+      def last_week?(date)
+        case date.month
+        when 9, 4, 6, 11
+          # Thirty days hath September
+          # April, June and November
+          date.day > 23
+        when 1, 3, 5, 7, 8, 10, 12
+          # All the rest have thirty-one
+          date.day > 24
+        when 2
+          # Save February, with twenty-eight days clear
+          # And twenty-nine each leap year ;)
+          date.day > (date.year % 4 == 0 && date.year % 100 != 0) ? 22 : 21
+        end
+      end
+
+      # Calculates whether the provided date is the nearest weekday relative
+      # to the provided day of the month
+      def nearest_weekday(date, day)
+        case date.wday
+        when 1     # Monday
+          date.day.between?(day, day + 1)
+        when 5     # Friday
+          date.day.between?(day - 1, day)
+        when 0, 6  # Weekends
+          false
+        else       # Tuesday - Thursday
+          date.day == day
+        end
+      end
+      
+      # Calculates whether the provided date is the nearest weekday relative
+      # to the provided day of the month
+      def next_weekday(date, day)
+        case date.wday
+        when 1     # Monday
+          date.day.between?(day, day + 2)
+        when 0, 6  # Weekends
+          false
+        else       # Tuesday - Friday
+          date.day == day
+        end
+      end
+
+      # Calculates whether the provided date is the nearest weekday relative
+      # to the provided day of the month
+      def previous_weekday(date, day)
+        case date.wday
+        when 5     # Friday
+          date.day.between?(day - 2, day)
+        when 0, 6  # Weekends
+          false
+        else       # Monday - Thursday
+          date.day == day
+        end
+      end
+    end
+  end
+end