rupee 0.2.1 → 0.2.2

data/lib/rupee/calendar/japan.rb

@@ -0,0 +1,54 @@
+module Rupee
+  class Calendar
+    # The national Japanese calendar
+    Japan = Calendar.new("The national Japanese calendar")
+
+    # Weekends
+    Japan.has_weekends_off
+
+    # Fixed and solar holidays
+    Japan.has_day_off_when do |date|
+      case date.month
+      when JANUARY
+        # New Year's Day
+        date.day == 1
+      when FEBRUARY
+        # National Foundation Day
+        date.day == 11
+      when MARCH
+        # Vernal Equinox Day
+        date.day == 20
+      when APRIL
+        # Showa Day
+        date.day == 29
+      when MAY
+        # Golden Week: Constitution Memorial Day, Greenery Day and Children's
+        # Day, respectively
+        date.day.between?(3, 5)
+      when SEPTEMBER
+        # Autumnal Equinox Day
+        date.day == 23
+      when NOVEMBER
+        # Culture Day and Labour Thanksgiving Day
+        date.day == 3 || date.day == 23
+      when DECEMBER
+        # Emperor's Birthday
+        date.day == 23
+      end
+    end
+
+    # Mondays
+    Japan.has_day_off_when do |date|
+      if date.monday?
+        case date.month
+        when JANUARY, OCTOBER
+          # Coming of Age Day, Health and Sports Day
+          week_of(date) == 2
+        when JULY, SEPTEMBER
+          # Marine Day, Respect-for-the-Aged Day
+          week_of(date) == 3
+        end
+      end
+    end
+  end
+end

data/lib/rupee/calendar/us.rb

@@ -0,0 +1,59 @@
+module Rupee
+  class Calendar
+    # The US Federal Reserve calendar
+    US = Calendar.new("The Federal Reserve Calendar")
+
+    # Weekends
+    US.has_weekends_off
+
+    # New Year's Day (January 1)
+    US.has_day_off_on :new_years do |date|
+      date.month == JANUARY && next_weekday(date, 1)
+    end
+
+    # Martin Luther King, Jr.'s Birthday (third Monday of January)
+    US.has_day_off_on :mlk_day do |date|
+      date.month == JANUARY && date.monday? && week_of(date) == 3
+    end
+
+    # Washington's Birthday (third Monday of February)
+    US.has_day_off_on :washingtons_day do |date|
+      date.month == FEBRUARY && date.monday? && week_of(date) == 3
+    end
+
+    # Memorial Day (last Monday of May)
+    US.has_day_off_on :memorial_day do |date|
+      date.month == MAY && date.monday? && last_week?(date)
+    end
+
+    # Independence Day (July 4)
+    US.has_day_off_on :independence_day do |date|
+      date.month == JULY && nearest_weekday(date, 4)
+    end
+
+    # Labor Day (first Monday of September)
+    US.has_day_off_on :labor_day do |date|
+      date.month == SEPTEMBER && date.monday? && week_of(date) == 1
+    end
+
+    # Columbus Day (second Monday of October)
+    US.has_day_off_on :columbus_day do |date|
+      date.month == OCTOBER && date.monday? && week_of(date) == 2
+    end
+
+    # Veterans Day (November 11)
+    US.has_day_off_on :veterans_day do |date|
+      date.month == NOVEMBER && nearest_weekday(date, 11)
+    end
+
+    # Thanksgiving Day (fourth Thursday of November)
+    US.has_day_off_on :thanksgiving do |date|
+      date.month == NOVEMBER && date.thursday? && week_of(date) == 4
+    end
+
+    # Christmas Day (December 25)
+    US.has_day_off_on :christmas do |date|
+      date.month == DECEMBER && nearest_weekday(date, 25)
+    end
+  end
+end

data/lib/rupee/option.rb

@@ -27,6 +27,14 @@ module Rupee
       @value = self.class.black_scholes @type.to_s, @underlying, @strike,
         @time, @rate, @div_yield, @volatility
     end
+    
+    [:charm, :color, :delta, :dual_delta, :dual_gamma, :dvega_dtime, :gamma,
+      :rho, :speed, :theta, :vanna, :vega, :vomma, :zomma].each do |method_name|
+      define_method method_name do
+        self.class.send method_name, @type, @underlying, @strike, @time,
+          @rate, @div_yield, @volatility
+      end
+    end
   end
 
   # The same thing as Rupee::Option, but with the <tt>:type</tt> flag set to

data/lib/rupee/quote.rb

@@ -44,6 +44,9 @@ module Rupee
     # Configuration options
     #
     # * <tt>:source</tt> - The name of the source (default is +:bloomberg+).
+    #   * <tt>:bloomberg</tt> - The Bloomberg quote service
+    #   * <tt>:google</tt> - The Google Finance quote service
+    #   * <tt>:yahoo</tt> - The Yahoo! quote service
     # * <tt>:frequency</tt> - How often the quote will seek new values from the
     #   quote source, in seconds (default is +15+).
     def initialize(ticker, opts = {})
@@ -54,7 +57,10 @@ module Rupee
       @next_pull = Time.now
     end
 
-    # Retrieves the current price of a security
+    # Retrieves the current information for a security
+    #
+    #   Rupee::Quote.new("WFC").get :price, :change, :pct_chg
+    #   #=> {:price=>24.96, :change=>0.17, :pct_chg =>0.686}
     def get(*params)
       now = Time.now
       params = [:price] if params.empty?
@@ -83,6 +89,12 @@ module Rupee
       end
     end
 
+    # Retrieves the current information for a security
+    #
+    #   Rupee::Quote.new("WFC")[:price, :change, :pct_chg]
+    #   #=> {:price=>24.96, :change=>0.17, :pct_chg =>0.686}
+    alias :[] :get
+
     # call-seq: #price
     #
     # Test
@@ -95,22 +107,39 @@ module Rupee
 
     # The bid-ask spread
     def bid_ask
-      b, a = bid, ask
+      diff bid, ask
+    end
 
-      if b.nil? || a.nil?
-        nil
-      else
-        (a - b).round precision(a, b)
-      end
+    # The daily trading range
+    def range
+      diff low, high
     end
 
-    def frequency=(x) # :nodoc:
+    # The daily trading range
+    alias :trading_range :range
+
+    # The setter method for <tt>frequency</tt> also adjusts <tt>next_pull</tt>,
+    # such that if you change <tt>frequency</tt> from <tt>15</tt> to
+    # <tt>5</tt>, <tt>next_pull</tt> will move 10 seconds earlier.
+    def frequency=(x)
       @next_pull += (x - @frequency)
       @frequency = x
     end
 
     private
 
+    # Calculates the difference between <tt>x</tt> and <tt>y</tt>. This is
+    # different from merely subtracting <tt>x</tt> from <tt>y</tt> because of
+    # it forces the result to have the same number of significant digits as
+    # <tt>x</tt> or <tt>y</tt>, adjusted for whichever has more.
+    def diff(x, y)
+      if x.nil? || y.nil?
+        nil
+      else
+        (y - x).round precision(x, y)
+      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 = "0.2.1"
+  VERSION = "0.2.2"
 end

data/spec/native/option_spec.rb

@@ -4,53 +4,140 @@ describe Option do
   describe "European option valuation" do
     before :each do
       @tolerance = 0.0001
-      @call = Option.new(
-        :underlying => 60,
-        :strike     => 65,
-        :time       => 0.25,
-        :rate       => 0.08,
-        :div_yield  => 0,
-        :volatility => 0.3
+      @underlying = 60
+      @strike     = 65
+      @time       = 0.25
+      @rate       = 0.08
+      @div_yield  = 0.0
+      @volatility = 0.3
+
+      @call = Call.new(
+        :underlying => @underlying,
+        :strike     => @strike,
+        :time       => @time,
+        :rate       => @rate,
+        :div_yield  => @div_yield,
+        :volatility => @volatility
+      )
+
+      @put = Put.new(
+        :underlying => @underlying,
+        :strike     => @strike,
+        :time       => @time,
+        :rate       => @rate,
+        :div_yield  => @div_yield,
+        :volatility => @volatility
       )
     end
 
     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
-          Option.black76("c", 60, 65, 0.25, 0.08, 0.3).should be_within(@tolerance).of 1.7202
-        end
+      it "should return an accurate valuation for a call" do
+        Option.black76("c", @underlying, @strike, @time, @rate, @volatility).should be_within(@tolerance).of 1.7202
+      end
 
-        it "should return $6.6212 for a put" do
-          Option.black76("p", 60, 65, 0.25, 0.08, 0.3).should be_within(@tolerance).of 6.6212
-        end
+      it "should return an accurate valuation for a put" do
+        Option.black76("p", @underlying, @strike, @time, @rate, @volatility).should be_within(@tolerance).of 6.6212
       end
     end
 
     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
-          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 an accurate valuation for a call" do
+        Option.generalized_black_scholes("c", @underlying, @strike, @time, @rate, @div_yield, @volatility).should be_within(@tolerance).of 1.7202
+        Option.gbs("c", @underlying, @strike, @time, @rate, @div_yield, @volatility).should be_within(@tolerance).of 1.7202
+      end
 
-        it "should return $6.6212 for a put" do
-          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
+      it "should return an accurate valuation for a put" do
+        Option.generalized_black_scholes("p", @underlying, @strike, @time, @rate, @div_yield, @volatility).should be_within(@tolerance).of 6.6212
+        Option.gbs("p", @underlying, @strike, @time, @rate, @div_yield, @volatility).should be_within(@tolerance).of 6.6212
       end
     end
 
     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
-          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
+      describe "on a call option" do
+        it "should return an accurate valuation" do
+          value = @call.black_scholes
+          value.should be_within(@tolerance).of 2.1334
+          Option.black_scholes("c", @underlying, @strike, @time, @rate, @div_yield, @volatility).should == value
+          Option.bs("c", @underlying, @strike, @time, @rate, @div_yield, @volatility).should == value
+        end
+
+        it "should return an accurate charm" do
+          value = @call.charm
+          value.should be_a_kind_of Float
+        end
+
+        it "should return an accurate color" do
+          value = @call.color
+          value.should be_a_kind_of Float
+        end
+
+        it "should return an accurate delta" do
+          value = @call.delta
+          value.should be_a_kind_of Float
+        end
+
+        it "should return an accurate dual_delta" do
+          value = @call.dual_delta
+          value.should be_a_kind_of Float
+        end
+
+        it "should return an accurate dual_gamma" do
+          value = @call.dual_gamma
+          value.should be_a_kind_of Float
         end
 
-        it "should return $6.6212 for a put" do
-          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
+        it "should return an accurate dvega_dtime" do
+          value = @call.dvega_dtime
+          value.should be_a_kind_of Float
+        end
+
+        it "should return an accurate gamma" do
+          value = @call.gamma
+          value.should be_a_kind_of Float
+        end
+
+        it "should return an accurate rho" do
+          value = @call.rho
+          value.should be_a_kind_of Float
+        end
+
+        it "should return an accurate speed" do
+          value = @call.speed
+          value.should be_a_kind_of Float
+        end
+
+        it "should return an accurate theta" do
+          value = @call.theta
+          value.should be_a_kind_of Float
+        end
+
+        it "should return an accurate vanna" do
+          value = @call.vanna
+          value.should be_a_kind_of Float
+        end
+
+        it "should return an accurate vega" do
+          value = @call.vega
+          value.should be_a_kind_of Float
+        end
+
+        it "should return an accurate vomma" do
+          value = @call.vomma
+          value.should be_a_kind_of Float
+        end
+
+        it "should return an accurate zomma" do
+          value = @call.zomma
+          value.should be_a_kind_of Float
+        end
+      end
+
+      describe "on a put option" do
+        it "should return an accurate valuation" do
+          value = @put.black_scholes
+          value.should be_within(@tolerance).of 5.8463
+          Option.black_scholes("p", @underlying, @strike, @time, @rate, @div_yield, @volatility).should == value
+          Option.bs("p", @underlying, @strike, @time, @rate, @div_yield, @volatility).should == value
         end
       end
     end

data/spec/ruby/calendar_spec.rb

@@ -0,0 +1,85 @@
+require File.dirname(__FILE__) + "/../spec_helper"
+
+describe Calendar do
+  describe "for Federal Reserve holidays" do
+    it "should be accurate for New Year's Day" do
+      Calendar::US.day_off?(Time.new(2011, 1, 1)).should_not be false
+      Calendar::US.day_off?(Time.new(2012, 1, 2)).should_not be false
+      Calendar::US.day_off?(Time.new(2013, 1, 1)).should_not be false
+      Calendar::US.day_off?(Time.new(2014, 1, 1)).should_not be false
+      Calendar::US.day_off?(Time.new(2015, 1, 1)).should_not be false
+    end
+
+    it "should be accurate for Martin Luther King's Birthday" do
+      Calendar::US.day_off?(Time.new(2011, 1, 17)).should_not be false
+      Calendar::US.day_off?(Time.new(2012, 1, 16)).should_not be false
+      Calendar::US.day_off?(Time.new(2013, 1, 21)).should_not be false
+      Calendar::US.day_off?(Time.new(2014, 1, 20)).should_not be false
+      Calendar::US.day_off?(Time.new(2015, 1, 19)).should_not be false
+    end
+
+    it "should be accurate for Washington's Birthday" do
+      Calendar::US.day_off?(Time.new(2011, 2, 21)).should_not be false
+      Calendar::US.day_off?(Time.new(2012, 2, 20)).should_not be false
+      Calendar::US.day_off?(Time.new(2013, 2, 18)).should_not be false
+      Calendar::US.day_off?(Time.new(2014, 2, 17)).should_not be false
+      Calendar::US.day_off?(Time.new(2015, 2, 16)).should_not be false
+    end
+
+    it "should be accurate for Memorial Day" do
+      Calendar::US.day_off?(Time.new(2011, 5, 30)).should_not be false
+      Calendar::US.day_off?(Time.new(2012, 5, 28)).should_not be false
+      Calendar::US.day_off?(Time.new(2013, 5, 27)).should_not be false
+      Calendar::US.day_off?(Time.new(2014, 5, 26)).should_not be false
+      Calendar::US.day_off?(Time.new(2015, 5, 25)).should_not be false
+    end
+
+    it "should be accurate for Independence Day" do
+      Calendar::US.day_off?(Time.new(2011, 7, 4)).should_not be false
+      Calendar::US.day_off?(Time.new(2012, 7, 4)).should_not be false
+      Calendar::US.day_off?(Time.new(2013, 7, 4)).should_not be false
+      Calendar::US.day_off?(Time.new(2014, 7, 4)).should_not be false
+      Calendar::US.day_off?(Time.new(2015, 7, 4)).should_not be false
+    end
+
+    it "should be accurate for Labor Day" do
+      Calendar::US.day_off?(Time.new(2011, 9, 5)).should_not be false
+      Calendar::US.day_off?(Time.new(2012, 9, 3)).should_not be false
+      Calendar::US.day_off?(Time.new(2013, 9, 2)).should_not be false
+      Calendar::US.day_off?(Time.new(2014, 9, 1)).should_not be false
+      Calendar::US.day_off?(Time.new(2015, 9, 7)).should_not be false
+    end
+
+    it "should be accurate for Columbus Day" do
+      Calendar::US.day_off?(Time.new(2011, 10, 10)).should_not be false
+      Calendar::US.day_off?(Time.new(2012, 10, 8)).should_not be false
+      Calendar::US.day_off?(Time.new(2013, 10, 14)).should_not be false
+      Calendar::US.day_off?(Time.new(2014, 10, 13)).should_not be false
+      Calendar::US.day_off?(Time.new(2015, 10, 12)).should_not be false
+    end
+
+    it "should be accurate for Veterans Day" do
+      Calendar::US.day_off?(Time.new(2011, 11, 11)).should_not be false
+      Calendar::US.day_off?(Time.new(2012, 11, 12)).should_not be false
+      Calendar::US.day_off?(Time.new(2013, 11, 11)).should_not be false
+      Calendar::US.day_off?(Time.new(2014, 11, 11)).should_not be false
+      Calendar::US.day_off?(Time.new(2015, 11, 11)).should_not be false
+    end
+
+    it "should be accurate for Thanksgiving Day" do
+      Calendar::US.day_off?(Time.new(2011, 11, 24)).should_not be false
+      Calendar::US.day_off?(Time.new(2012, 11, 22)).should_not be false
+      Calendar::US.day_off?(Time.new(2013, 11, 28)).should_not be false
+      Calendar::US.day_off?(Time.new(2014, 11, 27)).should_not be false
+      Calendar::US.day_off?(Time.new(2015, 11, 26)).should_not be false
+    end
+
+    it "should be accurate for Christmas Day" do
+      Calendar::US.day_off?(Time.new(2011, 12, 26)).should_not be false
+      Calendar::US.day_off?(Time.new(2012, 12, 25)).should_not be false
+      Calendar::US.day_off?(Time.new(2013, 12, 25)).should_not be false
+      Calendar::US.day_off?(Time.new(2014, 12, 25)).should_not be false
+      Calendar::US.day_off?(Time.new(2015, 12, 25)).should_not be false
+    end
+  end
+end