rupee 0.2.6.1 → 0.2.7

data/lib/rupee.rb

@@ -1,5 +1,6 @@
 require "rupee/rupee" # keep this as the first require
 require "rupee/version"
+require "date"
 
 # Rupee aims to provide user-friendly tools for use in financial applications.
 # The gem is in its development stages, but it currently offers:
@@ -25,6 +26,7 @@ module Rupee
   autoload :Call,        "rupee/option"
   autoload :Currency,    "rupee/currency"
   autoload :DayCount,    "rupee/day_count"
+  autoload :Frequency,   "rupee/frequency"
   autoload :Option,      "rupee/option"
   autoload :Put,         "rupee/option"
   autoload :Quote,       "rupee/quote"

data/lib/rupee/business_day.rb

@@ -14,8 +14,6 @@ module Rupee
     attr :description
     # The formula for calculated the next business day
     attr :block
-    # The calendar used for calculating holidays and days off
-    attr :calendar
 
     # Create a new business day object
     #
@@ -24,22 +22,14 @@ module Rupee
     # * <tt>:calendar</tt> - The calendar to use for calculating holidays and
     #   days off
     def initialize(description, opts = {}, &block)
-      opts = { :calendar => :us }.merge opts
-
       @description = description
       @block = block
-
-      self.calendar=(opts[:calendar])
-    end
-
-    def calendar=(calendar)  # :nodoc:
-      @calendar = Calendar.find(calendar)
     end
 
     # Calculates the next business day according to the calendar and the date
     # given
-    def next_day(date)
-      block.call date, @calendar
+    def next_day(date, calendar)
+      block.call date, calendar
     end
 
     class << self

data/lib/rupee/business_day/following.rb

@@ -3,7 +3,7 @@ module Rupee
     # Following business day convention
     FOLLOWING = BusinessDay.new "Roll to following business day" do |date, calendar|
       while calendar.day_off?(date)
-        date += 86_400
+        date += 1
       end
 
       date

data/lib/rupee/business_day/modified_following.rb

@@ -6,12 +6,12 @@ module Rupee
       month = date.month
 
       while calendar.day_off?(date) && date.month == month
-        date += 86_400
+        date += 1
       end
 
       if date.month != month
         while calendar.day_off?(date)
-          date -= 86_400
+          date -= 1
         end
       else
         date

data/lib/rupee/business_day/modified_previous.rb

@@ -6,12 +6,12 @@ module Rupee
       month = date.month
 
       while calendar.day_off?(date) && date.month == month
-        date -= 86_400
+        date -= 1
       end
 
       if date.month != month
         while calendar.day_off?(date)
-          date += 86_400
+          date += 1
         end
       else
         date

data/lib/rupee/business_day/previous.rb

@@ -3,7 +3,7 @@ module Rupee
     # Previous business day convention
     PREVIOUS = BusinessDay.new "Roll to previous business day" do |date, calendar|
       while calendar.day_off?(date)
-        date -= 86_400
+        date -= 1
       end
 
       date

data/lib/rupee/day_count.rb

@@ -23,29 +23,23 @@ module Rupee
       @block = block
     end
 
-    def factor(from, to)
+    # Calculates the period in years between the <tt>from</tt> and
+    # <tt>true</tt> dates
+    def period(from, to)
       block.call from, to
     end
 
     class << self
       include FindInstance
 
-      # The number of seconds in a day (a difference of <tt>1</tt> between two
-      # dates in Ruby indicates a difference of one second)
-      SECONDS_PER_DAY = 86_400.0
-
       private
 
       def days(from, to)
-        (to - from) / SECONDS_PER_DAY
+        to - from
       end
 
       def days_in_year(date)
-        if leap_year?(date)
-          366.0
-        else
-          365.0
-        end
+        date.leap? ? 366.0 : 365.0
       end
 
       def end_of_month?(date)
@@ -60,19 +54,9 @@ module Rupee
         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 || date.year % 400 == 0)) ? 29 : 28
+          date.day == date.leap? ? 29 : 28
         end
       end
-
-      # Determines whether a date falls during a leap year. Leap years include
-      # all years divisible by 4, with the exception of years divisible by 100
-      # but not divisible by 400 (got that?). That is, 2004 is a leap year, as is
-      # 1904. But while 2000 is a leap year (divisible by 400), 1900 is not
-      # (divisible by 100 but not 400).
-      def leap_year?(date)  # :doc:
-        year = date.year
-        year % 4 == 0 && (year % 100 != 0 || year % 400 == 0)
-      end
     end
   end
 end

data/lib/rupee/day_count/act_360.rb

@@ -2,7 +2,7 @@ module Rupee
   class DayCount
     # Actual/360
     ACT_360 = DayCount.new "Actual/360, typical LIBOR convention" do |from, to|
-      days(from, to) / 360.0
+      (to - from) / 360.0
     end
   end
 end

data/lib/rupee/day_count/act_365.rb

@@ -2,7 +2,7 @@ module Rupee
   class DayCount
     # Actual/365
     ACT_365 = DayCount.new "Actual/365" do |from, to|
-      days(from, to) / 365.0
+      (to - from) / 365.0
     end
   end
 end

data/lib/rupee/fixed_income.rb

@@ -3,6 +3,8 @@ module Rupee
   # discount curves, payout curves, calendars, currencies, daycounts, roll day
   # conventions, etc.
   class FixedIncome < Security
+    # The dates on which accruals start and end
+    attr :accrual_dates
     # The security's business day convention
     attr :business_day
     # The calendar used for determining holidays
@@ -11,6 +13,24 @@ module Rupee
     attr :currency
     # The day count convention for determining payment and accrual dates
     attr :day_count
+    # The date of the first coupon payment, if the security has irregular cash
+    # flows
+    attr :first_coupon
+    # The frequency of payment periods
+    attr :frequency
+    # The date of the last coupon payment, if the security has irregular cash
+    # flows
+    attr :last_coupon
+    # The maturity date of the security
+    attr :maturity
+    # The dates on which payments occur
+    attr :payment_dates
+    # The periods in years between accrual dates
+    attr :periods
+    # The settlement or issuance date of the security
+    attr :settlement
+    # The start date for accruals
+    attr :start_date
 
     # Build a custom security
     #
@@ -63,13 +83,28 @@ module Rupee
         :business_day => :modified_following,
         :calendar     => :us,
         :currency     => :usd,
-        :day_count    => :thirty_360
+        :day_count    => :thirty_360,
+        :first_coupon => nil,
+        :frequency    => [6, :months],  # hands off Rails monkey-patching
+        :last_coupon  => nil,
+        :maturity     => Date.today.next_year,
+        :settlement   => Date.today,
+        :start_date   => nil
       }.merge opts
 
       self.business_day = opts[:business_day]
       self.calendar     = opts[:calendar]
       self.currency     = opts[:currency]
       self.day_count    = opts[:day_count]
+      self.frequency    = opts[:frequency]
+
+      @first_coupon = opts[:first_coupon]
+      @last_coupon  = opts[:last_coupon]
+      @maturity     = opts[:maturity]
+      @settlement   = opts[:settlement]
+      @start_date   = opts[:start_date]
+
+      build_dates
     end
 
     def business_day=(business_day)  # :nodoc:
@@ -87,5 +122,35 @@ module Rupee
     def day_count=(day_count)  # :nodoc:
       @day_count = DayCount.find(day_count)
     end
+
+    def frequency=(frequency)  # :nodoc:
+      unit, amount = frequency
+      @frequency = Frequency.new(unit, amount)
+    end
+
+    private
+
+    # Builds the accrual and payment dates
+    def build_dates
+      from = @start_date || @settlement
+      temp = from
+
+      @accrual_dates = []
+      @payment_dates = []
+      @periods       = []
+
+      unless @first_coupon_date.nil?
+        from = @first_coupon_date
+        @accrual_dates << from
+      end
+
+      @accrual_dates = @frequency.build(from, @maturity)
+
+      @accrual_dates.each do |date|
+        @periods << @day_count.period(temp, date)
+        @payment_dates << @business_day.next_day(date, @calendar)
+        temp = date
+      end
+    end
   end
 end

data/lib/rupee/frequency.rb

@@ -0,0 +1,49 @@
+module Rupee
+  # A frequency
+  class Frequency
+    # The amount of units
+    attr :amount
+    # The units in which to count (<tt>:days</tt>, <tt>:months</tt>,
+    # <tt>:years</tt>, etc.
+    attr :unit
+
+    # Creates a new frequency object
+    def initialize(amount, unit)
+      @amount = amount
+      @unit = unit
+    end
+
+    def build(from, to)
+      results = []
+      temp = from
+      multiplier = 1
+
+      case @unit
+      when :day, :days
+        while temp < to
+          temp += @amount
+          results << temp
+        end
+      when :week, :weeks
+        while temp < to
+          temp += @amount * 7
+          results << temp
+        end
+      when :month, :months
+        while temp < to
+          temp = from.next_month(@amount * multiplier)
+          multiplier += 1
+          results << temp
+        end
+      when :year, :years
+        while temp < to
+          temp = from.next_year(@amount * multiplier)
+          multiplier += 1
+          results << temp
+        end
+      end
+
+      results
+    end
+  end
+end

data/lib/rupee/version.rb

@@ -1,4 +1,4 @@
 module Rupee
   # The current version
-  VERSION = "0.2.6.1"
+  VERSION = "0.2.7"
 end

data/spec/ruby/business_day_spec.rb

@@ -2,113 +2,114 @@ require File.dirname(__FILE__) + "/../spec_helper"
 
 describe BusinessDay do
   before :each do
-    @new_years = Time.new(2012, 1, 1)
-    @new_years_eve = Time.new(2011, 12, 31)
-    @workday = Time.new(2011, 11, 23)
+    @new_years = Date.new(2012, 1, 1)
+    @new_years_eve = Date.new(2011, 12, 31)
+    @workday = Date.new(2011, 11, 23)
+    @calendar = Calendar::US
   end
 
   describe "for the actual convention" do
     before :each do
       @business_day = BusinessDay.find(:actual)
-      @month_begin_rolled = Time.new(2012, 1, 1)
-      @month_end_rolled = Time.new(2011, 12, 31)
-      @workday_rolled = Time.new(2011, 11, 23)
+      @month_begin_rolled = Date.new(2012, 1, 1)
+      @month_end_rolled = Date.new(2011, 12, 31)
+      @workday_rolled = Date.new(2011, 11, 23)
     end
 
     it "should be correct for the beginning of the month" do
-      @business_day.next_day(@new_years).should == @month_begin_rolled
+      @business_day.next_day(@new_years, @calendar).should == @month_begin_rolled
     end
 
     it "should be correct for the end of the month" do
-      @business_day.next_day(@new_years_eve).should == @month_end_rolled
+      @business_day.next_day(@new_years_eve, @calendar).should == @month_end_rolled
     end
 
     it "should be correct for an actual workday" do
-      @business_day.next_day(@workday).should == @workday_rolled
+      @business_day.next_day(@workday, @calendar).should == @workday_rolled
     end
   end
 
   describe "for the following convention" do
     before :each do
       @business_day = BusinessDay.find(:following)
-      @month_begin_rolled = Time.new(2012, 1, 3)
-      @month_end_rolled = Time.new(2012, 1, 3)
-      @workday_rolled = Time.new(2011, 11, 23)
+      @month_begin_rolled = Date.new(2012, 1, 3)
+      @month_end_rolled = Date.new(2012, 1, 3)
+      @workday_rolled = Date.new(2011, 11, 23)
     end
 
     it "should be correct for the beginning of the month" do
-      @business_day.next_day(@new_years).should == @month_begin_rolled
+      @business_day.next_day(@new_years, @calendar).should == @month_begin_rolled
     end
 
     it "should be correct for the end of the month" do
-      @business_day.next_day(@new_years_eve).should == @month_end_rolled
+      @business_day.next_day(@new_years_eve, @calendar).should == @month_end_rolled
     end
 
     it "should be correct for an actual workday" do
-      @business_day.next_day(@workday).should == @workday_rolled
+      @business_day.next_day(@workday, @calendar).should == @workday_rolled
     end
   end
 
   describe "for the modified following convention" do
     before :each do
       @business_day = BusinessDay.find(:modified_following)
-      @month_begin_rolled = Time.new(2012, 1, 3)
-      @month_end_rolled = Time.new(2011, 12, 30)
-      @workday_rolled = Time.new(2011, 11, 23)
+      @month_begin_rolled = Date.new(2012, 1, 3)
+      @month_end_rolled = Date.new(2011, 12, 30)
+      @workday_rolled = Date.new(2011, 11, 23)
     end
 
     it "should be correct for the beginning of the month" do
-      @business_day.next_day(@new_years).should == @month_begin_rolled
+      @business_day.next_day(@new_years, @calendar).should == @month_begin_rolled
     end
 
     it "should be correct for the end of the month" do
-      @business_day.next_day(@new_years_eve).should == @month_end_rolled
+      @business_day.next_day(@new_years_eve, @calendar).should == @month_end_rolled
     end
 
     it "should be correct for an actual workday" do
-      @business_day.next_day(@workday).should == @workday_rolled
+      @business_day.next_day(@workday, @calendar).should == @workday_rolled
     end
   end
 
   describe "for the modified previous convention" do
     before :each do
       @business_day = BusinessDay.find(:modified_previous)
-      @month_begin_rolled = Time.new(2012, 1, 3)
-      @month_end_rolled = Time.new(2011, 12, 30)
-      @workday_rolled = Time.new(2011, 11, 23)
+      @month_begin_rolled = Date.new(2012, 1, 3)
+      @month_end_rolled = Date.new(2011, 12, 30)
+      @workday_rolled = Date.new(2011, 11, 23)
     end
 
     it "should be correct for the beginning of the month" do
-      @business_day.next_day(@new_years).should == @month_begin_rolled
+      @business_day.next_day(@new_years, @calendar).should == @month_begin_rolled
     end
 
     it "should be correct for the end of the month" do
-      @business_day.next_day(@new_years_eve).should == @month_end_rolled
+      @business_day.next_day(@new_years_eve, @calendar).should == @month_end_rolled
     end
 
     it "should be correct for an actual workday" do
-      @business_day.next_day(@workday).should == @workday_rolled
+      @business_day.next_day(@workday, @calendar).should == @workday_rolled
     end
   end
 
   describe "for the previous convention" do
     before :each do
       @business_day = BusinessDay.find(:previous)
-      @month_begin_rolled = Time.new(2011, 12, 30)
-      @month_end_rolled = Time.new(2011, 12, 30)
-      @workday_rolled = Time.new(2011, 11, 23)
+      @month_begin_rolled = Date.new(2011, 12, 30)
+      @month_end_rolled = Date.new(2011, 12, 30)
+      @workday_rolled = Date.new(2011, 11, 23)
     end
 
     it "should be correct for the beginning of the month" do
-      @business_day.next_day(@new_years).should == @month_begin_rolled
+      @business_day.next_day(@new_years, @calendar).should == @month_begin_rolled
     end
 
     it "should be correct for the end of the month" do
-      @business_day.next_day(@new_years_eve).should == @month_end_rolled
+      @business_day.next_day(@new_years_eve, @calendar).should == @month_end_rolled
     end
 
     it "should be correct for an actual workday" do
-      @business_day.next_day(@workday).should == @workday_rolled
+      @business_day.next_day(@workday, @calendar).should == @workday_rolled
     end
   end
 end

data/spec/ruby/day_count_spec.rb

@@ -2,51 +2,51 @@ require File.dirname(__FILE__) + "/../spec_helper"
 
 describe DayCount do
   before :each do
-    @christmas = Time.new(2011, 12, 25)
-    @next_february = Time.new(2012, 2, 29)
-    @many_mays = Time.new(2015, 5, 31)
+    @christmas = Date.new(2011, 12, 25)
+    @next_february = Date.new(2012, 2, 29)
+    @many_mays = Date.new(2015, 5, 31)
     @tolerance = 0.0000001
   end
 
   describe "30/360" do
-    it "should produce a correct day count factor" do
-      DayCount::THIRTY_360.factor(@christmas, @next_february).should be_within(@tolerance).of 64 / 360.0
-      DayCount::THIRTY_360.factor(@christmas, @many_mays).should be_within(@tolerance).of 1236 / 360.0
+    it "should produce a correct day count period" do
+      DayCount::THIRTY_360.period(@christmas, @next_february).should be_within(@tolerance).of 64 / 360.0
+      DayCount::THIRTY_360.period(@christmas, @many_mays).should be_within(@tolerance).of 1236 / 360.0
     end
   end
 
   describe "30E/360" do
-    it "should produce a correct day count factor" do
-      DayCount::THIRTY_E_360.factor(@christmas, @next_february).should be_within(@tolerance).of 64 / 360.0
-      DayCount::THIRTY_E_360.factor(@christmas, @many_mays).should be_within(@tolerance).of 1235 / 360.0
+    it "should produce a correct day count period" do
+      DayCount::THIRTY_E_360.period(@christmas, @next_february).should be_within(@tolerance).of 64 / 360.0
+      DayCount::THIRTY_E_360.period(@christmas, @many_mays).should be_within(@tolerance).of 1235 / 360.0
     end
   end
 
   describe "30E+/360" do
-    it "should produce a correct day count factor" do
-      DayCount::THIRTY_E_PLUS_360.factor(@christmas, @next_february).should be_within(@tolerance).of 64 / 360.0
-      DayCount::THIRTY_E_PLUS_360.factor(@christmas, @many_mays).should be_within(@tolerance).of 1236 / 360.0
+    it "should produce a correct day count period" do
+      DayCount::THIRTY_E_PLUS_360.period(@christmas, @next_february).should be_within(@tolerance).of 64 / 360.0
+      DayCount::THIRTY_E_PLUS_360.period(@christmas, @many_mays).should be_within(@tolerance).of 1236 / 360.0
     end
   end
 
   describe "Act/360" do
-    it "should produce a correct day count factor" do
-      DayCount::ACT_360.factor(@christmas, @next_february).should be_within(@tolerance).of 66 / 360.0
-      DayCount::ACT_360.factor(@christmas, @many_mays).should be_within(@tolerance).of 1253 / 360.0
+    it "should produce a correct day count period" do
+      DayCount::ACT_360.period(@christmas, @next_february).should be_within(@tolerance).of 66 / 360.0
+      DayCount::ACT_360.period(@christmas, @many_mays).should be_within(@tolerance).of 1253 / 360.0
     end
   end
 
   describe "Act/365" do
-    it "should produce a correct day count factor" do
-      DayCount::ACT_365.factor(@christmas, @next_february).should be_within(@tolerance).of 66 / 365.0
-      DayCount::ACT_365.factor(@christmas, @many_mays).should be_within(@tolerance).of 1253 / 365.0
+    it "should produce a correct day count period" do
+      DayCount::ACT_365.period(@christmas, @next_february).should be_within(@tolerance).of 66 / 365.0
+      DayCount::ACT_365.period(@christmas, @many_mays).should be_within(@tolerance).of 1253 / 365.0
     end
   end
 
   describe "Act/Act" do
-    it "should produce a correct day count factor" do
-      DayCount::ACT_ACT.factor(@christmas, @next_february).should be_within(@tolerance).of 6 / 365.0 + 60 / 366.0
-      DayCount::ACT_ACT.factor(@christmas, @many_mays).should be_within(@tolerance).of 887 / 365.0 + 1
+    it "should produce a correct day count period" do
+      DayCount::ACT_ACT.period(@christmas, @next_february).should be_within(@tolerance).of 6 / 365.0 + 60 / 366.0
+      DayCount::ACT_ACT.period(@christmas, @many_mays).should be_within(@tolerance).of 887 / 365.0 + 1
     end
   end
 end

data/spec/ruby/quote_spec.rb

@@ -55,7 +55,7 @@ describe Quote do
       run_if_connected do
         bb_price = Quote.new("GOOG").price
         bb_price.should be_a_kind_of Float
-        @goog.price.should be_within(0.05).of bb_price
+        @goog.price.should be_within(10).of bb_price
       end
     end
   end
@@ -69,7 +69,7 @@ describe Quote do
       run_if_connected do
         bb_price = Quote.new("YHOO").price
         bb_price.should be_a_kind_of Float
-        @yahoo.price.should be_within(0.05).of bb_price
+        @yahoo.price.should be_within(1).of bb_price
       end
     end
   end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: rupee
 version: !ruby/object:Gem::Version
-  version: 0.2.6.1
+  version: 0.2.7
   prerelease: 
 platform: ruby
 authors:
@@ -13,7 +13,7 @@ date: 2011-10-03 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
-  requirement: &82312150 !ruby/object:Gem::Requirement
+  requirement: &74290000 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ~>
@@ -21,10 +21,10 @@ dependencies:
         version: '1.0'
   type: :development
   prerelease: false
-  version_requirements: *82312150
+  version_requirements: *74290000
 - !ruby/object:Gem::Dependency
   name: rspec
-  requirement: &82311900 !ruby/object:Gem::Requirement
+  requirement: &74289630 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ~>
@@ -32,10 +32,10 @@ dependencies:
         version: '2.0'
   type: :development
   prerelease: false
-  version_requirements: *82311900
+  version_requirements: *74289630
 - !ruby/object:Gem::Dependency
   name: sdoc
-  requirement: &82311670 !ruby/object:Gem::Requirement
+  requirement: &74289230 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ~>
@@ -43,7 +43,7 @@ dependencies:
         version: '0.3'
   type: :development
   prerelease: false
-  version_requirements: *82311670
+  version_requirements: *74289230
 description: ! "                      rupee aims to provide user-friendly tools for
   use in\n                      financial gems and applications.\n"
 email:
@@ -92,6 +92,7 @@ files:
 - lib/rupee/day_count/act_365.rb
 - lib/rupee/day_count/act_act.rb
 - lib/rupee/fixed_income.rb
+- lib/rupee/frequency.rb
 - lib/rupee/mixins/find_instance.rb
 - lib/rupee/option.rb
 - lib/rupee/quote.rb