rupee 0.2.7 → 0.2.8

data/.autotest

@@ -1,4 +1,2 @@
-begin
-  require "test_notifier/runner/autotest"
-rescue LoadError
-end
+require "autotest/fsevent"
+require "autotest/growl"

data/.gitignore

@@ -2,6 +2,7 @@
 *.log
 .bundle
 .DS_Store
+.rbx
 .yardoc
 Gemfile.lock
 doc

data/ext/rupee/bond.c

@@ -110,7 +110,13 @@ bond_ytm(times, cflows, price, len, discrete)
   return r;
 };
 
-// Ruby singleton functions
+/*
+ * Ruby singleton functions
+ *
+ * See helper functions below for description broken out by discrete and
+ * continuous compounding. +discrete+ is a boolean equal to +true+ for discrete
+ * compounding and +false+ for continuous compounding
+ */
 
 static VALUE
 convexity(self, _times, _cflows, _r, discrete)
@@ -174,9 +180,28 @@ price(self, _times, _cflows, _r, discrete)
   return rb_float_new(bond_price(times, cflows, r, len, discrete));
 }
 
+static VALUE
+yield_to_maturity(self, _times, _cflows, _price, discrete)
+  VALUE self, _times, _cflows, _price;
+  bool discrete;
+{
+  int len = RARRAY_LEN(_cflows);
+  double times[len], cflows[len], price;
+
+  rtofa(times, _times, len);
+  rtofa(cflows, _cflows, len);
+  price = NUM2DBL(_price);
+
+  return rb_float_new(bond_ytm(times, cflows, price, len, discrete));
+};
+
 // Helper functions
 
-// Convexity of a continuously compounded bond
+/* call-seq: convexity_continuous(times, cflows, rates)
+ *
+ * The bond's convexity based on the provided set of times (in years), cash
+ * flows and discount rates, assuming continuous compounding
+ */
 static VALUE
 convexity_continuous(self, _times, _cflows, _r)
   VALUE self, _times, _cflows, _r;
@@ -184,7 +209,11 @@ convexity_continuous(self, _times, _cflows, _r)
   return convexity(self, _times, _cflows, _r, false);
 }
 
-// Convexity of a discretely compounded bond
+/* call-seq: convexity_discrete(times, cflows, rates)
+ *
+ * The bond's convexity based on the provided set of times (in years), cash
+ * flows and discount rates, assuming discrete compounding
+ */
 static VALUE
 convexity_discrete(self, _times, _cflows, _r)
   VALUE self, _times, _cflows, _r;
@@ -192,7 +221,11 @@ convexity_discrete(self, _times, _cflows, _r)
   return convexity(self, _times, _cflows, _r, true);
 }
 
-// Duration of a continuously compounded bond
+/* call-seq: duration_continuous(times, cflows, rates)
+ *
+ * The bond's duration based on the provided set of times (in years), cash
+ * flows and discount rates, assuming continuous compounding
+ */
 static VALUE
 duration_continuous(self, _times, _cflows, _r)
   VALUE self, _times, _cflows, _r;
@@ -200,7 +233,11 @@ duration_continuous(self, _times, _cflows, _r)
   return duration(self, _times, _cflows, _r, false);
 }
 
-// Duration of a discretely compounded bond
+/* call-seq: duration_discrete(times, cflows, rates)
+ *
+ * The bond's duration based on the provided set of times (in years), cash
+ * flows and discount rates, assuming discrete compounding
+ */
 static VALUE
 duration_discrete(self, _times, _cflows, _r)
   VALUE self, _times, _cflows, _r;
@@ -208,7 +245,11 @@ duration_discrete(self, _times, _cflows, _r)
   return duration(self, _times, _cflows, _r, true);
 }
 
-// Macaulay duration of a continuously compounded bond
+/* call-seq: macaulay_continuous(times, cflows, price)
+ *
+ * The bond's Macaulay duration based on the provided set of times (in years),
+ * cash flows and price, assuming continuous compounding
+ */
 static VALUE
 macaulay_continuous(self, _times, _cflows, _price)
   VALUE self, _times, _cflows, _price;
@@ -216,7 +257,11 @@ macaulay_continuous(self, _times, _cflows, _price)
   return macaulay(self, _times, _cflows, _price, false);
 }
 
-// Macaulay duration of a discretely compounded bond
+/* call-seq: macaulay_discrete(times, cflows, price)
+ *
+ * The bond's Macaulay duration based on the provided set of times (in years),
+ * cash flows and price, assuming discrete compounding
+ */
 static VALUE
 macaulay_discrete(self, _times, _cflows, _price)
   VALUE self, _times, _cflows, _price;
@@ -224,7 +269,11 @@ macaulay_discrete(self, _times, _cflows, _price)
   return macaulay(self, _times, _cflows, _price, true);
 }
 
-// Modified duration of a discretely compounded bond
+/* call-seq: modified_discrete(times, cflows, price)
+ *
+ * The bond's duration based on the provided set of times (in years), cash
+ * flows and price, assuming discrete compounding
+ */
 static VALUE
 modified_discrete(self, _times, _cflows, _price)
   VALUE self, _times, _cflows, _price;
@@ -242,7 +291,11 @@ modified_discrete(self, _times, _cflows, _price)
   return rb_float_new(D / (1 + y));
 };
 
-// Price of a continuously compounded bond
+/* call-seq: price_continuous(times, cflows, rates)
+ *
+ * The bond's price based on the provided set of times (in years), cash flows
+ * and discount rates, assuming continuous compounding
+ */
 static VALUE
 price_continuous(self, _times, _cflows, _r)
   VALUE self, _times, _cflows, _r;
@@ -250,7 +303,11 @@ price_continuous(self, _times, _cflows, _r)
   return price(self, _times, _cflows, _r, false);
 }
 
-// Price of a discretely compounded bond
+/* call-seq: price_discrete(times, cflows, rates)
+ *
+ * The bond's price based on the provided set of times (in years), cash flows
+ * and discount rates, assuming discrete compounding
+ */
 static VALUE
 price_discrete(self, _times, _cflows, _r)
   VALUE self, _times, _cflows, _r;
@@ -258,22 +315,12 @@ price_discrete(self, _times, _cflows, _r)
   return price(self, _times, _cflows, _r, true);
 }
 
-static VALUE
-yield_to_maturity(self, _times, _cflows, _price, discrete)
-  VALUE self, _times, _cflows, _price;
-  bool discrete;
-{
-  int len = RARRAY_LEN(_cflows);
-  double times[len], cflows[len], price;
-
-  rtofa(times, _times, len);
-  rtofa(cflows, _cflows, len);
-  price = NUM2DBL(_price);
-
-  return rb_float_new(bond_ytm(times, cflows, price, len, discrete));
-};
 
-// Yield to maturity of a continuously compounded bond
+/* call-seq: yield_to_maturity_continuous(times, cflows, rates)
+ *
+ * The bond's yield to maturity based on the provided set of times (in years),
+ * cash flows and price, assuming continuous compounding
+ */
 static VALUE
 yield_to_maturity_continuous(self, _times, _cflows, _price)
   VALUE self, _times, _cflows, _price;
@@ -281,7 +328,11 @@ yield_to_maturity_continuous(self, _times, _cflows, _price)
   return yield_to_maturity(self, _times, _cflows, _price, false);
 }
 
-// Yield to maturity of a discretely compounded bond
+/* call-seq: yield_to_maturity_discrete(times, cflows, rates)
+ *
+ * The bond's yield to maturity based on the provided set of times (in years),
+ * cash flows and price, assuming discrete compounding
+ */
 static VALUE
 yield_to_maturity_discrete(self, _times, _cflows, _price)
   VALUE self, _times, _cflows, _price;

data/ext/rupee/future.c

@@ -7,6 +7,11 @@ future_price(S, r, ttm)
   return S * exp(r * ttm);
 }
 
+/* call-seq: price(underlying, rate, time_to_maturity)
+ *
+ * The future's price based on the provided underlying, risk-free rate and time
+ * to maturity
+ */
 static VALUE
 price(self, _S, _r, _ttm)
   VALUE self, _S, _r, _ttm;

data/lib/rupee.rb

@@ -22,14 +22,15 @@ module Rupee
   autoload :Benchmark,   "rupee/benchmark"
   autoload :BusinessDay, "rupee/business_day"
   autoload :Calendar,    "rupee/calendar"
-  autoload :FixedIncome, "rupee/fixed_income"
   autoload :Call,        "rupee/option"
+  autoload :Curve,       "rupee/curve"
+  autoload :FixedIncome, "rupee/fixed_income"
   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"
+  autoload :Rate,        "rupee/rate"
   autoload :Source,      "rupee/source"
-  autoload :YieldCurve,  "rupee/yield_curve"
 end

data/lib/rupee/curve.rb

@@ -0,0 +1,27 @@
+module Rupee
+  # A class representing a yield or basis curve
+  class Curve
+    include FindInstance
+
+    autoload :LIBOR_3M, "rupee/curve/libor_3m"
+
+    # The curve's currency
+    attr :currency
+    # A description for the curve
+    attr :description
+    # The interpolation method
+    attr :interpolation
+
+    # Create a new curve
+    def initialize(description = "", opts = {})
+      opts = {
+        :currency      => :usd,
+        :interpolation => :cubic_spline
+      }.merge opts
+
+      @description   = description
+      @currency      = opts[:currency]
+      @interpolation = opts[:interpolation]
+    end
+  end
+end

data/lib/rupee/curve/libor_3m.rb

@@ -0,0 +1,5 @@
+module Rupee
+  class Curve
+    LIBOR_3M = Curve.new("3-month LIBOR")
+  end
+end

data/lib/rupee/rate.rb

@@ -0,0 +1,9 @@
+module Rupee
+  # A class representing a rate
+  class Rate
+    # Create a new rate
+    def initialize(opts = {})
+
+    end
+  end
+end

data/lib/rupee/version.rb

@@ -1,4 +1,4 @@
 module Rupee
   # The current version
-  VERSION = "0.2.7"
+  VERSION = "0.2.8"
 end

data/rupee.gemspec

@@ -27,4 +27,7 @@ Gem::Specification.new do |s|
   s.add_development_dependency "bundler", "~> 1.0"
   s.add_development_dependency "rspec",   "~> 2.0"
   s.add_development_dependency "sdoc",    "~> 0.3"
+  s.add_development_dependency "autotest"
+  s.add_development_dependency "autotest-fsevent"
+  s.add_development_dependency "autotest-growl"
 end

data/spec/native/statistics_spec.rb

@@ -42,8 +42,9 @@ describe Statistics do
   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
+    @result = Statistics.correlation(@values, @more_values)
+    @result.should be_within(@tolerance).of 0.95
+    Statistics.corr(@values, @more_values).should == @result
+    Statistics.correl(@values, @more_values).should == @result
   end
 end

data/test_rubies

@@ -6,16 +6,18 @@ CURRENT=`rvm current`
 
 # Prints the name of the Ruby, sets it to use under RVM, installs, tests
 function test_ruby {
-  echo -e "\n\033[1m$1\033[0m"
+  echo -e "\n\033[1m$2\033[0m"
   rvm use $1
   rake install
   rspec spec
 }
 
 # Run tests on these versions
-test_ruby 1.8.7
-test_ruby 1.9.2
-test_ruby 1.9.3
+test_ruby 1.8.7 "Ruby 1.8.7 (MRI)"
+test_ruby 1.9.2 "Ruby 1.9.2 (MRI)"
+test_ruby 1.9.3 "Ruby 1.9.3 (MRI)"
+test_ruby jruby JRuby
+test_ruby rbx Rubinius
 
 # Restore original Ruby in use
 rvm use $CURRENT

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: rupee
 version: !ruby/object:Gem::Version
-  version: 0.2.7
+  version: 0.2.8
   prerelease: 
 platform: ruby
 authors:
@@ -9,11 +9,11 @@ authors:
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2011-10-03 00:00:00.000000000 Z
+date: 2011-10-20 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
-  requirement: &74290000 !ruby/object:Gem::Requirement
+  requirement: &70214885187220 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ~>
@@ -21,10 +21,10 @@ dependencies:
         version: '1.0'
   type: :development
   prerelease: false
-  version_requirements: *74290000
+  version_requirements: *70214885187220
 - !ruby/object:Gem::Dependency
   name: rspec
-  requirement: &74289630 !ruby/object:Gem::Requirement
+  requirement: &70214885201400 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ~>
@@ -32,10 +32,10 @@ dependencies:
         version: '2.0'
   type: :development
   prerelease: false
-  version_requirements: *74289630
+  version_requirements: *70214885201400
 - !ruby/object:Gem::Dependency
   name: sdoc
-  requirement: &74289230 !ruby/object:Gem::Requirement
+  requirement: &70214885198020 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ~>
@@ -43,7 +43,40 @@ dependencies:
         version: '0.3'
   type: :development
   prerelease: false
-  version_requirements: *74289230
+  version_requirements: *70214885198020
+- !ruby/object:Gem::Dependency
+  name: autotest
+  requirement: &70214885197200 !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ! '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: *70214885197200
+- !ruby/object:Gem::Dependency
+  name: autotest-fsevent
+  requirement: &70214885196560 !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ! '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: *70214885196560
+- !ruby/object:Gem::Dependency
+  name: autotest-growl
+  requirement: &70214885195960 !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ! '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: *70214885195960
 description: ! "                      rupee aims to provide user-friendly tools for
   use in\n                      financial gems and applications.\n"
 email:
@@ -83,6 +116,8 @@ files:
 - lib/rupee/currency/gbp.rb
 - lib/rupee/currency/jpy.rb
 - lib/rupee/currency/usd.rb
+- lib/rupee/curve.rb
+- lib/rupee/curve/libor_3m.rb
 - lib/rupee/day_count.rb
 - lib/rupee/day_count/30_360.rb
 - lib/rupee/day_count/30e+_360.rb
@@ -96,13 +131,13 @@ files:
 - lib/rupee/mixins/find_instance.rb
 - lib/rupee/option.rb
 - lib/rupee/quote.rb
+- lib/rupee/rate.rb
 - lib/rupee/security.rb
 - lib/rupee/source.rb
 - lib/rupee/source/bloomberg.rb
 - lib/rupee/source/google.rb
 - lib/rupee/source/yahoo.rb
 - lib/rupee/version.rb
-- lib/rupee/yield_curve.rb
 - rupee.gemspec
 - spec/native/bond_spec.rb
 - spec/native/future_spec.rb

data/lib/rupee/yield_curve.rb

@@ -1,14 +0,0 @@
-module Rupee
-  class YieldCurve
-    include FindInstance
-
-    def initialize(description = "", opts = {})
-      opts = {
-        :currency      => :usd,
-        :interpolation => :cubic_spline
-      }.merge opts
-
-      @description = description
-    end
-  end
-end