rupee 0.1.0

data/.autotest

@@ -0,0 +1,2 @@
+# ~.autotest
+require 'rubygems'

data/.gitignore

@@ -0,0 +1,8 @@
+*.gem
+*.log
+.bundle
+.DS_Store
+Gemfile.lock
+doc
+pkg
+tmp

data/.rspec

@@ -0,0 +1 @@
+--color

data/COPYING

@@ -0,0 +1,19 @@
+Copyright (c) 2011 Bryan McKelvey
+
+Permission is hereby granted, free of charge, to any person obtaining a copy of
+this software and associated documentation files (the "Software"), to deal in
+the Software without restriction, including without limitation the rights to
+use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies
+of the Software, and to permit persons to whom the Software is furnished to do
+so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

data/Gemfile

@@ -0,0 +1,4 @@
+source "http://rubygems.org"
+
+# Specify your gem's dependencies in gold_rupee.gemspec
+gemspec

data/README.md

@@ -0,0 +1,85 @@
+Rupee - financial tools for Ruby
+================================
+
+<table>
+  <tr>
+    <td>Homepage</td>
+    <td><a href="http://www.brymck.com">www.brymck.com</a></td>
+  </tr>
+  <tr>
+    <td>Author</td>
+    <td>Bryan McKelvey</td>
+  </tr>
+  <tr>
+    <td>Copyright</td>
+    <td>(c) 2011 Bryan McKelvey</td>
+  </tr>
+  <tr>
+    <td>License</td>
+    <td>MIT</td>
+  </tr>
+</table>
+
+[![Flattr this git repo](http://api.flattr.com/button/flattr-badge-large.png)](https://flattr.com/submit/auto?user_id=brymck&url=https://github.com/brymck/rupee&title=rupee&language=en_GB&tags=github&category=software)
+
+        /|\
+       / | \
+      /  |  \
+     /_ / \ _\    RU       PE      E
+    |  |   |  |   _ _      _
+    |  |   |  |  | | |    | |__o  ____
+    |  |   |  |  | | | _  |  __| |____|
+    | _|   |_ |  | | |/ / | |___
+     \  \ /  /  /_/|___/   \____|
+      \  |  /
+       \ | /
+        \|/ brymck
+
+Installing
+----------
+
+Note that you must have Ruby 1.8.7+ installed and the ability to compile native
+extensions (standard on most platforms and available on Windows via
+[DevKit](http://rubyinstaller.org/downloads/)).
+
+    gem install rupee
+
+You can also do things the hard way if you want to keep track of the repo:
+
+    git clone git://github.com/brymck/rupee.git
+    cd rupee
+    bundle update
+    rake install
+
+After all that hard work, you can take a test drive by running something like
+this in the Ruby console (i.e. `irb` in a command prompt):
+
+    require "rupee"
+    Rupee::Option.black_scholes "c", 60, 65, 0.25, 0.08, 0, 0.3
+
+which should return `2.1334`.
+
+You should also be able to get the latest stock info for, for example, Wells
+Fargo using the following (note that you only need to `require` the `quote`
+module):
+
+    require "rupee/quote"
+    Rupee::Quote.bloomberg "WFC", :price, :change, :pct_change
+
+Got it? Good. This will surely help you collect some rupees in real life.
+
+Performance
+-----------
+
+This is just a simple benchmark I ran on my own laptop, where I value a simple
+call option with Black-Scholes one million times. You can test the same on
+yours with rake, but in any case it makes the point that for the mathematical
+side of finance a native extension has substantial benefits:
+
+    rake benchmark:black_scholes
+
+Results:
+
+                     user     system      total        real
+    rupee:       1.388000   0.000000   1.388000 (  1.440000)
+    pure ruby:  18.580000   0.000000  18.580000 ( 18.817000)

data/Rakefile

@@ -0,0 +1,5 @@
+require "bundler/gem_tasks"
+
+Dir["tasks/**/*.rake"].each do |rake|
+  load File.expand_path(rake)
+end

data/ext/rupee/bond.c

@@ -0,0 +1,97 @@
+#include "rupee.h"
+
+double
+bond_price(cf_times, cfs, r, len)
+  double *cf_times, *cfs, r;
+  int len;
+{
+  double p, *cft;
+  int i;
+
+  p = 0;
+
+  for (i = 0; i < len; i++)
+  	p += exp(-r * cf_times[i]) * cfs[i];
+
+  return p;
+};
+
+static VALUE
+price(self, rcf_times, rcfs, rr)
+  VALUE self, rcf_times, rcfs, rr;
+{
+  int len = RARRAY_LEN(rcfs);
+  double r, cf_times[len], cfs[len];
+  
+  r = NUM2DBL(rr);
+  rtofa(cf_times, rcf_times, len);
+  rtofa(cfs, rcfs, len);
+
+  return rb_float_new(bond_price(cf_times, cfs, r, len));
+}
+
+static VALUE
+convexity(self, rcf_times, rcfs, rr)
+  VALUE self, rcf_times, rcfs, rr;
+{
+  int len = RARRAY_LEN(rcfs);
+  double r, C, B, cf_times[len], cfs[len];
+  int i;
+
+  rtofa(cf_times, rcf_times, len);
+  rtofa(cfs, rcfs, len);
+  r = NUM2DBL(rr);
+  C = 0;
+
+  for (i = 0; i < len; i++)
+  	C += cfs[i] * pow(cf_times[i], 2) * exp(-r * cf_times[i]);
+
+  B = bond_price(cf_times, cfs, r, len);
+
+  return rb_float_new(C / B);
+};
+
+static VALUE
+duration(self, rcf_times, rcfs, rr)
+  VALUE self, rcf_times, rcfs, rr;
+{
+  double r, S, D1;
+  int i, cfs_len;
+
+  VALUE *cf_times = RARRAY_PTR(rcf_times);
+  VALUE *cfs = RARRAY_PTR(rcfs);
+  cfs_len = RARRAY_LEN(rcfs);
+  r = NUM2DBL(rr);
+  S = 0;
+  D1 = 0;
+
+  for (i = 0; i < cfs_len; i++) {
+    double cfti, cfi, dcfi;
+
+    cfti = NUM2DBL(cf_times[i]);
+    cfi = NUM2DBL(cfs[i]);
+    dcfi = cfi * exp(-r * cfti);
+
+  	S  += dcfi;
+ 	  D1 += cfti * dcfi;
+  }
+
+  return rb_float_new(D1 / S);
+}
+
+void
+init_bond()
+{
+  VALUE klass, singleton;
+
+#if 0
+  value module = rb_define_module("rupee");
+#endif
+
+  klass = rb_define_class_under(module, "Bond", rb_cObject);
+  singleton = rb_singleton_class(klass);
+
+  rb_define_singleton_method(klass, "convexity", convexity, 3);
+  rb_define_singleton_method(klass, "duration", duration, 3);
+  rb_define_singleton_method(klass, "price", price, 3);
+}

data/ext/rupee/conv.c

@@ -0,0 +1,18 @@
+#include "rupee.h"
+
+double *
+rtofa(dest, src, len)
+  double *dest;
+  VALUE src;
+  int len;
+{
+  int i;
+  VALUE *ary;
+
+  ary = RARRAY_PTR(src);
+
+  for (i = 0; i < len; i++)
+    dest[i] = NUM2DBL(ary[i]);
+
+  return dest;
+}

data/ext/rupee/distribution.c

@@ -0,0 +1,63 @@
+#include "rupee.h"
+
+#define PI 3.1415926536
+
+double
+cnd(z)
+  double z;
+{
+  double L, K, dCND;
+  static const double b  = 0.2316419;
+  static const double a1 = 0.31938153;
+  static const double a2 = 0.356563782;
+  static const double a3 = 1.781477937;
+  static const double a4 = 1.821255978;
+  static const double a5 = 1.330274429;
+
+  L = fabs(z);
+  K = 1.0 / (1.0 + b * L);
+
+  dCND = 1.0 - 1.0 / sqrt(2.0 * PI) *
+      exp(-L * L / 2.0) *
+      (a1 * K -
+      a2 * K * K +
+      a3 * K * K * K -
+      a4 * K * K * K * K +
+      a5 * K * K * K * K * K);
+
+  if (z < 0.0)
+    return 1.0 - dCND;
+  else
+    return dCND;
+}
+
+/* call-seq: cnd(z)
+ *
+ * Returns the standard normal cumulative distribution (has a mean of zero and
+ * a standard deviation of one).
+ *
+ * ==== Arguments
+ *
+ * * +z+ - The value for which you want the distribution
+ */
+static VALUE
+rupee_cnd(self, rz)
+  VALUE self, rz;
+{
+  return rb_float_new(cnd(NUM2DBL(rz)));
+}
+
+void
+init_distribution()
+{
+  VALUE klass, singleton;
+
+#if 0
+  value module = rb_define_module("rupee");
+#endif
+
+  klass = rb_define_class_under(module, "Distribution", rb_cObject);
+  singleton = rb_singleton_class(klass);
+
+  rb_define_singleton_method(klass, "cnd", rupee_cnd, 1);
+}

data/ext/rupee/extconf.rb

@@ -0,0 +1,3 @@
+require "mkmf"
+
+create_makefile "rupee/rupee"

data/ext/rupee/option.c

@@ -0,0 +1,178 @@
+#include "rupee.h"
+
+/* Whether a particular string refers to a call option (false for put) */
+static bool
+is_call(call_put_flag)
+  const char *call_put_flag;
+{
+  /* Returns true for everything unless it starts with a 'p' */
+  return (call_put_flag[0] != 'p');
+}
+
+static double
+bs(call_put_flag, S, X, T, r, q, v)
+  const char *call_put_flag;
+  double S, X, T, r, q, v;
+{
+  double d1, d2;
+
+  d1 = (log(S / X) + (r - q + v * v / 2) * T) / (v * sqrt(T));
+  d2 = d1 - v * sqrt(T);
+
+  if (is_call(call_put_flag))
+    return S * exp(-q * T) * cnd(d1) - X * exp(-r * T) * cnd(d2);
+  else
+    return X * exp(-r * T) * cnd(-d2) - S * exp(-q * T) * cnd(-d1);
+}
+
+/* call-seq:
+ *   black_scholes(call_put_flag, forward, strike_price, time_to_expiry,
+ *   risk_free_rate, volatility)
+ * 
+ * The Black-Scholes European call/put valuation
+ * 
+ * ==== Arguments
+ *
+ * * +call_put_flag+ - Whether the instrument is a call (c) or a put (p)
+ * * +forward+ - The current forward value
+ * * +strike_price+ - The option's strike price
+ * * +time_to_expiry+ - The time to maturity in years
+ * * +risk_free_rate+ - The risk-free rate through expiry
+ * * +dividend_yield+ - The annual dividend yield
+ * * +volatility+ - The implied volatility at expiry
+ */
+static VALUE
+rupee_black_scholes(self, rcall_put_flag, rF, rX, rT, rr, rq, rv)
+  VALUE self, rcall_put_flag, rF, rX, rT, rr, rq, rv;
+{
+  const char *call_put_flag;
+  double F, X, T, r, q, v;
+
+  call_put_flag = StringValuePtr(rcall_put_flag);
+  F = NUM2DBL(rF);
+  X = NUM2DBL(rX);
+  T = NUM2DBL(rT);
+  r = NUM2DBL(rr);
+  q = NUM2DBL(rq);
+  v = NUM2DBL(rv);
+
+  return rb_float_new(bs(call_put_flag, F, X, T, r, q, v));
+}
+
+double
+gbs(call_put_flag, S, X, T, r, b, v)
+  const char *call_put_flag;
+  double S, X, T, r, b, v;
+{
+  double d1, d2;
+
+  d1 = (log(S / X) + (b + v * v / 2) * T) / (v * sqrt(T));
+  d2 = d1 - v * sqrt(T);
+
+  if (is_call(call_put_flag))
+    return S * exp((b - r) * T) * cnd(d1) - X * exp(-r * T) * cnd(d2);
+  else
+    return X * exp(-r * T) * cnd(-d2) - S * exp((b - r) * T) * cnd(-d1);
+}
+
+/* call-seq:
+ *   generalized_black_scholes(call_put_flag, forward, strike_price,
+ *   time_to_expiry, risk_free_rate, volatility)
+ * 
+ * The generalized Black-Scholes European call/put valuation
+ * 
+ * ==== Arguments
+ *
+ * * +call_put_flag+ - Whether the instrument is a call (c) or a put (p)
+ * * +forward+ - The current forward value
+ * * +strike_price+ - The option's strike price
+ * * +time_to_expiry+ - The time to maturity in years
+ * * +risk_free_rate+ - The risk-free rate through expiry
+ * * +cost_of_carry+ - The annualized cost of carry
+ * * +volatility+ - The implied volatility at expiry
+ */
+static VALUE
+rupee_generalized_black_scholes(self, rcall_put_flag, rF, rX, rT, rr, rb, rv)
+  VALUE self, rcall_put_flag, rF, rX, rT, rr, rb, rv;
+{
+  const char *call_put_flag;
+  double F, X, T, r, b, v;
+
+  call_put_flag = StringValuePtr(rcall_put_flag);
+  F = NUM2DBL(rF);
+  X = NUM2DBL(rX);
+  T = NUM2DBL(rT);
+  r = NUM2DBL(rr);
+  b = NUM2DBL(rb);
+  v = NUM2DBL(rv);
+
+  return rb_float_new(gbs(call_put_flag, F, X, T, r, b, v));
+}
+
+static double
+black76(call_put_flag, F, X, T, r, v)
+  const char *call_put_flag;
+  double F, X, T, r, v;
+{
+  double d1, d2;
+
+  d1 = (log(F / X) + (v * v / 2.0) * T) / (v * sqrt(T));
+  d2 = d1 - v * sqrt(T);
+
+  if (is_call(call_put_flag))
+    return exp(-r * T) * (F * cnd(d1) - X * cnd(d2));
+  else
+    return exp(-r * T) * (X * cnd(-d2) - F * cnd(-d1));
+}
+
+/* call-seq:
+ *   black76(call_put_flag, forward, strike_price, time_to_expiry,
+ *   risk_free_rate, volatility)
+ *
+ * The Black-76 valuation for options on futures and forwards
+ * 
+ * ==== Arguments
+ *
+ * * +call_put_flag+ - Whether the instrument is a call (c) or a put (p)
+ * * +forward+ - The current forward value
+ * * +strike_price+ - The option's strike price
+ * * +time_to_expiry+ - The time to maturity in years
+ * * +risk_free_rate+ - The risk-free rate through expiry
+ * * +volatility+ - The implied volatility at expiry
+ */
+static VALUE
+rupee_black76(self, rcall_put_flag, rF, rX, rT, rr, rv)
+  VALUE self, rcall_put_flag, rF, rX, rT, rr, rv;
+{
+  const char *call_put_flag;
+  double F, X, T, r, v;
+
+  call_put_flag = StringValuePtr(rcall_put_flag);
+  F = NUM2DBL(rF);
+  X = NUM2DBL(rX);
+  T = NUM2DBL(rT);
+  r = NUM2DBL(rr);
+  v = NUM2DBL(rv);
+
+  return rb_float_new(black76(call_put_flag, F, X, T, r, v));
+}
+
+void
+init_option()
+{
+  VALUE klass, singleton;
+
+#if 0
+  VALUE module = rb_define_module("Rupee");
+#endif
+
+  klass = rb_define_class_under(module, "Option", rb_cObject);
+  singleton = rb_singleton_class(klass);
+
+  rb_define_singleton_method(klass, "black_scholes", rupee_black_scholes, 7);
+  rb_define_alias(singleton, "bs", "black_scholes");
+  rb_define_singleton_method(klass, "generalized_black_scholes",
+      rupee_generalized_black_scholes, 7);
+  rb_define_alias(singleton, "gbs", "generalized_black_scholes");
+  rb_define_singleton_method(klass, "black76", rupee_black76, 6);
+}

data/ext/rupee/rupee.c

@@ -0,0 +1,13 @@
+#include "rupee.h"
+
+VALUE module;
+
+void
+Init_rupee()
+{
+  module = rb_define_module("Rupee");
+
+  init_distribution();
+  init_option();
+  init_bond();
+}

data/ext/rupee/rupee.h

@@ -0,0 +1,27 @@
+#ifndef RUPEE
+#define RUPEE
+
+#include <ruby.h>
+#include <math.h>
+#include <string.h>
+#include <stdbool.h>
+
+extern VALUE module;
+
+/* Conversion */
+double *rtofa(double *dest, VALUE src, int len);
+
+/* Statistics */
+double cnd(double);
+void init_distribution();
+
+/* Options */
+double gbs(const char *call_put_flag, double S, double X, double T, double r,
+    double b, double v);
+void init_option();
+
+/* Bonds */
+double bond_price(double *cf_times, double *cfs, double r, int len);
+void init_bond();
+
+#endif

data/lib/rupee.rb

@@ -0,0 +1,20 @@
+require "rupee/rupee" # keep this as the first require
+require "rupee/version"
+
+# Rupee aims to provide user-friendly tools for use in financial applications.
+# The gem is in its development stages, but it currently offers:
+#
+# * Live, streaming web import capabilities (Excel 2002+), including custom
+# functions for easily importing security prices from Bloomberg.com, Google
+# Finance and Yahoo! Finance
+# * Basic options pricing, including Black-Scholes, the options Greeks and a
+# few more complex options models
+# 
+# Author::    Bryan McKelvey (mailto:bryan.mckelvey@gmail.com)
+# Copyright:: Copyright (c) 2011 Bryan McKelvey
+# License::   MIT
+
+# This module contains all modules and classes associated with Rupee
+module Rupee
+  autoload :Quote, "rupee/quote"
+end

data/lib/rupee/benchmark.rb

@@ -0,0 +1,39 @@
+module Rupee
+  # Just for use in benchmarking the performance of Rupee code
+  class Benchmark
+    class << self
+      # Black-Scholes option price valuation
+      # by Michael Neumann (with some revisions)
+      # http://www.espenhaug.com/black_scholes.html
+      def black_scholes(callPutFlag, s, x, t, r, v)
+        d1 = (Math.log(s / x) + (r + v * v / 2.0) * t) / (v * Math.sqrt(t))
+        d2 = d1 - v * Math.sqrt(t)
+        if callPutFlag == 'c'
+          s * cnd(d1) - x * Math.exp(-r * t) * cnd(d2)
+        else
+          x * Math.exp(-r * t) * cnd(-d2) - s * cnd(-d1)
+        end
+      end
+
+      private
+
+      A1 =  0.31938153
+      A2 = -0.356563782
+      A3 =  1.781477937
+      A4 = -1.821255978
+      A5 =  1.330274429
+
+      # Cumulative normal distribution
+      # by Michael Neumann (with some revisions)
+      # http://www.espenhaug.com/black_scholes.html
+      def cnd(x)
+        l = x.abs
+        k = 1.0 / (1.0 + 0.2316419 * l)
+        w = 1.0 - 1.0 / Math.sqrt(2 * Math::PI) * Math.exp(-l * l / 2.0) *
+          (A1 * k + A2 * k * k + A3 * (k ** 3) + A4 * (k ** 4) + A5 * (k ** 5))
+        w = 1.0 - w if x < 0
+        return w
+      end
+    end
+  end
+end

data/lib/rupee/quote.rb

@@ -0,0 +1,48 @@
+require "rupee/quote/source"
+autoload :Net, "net/http"
+autoload :URI, "uri"
+
+module Rupee
+  # The quote and data import functionality in Rupee
+  class Quote
+    class << self
+      # Retrieves the current price of a security
+      def get(url, *params)
+        results = {}
+        params = [:price] if params.empty?
+        url = URI.parse(url)
+        html = Net::HTTP.start(url.host, url.port) do |http|
+          http.get url.request_uri
+        end.body
+
+        params.each do |p|
+          results[p] = @sources[0].params[p].match(html)[1]
+        end
+
+        results
+      end
+
+      # Retrieves the current price of a security from Bloomberg
+      def bloomberg(ticker, *params)
+        get BLOOMBERG_URL % ticker, *params
+      end
+
+      private
+
+      # The URL for Bloomberg's quotes service
+      BLOOMBERG_URL = "http://www.bloomberg.com/apps/quote?ticker=%s"
+
+      # Returns an intepretation of an abbreviated source name
+      def shorten_source(source)
+        case source.downcase.to_sym
+        when :"", :bloomberg, :bberg, :bb, :b
+          :bloomberg
+        when :google, :goog, :g
+          :google
+        when :yahoo!, :yahoo, :yhoo, :y!, :y
+          :yahoo
+        end
+      end
+    end
+  end
+end

data/lib/rupee/quote/source.rb

@@ -0,0 +1,53 @@
+module Rupee
+  class Quote
+    # A class to hold quote sources
+    class Source
+      # The name of the source
+      attr :name
+
+      # The parameters available
+      attr :params
+
+      def initialize(name, aliases = [], params = {})
+        @name = name
+        @aliases = aliases
+        @params = params
+      end
+    end
+
+    class << self
+      # A holder for the sources available
+      attr :sources
+
+      # The default source to use when making generic requests
+      attr :default_source
+
+      # Build the default sources that come with Rupee
+      def build_sources
+        @sources ||= []
+
+        # Bloomberg
+        @sources << Source.new(:bloomberg, [:bberg, :bb, :b], 
+          :price => /(?:PRICE|VALUE): <span class="amount">([0-9.,NA-]{1,})/,
+          :change => /Change<\/td>\n<td class="value[^>]+>([0-9.,NA-]{1,})/,
+          :pct_change => /Change<\/td>\n<td class="value[^>]+>[0-9.,NA-]{1,} \(([0-9NA.,-]{1,})\%/,
+          :date => /"date">(.*?)</,
+          :time => /"time">(.*?)</,
+          :bid => /Bid<\/td>\n<td class="value[^>]+>([0-9.,NA-]{1,})/,
+          :ask => /Ask<\/td>\n<td class="value[^>]+>([0-9.,NA-]{1,})/,
+          :open => /Open<\/td>\n<td class="value[^>]+>([0-9.,NA-]{1,})/,
+          :high => /High<\/td>\n<td class="value[^>]+>([0-9.,NA-]{1,})/,
+          :low => /Low<\/td>\n<td class="value[^>]+>([0-9.,NA-]{1,})/,
+          :volume => /Volume<\/td>\n<td class="value[^>]+>([0-9.,NA-]{1,})/,
+          :mkt_cap => /Market Cap[^<]+<\/td>\n<td class="value">([0-9.,NA-]{1,})/,
+          :p_e     => /Price\/Earnings[^<]+<\/td>\n<td class="value">([0-9.,NA-]{1,})/)
+        @sources << Source.new(:yahoo)
+        @sources << Source.new(:google)
+        @default_source = :bloomberg
+      end
+    end
+
+    # Initialize sources
+    Quote.build_sources
+  end
+end

data/lib/rupee/version.rb

@@ -0,0 +1,4 @@
+module Rupee
+  # The current version
+  VERSION = "0.1.0"
+end

data/rupee.gemspec

@@ -0,0 +1,27 @@
+# -*- encoding: utf-8 -*-
+$:.push File.expand_path("../lib", __FILE__)
+require "rupee/version"
+
+Gem::Specification.new do |s|
+  s.name              = "rupee"
+  s.version           = Rupee::VERSION
+  s.authors           = ["Bryan McKelvey"]
+  s.email             = ["bryan.mckelvey@gmail.com"]
+  s.homepage          = "https://github.com/brymck/rupee"
+  s.summary           = "Financial tools for Ruby"
+  s.description       = "rupee aims to provide user-friendly tools for use in financial gems and applications."
+
+  s.rubyforge_project = "rupee"
+
+  s.files             = `git ls-files`.split("\n")
+  s.test_files        = `git ls-files -- spec/**/*_spec.rb`.split("\n")
+  s.executables       = `git ls-files -- bin/*`.split("\n").map{ |f| File.basename(f) }
+  s.extensions        = "ext/rupee/extconf.rb"
+  s.require_paths     = ["lib", "ext"]
+
+  # specify any dependencies here; for example:
+  s.add_development_dependency "bundler",  "~> 1.0"
+  s.add_development_dependency "rspec",    "~> 2.0"
+  s.add_development_dependency "autotest", "~> 4.0"
+  # s.add_runtime_dependency "rest-client"
+end

data/spec/c/bond_spec.rb

@@ -0,0 +1,39 @@
+require File.dirname(__FILE__) + "/../spec_helper"
+
+# Discrete discounting
+# bonds price    = 102.531
+# bond yield to maturity = 0.09
+# bond duration  = 2.73895
+# bond duration modified = 2.5128
+# bond convexity =8.93248
+# new bond price = 100
+#Continous discounting
+# bonds price    = 101.464
+# bond yield to maturity = 0.09
+# bond duration  = 2.73753
+# bond convexity =7.86779
+# new bond price = 104.282
+
+TOLERANCE = 0.001
+
+describe Rupee::Bond do
+  before :each do
+    @times = [1, 2, 3]
+    @cflows = [10, 10, 110]
+    @r = 0.09
+  end
+
+  describe "with continuous discounting" do
+    it "should produce an accurate price" do
+      Rupee::Bond.price(@times, @cflows, @r).should be_within(TOLERANCE).of 101.464
+    end
+
+    it "should produce an accurate duration" do
+      Rupee::Bond.duration(@times, @cflows, @r).should be_within(TOLERANCE).of 2.73753
+    end
+
+    it "should produce an accurate convexity" do
+      Rupee::Bond.convexity(@times, @cflows, @r).should be_within(TOLERANCE).of 7.86779
+    end
+  end
+end

data/spec/c/distribution_spec.rb

@@ -0,0 +1,7 @@
+require File.dirname(__FILE__) + "/../spec_helper"
+
+describe "Cumulative normal distribution" do
+  it "should return a probability of 50% for 0" do
+    Rupee::Distribution.cnd(0).round(4).should == 0.5
+  end
+end

data/spec/c/option_spec.rb

@@ -0,0 +1,45 @@
+require File.dirname(__FILE__) + "/../spec_helper"
+
+describe Rupee::Option do
+  describe "European option valuation" do
+    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
+          Rupee::Option.black76("c", 60, 65, 0.25, 0.08, 0.3).round(4).should == 1.7202
+        end
+
+        it "should return $6.6212 for a put" do
+          Rupee::Option.black76("p", 60, 65, 0.25, 0.08, 0.3).round(4).should == 6.6212
+        end
+      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
+          Rupee::Option.generalized_black_scholes("c", 60, 65, 0.25, 0.08, 0, 0.3).round(4).should == 1.7202
+          Rupee::Option.gbs("c", 60, 65, 0.25, 0.08, 0, 0.3).round(4).should == 1.7202
+        end
+
+        it "should return $6.6212 for a put" do
+          Rupee::Option.generalized_black_scholes("p", 60, 65, 0.25, 0.08, 0, 0.3).round(4).should == 6.6212
+          Rupee::Option.gbs("p", 60, 65, 0.25, 0.08, 0, 0.3).round(4).should == 6.6212
+        end
+      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
+          Rupee::Option.black_scholes("c", 60, 65, 0.25, 0.08, 0, 0.3).round(4).should == 2.1334
+          Rupee::Option.bs("c", 60, 65, 0.25, 0.08, 0, 0.3).round(4).should == 2.1334
+        end
+
+        it "should return $6.6212 for a put" do
+          Rupee::Option.black_scholes("p", 60, 65, 0.25, 0.08, 0, 0.3).round(4).should == 5.8463
+          Rupee::Option.bs("p", 60, 65, 0.25, 0.08, 0, 0.3).round(4).should == 5.8463
+        end
+      end
+    end
+  end
+end

data/spec/import/quote_spec.rb

@@ -0,0 +1,23 @@
+require File.dirname(__FILE__) + "/../spec_helper"
+
+describe Rupee::Quote do
+  it "should automatically have a Bloomberg source" do
+    Rupee::Quote.sources[0].name.should == :bloomberg
+  end
+
+  describe "when pulling quotes" do
+    describe "without any parameters specified" do
+      before :each do
+        @wfc = Rupee::Quote.bloomberg("WFC")
+      end
+
+      it "should default to pulling the price" do
+        @wfc.should include :price
+      end
+
+      it "should return a price" do
+        @wfc[:price].to_f.should be_a_kind_of Float
+      end
+    end
+  end
+end

data/spec/spec_helper.rb

@@ -0,0 +1,2 @@
+$:.unshift File.join(File.dirname(__FILE__), *%w[.. lib])
+require "rupee"

data/tasks/benchmark.rake

@@ -0,0 +1,25 @@
+autoload :Benchmark, "benchmark"
+
+namespace :benchmark do
+  task :default => :black_scholes
+
+  desc "Run Black-Scholes one million times"
+  task :black_scholes do
+    require "rupee"
+    require "rupee/benchmark"
+
+    n = 1_000_000
+    Benchmark.bm(11) do |x|
+      x.report "rupee:" do
+        n.times do
+          Rupee::Option.black_scholes "c", 60, 65, 0.25, 0.08, 0, 0.3
+        end
+      end
+      x.report("pure ruby:") do
+        n.times do
+          Rupee::Benchmark.black_scholes "c", 60, 65, 0.25, 0.08, 0.3
+        end
+      end
+    end
+  end
+end

metadata

@@ -0,0 +1,111 @@
+--- !ruby/object:Gem::Specification
+name: rupee
+version: !ruby/object:Gem::Version
+  version: 0.1.0
+  prerelease: 
+platform: ruby
+authors:
+- Bryan McKelvey
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2011-09-28 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: bundler
+  requirement: &84328270 !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '1.0'
+  type: :development
+  prerelease: false
+  version_requirements: *84328270
+- !ruby/object:Gem::Dependency
+  name: rspec
+  requirement: &84326450 !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '2.0'
+  type: :development
+  prerelease: false
+  version_requirements: *84326450
+- !ruby/object:Gem::Dependency
+  name: autotest
+  requirement: &84324740 !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '4.0'
+  type: :development
+  prerelease: false
+  version_requirements: *84324740
+description: rupee aims to provide user-friendly tools for use in financial gems and
+  applications.
+email:
+- bryan.mckelvey@gmail.com
+executables: []
+extensions:
+- ext/rupee/extconf.rb
+extra_rdoc_files: []
+files:
+- .autotest
+- .gitignore
+- .rspec
+- COPYING
+- Gemfile
+- README.md
+- Rakefile
+- ext/rupee/bond.c
+- ext/rupee/conv.c
+- ext/rupee/distribution.c
+- ext/rupee/extconf.rb
+- ext/rupee/option.c
+- ext/rupee/rupee.c
+- ext/rupee/rupee.h
+- lib/rupee.rb
+- lib/rupee/benchmark.rb
+- lib/rupee/quote.rb
+- lib/rupee/quote/source.rb
+- lib/rupee/version.rb
+- rupee.gemspec
+- spec/c/bond_spec.rb
+- spec/c/distribution_spec.rb
+- spec/c/option_spec.rb
+- spec/import/quote_spec.rb
+- spec/spec_helper.rb
+- tasks/benchmark.rake
+homepage: https://github.com/brymck/rupee
+licenses: []
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+- ext
+required_ruby_version: !ruby/object:Gem::Requirement
+  none: false
+  requirements:
+  - - ! '>='
+    - !ruby/object:Gem::Version
+      version: '0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  none: false
+  requirements:
+  - - ! '>='
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: rupee
+rubygems_version: 1.8.10
+signing_key: 
+specification_version: 3
+summary: Financial tools for Ruby
+test_files:
+- spec/c/bond_spec.rb
+- spec/c/distribution_spec.rb
+- spec/c/option_spec.rb
+- spec/import/quote_spec.rb