rupee 0.1.6 → 0.1.7

data/.autotest

@@ -0,0 +1,4 @@
+begin
+  require "test_notifier/runner/autotest"
+rescue LoadError
+end

data/README.rdoc

@@ -66,9 +66,9 @@ Fargo using the following (note that you only need to <tt>require</tt> the
   wfc.change
   #=> 0.17
 
-<tt>wfc.get</tt> will return a hash of the requested information for the security.
-Each valid parameter will also have its own utility method. The results will
-update every <tt>wfc.frequency</tt> seconds (defaults to 15).
+<tt>wfc.get</tt> will return a hash of the requested information for the
+security. Each valid parameter will also have its own utility method. The
+results will update every <tt>wfc.frequency</tt> seconds (defaults to 15).
 
 Got it? Good. This will surely help you collect some rupees in real life.
 
@@ -95,8 +95,8 @@ faster than the same thing in Ruby.
 Also, if you're doing a valuation on a one-off set of examples (e.g. in a Monte
 Carlo simulation), you probably don't want to create an object every time.
 Something like <tt>Rupee::Option.black_scholes ...</tt> should work just fine.
-Creating a <tt>Rupee::Option</tt> object takes roughly the same amount of time as
-running <tt>Rupee::Option.black_scholes</tt> a dozen times.
+Creating a <tt>Rupee::Option</tt> object takes roughly the same amount of time
+as running <tt>Rupee::Option.black_scholes</tt> a dozen times.
 
 However, if you're creating and reusing an object, I strongly recommend
 preserving the object orientation of Ruby: the penalty for using a new instance

data/ext/rupee/rupee.h

@@ -16,6 +16,7 @@ double simple_df(double r, double time, bool discrete);
 
 /* Statistics */
 double cnd(double);
+double std(double *, int);
 void init_distribution();
 
 /* Options */

data/ext/rupee/statistics.c

@@ -0,0 +1,111 @@
+#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;
+}
+
+double
+mean(values, len)
+  double *values;
+  int len;
+{
+  double result;
+  int i;
+  result = 0;
+  
+  for (i = 0; i < len; i++)
+    result += values[i];
+
+  return result / len;
+}
+
+double
+std(values, len)
+  double *values;
+  int len;
+{
+  double bar_x, result;
+  int i;
+  result = 0;
+
+  bar_x = mean(values, len);
+
+  for (i = 0; i < len; i++)
+    result += pow(values[i] - bar_x, 2);
+
+  return sqrt(result / (len - 1));
+}
+
+/* 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, _z)
+  VALUE self, _z;
+{
+  return rb_float_new(cnd(NUM2DBL(_z)));
+}
+
+static VALUE
+rupee_std(self, _values)
+  VALUE self, _values;
+{
+  int len = RARRAY_LEN(_values);
+  double *values;
+
+  rtofa(values, _values, len);
+
+  return rb_float_new(std(values, len));
+}
+
+void
+init_distribution()
+{
+  VALUE klass, singleton;
+
+#if 0
+  VALUE module = rb_define_module("Rupee");
+#endif
+
+  klass = rb_define_class_under(module, "Statistics", rb_cObject);
+  singleton = rb_singleton_class(klass);
+
+  rb_define_singleton_method(klass, "cumulative_normal_distribution", rupee_cnd, 1);
+  rb_define_alias(singleton, "cnd", "cumulative_normal_distribution");
+  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/benchmark.rb

@@ -7,10 +7,10 @@ module Rupee
       # by Michael Neumann (with some revisions)
       #
       # http://www.espenhaug.com/black_scholes.html
-      def black_scholes(callPutFlag, s, x, t, r, v)
+      def black_scholes(call_put_flag, 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'
+        if call_put_flag == 'c'
           s * cnd(d1) - x * Math.exp(-r * t) * cnd(d2)
         else
           x * Math.exp(-r * t) * cnd(-d2) - s * cnd(-d1)
@@ -19,12 +19,6 @@ module Rupee
 
       private
 
-      A1 =  0.31938153   # :nodoc:
-      A2 = -0.356563782  # :nodoc:
-      A3 =  1.781477937  # :nodoc:
-      A4 = -1.821255978  # :nodoc:
-      A5 =  1.330274429  # :nodoc:
-
       # Cumulative normal distribution
       #
       # by Michael Neumann (with some revisions)
@@ -34,9 +28,12 @@ module Rupee
         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))
+          ( 0.31938153  *  k +
+           -0.356563782 * (k ** 2) +
+            1.781477937 * (k ** 3) +
+           -1.821255978 * (k ** 4) +
+            1.330274429 * (k ** 5))
         w = 1.0 - w if x < 0
-        return w
       end
     end
   end

data/lib/rupee/option.rb

@@ -24,7 +24,8 @@ module Rupee
     attr_alias :value, :price
 
     def black_scholes
-      @value = self.class.black_scholes @type.to_s, @underlying, @strike, @time, @rate, @div_yield, @volatility
+      @value = self.class.black_scholes @type.to_s, @underlying, @strike,
+        @time, @rate, @div_yield, @volatility
     end
   end
 

data/lib/rupee/version.rb

@@ -1,4 +1,4 @@
 module Rupee
   # The current version
-  VERSION = "0.1.6"
+  VERSION = "0.1.7"
 end

data/spec/c/option_spec.rb

@@ -2,14 +2,26 @@ require File.dirname(__FILE__) + "/../spec_helper"
 
 describe Rupee::Option do
   describe "European option valuation" do
+    before :each do
+      @tolerance = 0.0001
+      @call = Rupee::Option.new(
+        :underlying => 60,
+        :strike     => 65,
+        :time       => 0.25,
+        :rate       => 0.08,
+        :div_yield  => 0,
+        :volatility => 0.3
+      )
+    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
-          Rupee::Option.black76("c", 60, 65, 0.25, 0.08, 0.3).round(4).should == 1.7202
+          Rupee::Option.black76("c", 60, 65, 0.25, 0.08, 0.3).should be_within(@tolerance).of 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
+          Rupee::Option.black76("p", 60, 65, 0.25, 0.08, 0.3).should be_within(@tolerance).of 6.6212
         end
       end
     end
@@ -17,13 +29,13 @@ describe Rupee::Option do
     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
+          Rupee::Option.generalized_black_scholes("c", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 1.7202
+          Rupee::Option.gbs("c", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 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
+          Rupee::Option.generalized_black_scholes("p", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 6.6212
+          Rupee::Option.gbs("p", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 6.6212
         end
       end
     end
@@ -31,13 +43,14 @@ describe Rupee::Option do
     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
+          Rupee::Option.black_scholes("c", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 2.1334
+          Rupee::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
         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
+          Rupee::Option.black_scholes("p", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 5.8463
+          Rupee::Option.bs("p", 60, 65, 0.25, 0.08, 0, 0.3).should be_within(@tolerance).of 5.8463
         end
       end
     end

data/spec/c/statistics_spec.rb

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

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: rupee
 version: !ruby/object:Gem::Version
-  version: 0.1.6
+  version: 0.1.7
   prerelease: 
 platform: ruby
 authors:
@@ -13,7 +13,7 @@ date: 2011-09-29 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
-  requirement: &70967150 !ruby/object:Gem::Requirement
+  requirement: &68970630 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ~>
@@ -21,10 +21,10 @@ dependencies:
         version: '1.0'
   type: :development
   prerelease: false
-  version_requirements: *70967150
+  version_requirements: *68970630
 - !ruby/object:Gem::Dependency
   name: rspec
-  requirement: &70966890 !ruby/object:Gem::Requirement
+  requirement: &68970360 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ~>
@@ -32,7 +32,7 @@ dependencies:
         version: '2.0'
   type: :development
   prerelease: false
-  version_requirements: *70966890
+  version_requirements: *68970360
 description: ! "                      rupee aims to provide user-friendly tools for
   use in\n                      financial gems and applications.\n"
 email:
@@ -42,6 +42,7 @@ extensions:
 - ext/rupee/extconf.rb
 extra_rdoc_files: []
 files:
+- .autotest
 - .gitignore
 - .rspec
 - COPYING
@@ -49,12 +50,12 @@ files:
 - README.rdoc
 - Rakefile
 - ext/rupee/bond.c
-- ext/rupee/distribution.c
 - ext/rupee/extconf.rb
 - ext/rupee/future.c
 - ext/rupee/option.c
 - ext/rupee/rupee.c
 - ext/rupee/rupee.h
+- ext/rupee/statistics.c
 - ext/rupee/util.c
 - lib/rupee.rb
 - lib/rupee/benchmark.rb
@@ -65,9 +66,9 @@ files:
 - lib/rupee/version.rb
 - rupee.gemspec
 - spec/c/bond_spec.rb
-- spec/c/distribution_spec.rb
 - spec/c/future_spec.rb
 - spec/c/option_spec.rb
+- spec/c/statistics_spec.rb
 - spec/import/quote_spec.rb
 - spec/spec_helper.rb
 - tasks/benchmark.rake
@@ -98,7 +99,7 @@ specification_version: 3
 summary: Financial tools for Ruby
 test_files:
 - spec/c/bond_spec.rb
-- spec/c/distribution_spec.rb
 - spec/c/future_spec.rb
 - spec/c/option_spec.rb
+- spec/c/statistics_spec.rb
 - spec/import/quote_spec.rb

data/ext/rupee/distribution.c

@@ -1,63 +0,0 @@
-#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/spec/c/distribution_spec.rb

@@ -1,7 +0,0 @@
-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