rupee 0.2.5 → 0.2.6

data/lib/rupee.rb

@@ -16,15 +16,18 @@ require "rupee/version"
 
 # This module contains all modules and classes associated with Rupee
 module Rupee
-  autoload :Security,   "rupee/security"
+  autoload :Security,    "rupee/security"
 
-  autoload :Calendar,   "rupee/calendar"
-  autoload :Custom,     "rupee/custom"
-  autoload :Call,       "rupee/option"
-  autoload :Currency,   "rupee/currency"
-  autoload :DayCount,   "rupee/day_count"
-  autoload :Option,     "rupee/option"
-  autoload :Put,        "rupee/option"
-  autoload :Quote,      "rupee/quote"
-  autoload :YieldCurve, "rupee/yield_curve"
+  autoload :Benchmark,   "rupee/benchmark"
+  autoload :BusinessDay, "rupee/business_day"
+  autoload :Calendar,    "rupee/calendar"
+  autoload :Custom,      "rupee/custom"
+  autoload :Call,        "rupee/option"
+  autoload :Currency,    "rupee/currency"
+  autoload :DayCount,    "rupee/day_count"
+  autoload :Option,      "rupee/option"
+  autoload :Put,         "rupee/option"
+  autoload :Quote,       "rupee/quote"
+  autoload :Source,      "rupee/source"
+  autoload :YieldCurve,  "rupee/yield_curve"
 end

data/lib/rupee/business_day.rb

@@ -0,0 +1,49 @@
+require "rupee/mixins/find_instance"
+
+module Rupee
+  # A business day convention, used to determine the next business day should a
+  # calculated payment date fall on a non-working day
+  class BusinessDay
+    autoload :ACTUAL,             "rupee/business_day/actual"
+    autoload :FOLLOWING,          "rupee/business_day/following"
+    autoload :MODIFIED_FOLLOWING, "rupee/business_day/modified_following"
+    autoload :MODIFIED_PREVIOUS,  "rupee/business_day/modified_previous"
+    autoload :PREVIOUS,           "rupee/business_day/previous"
+
+    # A description of the business day and where it's often found
+    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
+    #
+    # Configuration options
+    #
+    # * <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
+    end
+
+    class << self
+      include FindInstance
+    end
+  end
+end

data/lib/rupee/business_day/actual.rb

@@ -0,0 +1,8 @@
+module Rupee
+  class BusinessDay
+    # Actual business day convention
+    ACTUAL = BusinessDay.new "Use date even if it's a non-business day" do |date, calendar|
+      date
+    end
+  end
+end

data/lib/rupee/business_day/following.rb

@@ -0,0 +1,12 @@
+module Rupee
+  class BusinessDay
+    # Following business day convention
+    FOLLOWING = BusinessDay.new "Roll to following business day" do |date, calendar|
+      while calendar.day_off?(date)
+        date += 86_400
+      end
+
+      date
+    end
+  end
+end

data/lib/rupee/business_day/modified_following.rb

@@ -0,0 +1,23 @@
+module Rupee
+  class BusinessDay
+    # Modified following business day convention
+    MODIFIED_FOLLOWING = BusinessDay.new "Roll to following business day " +
+      "unless it's in the next month, then use previous business day" do |date, calendar|
+      month = date.month
+
+      while calendar.day_off?(date) && date.month == month
+        date += 86_400
+      end
+
+      if date.month != month
+        while calendar.day_off?(date)
+          date -= 86_400
+        end
+      else
+        date
+      end
+
+      date
+    end
+  end
+end

data/lib/rupee/business_day/modified_previous.rb

@@ -0,0 +1,23 @@
+module Rupee
+  class BusinessDay
+    # Modified previous business day convention
+    MODIFIED_PREVIOUS = BusinessDay.new "Roll to previous business day " +
+      "unless it's in the previous month, then use following business day" do |date, calendar|
+      month = date.month
+
+      while calendar.day_off?(date) && date.month == month
+        date -= 86_400
+      end
+
+      if date.month != month
+        while calendar.day_off?(date)
+          date += 86_400
+        end
+      else
+        date
+      end
+
+      date
+    end
+  end
+end

data/lib/rupee/business_day/previous.rb

@@ -0,0 +1,12 @@
+module Rupee
+  class BusinessDay
+    # Previous business day convention
+    PREVIOUS = BusinessDay.new "Roll to previous business day" do |date, calendar|
+      while calendar.day_off?(date)
+        date -= 86_400
+      end
+
+      date
+    end
+  end
+end

data/lib/rupee/calendar.rb

@@ -1,3 +1,5 @@
+require "rupee/mixins/find_instance"
+
 module Rupee
   # An object representing a calendar, for use in determining the next payout
   # date for a cash flow. Simple example:
@@ -171,6 +173,8 @@ module Rupee
     end
 
     class << self
+      include FindInstance
+
       # Calculates the week of the month in which the given date falls
       def week_of(date)
         (date.day - 1) / 7 + 1
@@ -189,7 +193,7 @@ 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) ? 22 : 21
+          date.day > (date.year % 4 == 0 && (date.year % 100 != 0 || date.year % 400 == 0)) ? 22 : 21
         end
       end
 
@@ -246,7 +250,6 @@ module Rupee
           date.day == day
         end
       end
-
     end
   end
 end

data/lib/rupee/calendar/japan.rb

@@ -29,7 +29,10 @@ module Rupee
 
     # Vernal Equinox Day
     Japan.has_day_off_on :shunbun do |date|
-      date.month == MARCH && date.day == 20
+      # Currently alternating between the 20th for two years, then the 21st for
+      # the next two years
+      date.month == MARCH &&
+        next_monday_if_sunday(date, date.year % 4 < 2 ? 20 : 21)
     end
 
     # Showa Day
@@ -37,7 +40,8 @@ module Rupee
       date.month == APRIL && next_monday_if_sunday(date, 29)
     end
 
-    # Golden Week: Constitution Memorial Day, Greenery Day and Children's # Day, respectively
+    # Golden Week: Constitution Memorial Day, Greenery Day and Children's Day,
+    # respectively
     Japan.has_day_off_on :golden_week do |date|
       date.month == MAY && (date.day.between?(3, 5) ||
                           ((date.monday? || date.tuesday?) && date.day == 6))
@@ -54,8 +58,11 @@ module Rupee
     end
 
     # Autumnal Equinox Day
-    Japan.has_day_off_on :setsubun do |date|
-      date.month == SEPTEMBER && next_monday_if_sunday(date, 23)
+    Japan.has_day_off_on :shubun do |date|
+      # Currently alternating between the 22nd for one years, then the 23rd for
+      # the next three years
+      date.month == SEPTEMBER &&
+        next_monday_if_sunday(date, date.year % 4 == 0 ? 22 : 23)
     end
 
     # Health and Sports Day

data/lib/rupee/currency.rb

@@ -1,4 +1,6 @@
 # encoding: utf-8
+require "rupee/mixins/find_instance"
+
 module Rupee
   # A holder for currencies
   class Currency
@@ -50,5 +52,9 @@ module Rupee
 
       "#{@symbol}#{parts.join @separator}"
     end
+
+    class << self
+      include FindInstance
+    end
   end
 end

data/lib/rupee/custom.rb

@@ -5,42 +5,86 @@ module Rupee
   # curves, payout curves, calendars, currencies, daycounts, roll day
   # conventions, etc.
   class Custom < Security
-    # The Calendar object
+    # The security's business day convention
+    attr :business_day
+    # The calendar used for determining holidays
     attr :calendar
-    # The security's Currency
+    # The security's currency
     attr :currency
+    # The day count convention for determining payment and accrual dates
+    attr :day_count
 
     # Build a custom security
+    #
+    # Configuration options
+    #
+    # * <tt>:business_day</tt> - The security's business day convention, used
+    #   to determine when the next business day is relative to the calendar in
+    #   use (default is :modified_following)
+    #   * <tt>:actual</tt> - The actual day, regardless of whether it's a
+    #     business day
+    #   * <tt>:following</tt> - The following business day
+    #   * <tt>:modified_following</tt> - The following business day unless it
+    #     occurs in the following month, in which case use the previous
+    #     business day
+    #   * <tt>:modified_previous</tt> - The previous business day unless it
+    #     occurs in the previous month, in which case use the following
+    #     business day
+    #   * <tt>:previous</tt> - The previous business day
+    # * <tt>:calendar</tt> - The calendar to use for determining holidays and
+    #   days off (default is +:us+)
+    #   * <tt>:us</tt> - The US Federal Reserve Calendar
+    #   * <tt>:japan</tt> - The Japanese calendar
+    # * <tt>:currency</tt> - (default is +:usd+)
+    #   * <tt>:eur</tt> or <tt>:euro</tt> - The euro
+    #   * <tt>:jpy</tt> or <tt>:yen</tt> - The Japanese yen
+    #   * <tt>:gbp</tt> or <tt>:pound</tt> - The British pound sterling
+    #   * <tt>:usd</tt> or <tt>:dollar</tt> - The US dollar
+    # * <tt>:day_count</tt> - (default is +:thirty_360+)
+    #   * <tt>:thirty_360</tt> - 30/360
+    #   * <tt>:thirty_e_360</tt> - 30E/360
+    #   * <tt>:thirty_e_360_isda</tt> - 30E/360 ISDA
+    #   * <tt>:thirty_e_plus_360</tt> - 30E+/360
+    #   * <tt>:act_360</tt> - Act/360
+    #   * <tt>:act_365</tt> - Act/365
+    #   * <tt>:act_act</tt> - Act/Act
+    #
+    #   require "rupee"
+    #
+    #   # A typical pay-fixed bond
+    #   bond = Rupee::Custom.new
+    #
+    #   # A typical yen LIBOR security
+    #   bond = Rupee::Custom.new :calendar => :japan, :currency => :yen,
+    #     :day_count => :act_365
     def initialize(opts = {})
       opts = {
-        :calendar => :us,
-        :currency => :usd
+        :business_day => :modified_following,
+        :calendar     => :us,
+        :currency     => :usd,
+        :day_count    => :thirty_360
       }.merge opts
 
-      self.calendar = opts[:calendar]
-      self.currency = opts[:currency]
+      self.business_day = opts[:business_day]
+      self.calendar     = opts[:calendar]
+      self.currency     = opts[:currency]
+      self.day_count    = opts[:day_count]
     end
 
-    def calendar=(x) # :nodoc:
-      @calendar = to_instance(x, Calendar)
+    def business_day=(business_day)  # :nodoc:
+      @business_day = BusinessDay.find(business_day)
     end
 
-    def currency=(x)  # :nodoc:
-      @currency = to_instance(x, Currency)
+    def calendar=(calendar) # :nodoc:
+      @calendar = Calendar.find(calendar)
     end
 
-    private
-
-    # Converts the supplied value to an instance of the specified class (if it
-    # isn't already one)
-    def to_instance(x, constant)
-      x = x.upcase
+    def currency=(currency)  # :nodoc:
+      @currency = Currency.find(currency)
+    end
 
-      if x.instance_of?(constant)
-        x
-      else
-        constant.const_get(x)
-      end
+    def day_count=(day_count)  # :nodoc:
+      @day_count = DayCount.find(day_count)
     end
   end
 end

data/lib/rupee/day_count.rb

@@ -1,4 +1,78 @@
+require "rupee/mixins/find_instance"
+
 module Rupee
+  # A class representing a day count convention used to determine cash flow
+  # and accrual dates for fixed income products
   class DayCount
+    include FindInstance
+
+    autoload :THIRTY_360,        "rupee/day_count/30_360"
+    autoload :THIRTY_E_360,      "rupee/day_count/30e_360"
+    autoload :THIRTY_E_360_ISDA, "rupee/day_count/30e_360_isda"
+    autoload :THIRTY_E_PLUS_360, "rupee/day_count/30e+_360"
+    autoload :ACT_360,           "rupee/day_count/act_360"
+    autoload :ACT_365,           "rupee/day_count/act_365"
+    autoload :ACT_ACT,           "rupee/day_count/act_act"
+
+    # A description of the day count convention
+    attr :description
+    # The formula for determining a day count factor (days divided by years)
+    attr :block
+
+    # Create a new DayCount object
+    def initialize(description, &block)
+      @description = description
+      @block = block
+    end
+
+    def factor(from, to)
+      block.call from, to
+    end
+
+    class << self
+      # 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
+      end
+
+      def days_in_year(date)
+        if leap_year?(date)
+          366.0
+        else
+          365.0
+        end
+      end
+
+      def end_of_month?(date)
+        case date.month
+        when 9, 4, 6, 11
+          # Thirty days hath September
+          # April, June and November
+          date.day == 30
+        when 1, 3, 5, 7, 8, 10, 12
+          # All the rest have thirty-one
+          date.day == 31
+        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
+        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/30_360.rb

@@ -0,0 +1,20 @@
+module Rupee
+  class DayCount
+    # Standard US 30/360
+    THIRTY_360 = DayCount.new "30/360, typical pay-fixed convention" do |from, to|
+      m1 = from.month
+      m2 = to.month
+      d1 = from.day
+      d2 = to.day
+
+      if end_of_month?(from)
+        d1 = 30
+        d2 = 30 if m1 == 2 && end_of_month?(to) && m2 == 2
+      end
+
+      d2 = 30 if d2 == 31 && d1 == 30
+
+      (360 * (to.year - from.year) + 30 * (m2 - m1) + (d2 - d1)) / 360.0
+    end
+  end
+end

data/lib/rupee/day_count/30e+_360.rb

@@ -0,0 +1,17 @@
+module Rupee
+  class DayCount
+    # 30E+/360
+    THIRTY_E_PLUS_360 = DayCount.new "30E+/360" do |from, to|
+      m  = to.month - from.month
+      d1 = from.day
+      d2 = to.day
+      d1 = 30 if d1 == 31
+      if d2 == 31
+        m += 1
+        d2 = 1
+      end
+
+      (360 * (to.year - from.year) + 30 * m + (d2 - d1)) / 360.0
+    end
+  end
+end

data/lib/rupee/day_count/30e_360.rb

@@ -0,0 +1,14 @@
+module Rupee
+  class DayCount
+    # Standard European 30/360
+    THIRTY_E_360 = DayCount.new "30E/360" do |from, to|
+      d1 = from.day
+      d2 = to.day
+      d1 = 30 if d1 == 31
+      d2 = 30 if d2 == 31
+
+      (360 * (to.year - from.year) + 30 * (to.month - from.month) +
+        (d2 - d1)) / 360.0
+    end
+  end
+end

data/lib/rupee/day_count/30e_360_isda.rb

@@ -0,0 +1,14 @@
+module Rupee
+  class DayCount
+    # 30E/360 ISDA, typical for Eurobonds
+    THIRTY_E_360_ISDA = DayCount.new "30E/360 ISDA" do |from, to|
+      d1 = from.day
+      d2 = to.day
+      d1 = 30 if end_of_month?(from)
+      d2 = 30 if end_of_month?(to) # && (d2 != maturity_date || to.month != 2)
+
+      (360 * (to.year - from.year) + 30 * (to.month - from.month) +
+        (d2 - d1)) / 360.0
+    end
+  end
+end

data/lib/rupee/day_count/act_360.rb

@@ -0,0 +1,8 @@
+module Rupee
+  class DayCount
+    # Actual/360
+    ACT_360 = DayCount.new "Actual/360, typical LIBOR convention" do |from, to|
+      days(from, to) / 360.0
+    end
+  end
+end

data/lib/rupee/day_count/act_365.rb

@@ -0,0 +1,8 @@
+module Rupee
+  class DayCount
+    # Actual/365
+    ACT_365 = DayCount.new "Actual/365" do |from, to|
+      days(from, to) / 365.0
+    end
+  end
+end

data/lib/rupee/day_count/act_act.rb

@@ -0,0 +1,10 @@
+module Rupee
+  class DayCount
+    # Actual/Actual
+    ACT_ACT = DayCount.new "Actual/actual" do |from, to|
+      1 - from.yday / days_in_year(from) +
+        (to.year - from.year - 1) +
+        to.yday / days_in_year(to)
+    end
+  end
+end

data/lib/rupee/mixins/find_instance.rb

@@ -0,0 +1,23 @@
+module Rupee
+  # For finding instances within a class
+  module FindInstance
+    # Converts the supplied value to an instance of the specified class (if it
+    # isn't already one). For example, within the Source object you could find
+    # the Bloomberg object one of two ways:
+    #
+    #   Rupee::Source.find :bloomberg
+    #   Rupee::Source.find Rupee::Source::BLOOMBERG
+    #
+    # This allows the user more flexibility, as specifying the full path to
+    # the <tt>BLOOMBERG</tt> constant is no longer necessary
+    def find(x)
+      if x.instance_of?(self)
+        # If x is an actual instance of the class, just return it
+        x
+      else
+        # Otherwise, search for constants after capitalizing x
+        self.const_get x.upcase
+      end
+    end
+  end
+end

data/lib/rupee/quote.rb

@@ -1,4 +1,3 @@
-require "rupee/quote/source"
 autoload :Net, "net/http"
 autoload :URI, "uri"
 
@@ -23,13 +22,10 @@ module Rupee
   class Quote
     # A ticker symbol
     attr_accessor :ticker
-
     # The name of the quote source
     attr_accessor :source
-
     # The frequency in seconds that a quote's information should be updated
     attr_accessor :frequency
-
     # The time at which the next pull from the online quote source will occur
     attr :next_pull
 
@@ -52,7 +48,7 @@ module Rupee
     def initialize(ticker, opts = {})
       opts = { :source => :bloomberg, :frequency => 15 }.merge opts
       @ticker = ticker.upcase
-      @source = Quote.sources[opts[:source]]
+      @source = Source.find(opts[:source])
       @frequency = opts[:frequency]
       @next_pull = Time.now
     end

data/lib/rupee/source.rb

@@ -0,0 +1,28 @@
+require "rupee/mixins/find_instance"
+
+module Rupee
+  # A class to hold quote sources
+  class Source
+    # Autoload default sources
+    autoload :BLOOMBERG, "rupee/source/bloomberg"
+    autoload :GOOGLE,    "rupee/source/google"
+    autoload :YAHOO,     "rupee/source/yahoo"
+
+    # The name of the source
+    attr :name
+    # The full URL for where the security information is located, where
+    # <tt>%s</tt> is a query parameter
+    attr :url
+    # The parameters available
+    attr :params
+
+    # Creates a new quote service
+    def initialize(name, url, params = {})
+      @name, @url, @params = name, url, params
+    end
+
+    class << self
+      include FindInstance
+    end
+  end
+end

data/lib/rupee/source/bloomberg.rb

@@ -0,0 +1,20 @@
+module Rupee
+  class Source
+    # Bloomberg
+    BLOOMBERG = Source.new(:bloomberg,
+      "http://www.bloomberg.com/apps/quote?ticker=%s",
+      :price   => /(?:PRICE|VALUE): <span class="amount">([0-9.,NA-]{1,})/,
+      :change  => /Change<\/td>\n<td class="value[^>]+>([0-9.,NA-]{1,})/,
+      :pct_chg => /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,})/)
+  end
+end

data/lib/rupee/source/google.rb

@@ -0,0 +1,17 @@
+module Rupee
+  class Source
+    # Google Finance
+    GOOGLE = Source.new(:google,
+      "http://www.google.com/ig/api?stock=%s",
+      :price   => /<last data="([0-9.-]*)"/,
+      :change  => /<change data="([0-9.-]*)"/,
+      :pct_chg => /<perc_change data="([0-9.-]*)"/,
+      :date    => /<trade_date_utc data="([0-9.-]*)"/,
+      :time    => /<trade_date_utc data="([0-9.-]*)"/,
+      :open    => /<open data="([0-9.-]*)"/,
+      :high    => /<high data="([0-9.-]*)"/,
+      :low     => /<low data="([0-9.-]*)"/,
+      :volume  => /<volume data="([0-9.-]*)"/,
+      :mkt_cap => /<market_cap data="([0-9.-]*)"/)
+  end
+end

data/lib/rupee/source/yahoo.rb

@@ -0,0 +1,18 @@
+module Rupee
+  class Source
+    YAHOO = Source.new(:yahoo,
+      "http://finance.yahoo.com/q?s=%s",
+      :price   => /(?:<\/a> |"yfnc_tabledata1"><big><b>)<span id="yfs_l[19]0_[^>]+>([0-9,.-]{1,})/,
+      :change  => /><span id="yfs_c[16]0_.*?(?:\n[\s\w\-]*\n[\s">\(]*?)?([0-9.,-]{1,})/,
+      :pct_chg => /yfs_p[24]0_.*?(?:\n[\s\w\-]*\n[\s">\(]*?)?([0-9.,-]{1,})%\)(?:<\/span>|<\/b><\/span><\/td>)/,
+      :date    => /<span id="yfs_market_time">.*?, (.*?20[0-9]{1,2})/,
+      :time    => /(?:"time"|"yfnc_tabledata1")><span id="yfs_t[51]0_[^>]+>(.*?)</,
+      :bid     => /yfs_b00_[^>]+>([0-9,.-]{1,})/,
+      :ask     => /yfs_a00_[^>]+>([0-9,.-]{1,})/,
+      :open    => /Open:<\/th><td class="yfnc_tabledata1">([0-9,.-]{1,})/,
+      :high    => /yfs_h00_[^>]+>([0-9,.-]{1,})/,
+      :low     => /yfs_g00_[^>]+>([0-9,.-]{1,})/,
+      :volume  => /yfs_v00_[^>]+>([0-9,.-]{1,})/,
+      :mkt_cap => /yfs_j10_[^>]+>([0-9,.-]{1,}[KMBT]?)/)
+  end
+end

data/lib/rupee/version.rb

@@ -1,4 +1,4 @@
 module Rupee
   # The current version
-  VERSION = "0.2.5"
+  VERSION = "0.2.6"
 end

data/lib/rupee/yield_curve.rb

@@ -1,5 +1,7 @@
 module Rupee
   class YieldCurve
+    include FindInstance
+
     def initialize(description = "", opts = {})
       opts = {
         :currency      => :usd,

data/spec/ruby/business_day_spec.rb

@@ -0,0 +1,114 @@
+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)
+  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)
+    end
+
+    it "should be correct for the beginning of the month" do
+      @business_day.next_day(@new_years).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
+    end
+
+    it "should be correct for an actual workday" do
+      @business_day.next_day(@workday).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)
+    end
+
+    it "should be correct for the beginning of the month" do
+      @business_day.next_day(@new_years).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
+    end
+
+    it "should be correct for an actual workday" do
+      @business_day.next_day(@workday).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)
+    end
+
+    it "should be correct for the beginning of the month" do
+      @business_day.next_day(@new_years).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
+    end
+
+    it "should be correct for an actual workday" do
+      @business_day.next_day(@workday).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)
+    end
+
+    it "should be correct for the beginning of the month" do
+      @business_day.next_day(@new_years).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
+    end
+
+    it "should be correct for an actual workday" do
+      @business_day.next_day(@workday).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)
+    end
+
+    it "should be correct for the beginning of the month" do
+      @business_day.next_day(@new_years).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
+    end
+
+    it "should be correct for an actual workday" do
+      @business_day.next_day(@workday).should == @workday_rolled
+    end
+  end
+end

data/spec/ruby/calendar_spec.rb

@@ -4,7 +4,9 @@ describe Calendar do
   def test_calendar(calendar, holidays)
     holidays.each do |holiday|
       year, month, day = holiday
-      calendar.day_off?(Time.new(year, month, day)).should_not be false
+      if calendar.day_off?(Time.new(year, month, day)) == false
+        raise "#{year}/#{month}/#{day} is not a holiday"
+      end
     end
   end
 
@@ -68,10 +70,7 @@ describe Calendar do
   describe "for Japanese holidays" do
     before :each do
       @holidays = {
-        :bank_holidays       => [[2011,  1,  1], [2011,  1,  2], [2011,  1,  3], [2011, 12, 31],
-                                 [2012,  1,  1], [2012,  1,  2], [2012,  1,  3], [2012, 12, 31],
-                                 [2013,  1,  1], [2013,  1,  2], [2013,  1,  3], [2013, 12, 31],
-                                 [2014,  1,  1], [2014,  1,  2], [2014,  1,  3], [2014, 12, 31]],
+        :new_years           => [[2011,  1,  1], [2012,  1,  1], [2013,  1,  1], [2014,  1,  1]],
         :seijin_no_hi        => [[2011,  1, 10], [2012,  1,  9], [2013,  1, 14], [2014,  1, 13]],
         :kenkoku_kinen_no_hi => [[2011,  2, 11], [2012,  2, 11], [2013,  2, 11], [2014,  2, 11]],
         :shunbun             => [[2011,  3, 21], [2012,  3, 20], [2013,  3, 20], [2014,  3, 21]],
@@ -82,16 +81,20 @@ describe Calendar do
                                  [2014,  5,  3], [2014,  5,  4], [2014,  5,  5], [2014,  5,  6]],
         :umi_no_hi           => [[2011,  7, 18], [2012,  7, 16], [2013,  7, 15], [2014,  7, 21]],
         :keiro_no_hi         => [[2011,  9, 19], [2012,  9, 17], [2013,  9, 16], [2014,  9, 15]],
-        :setsubun            => [[2011,  9, 23], [2012,  9, 22], [2013,  9, 23], [2014,  9, 23]],
+        :shubun              => [[2011,  9, 23], [2012,  9, 22], [2013,  9, 23], [2014,  9, 23]],
         :taiiku_no_hi        => [[2011, 10, 10], [2012, 10,  8], [2013, 10, 14], [2014, 10, 13]],
         :bunka_no_hi         => [[2011, 11,  3], [2012, 11,  3], [2013, 11,  4], [2014, 11,  3]],
         :kinro_kansha_no_hi  => [[2011, 11, 23], [2012, 11, 23], [2013, 11, 23], [2014, 11, 24]],
-        :tenno_tanjobi       => [[2011, 12, 23], [2012, 12, 23], [2013, 12, 23], [2014, 12, 23]]
+        :tenno_tanjobi       => [[2011, 12, 23], [2012, 12, 23], [2013, 12, 23], [2014, 12, 23]],
+        :bank_holidays       => [[2011,  1,  1], [2011,  1,  2], [2011,  1,  3], [2011, 12, 31],
+                                 [2012,  1,  1], [2012,  1,  2], [2012,  1,  3], [2012, 12, 31],
+                                 [2013,  1,  1], [2013,  1,  2], [2013,  1,  3], [2013, 12, 31],
+                                 [2014,  1,  1], [2014,  1,  2], [2014,  1,  3], [2014, 12, 31]]
       }
     end
 
-    it "should be accurate for year-end bank holidays" do
-      test_calendar Calendar::Japan, @holidays[:bank_holidays]
+    it "should be accurate for New Year's Day" do
+      test_calendar Calendar::Japan, @holidays[:new_years]
     end
 
     it "should be accurate for Coming of Age Day" do
@@ -103,7 +106,7 @@ describe Calendar do
     end
 
     it "should be accurate for Vernal Equinox Day" do
-      # test_calendar Calendar::Japan, @holidays[:shunbun]
+      test_calendar Calendar::Japan, @holidays[:shunbun]
     end
 
     it "should be accurate for Showa Day" do
@@ -123,7 +126,7 @@ describe Calendar do
     end
 
     it "should be accurate for Autumnal Equinox Day" do
-      # test_calendar Calendar::Japan, @holidays[:setsubun]
+      test_calendar Calendar::Japan, @holidays[:shubun]
     end
 
     it "should be accurate for Health and Sports Day" do
@@ -141,5 +144,9 @@ describe Calendar do
     it "should be accurate for the Emperor's Birthday" do
       test_calendar Calendar::Japan, @holidays[:tenno_tanjobi]
     end
+
+    it "should be accurate for unofficial year-end bank holidays" do
+      test_calendar Calendar::Japan, @holidays[:bank_holidays]
+    end
   end
 end

data/spec/ruby/day_count_spec.rb

@@ -0,0 +1,52 @@
+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)
+    @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
+    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
+    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
+    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
+    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
+    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
+    end
+  end
+end

data/spec/ruby/generic_spec.rb

@@ -1,6 +1,6 @@
 require File.dirname(__FILE__) + "/../spec_helper"
 
-describe Rupee do
+describe "Autoloading" do
   it "should produce no errors when loading all constants two levels deep" do
     Rupee.constants.each do |c|
       # Get classes and constants

data/spec/ruby/quote_spec.rb

@@ -12,10 +12,6 @@ describe Quote do
     end
   end
 
-  it "should automatically have a Bloomberg source" do
-    Quote.sources.should include :bloomberg
-  end
-
   describe "without any parameters specified" do
     before :each do
       @wfc = Quote.new(:wfc)

data/spec/ruby/source_spec.rb

@@ -0,0 +1,18 @@
+require File.dirname(__FILE__) + "/../spec_helper"
+
+describe Source do
+  it "should have a Bloomberg source" do
+    Source.find(:bloomberg).should_not be_nil
+    Source.find(Source::BLOOMBERG).should_not be_nil
+  end
+
+  it "should have a Google source" do
+    Source.find(:google).should_not be_nil
+    Source.find(Source::GOOGLE).should_not be_nil
+  end
+
+  it "should have a Yahoo! source" do
+    Source.find(:yahoo).should_not be_nil
+    Source.find(Source::YAHOO).should_not be_nil
+  end
+end

data/tasks/benchmark.rake

@@ -2,14 +2,34 @@ autoload :Benchmark, "benchmark"
 
 desc "Run some tests comparing native C implementations vs pure Ruby"
 task :benchmark do
-  require "rupee"
-  require "rupee/benchmark"
 
   n = 100_000
+  n_str = n.to_s.gsub /(\d)(?=(\d\d\d)+(?!\d))/, "\\1,"
+  offset = 19
 
-  puts "Black-Scholes (#{n.to_s.gsub /(\d)(?=(\d\d\d)+(?!\d))/, "\\1,"} times)"
+  puts "\nTime to load all classes and defaults"
 
-  Benchmark.bm(19) do |x|
+  Benchmark.bm(offset) do |x|
+    x.report "Basic:" do
+      require "rupee"
+    end
+
+    x.report "All:" do
+      Rupee.constants.each do |c|
+        const = Rupee.const_get(c)
+
+        if const.respond_to?(:constants)
+          const.constants.each do |sc|
+            const.const_get sc
+          end
+        end
+      end
+    end
+  end
+
+  puts "\nBlack-Scholes (#{n_str} times)"
+
+  Benchmark.bm(offset) do |x|
     x.report "Rupee (class):" do
       n.times do
         Rupee::Option.black_scholes "c", 60, 65, 0.25, 0.08, 0, 0.3
@@ -49,5 +69,7 @@ task :benchmark do
         Rupee::Benchmark.black_scholes "c", 60, 65, 0.25, 0.08, 0.3
       end
     end
+
+    puts
   end
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: rupee
 version: !ruby/object:Gem::Version
-  version: 0.2.5
+  version: 0.2.6
   prerelease: 
 platform: ruby
 authors:
@@ -9,11 +9,11 @@ authors:
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2011-10-01 00:00:00.000000000 Z
+date: 2011-10-03 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
-  requirement: &79191280 !ruby/object:Gem::Requirement
+  requirement: &77429770 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ~>
@@ -21,10 +21,10 @@ dependencies:
         version: '1.0'
   type: :development
   prerelease: false
-  version_requirements: *79191280
+  version_requirements: *77429770
 - !ruby/object:Gem::Dependency
   name: rspec
-  requirement: &79191010 !ruby/object:Gem::Requirement
+  requirement: &77429500 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ~>
@@ -32,10 +32,10 @@ dependencies:
         version: '2.0'
   type: :development
   prerelease: false
-  version_requirements: *79191010
+  version_requirements: *77429500
 - !ruby/object:Gem::Dependency
   name: sdoc
-  requirement: &79190780 !ruby/object:Gem::Requirement
+  requirement: &77429260 !ruby/object:Gem::Requirement
     none: false
     requirements:
     - - ~>
@@ -43,7 +43,7 @@ dependencies:
         version: '0.3'
   type: :development
   prerelease: false
-  version_requirements: *79190780
+  version_requirements: *77429260
 description: ! "                      rupee aims to provide user-friendly tools for
   use in\n                      financial gems and applications.\n"
 email:
@@ -69,6 +69,12 @@ files:
 - ext/rupee/util.c
 - lib/rupee.rb
 - lib/rupee/benchmark.rb
+- lib/rupee/business_day.rb
+- lib/rupee/business_day/actual.rb
+- lib/rupee/business_day/following.rb
+- lib/rupee/business_day/modified_following.rb
+- lib/rupee/business_day/modified_previous.rb
+- lib/rupee/business_day/previous.rb
 - lib/rupee/calendar.rb
 - lib/rupee/calendar/japan.rb
 - lib/rupee/calendar/us.rb
@@ -79,10 +85,21 @@ files:
 - lib/rupee/currency/usd.rb
 - lib/rupee/custom.rb
 - lib/rupee/day_count.rb
+- lib/rupee/day_count/30_360.rb
+- lib/rupee/day_count/30e+_360.rb
+- lib/rupee/day_count/30e_360.rb
+- lib/rupee/day_count/30e_360_isda.rb
+- lib/rupee/day_count/act_360.rb
+- lib/rupee/day_count/act_365.rb
+- lib/rupee/day_count/act_act.rb
+- lib/rupee/mixins/find_instance.rb
 - lib/rupee/option.rb
 - lib/rupee/quote.rb
-- lib/rupee/quote/source.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
@@ -90,10 +107,13 @@ files:
 - spec/native/future_spec.rb
 - spec/native/option_spec.rb
 - spec/native/statistics_spec.rb
+- spec/ruby/business_day_spec.rb
 - spec/ruby/calendar_spec.rb
 - spec/ruby/currency_spec.rb
+- spec/ruby/day_count_spec.rb
 - spec/ruby/generic_spec.rb
 - spec/ruby/quote_spec.rb
+- spec/ruby/source_spec.rb
 - spec/spec_helper.rb
 - tasks/benchmark.rake
 - test_rubies
@@ -127,7 +147,10 @@ test_files:
 - spec/native/future_spec.rb
 - spec/native/option_spec.rb
 - spec/native/statistics_spec.rb
+- spec/ruby/business_day_spec.rb
 - spec/ruby/calendar_spec.rb
 - spec/ruby/currency_spec.rb
+- spec/ruby/day_count_spec.rb
 - spec/ruby/generic_spec.rb
 - spec/ruby/quote_spec.rb
+- spec/ruby/source_spec.rb

data/lib/rupee/quote/source.rb

@@ -1,83 +0,0 @@
-module Rupee
-  class Quote
-    # A class to hold quote sources
-    class Source
-      # The name of the source
-      attr :name
-      # The full URL for where the security information is located, where
-      # <tt>%s</tt> is a query parameter
-      attr :url
-      # The parameters available
-      attr :params
-
-      def initialize(name, url, params = {})
-        @name, @url, @params = name, url, 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[:bloomberg] = Source.new(:bloomberg,
-          "http://www.bloomberg.com/apps/quote?ticker=%s",
-          :price   => /(?:PRICE|VALUE): <span class="amount">([0-9.,NA-]{1,})/,
-          :change  => /Change<\/td>\n<td class="value[^>]+>([0-9.,NA-]{1,})/,
-          :pct_chg => /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,})/)
-
-        # Yahoo! Finance
-        @sources[:yahoo] = Source.new(:yahoo,
-          "http://finance.yahoo.com/q?s=%s",
-          :price   => /(?:<\/a> |"yfnc_tabledata1"><big><b>)<span id="yfs_l[19]0_[^>]+>([0-9,.-]{1,})/,
-          :change  => /><span id="yfs_c[16]0_.*?(?:\n[\s\w\-]*\n[\s">\(]*?)?([0-9.,-]{1,})/,
-          :pct_chg => /yfs_p[24]0_.*?(?:\n[\s\w\-]*\n[\s">\(]*?)?([0-9.,-]{1,})%\)(?:<\/span>|<\/b><\/span><\/td>)/,
-          :date    => /<span id="yfs_market_time">.*?, (.*?20[0-9]{1,2})/,
-          :time    => /(?:"time"|"yfnc_tabledata1")><span id="yfs_t[51]0_[^>]+>(.*?)</,
-          :bid     => /yfs_b00_[^>]+>([0-9,.-]{1,})/,
-          :ask     => /yfs_a00_[^>]+>([0-9,.-]{1,})/,
-          :open    => /Open:<\/th><td class="yfnc_tabledata1">([0-9,.-]{1,})/,
-          :high    => /yfs_h00_[^>]+>([0-9,.-]{1,})/,
-          :low     => /yfs_g00_[^>]+>([0-9,.-]{1,})/,
-          :volume  => /yfs_v00_[^>]+>([0-9,.-]{1,})/,
-          :mkt_cap => /yfs_j10_[^>]+>([0-9,.-]{1,}[KMBT]?)/)
-
-        # Google Finance
-        @sources[:google] = Source.new(:google,
-          "http://www.google.com/ig/api?stock=%s",
-          :price   => /<last data="([0-9.-]*)"/,
-          :change  => /<change data="([0-9.-]*)"/,
-          :pct_chg => /<perc_change data="([0-9.-]*)"/,
-          :date    => /<trade_date_utc data="([0-9.-]*)"/,
-          :time    => /<trade_date_utc data="([0-9.-]*)"/,
-          :open    => /<open data="([0-9.-]*)"/,
-          :high    => /<high data="([0-9.-]*)"/,
-          :low     => /<low data="([0-9.-]*)"/,
-          :volume  => /<volume data="([0-9.-]*)"/,
-          :mkt_cap => /<market_cap data="([0-9.-]*)"/)
-
-        @default_source = :bloomberg
-      end
-    end
-
-    # Initialize sources
-    Quote.build_sources
-  end
-end