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Changed from Option to OptionLib #4

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Changed from Option to OptionLib #4

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2a31293
Changed from Option to OptionLib to keep from interfering with the Op…
mrosel Mar 9, 2016
78ffa72
fixed infinite loop if strike=underlying and time is zero
mrosel Apr 28, 2016
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4 changes: 3 additions & 1 deletion lib/options_library/option_calculator.rb
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Expand Up @@ -2,7 +2,7 @@
# Since Feb 13, 2011
# Based on Black-Scholes forumla for pricing options

module Option
module OptionLib
class Calculator
class << self
# used for finding implied vol based on a market (target) price
Expand Down Expand Up @@ -49,6 +49,7 @@ def vega( underlying, strike, time, interest, sigma, dividend )

# computes the fair value of the call based on the knowns and assumed volatility (sigma)
def price_call( underlying, strike, time, interest, sigma, dividend )
return 0 if underlying== strike && time <= 0.00000
d1 = d_one( underlying, strike, time, interest, sigma, dividend )
discounted_underlying = exp(-1.0 * dividend * time) * underlying
probability_weighted_value_of_being_exercised = discounted_underlying * norm_sdist( d1 )
Expand All @@ -62,6 +63,7 @@ def price_call( underlying, strike, time, interest, sigma, dividend )

# computes the fair value of the put based on the knowns and assumed volatility (sigma)
def price_put( underlying, strike, time, interest, sigma, dividend )
return 0 if underlying== strike && time <= 0.00000
d2 = d_two( underlying, strike, time, interest, sigma, dividend )
discounted_strike = strike * exp(-1.0 * interest * time)
probabiltity_weighted_value_of_discounted_strike = discounted_strike * norm_sdist( -1.0 * d2 )
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2 changes: 1 addition & 1 deletion lib/options_library/option_call.rb
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Expand Up @@ -2,7 +2,7 @@
# Since Feb 18, 2011
# Based on Black-Scholes forumla for pricing options

module Option
module OptionLib
class Call < Model

def initialize
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2 changes: 1 addition & 1 deletion lib/options_library/option_model.rb
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Expand Up @@ -2,7 +2,7 @@
# Since Feb 18, 2011
# Based on Black-Scholes forumla for pricing options

module Option
module OptionLib
class Model

# The two known option types, Call and Put
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2 changes: 1 addition & 1 deletion lib/options_library/option_put.rb
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Expand Up @@ -2,7 +2,7 @@
# Since Feb 18, 2011
# Based on Black-Scholes forumla for pricing options

module Option
module OptionLib
class Put < Model

def initialize
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2 changes: 1 addition & 1 deletion options_library.gemspec
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Expand Up @@ -2,7 +2,7 @@

Gem::Specification.new do |s|
s.name = %q{options_library}
s.version = "1.0.3"
s.version = "1.0.32"

s.required_rubygems_version = Gem::Requirement.new(">= 1.2") if s.respond_to? :required_rubygems_version=
s.authors = ["Dan Tylenda-Emmons"]
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