Rupee - financial tools for Ruby¶ ↑
- Homepage
- Author
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Bryan McKelvey
- Copyright
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© 2011 Bryan McKelvey
- License
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MIT
- Documentation
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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).
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 Rupee::Call.new( :underlying => 60, :strike => 65, :time => 0.25, :rate => 0.08, :div_yield => 0.00, :volatility => 0.3 ).black_scholes
both of 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" wfc = Rupee::Quote.new(:wfc) wfc.get :price, :change, :pct_chg #=> {:price=>24.96, :change=>0.17, :pct_chg =>0.686} wfc.price #=> 24.96 wfc.change #=> 0.17
wfc.get 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 wfc.frequency seconds (defaults to 15).
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 100,000 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
Results for Black-Scholes:
user system total real Rupee (class): 0.190000 0.000000 0.190000 ( 0.194001) Rupee (one object): 0.180000 0.000000 0.180000 ( 0.183091) Rupee (new object): 2.210000 0.000000 2.210000 ( 2.213351) Pure Ruby: 2.320000 0.000000 2.320000 ( 2.324259)
In words, for math-intensive operations, using a C implementation is clearly 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 Rupee::Option.black_scholes ... should work just fine. Creating a Rupee::Option object takes roughly the same amount of time as running Rupee::Option.black_scholes 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 rather than calling the class method directly is almost entirely in the object initialization itself.
License¶ ↑
Copyright © 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.