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Contents
module IB
# Additional Option properties and Option-Calculations
class OptionDetail < IB::Model
include BaseProperties
prop :delta, :gamma, :vega, :theta, # greeks
:implied_volatility,
:pv_dividend, # anticipated Dividend
:under_price, # price of the Underlying
:option_price,
:close_price,
:open_tick,
:bid_price,
:ask_price,
:prev_strike,
:next_strike,
:prev_expiry,
:next_expiry,
:option_price,
:updated_at
belongs_to :option
# returns true if all datafields are filled with reasonal data
def complete?
fields= [ :delta, :gamma, :vega, :theta,
:implied_volatility, :pv_dividend, :open_tick,
:under_price, :option_price, :close_price, :bid_price, :ask_price]
!fields.detect{|y| self.send(y).nil?}
end
def greeks?
fields= [ :delta, :gamma, :vega, :theta,
:implied_volatility]
!fields.detect{|y| self.send(y).nil?}
end
def prices?
fields = [:implied_volatility, :under_price, :option_price]
!fields.detect{|y| self.send(y).nil?}
end
def iv
implied_volatility
end
def spread
bid_price - ask_price
end
def to_human
outstr= ->( item ) { if item.nil? then "--" else sprintf("%g" , item) end }
att = " optionPrice: #{ outstr[ option_price ]}, UnderlyingPrice: #{ outstr[ under_price] } impl.Vola: #{ outstr[ implied_volatility ]} ; dividend: #{ outstr[ pv_dividend ]}; "
greeks = "Greeks:: delta: #{ outstr[ delta ] }; gamma: #{ outstr[ gamma ]}, vega: #{ outstr[ vega ] }; theta: #{ outstr[ theta ]}"
prices= " close: #{ outstr[ close_price ]}; bid: #{ outstr[ bid_price ]}; ask: #{ outstr[ ask_price ]} "
if complete?
"< "+ prices + "\n" + att + "\n" + greeks + " >"
elsif prices?
"< " + att + greeks + " >"
else
"< " + greeks + " >"
end
end
end # class
end # module
Version data entries
6 entries across 6 versions & 1 rubygems