Module: OptionLab::Utils

Defined in:
lib/option_lab/utils.rb

Class Method Summary collapse

Class Method Details

.get_nonbusiness_days(start_date, end_date, country = "US") ⇒ Integer

Get number of non-business days between dates

Parameters:

  • start_date (Date) —

    Start date

  • end_date (Date) —

    End date

  • country (String) (defaults to: "US") —

    Country code

Returns:

  • (Integer) —

    Number of non-business days



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# File 'lib/option_lab/utils.rb', line 18

def get_nonbusiness_days(start_date, end_date, country = "US")
    if end_date <= start_date
      raise ArgumentError, "End date must be after start date!"
    end
    
    # Create cache key
    cache_key = "#{country}-#{start_date}-#{end_date}"
    
    # Return cached result if available
    return @holiday_cache[cache_key] if @holiday_cache.key?(cache_key)
    
    # Calculate number of days
    n_days = (end_date - start_date).to_i
    
    # Get holidays for the country (default to :us if there's an issue)
    begin
      holidays = Holidays.between(start_date, end_date, country.to_sym)
    rescue Holidays::InvalidRegion
      holidays = Holidays.between(start_date, end_date, :us)
    end
    holiday_dates = holidays.map { |h| h[:date].strftime('%Y-%m-%d') }
    
    # Count non-business days
    nonbusiness_days = 0
    
    n_days.times do |i|
      current_date = start_date + i
      
      # Check if weekend or holiday
      if current_date.saturday? || current_date.sunday? || 
         holiday_dates.include?(current_date.strftime('%Y-%m-%d'))
        nonbusiness_days += 1
      end
    end
    
    # Cache the result
    @holiday_cache[cache_key] = nonbusiness_days
    
    nonbusiness_days
end

.get_pl(outputs, leg = nil) ⇒ Array<Numo::DFloat, Numo::DFloat>

Get profit/loss data

Parameters:

  • outputs (Models::Outputs) —

    Strategy outputs

  • leg (Integer, nil) (defaults to: nil) —

    Strategy leg index

Returns:

  • (Array<Numo::DFloat, Numo::DFloat>) —

    Stock prices and profits/losses



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# File 'lib/option_lab/utils.rb', line 63

def get_pl(outputs, leg = nil)
    if outputs.data.profit.size > 0 && leg && leg < outputs.data.profit.shape[0]
      [outputs.data.stock_price_array, outputs.data.profit[leg, true]]
    else
      [outputs.data.stock_price_array, outputs.data.strategy_profit]
    end
end

.pl_to_csv(outputs, filename = "pl.csv", leg = nil) ⇒ void

This method returns an undefined value.

Save profit/loss data to CSV

Parameters:

  • outputs (Models::Outputs) —

    Strategy outputs

  • filename (String, IO) (defaults to: "pl.csv") —

    CSV filename or IO object

  • leg (Integer, nil) (defaults to: nil) —

    Strategy leg index



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# File 'lib/option_lab/utils.rb', line 76

def pl_to_csv(outputs, filename = "pl.csv", leg = nil)
  stock_prices, profits = get_pl(outputs, leg)
  
  # Create matrix with stock prices and profits
  data = Numo::DFloat.zeros(stock_prices.size, 2)
  data[true, 0] = stock_prices
  data[true, 1] = profits
  
  # Handle filename as string or IO object
  if filename.is_a?(String)
    # Save to CSV file
    File.open(filename, 'w') do |file|
      file.puts "StockPrice,Profit/Loss"
      
      data.shape[0].times do |i|
        file.puts "#{data[i, 0]},#{data[i, 1]}"
      end
    end
  elsif filename.respond_to?(:puts)
    # Write to IO object
    filename.puts "StockPrice,Profit/Loss"
    
    data.shape[0].times do |i|
      filename.puts "#{data[i, 0]},#{data[i, 1]}"
    end
  else
    raise ArgumentError, "Filename must be a String or an IO object"
  end
end