Rupee

Rupee is a Ruby gem that I've written for financial functions. It allows you to price options and pull a great deal of information on securities from online sources, all organized around Ruby's object-oriented model.

Also, due to the speed considerations when dealing with models, the more mathematical parts of the extension are written in C for maximum efficiency. Thus, you can create a call option like so:

require "rupee"
bs_call = Rupee::Call.new(
  :underlying => 60,
  :strike     => 65,
  :time       =>  0.25,
  :rate       =>  0.08,
  :div_yield  =>  0.00,
  :volatility =>  0.3
)

and you can retrieve its Black-Scholes valuation using

bs_call.black_scholes

Or, you can skip to the chase if you don't need to hold onto something as an object (e.g. with Monte Carlo sims) and just go with:

Rupee::Option.black_scholes "c", 60, 65, 0.25, 0.08, 0, 0.3

The rest of the extension is organized on similar lines for various options and fixed-income securities.

If you already have Ruby installed, you can run the following in a command prompt to install it:

gem install rupee

Documentation: http://brymck.herokuapp.com/rupee/