Option expiry date calculator

option_calendar.rb

# Extracted this code out that was not needed.
# Keeping here for future reference.
#
# Finds upcoming expiry dates for monthly equity options.
#
# Test data is the official CBOE expiration calendars for 2010/11.

require 'date'

require 'rubygems'
require 'active_support'

class OptionCalendar
  class << self
    FRIDAY = 5

    def expiration_for(month)
      start = month.beginning_of_month

      expiry_week = start.advance(:days => 14)

      expiry_week += 1.day while expiry_week.wday != FRIDAY

      expiry_saturday = expiry_week + 1.day
    end

    def next_expiring_months(from = Date.today)
      this_month = expiration_for(from)
      next_month = expiration_for(from.next_month)

      expirations = [
        this_month,
        next_month
      ]

      # If the first month has already expired, remove it, and add another month out
      if from >= (this_month - 1.day)
        expirations.shift
        expirations << expiration_for(next_month.next_month)
      end

      expirations
    end
  
    def nearest_expiration(date, range = 3.days)
      expiration_date = expiration_for(date + range)

      if date > expiration_date
        expiration_date = expiration_for(expiration_date.next_month)
      end

      if date >= expiration_date - range
        expiration_for(expiration_date.next_month)
      else
        expiration_date
      end
    end
  end
end

option_calendar_test.rb

require 'option_calendar'
require 'test/unit'

class OptionCalendarTest < Test::Unit::TestCase

  # Saturday expiries
  EXPIRY_MONTHS = [
    [Date.parse("Jan 1 2010"), Date.parse("Jan 16 2010")],
    [Date.parse("Feb 1 2010"), Date.parse("Feb 20 2010")],
    [Date.parse("Mar 1 2010"), Date.parse("Mar 20 2010")],
    [Date.parse("Apr 1 2010"), Date.parse("Apr 17 2010")],
    [Date.parse("May 1 2010"), Date.parse("May 22 2010")],
    [Date.parse("Jun 1 2010"), Date.parse("Jun 19 2010")],
    [Date.parse("Jul 1 2010"), Date.parse("Jul 17 2010")],
    [Date.parse("Aug 1 2010"), Date.parse("Aug 21 2010")],
    [Date.parse("Sep 1 2010"), Date.parse("Sep 18 2010")],
    [Date.parse("Oct 1 2010"), Date.parse("Oct 16 2010")],
    [Date.parse("Nov 1 2010"), Date.parse("Nov 20 2010")],
    [Date.parse("Dec 1 2010"), Date.parse("Dec 18 2010")],

    [Date.parse("Jan 1 2011"), Date.parse("Jan 22 2011")],
    [Date.parse("Feb 1 2011"), Date.parse("Feb 19 2011")],
    [Date.parse("Mar 1 2011"), Date.parse("Mar 19 2011")],
    [Date.parse("Apr 1 2011"), Date.parse("Apr 16 2011")],
    [Date.parse("May 1 2011"), Date.parse("May 21 2011")],
    [Date.parse("Jun 1 2011"), Date.parse("Jun 18 2011")],
    [Date.parse("Jul 1 2011"), Date.parse("Jul 16 2011")],
    [Date.parse("Aug 1 2011"), Date.parse("Aug 20 2011")],
    [Date.parse("Sep 1 2011"), Date.parse("Sep 17 2011")],
    [Date.parse("Oct 1 2011"), Date.parse("Oct 22 2011")],
    [Date.parse("Nov 1 2011"), Date.parse("Nov 19 2011")],
    [Date.parse("Dec 1 2011"), Date.parse("Dec 17 2011")]
  ]

  def test_monthly_expirations
    EXPIRY_MONTHS.each do |month, exp|
      message = "Month #{month.strftime("%b")} should have expiry of #{exp}"

      assert_equal exp, OptionCalendar.expiration_for(month), message
      assert_equal exp, OptionCalendar.expiration_for(month.end_of_month), message
    end
  end

  NEXT_MONTHS = [
    [Date.parse("Sep 15 2010"), Date.parse("Sep 18 2010"), Date.parse("Oct 16 2010")],
    [Date.parse("Sep 16 2010"), Date.parse("Sep 18 2010"), Date.parse("Oct 16 2010")],
    [Date.parse("Sep 17 2010"), Date.parse("Oct 16 2010"), Date.parse("Nov 20 2010")],
    [Date.parse("Sep 18 2010"), Date.parse("Oct 16 2010"), Date.parse("Nov 20 2010")],
    [Date.parse("Sep 19 2010"), Date.parse("Oct 16 2010"), Date.parse("Nov 20 2010")]
  ]

  def test_next_expiring_months
    NEXT_MONTHS.each do |date, *expected|
      message = "#{date} should have expirations #{expected.inspect}"

      assert_equal expected, OptionCalendar.next_expiring_months(date), message
    end
  end

  def test_nearest_expiration
    jan_expiry = OptionCalendar.expiration_for(Date.parse("Jan 2011"))
    feb_expiry = OptionCalendar.expiration_for(Date.parse("Feb 2011"))

    assert_equal jan_expiry, OptionCalendar.nearest_expiration(jan_expiry - 4.days, 3.days)
    assert_equal feb_expiry, OptionCalendar.nearest_expiration(jan_expiry - 3.days, 3.days)
    assert_equal feb_expiry, OptionCalendar.nearest_expiration(jan_expiry - 2.days, 3.days)

    assert_equal jan_expiry, OptionCalendar.nearest_expiration(Date.parse("Dec 31 2010"), 3.days)
    assert_equal feb_expiry, OptionCalendar.nearest_expiration(Date.parse("Dec 31 2010"), 30.days)
    assert_equal feb_expiry, OptionCalendar.nearest_expiration(Date.parse("Nov 30 2010"), 60.days)
  end

end