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Diffstat (limited to 'scaddins/source/pricing/pricing.cxx')
| -rw-r--r-- | scaddins/source/pricing/pricing.cxx | 545 |
1 files changed, 545 insertions, 0 deletions
diff --git a/scaddins/source/pricing/pricing.cxx b/scaddins/source/pricing/pricing.cxx new file mode 100644 index 000000000..32f4414dd --- /dev/null +++ b/scaddins/source/pricing/pricing.cxx @@ -0,0 +1,545 @@ +/* -*- Mode: C++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ +/* + * This file is part of the LibreOffice project. + * + * This Source Code Form is subject to the terms of the Mozilla Public + * License, v. 2.0. If a copy of the MPL was not distributed with this + * file, You can obtain one at http://mozilla.org/MPL/2.0/. + * + * This file incorporates work covered by the following license notice: + * + * Licensed to the Apache Software Foundation (ASF) under one or more + * contributor license agreements. See the NOTICE file distributed + * with this work for additional information regarding copyright + * ownership. The ASF licenses this file to you under the Apache + * License, Version 2.0 (the "License"); you may not use this file + * except in compliance with the License. You may obtain a copy of + * the License at http://www.apache.org/licenses/LICENSE-2.0 . + */ + +// pricing functions add in + +// all of the UNO add-in technical details have been copied from +// ../datefunc/datefunc.cxx + +#include "pricing.hxx" +#include "black_scholes.hxx" +#include <pricing.hrc> +#include <strings.hrc> + +#include <cppuhelper/factory.hxx> +#include <cppuhelper/supportsservice.hxx> +#include <com/sun/star/lang/XSingleServiceFactory.hpp> +#include <iostream> +#include <algorithm> +#include <rtl/math.hxx> +#include <unotools/resmgr.hxx> +#include <i18nlangtag/languagetag.hxx> + +using namespace ::com::sun::star; +using namespace sca::pricing; + + +#define ADDIN_SERVICE "com.sun.star.sheet.AddIn" +#define MY_SERVICE "com.sun.star.sheet.addin.PricingFunctions" +#define MY_IMPLNAME "com.sun.star.sheet.addin.PricingFunctionsImpl" + +#define UNIQUE false // function name does not exist in Calc + +#define STDPAR false // all parameters are described + +#define FUNCDATA( FuncName, CompName, ParamCount, Category, Double, IntPar ) \ + { "get" #FuncName, PRICING_FUNCNAME_##FuncName, PRICING_FUNCDESC_##FuncName, CompName, ParamCount, Category, Double, IntPar } + +const ScaFuncDataBase pFuncDataArr[] = +{ + FUNCDATA(OptBarrier, "OPT_BARRIER", 13, ScaCategory::Finance, UNIQUE, STDPAR), + FUNCDATA(OptTouch, "OPT_TOUCH", 11, ScaCategory::Finance, UNIQUE, STDPAR), + FUNCDATA(OptProbHit, "OPT_PROB_HIT", 6, ScaCategory::Finance, UNIQUE, STDPAR), + FUNCDATA(OptProbInMoney, "OPT_PROB_INMONEY", 8, ScaCategory::Finance, UNIQUE, STDPAR) +}; + +#undef FUNCDATA + +ScaFuncData::ScaFuncData( const ScaFuncDataBase& rBaseData ) : + aIntName( OUString::createFromAscii( rBaseData.pIntName ) ), + pUINameID( rBaseData.pUINameID ), + pDescrID( rBaseData.pDescrID ), + nParamCount( rBaseData.nParamCount ), + eCat( rBaseData.eCat ), + bDouble( rBaseData.bDouble ), + bWithOpt( rBaseData.bWithOpt ) +{ + aCompList.push_back(OUString::createFromAscii(rBaseData.pCompName)); +} + +sal_uInt16 ScaFuncData::GetStrIndex( sal_uInt16 nParam ) const +{ + if( !bWithOpt ) + nParam++; + return (nParam > nParamCount) ? (nParamCount * 2) : (nParam * 2); +} + +void sca::pricing::InitScaFuncDataList(ScaFuncDataList& rList) +{ + for (const auto & nIndex : pFuncDataArr) + rList.push_back(ScaFuncData(nIndex)); +} + +// entry points for service registration / instantiation +static uno::Reference< uno::XInterface > ScaPricingAddIn_CreateInstance( + const uno::Reference< lang::XMultiServiceFactory >& ) +{ + return static_cast<cppu::OWeakObject*>(new ScaPricingAddIn()); +} + +extern "C" { + +SAL_DLLPUBLIC_EXPORT void * pricing_component_getFactory( + const char * pImplName, void * pServiceManager, void * /*pRegistryKey*/ ) +{ + void* pRet = nullptr; + + if ( pServiceManager && + OUString::createFromAscii( pImplName ) == ScaPricingAddIn::getImplementationName_Static() ) + { + uno::Reference< lang::XSingleServiceFactory > xFactory( cppu::createOneInstanceFactory( + static_cast< lang::XMultiServiceFactory* >( pServiceManager ), + ScaPricingAddIn::getImplementationName_Static(), + ScaPricingAddIn_CreateInstance, + ScaPricingAddIn::getSupportedServiceNames_Static() ) ); + + if (xFactory.is()) + { + xFactory->acquire(); + pRet = xFactory.get(); + } + } + + return pRet; +} + +} // extern C + +// "normal" service implementation +ScaPricingAddIn::ScaPricingAddIn() +{ +} + +ScaPricingAddIn::~ScaPricingAddIn() +{ +} + +static const char* pLang[] = { "de", "en" }; +static const char* pCoun[] = { "DE", "US" }; +static const sal_uInt32 nNumOfLoc = SAL_N_ELEMENTS( pLang ); + +void ScaPricingAddIn::InitDefLocales() +{ + pDefLocales.reset( new lang::Locale[ nNumOfLoc ] ); + + for( sal_uInt32 nIndex = 0; nIndex < nNumOfLoc; nIndex++ ) + { + pDefLocales[ nIndex ].Language = OUString::createFromAscii( pLang[ nIndex ] ); + pDefLocales[ nIndex ].Country = OUString::createFromAscii( pCoun[ nIndex ] ); + } +} + +const lang::Locale& ScaPricingAddIn::GetLocale( sal_uInt32 nIndex ) +{ + if( !pDefLocales ) + InitDefLocales(); + + return (nIndex < sizeof( pLang )) ? pDefLocales[ nIndex ] : aFuncLoc; +} + +void ScaPricingAddIn::InitData() +{ + aResLocale = Translate::Create("sca", LanguageTag(aFuncLoc)); + pFuncDataList.reset(new ScaFuncDataList); + InitScaFuncDataList(*pFuncDataList); + pDefLocales.reset(); +} + +OUString ScaPricingAddIn::GetFuncDescrStr(const char** pResId, sal_uInt16 nStrIndex) +{ + return ScaResId(pResId[nStrIndex - 1]); +} + +OUString ScaPricingAddIn::getImplementationName_Static() +{ + return MY_IMPLNAME; +} + +uno::Sequence< OUString > ScaPricingAddIn::getSupportedServiceNames_Static() +{ + return { ADDIN_SERVICE, MY_SERVICE }; +} + +// XServiceName +OUString SAL_CALL ScaPricingAddIn::getServiceName() +{ + // name of specific AddIn service + return MY_SERVICE; +} + +// XServiceInfo +OUString SAL_CALL ScaPricingAddIn::getImplementationName() +{ + return getImplementationName_Static(); +} + +sal_Bool SAL_CALL ScaPricingAddIn::supportsService( const OUString& aServiceName ) +{ + return cppu::supportsService(this, aServiceName); +} + +uno::Sequence< OUString > SAL_CALL ScaPricingAddIn::getSupportedServiceNames() +{ + return getSupportedServiceNames_Static(); +} + +// XLocalizable +void SAL_CALL ScaPricingAddIn::setLocale( const lang::Locale& eLocale ) +{ + aFuncLoc = eLocale; + InitData(); // change of locale invalidates resources! +} + +lang::Locale SAL_CALL ScaPricingAddIn::getLocale() +{ + return aFuncLoc; +} + +// function descriptions start here +// XAddIn +OUString SAL_CALL ScaPricingAddIn::getProgrammaticFuntionName( const OUString& ) +{ + // not used by calc + // (but should be implemented for other uses of the AddIn service) + return OUString(); +} + +OUString SAL_CALL ScaPricingAddIn::getDisplayFunctionName( const OUString& aProgrammaticName ) +{ + OUString aRet; + + auto fDataIt = std::find_if(pFuncDataList->begin(), pFuncDataList->end(), + FindScaFuncData( aProgrammaticName ) ); + if (fDataIt != pFuncDataList->end() ) + { + aRet = ScaResId(fDataIt->GetUINameID()); + if( fDataIt->IsDouble() ) + aRet += "_ADD"; + } + else + { + aRet = "UNKNOWNFUNC_" + aProgrammaticName; + } + + return aRet; +} + +OUString SAL_CALL ScaPricingAddIn::getFunctionDescription( const OUString& aProgrammaticName ) +{ + OUString aRet; + + auto fDataIt = std::find_if( pFuncDataList->begin(), pFuncDataList->end(), + FindScaFuncData( aProgrammaticName ) ); + if( fDataIt != pFuncDataList->end() ) + aRet = GetFuncDescrStr( fDataIt->GetDescrID(), 1 ); + + return aRet; +} + +OUString SAL_CALL ScaPricingAddIn::getDisplayArgumentName( + const OUString& aProgrammaticName, sal_Int32 nArgument ) +{ + OUString aRet; + + auto fDataIt = std::find_if( pFuncDataList->begin(), pFuncDataList->end(), + FindScaFuncData( aProgrammaticName ) ); + if( fDataIt != pFuncDataList->end() && (nArgument <= 0xFFFF) ) + { + sal_uInt16 nStr = fDataIt->GetStrIndex( static_cast< sal_uInt16 >( nArgument ) ); + if( nStr ) + aRet = GetFuncDescrStr( fDataIt->GetDescrID(), nStr ); + else + aRet = "internal"; + } + + return aRet; +} + +OUString SAL_CALL ScaPricingAddIn::getArgumentDescription( + const OUString& aProgrammaticName, sal_Int32 nArgument ) +{ + OUString aRet; + + auto fDataIt = std::find_if( pFuncDataList->begin(), pFuncDataList->end(), + FindScaFuncData( aProgrammaticName ) ); + if( fDataIt != pFuncDataList->end() && (nArgument <= 0xFFFF) ) + { + sal_uInt16 nStr = fDataIt->GetStrIndex( static_cast< sal_uInt16 >( nArgument ) ); + if( nStr ) + aRet = GetFuncDescrStr( fDataIt->GetDescrID(), nStr + 1 ); + else + aRet = "for internal use only"; + } + + return aRet; +} + +OUString SAL_CALL ScaPricingAddIn::getProgrammaticCategoryName( + const OUString& aProgrammaticName ) +{ + OUString aRet; + + auto fDataIt = std::find_if( pFuncDataList->begin(), pFuncDataList->end(), + FindScaFuncData( aProgrammaticName ) ); + if( fDataIt != pFuncDataList->end() ) + { + switch( fDataIt->GetCategory() ) + { + case ScaCategory::DateTime: aRet = "Date&Time"; break; + case ScaCategory::Text: aRet = "Text"; break; + case ScaCategory::Finance: aRet = "Financial"; break; + case ScaCategory::Inf: aRet = "Information"; break; + case ScaCategory::Math: aRet = "Mathematical"; break; + case ScaCategory::Tech: aRet = "Technical"; break; + } + } + + if( aRet.isEmpty() ) + aRet = "Add-In"; + return aRet; +} + +OUString SAL_CALL ScaPricingAddIn::getDisplayCategoryName( + const OUString& aProgrammaticName ) +{ + return getProgrammaticCategoryName( aProgrammaticName ); +} + +// XCompatibilityNames +uno::Sequence< sheet::LocalizedName > SAL_CALL ScaPricingAddIn::getCompatibilityNames( + const OUString& aProgrammaticName ) +{ + auto fDataIt = std::find_if( pFuncDataList->begin(), pFuncDataList->end(), + FindScaFuncData( aProgrammaticName ) ); + if( fDataIt == pFuncDataList->end() ) + return uno::Sequence< sheet::LocalizedName >( 0 ); + + const std::vector<OUString>& rStrList = fDataIt->GetCompNameList(); + sal_uInt32 nCount = rStrList.size(); + + uno::Sequence< sheet::LocalizedName > aRet( nCount ); + sheet::LocalizedName* pArray = aRet.getArray(); + + for( sal_uInt32 nIndex = 0; nIndex < nCount; nIndex++ ) + pArray[ nIndex ] = sheet::LocalizedName( GetLocale( nIndex ), rStrList[nIndex] ); + + return aRet; +} + +// actual function implementation starts here +// auxiliary input handling functions +namespace { + +bool getinput_putcall(bs::types::PutCall& pc, const OUString& str) { + if(str.startsWith("c")) { + pc=bs::types::Call; + } else if(str.startsWith("p")) { + pc=bs::types::Put; + } else { + return false; + } + return true; +} + +bool getinput_putcall(bs::types::PutCall& pc, const uno::Any& anyval) { + OUString str; + if(anyval.getValueTypeClass() == uno::TypeClass_STRING) { + anyval >>= str; + } else if(anyval.getValueTypeClass() == uno::TypeClass_VOID) { + str="c"; // call as default + } else { + return false; + } + return getinput_putcall(pc, str); +} + +bool getinput_strike(double& strike, const uno::Any& anyval) { + if(anyval.getValueTypeClass() == uno::TypeClass_DOUBLE) { + anyval >>= strike; + } else if(anyval.getValueTypeClass() == uno::TypeClass_VOID) { + strike=-1.0; // -1 as default (means not set) + } else { + return false; + } + return true; +} + +bool getinput_inout(bs::types::BarrierKIO& kio, const OUString& str) { + if(str.startsWith("i")) { + kio=bs::types::KnockIn; + } else if(str.startsWith("o")) { + kio=bs::types::KnockOut; + } else { + return false; + } + return true; +} + +bool getinput_barrier(bs::types::BarrierActive& cont, const OUString& str) { + if(str.startsWith("c")) { + cont=bs::types::Continuous; + } else if(str.startsWith("e")) { + cont=bs::types::Maturity; + } else { + return false; + } + return true; +} + +bool getinput_fordom(bs::types::ForDom& fd, const OUString& str) { + if(str.startsWith("f")) { + fd=bs::types::Foreign; + } else if(str.startsWith("d")) { + fd=bs::types::Domestic; + } else { + return false; + } + return true; +} + +bool getinput_greek(bs::types::Greeks& greek, const uno::Any& anyval) { + OUString str; + if(anyval.getValueTypeClass() == uno::TypeClass_STRING) { + anyval >>= str; + } else if(anyval.getValueTypeClass() == uno::TypeClass_VOID) { + str="value"; + } else { + return false; + } + + if(str == "value" || str == "price" || str == "v" || str == "p") { + greek=bs::types::Value; + } else if(str == "delta" || str == "d") { + greek=bs::types::Delta; + } else if(str == "gamma" || str == "g") { + greek=bs::types::Gamma; + } else if(str == "theta" || str == "t") { + greek=bs::types::Theta; + } else if(str == "vega" || str == "e") { + greek=bs::types::Vega; + } else if(str == "volga" || str == "o") { + greek=bs::types::Volga; + } else if(str == "vanna" || str == "a") { + greek=bs::types::Vanna; + } else if(str == "rho" || str == "r") { + greek=bs::types::Rho_d; + } else if(str == "rhof" || str == "f") { + greek=bs::types::Rho_f; + } else { + return false; + } + return true; +} + +} // namespace for auxiliary functions + +// OPT_BARRIER(...) +double SAL_CALL ScaPricingAddIn::getOptBarrier( double spot, double vol, + double r, double rf, double T, double strike, + double barrier_low, double barrier_up, double rebate, + const OUString& put_call, const OUString& in_out, + const OUString& barriercont, const uno::Any& greekstr ) +{ + bs::types::PutCall pc; + bs::types::BarrierKIO kio; + bs::types::BarrierActive bcont; + bs::types::Greeks greek; + // read and check input values + if( spot<=0.0 || vol<=0.0 || T<0.0 || strike<0.0 || + !getinput_putcall(pc,put_call) || + !getinput_inout(kio,in_out) || + !getinput_barrier(bcont,barriercont) || + !getinput_greek(greek,greekstr) ){ + throw lang::IllegalArgumentException(); + } + + double fRet=bs::barrier(spot,vol,r,rf,T,strike, barrier_low,barrier_up, + rebate,pc,kio,bcont,greek); + + RETURN_FINITE( fRet ); +} + +// OPT_TOUCH(...) +double SAL_CALL ScaPricingAddIn::getOptTouch( double spot, double vol, + double r, double rf, double T, + double barrier_low, double barrier_up, + const OUString& for_dom, const OUString& in_out, + const OUString& barriercont, const uno::Any& greekstr ) +{ + bs::types::ForDom fd; + bs::types::BarrierKIO kio; + bs::types::BarrierActive bcont; + bs::types::Greeks greek; + // read and check input values + if( spot<=0.0 || vol<=0.0 || T<0.0 || + !getinput_fordom(fd,for_dom) || + !getinput_inout(kio,in_out) || + !getinput_barrier(bcont,barriercont) || + !getinput_greek(greek,greekstr) ){ + throw lang::IllegalArgumentException(); + } + + double fRet=bs::touch(spot,vol,r,rf,T,barrier_low,barrier_up, + fd,kio,bcont,greek); + + RETURN_FINITE( fRet ); +} + +// OPT_PRB_HIT(...) +double SAL_CALL ScaPricingAddIn::getOptProbHit( double spot, double vol, + double mu, double T, + double barrier_low, double barrier_up ) +{ + // read and check input values + if( spot<=0.0 || vol<=0.0 || T<0.0 ) { + throw lang::IllegalArgumentException(); + } + + double fRet=bs::prob_hit(spot,vol,mu,T,barrier_low,barrier_up); + + RETURN_FINITE( fRet ); +} + +// OPT_PROB_INMONEY(...) +double SAL_CALL ScaPricingAddIn::getOptProbInMoney( double spot, double vol, + double mu, double T, + double barrier_low, double barrier_up, + const uno::Any& strikeval, const uno::Any& put_call ) +{ + bs::types::PutCall pc=bs::types::Call; + double K = 0; + + // read and check input values + if( spot<=0.0 || vol<=0.0 || T<0.0 || + !getinput_putcall(pc,put_call) || + !getinput_strike(K,strikeval) ) { + throw lang::IllegalArgumentException(); + } + + double fRet=bs::prob_in_money(spot,vol,mu,T,K,barrier_low,barrier_up,pc); + + RETURN_FINITE( fRet ); +} + +OUString ScaPricingAddIn::ScaResId(const char* pResId) +{ + return Translate::get(pResId, aResLocale); +} + +/* vim:set shiftwidth=4 softtabstop=4 expandtab: */ |