diff --git a/external/include/importexport.h b/external/include/importexport.h new file mode 100644 --- /dev/null +++ b/external/include/importexport.h @@ -0,0 +1,36 @@ +// +// This source code resides at www.jaeckel.org/LetsBeRational.7z . +// +// ====================================================================================== +// Copyright © 2013-2014 Peter Jäckel. +// +// Permission to use, copy, modify, and distribute this software is freely granted, +// provided that this notice is preserved. +// +// WARRANTY DISCLAIMER +// The Software is provided "as is" without warranty of any kind, either express or implied, +// including without limitation any implied warranties of condition, uninterrupted use, +// merchantability, fitness for a particular purpose, or non-infringement. +// ====================================================================================== +// +#ifndef IMPORTEXPORT_H +#define IMPORTEXPORT_H + +#if defined(_WIN32) || defined(_WIN64) +# define EXPORT __declspec(dllexport) +# define IMPORT __declspec(dllimport) +# else +# define EXPORT +# define IMPORT +#endif + +#ifdef __cplusplus +# define EXTERN_C extern "C" +#else +# define EXTERN_C +#endif + +# define EXPORT_EXTERN_C EXTERN_C EXPORT +# define IMPORT_EXTERN_C EXTERN_C IMPORT + +#endif // IMPORTEXPORT_H diff --git a/external/include/lets_be_rational.h b/external/include/lets_be_rational.h new file mode 100644 --- /dev/null +++ b/external/include/lets_be_rational.h @@ -0,0 +1,36 @@ +// +// This source code resides at www.jaeckel.org/LetsBeRational.7z . +// +// ====================================================================================== +// Copyright © 2013-2014 Peter Jäckel. +// +// Permission to use, copy, modify, and distribute this software is freely granted, +// provided that this notice is preserved. +// +// WARRANTY DISCLAIMER +// The Software is provided "as is" without warranty of any kind, either express or implied, +// including without limitation any implied warranties of condition, uninterrupted use, +// merchantability, fitness for a particular purpose, or non-infringement. +// ====================================================================================== +// +#ifndef LETS_BE_RATIONAL_H +#define LETS_BE_RATIONAL_H + +#include "importexport.h" + +#define ENABLE_SWITCHING_THE_OUTPUT_TO_ITERATION_COUNT +#define ENABLE_CHANGING_THE_HOUSEHOLDER_METHOD_ORDER + +EXPORT_EXTERN_C double set_implied_volatility_maximum_iterations(double n); +EXPORT_EXTERN_C double set_implied_volatility_output_type(double k); +EXPORT_EXTERN_C double set_implied_volatility_householder_method_order(double m); +EXPORT_EXTERN_C double normalised_black_call(double x, double s); +EXPORT_EXTERN_C double normalised_vega(double x, double s); +EXPORT_EXTERN_C double normalised_black(double x, double s, double q /* q=±1 */); +EXPORT_EXTERN_C double black(double F, double K, double sigma, double T, double q /* q=±1 */); +EXPORT_EXTERN_C double normalised_implied_volatility_from_a_transformed_rational_guess_with_limited_iterations(double beta, double x, double q /* q=±1 */, int N); +EXPORT_EXTERN_C double normalised_implied_volatility_from_a_transformed_rational_guess(double beta, double x, double q /* q=±1 */); +EXPORT_EXTERN_C double implied_volatility_from_a_transformed_rational_guess_with_limited_iterations(double price, double F, double K, double T, double q /* q=±1 */, int N); +EXPORT_EXTERN_C double implied_volatility_from_a_transformed_rational_guess(double price, double F, double K, double T, double q /* q=±1 */); + +#endif // NORMAL_DISTRIBUTION_H diff --git a/external/include/normaldistribution.h b/external/include/normaldistribution.h new file mode 100644 --- /dev/null +++ b/external/include/normaldistribution.h @@ -0,0 +1,34 @@ +// +// This source code resides at www.jaeckel.org/LetsBeRational.7z . +// +// ====================================================================================== +// Copyright © 2013-2014 Peter Jäckel. +// +// Permission to use, copy, modify, and distribute this software is freely granted, +// provided that this notice is preserved. +// +// WARRANTY DISCLAIMER +// The Software is provided "as is" without warranty of any kind, either express or implied, +// including without limitation any implied warranties of condition, uninterrupted use, +// merchantability, fitness for a particular purpose, or non-infringement. +// ====================================================================================== +// +#ifndef NORMAL_DISTRIBUTION_H +#define NORMAL_DISTRIBUTION_H + +#include +#include +#include "importexport.h" + +#define ONE_OVER_SQRT_TWO 0.7071067811865475244008443621048490392848359376887 +#define ONE_OVER_SQRT_TWO_PI 0.3989422804014326779399460599343818684758586311649 +#define SQRT_TWO_PI 2.506628274631000502415765284811045253006986740610 + +EXPORT_EXTERN_C double erf_cody(double z); +EXPORT_EXTERN_C double erfc_cody(double z); +EXPORT_EXTERN_C double erfcx_cody(double z); +EXPORT_EXTERN_C double norm_cdf(double z); +inline double norm_pdf(double x){ return ONE_OVER_SQRT_TWO_PI*exp(-.5*x*x); } +EXPORT_EXTERN_C double inverse_norm_cdf(double u); + +#endif // NORMAL_DISTRIBUTION_H diff --git a/external/include/rationalcubic.h b/external/include/rationalcubic.h new file mode 100644 --- /dev/null +++ b/external/include/rationalcubic.h @@ -0,0 +1,34 @@ +// +// This source code resides at www.jaeckel.org/LetsBeRational.7z . +// +// ====================================================================================== +// Copyright © 2013-2014 Peter Jäckel. +// +// Permission to use, copy, modify, and distribute this software is freely granted, +// provided that this notice is preserved. +// +// WARRANTY DISCLAIMER +// The Software is provided "as is" without warranty of any kind, either express or implied, +// including without limitation any implied warranties of condition, uninterrupted use, +// merchantability, fitness for a particular purpose, or non-infringement. +// ====================================================================================== +// +#ifndef RATIONAL_CUBIC_H +#define RATIONAL_CUBIC_H + +// Based on +// +// “Shape preserving piecewise rational interpolation”, R. Delbourgo, J.A. Gregory - SIAM journal on scientific and statistical computing, 1985 - SIAM. +// http://dspace.brunel.ac.uk/bitstream/2438/2200/1/TR_10_83.pdf [caveat emptor: there are some typographical errors in that draft version] +// + +#include "importexport.h" + +EXPORT_EXTERN_C double rational_cubic_interpolation(double x, double x_l, double x_r, double y_l, double y_r, double d_l, double d_r, double r); +EXPORT_EXTERN_C double rational_cubic_control_parameter_to_fit_second_derivative_at_left_side(double x_l, double x_r, double y_l, double y_r, double d_l, double d_r, double second_derivative_l); +EXPORT_EXTERN_C double rational_cubic_control_parameter_to_fit_second_derivative_at_right_side(double x_l, double x_r, double y_l, double y_r, double d_l, double d_r, double second_derivative_r); +EXPORT_EXTERN_C double minimum_rational_cubic_control_parameter(double d_l, double d_r, double s, bool preferShapePreservationOverSmoothness); +EXPORT_EXTERN_C double convex_rational_cubic_control_parameter_to_fit_second_derivative_at_left_side(double x_l, double x_r, double y_l, double y_r, double d_l, double d_r, double second_derivative_l, bool preferShapePreservationOverSmoothness); +EXPORT_EXTERN_C double convex_rational_cubic_control_parameter_to_fit_second_derivative_at_right_side(double x_l, double x_r, double y_l, double y_r, double d_l, double d_r, double second_derivative_r, bool preferShapePreservationOverSmoothness); + +#endif // RATIONAL_CUBIC_H diff --git a/hq.cabal b/hq.cabal --- a/hq.cabal +++ b/hq.cabal @@ -7,7 +7,7 @@ -- hash: ccfecaab3d1004f03e5a9e851269c0209561044c1b9aa90d587dc93a936394f0 name: hq -version: 0.1.0.6 +version: 0.1.0.7 synopsis: Quantitative Library category: Finance description: Please see the README on GitHub at @@ -91,12 +91,18 @@ hs-source-dirs: src include-dirs: - external/src + external/include + external cxx-sources: external/src/lets_be_rational.cpp external/src/normaldistribution.cpp external/src/rationalcubic.cpp external/src/erf_cody.cpp + install-includes: + importexport.h + lets_be_rational.h + normaldistribution.h + rationalcubic.h build-depends: , base >=4.12 && <5 , bytestring >=0.10 && <0.11