Package Exports

@quantlib/ql

This package does not declare an exports field, so the exports above have been automatically detected and optimized by JSPM instead. If any package subpath is missing, it is recommended to post an issue to the original package (@quantlib/ql) to support the "exports" field. If that is not possible, create a JSPM override to customize the exports field for this package.

Readme

quantlib.js

introduction

quantlib.js aims to be a COMPLETE re-implementation of C++ QuantLib in javascript language, emscripten is NOT used. it can be used in web browser or node.js environment.

get started

open https://quantlib.js.org with morden web browser, like chrome, firefox, etc...
select a spec or example from menu. spec source will be displayed on left panel, spec will be run with jasmine by your web browser, and test result will be displayed on right panel

usage

load from cdn

latest version: https://cdn.jsdelivr.net/npm/@quantlib/ql@latest/ql.mjs
version x.y.z : https://cdn.jsdelivr.net/npm/@quantlib/ql@x.y.z/ql.mjs

install from npm

npm install @quantlib/ql

use in web page

ql.mjs is ESM format, when using in html script tag, make sure to have script type set to "module"

<script type="module">
    import {someclass} from 'https://cdn.jsdelivr.net/npm/@quantlib/ql@latest/ql.mjs'
    const obj=new someclass();
    obj.dosomething();
</script>

use in node.js

quantlib.js works in node.js environment. after installing with npm, pass --experimental-modules to node to use ESM javascript file

node --experimental-modules test.mjs

in test.mjs

import {someclass} from '@quantlib/ql'
const obj=new someclass();
obj.dosomething();

typescript

ql.d.ts is published along with ql.mjs

import {someclass} from '@quantlib/ql'
const obj:someclass = new someclass();
obj.dosomething();

release note

0.2.5, fix piecewise zero spreaded term structure, brownian bridge, 4 american options specs, FD engine cleanup
0.2.4 fix risk statistics, some piecewise yield curve

docs

https://quantlib.js.org/docs
official c++ quantlib doc: https://www.quantlib.org/reference/

test-suite & example

A static report is updated regularly, so you could see the overall test status. C++ example output for reference

source code in ESM javascript:

converted from the c++ quantlib test-suite & Examples

these are the code loaded and executed in https://quantlib.js.org

license


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credit

C++ QuantLib project: https://quantlib.org
C++ QuantLib-noboost: https://github.com/haozhangphd/QuantLib-noBoost
mathjs: https://mathjs.org
phosphor: https://github.com/phosphorjs/phosphor
js.org: https://github.com/js-org/js.org

resource

Google group: https://groups.google.com/d/forum/quantlibjs/
Follow us on Twitter: @quantlibjs
Facebook page: https://www.facebook.com/quantlibjs/
blog: https://quantlib.js.org/blog/
notebook: https://observablehq.com/@quantlib

test report

v0.2.5 total: 379, passed: 363, failed: 10, pending: 6

Exchange-rate tests

Testing direct exchange rates...
Testing derived exchange rates...
Testing lookup of direct exchange rates...
Testing lookup of triangulated exchange rates...
Testing lookup of derived exchange rates...

Money tests

Testing money arithmetic without conversions...
Testing money arithmetic with conversion to base currency...
Testing money arithmetic with automated conversion...

Business day convention tests

Testing business day conventions...

Calendar tests

Testing calendar modification...
Testing joint calendars...
Testing US settlement holiday list...
Testing US government bond market holiday list...
Testing New York Stock Exchange holiday list...
Testing TARGET holiday list...
Testing Frankfurt Stock Exchange holiday list...
Testing Eurex holiday list...
Testing Xetra holiday list...
Testing UK settlement holiday list...
Testing London Stock Exchange holiday list...
Testing London Metals Exchange holiday list...
Testing Milan Stock Exchange holiday list...
Testing Russia holiday list...
Testing Brazil holiday list...
Testing South-Korean settlement holiday list...
Testing Korea Stock Exchange holiday list...
Testing China Shanghai Stock Exchange holiday list...
Testing China Inter Bank working weekends list...
Testing end-of-month calculation...
Testing calculation of business days between dates...
Testing bespoke calendars...

Date tests

Testing ECB dates...
Testing IMM dates...
Testing ASX dates...
Testing dates...
Testing ISO dates...
Testing parsing of dates...
Testing intraday information of dates...

Day counter tests

Testing actual/actual day counters...
Testing actual/actual day counter with schedule...
Testing simple day counter...
Testing 1/1 day counter...
Testing business/252 day counter...
Testing thirty/360 day counter (Bond Basis)...
Testing thirty/360 day counter (Eurobond Basis)...
Testing intraday behavior of day counter ...

Period tests

Testing period algebra on years/months...
Testing period algebra on weeks/days...
Testing period parsing...

Schedule tests

Testing schedule with daily frequency...
Testing end date for schedule with end-of-month adjustment...
Testing that no dates are past the end date with EOM adjustment...
Testing that next-to-last date same as end date is removed...
Testing that the last date is not adjusted for EOM when termination date convention is unadjusted...
Testing that the first date is not duplicated due to EOM convention when going backwards...
Testing CDS2015 semi-annual rolling convention...
Testing the constructor taking a vector of dates and possibly additional meta information...
Testing that a four-weeks tenor works...

Timegrid tests

Testing TimeGrid constructor with additional steps...
Testing TimeGrid constructor with only mandatory points...
Testing TimeGrid construction with n evenly spaced points...
Testing if the constructor raises an error for empty iterators...
Testing if the constructor raises an error for negative time values...
Testing returned index is closest to the requested time...
Testing returned time matches to the requested index...
Testing mandatory times are recalled correctly...

time series tests

Testing time series construction...
Testing time series interval price...
Testing time series iterators...

array tests

Testing array construction...
Testing array functions...

auto-covariance tests

Testing convolutions...
Testing auto-covariances...
Testing auto-correlations...

Covariance and correlation tests

Testing matrix rank reduction salvaging algorithms...
Testing positive semi-definiteness salvaging algorithms...
Testing covariance and correlation calculations...

Credit risk plus tests

Testing extended credit risk plus model against reference values...

fast fourier transform tests

Testing complex direct FFT...
Testing convolution via inverse FFT...

Integration tests

Testing segment integration...
Testing trapezoid integration...
Testing mid-point trapezoid integration...
Testing Simpson integration...
Testing adaptive Gauss-Kronrod integration...
Testing adaptive Gauss-Lobatto integration...
Testing non-adaptive Gauss-Kronrod integration...
Testing two dimensional adaptive Gauss-Lobatto integration...
Testing Folin's integral formulae...
Testing discrete integral formulae...
Testing discrete integrator formulae...
Testing piecewise integral...

Low-discrepancy sequence tests

Testing random-seed generator...
Testing 21200 primitive polynomials modulo two...
Testing randomized low-discrepancy sequences up to dimension 21200...
Testing randomized lattice sequences...
Testing Sobol sequences up to dimension 21200...
Testing Faure sequences...
Testing Halton sequences...
Testing Mersenne-twister discrepancy...
Testing plain Halton discrepancy...
Testing random-start Halton discrepancy...
Testing random-shift Halton discrepancy...
Testing random-start, random-shift Halton discrepancy...
Testing Jaeckel-Sobol discrepancy...
Testing Levitan-Sobol discrepancy...
Testing Levitan-Lemieux-Sobol discrepancy...
Testing unit Sobol discrepancy...
Testing Sobol sequence skipping...

Matrix tests

Testing eigenvalues and eigenvectors calculation...
Testing matricial square root...
Testing Higham matricial square root...
Testing singular value decomposition...
Testing QR decomposition...
Testing QR solve...
Testing LU inverse calculation...
Testing LU determinant calculation...
Testing orthogonal projections...
Testing Cholesky Decomposition...
Testing Moore-Penrose inverse...
Testing iterative solvers...

Mersenne twister tests

Testing Mersenne twister...

NumericalDifferentiation tests

Testing numerical differentiation using the central scheme...
Testing numerical differentiation using the backward scheme...
Testing numerical differentiation using the Forward scheme...
Testing numerical differentiation of first order using an irregular scheme...
Testing numerical differentiation of second order using an irregular scheme...
Testing numerical differentiation of sin function...
Testing coefficients from numerical differentiation by comparison with results from Vandermonde matrix inversion...

ode tests

Testing adaptive Runge Kutta...
Testing matrix exponential based on ode...
Testing matrix exponential of a zero matrix based on ode...

Optimizers tests

Testing optimizers...
Testing nested optimizations...
Testing differential evolution...

RNG traits tests

Testing Gaussian pseudo-random number generation...
Testing Poisson pseudo-random number generation...
Testing custom Poisson pseudo-random number generation...

Rounding tests

Testing closest decimal rounding...
Testing upward decimal rounding...
Testing downward decimal rounding...
Testing floor decimal rounding...
Testing ceiling decimal rounding...

sampled curve tests

Testing sampled curve construction...

1-D solver tests

Testing Brent solver...
Testing bisection solver...
Testing false-position solver...
Testing Newton solver...
Testing Newton-safe solver...
Testing Halley solver...
Testing Halley-safe solver...
Testing finite-difference Newton-safe solver...
Testing Ridder solver...
Testing secant solver...

Factorial tests

Testing factorial numbers...
Testing Gamma function...
Testing Gamma values...
Testing modified Bessel function of first and second kind...
Testing weighted modified Bessel functions...

transformed grid

Testing transformed grid construction...

Distribution tests

Testing normal distributions...
Testing bivariate cumulative normal distribution...
Testing Poisson distribution...
Testing cumulative Poisson distribution...
Testing inverse cumulative Poisson distribution...
Testing bivariate cumulative Student t distribution...
Testing bivariate cumulative Student t distribution for large N...
Testing inverse CDF based on stochastic collocation...

linear least squares regression tests

Testing linear least-squares regression...
Testing multi-dimensional linear least-squares regression...
Testing 1D simple linear least-squares regression...

Statistics tests

Testing statistics...
Testing sequence statistics...
Testing convergence statistics...
Testing incremental statistics...

Risk statistics tests

Testing risk measures...

TQR eigendecomposition tests

Testing TQR eigenvalue decomposition...
Testing TQR zero-off-diagonal eigenvalues...
Testing TQR eigenvector decomposition...

Gaussian quadratures tests

Testing Gauss-Jacobi integration...
Testing Gauss-Laguerre integration...
Testing Gauss-Hermite integration...
Testing Gauss hyperbolic integration...
Testing tabulated Gauss-Laguerre integration...

Gaussian quadratures experimental tests

Testing Gauss non-central chi-squared integration...
Testing Gauss non-central chi-squared sum of notes...

Interpolation tests

Testing spline approximation on Gaussian data sets...
Testing spline interpolation on a Gaussian data set...
Testing spline interpolation on RPN15A data set...
Testing spline interpolation on generic values...
Testing symmetry of spline interpolation end-conditions ...
Testing derivative end-conditions for spline interpolation ...
Testing non-restrictive Hyman filter...
Testing N-dimensional cubic spline...
Testing use of interpolations as functors...
Testing Fritsch-Butland interpolation...
Testing backward-flat interpolation...
Testing forward-flat interpolation...
Testing Sabr interpolation...
Testing kernel 1D interpolation...
Testing kernel 2D interpolation...
Testing bicubic spline derivatives...
Testing that bicubic splines actually update...
Testing Richardson extrapolation...
Testing no-arbitrage Sabr interpolation...
Testing Sabr calibration single cases...
Testing Sabr and no-arbitrage Sabr transformation functions...
Testing Lagrange interpolation...
Testing Lagrange interpolation at supporting points...
Testing Lagrange interpolation derivatives...
Testing Lagrange interpolation on Chebyshev points...
Testing B-Splines...
Testing piecewise constant interpolation on a single point...

Cash flows tests

Testing cash-flow settings...
Testing dynamic cast of coupon in Black pricer...
Testing default evaluation date in cashflows methods...
Testing ibor leg construction with null fixing days...
Testing irregular first coupon reference dates with end of month enabled...
Testing irregular last coupon reference dates with end of month enabled...
Testing leg construction with partial schedule...

Capped and floored coupon tests

Testing degenerate collared coupon...
Testing collared coupon against its decomposition...

Interest Rate tests

Testing interest-rate conversions...

Black formula tests

Testing Bachelier implied vol...
Testing Chambers-Nawalkha implied vol approximation...
Testing Radoicic-Stefanica implied vol approximation...
Testing Radoicic-Stefanica lower bound...
Testing implied volatility calculation via adaptive successive over-relaxation...

Instrument tests

Testing observability of instruments...
Testing reaction of composite instrument to date changes...

Swap tests

Testing vanilla-swap calculation of fair fixed rate...
Testing vanilla-swap calculation of fair floating spread...
Testing vanilla-swap dependency on fixed rate...
Testing vanilla-swap dependency on floating spread...
Testing in-arrears swap calculation...
Testing vanilla-swap calculation against cached value...

Term structure tests

Testing term structure against evaluation date change...
Testing consistency of implied term structure...
Testing observability of implied term structure...
Testing consistency of forward-spreaded term structure...
Testing observability of forward-spreaded term structure...
Testing consistency of zero-spreaded term structure...
Testing observability of zero-spreaded term structure...
Testing that a zero-spreaded curve can be created with a null underlying curve...
Testing that an underlying curve can be relinked to a null underlying curve...
Testing composite zero yield structures...

Amortizing Bond tests

Testing amortizing fixed rate bond...

Bond tests

Testing consistency of bond price/yield calculation...
Testing consistency of bond price/ATM rate calculation...
Testing consistency of bond price/z-spread calculation...
Testing theoretical bond price/yield calculation...
Testing bond price/yield calculation against cached values...
Testing zero-coupon bond prices against cached values...
Testing fixed-coupon bond prices against cached values...
Testing floating-rate bond prices against cached values...
Testing Brazilian public bond prices against Andima cached values...
Testing ex-coupon UK Gilt price against market values...
Testing ex-coupon Australian bond price against market values...
Testing South African R2048 bond price using Schedule constructor with Date vector...
Testing Thirty/360 bond with settlement on 31st of the month...

Cap and floor tests

Testing cap/floor vega...
Testing cap/floor dependency on strike...
Testing consistency between cap, floor and collar...
Testing cap/floor parity...
Testing cap/floor ATM rate...
Testing implied term volatility for cap and floor...
Testing Black cap/floor price against cached values...

forward rate agreement

Testing forward rate agreement construction...

American option tests

Testing Barone-Adesi and Whaley approximation for American options...
Testing Bjerksund and Stensland approximation for American options...
Testing Ju approximation for American options...
Testing finite-difference engine for American options...
Testing finite-differences American option greeks...
Testing finite-differences shout option greeks...

Quote tests

Testing observability of quotes...
Testing observability of quote handles...
Testing derived quotes...
Testing composite quotes...
Testing forward-value and implied-standard-deviation quotes...

Brownian bridge tests

Testing Brownian-bridge variates...
Testing Brownian-bridge path generation...

Path generation tests

Testing 1-D path generation against cached values...
Testing n-D path generation against cached values...

Curve States tests

Testing constant-maturity-swap-market-model curve state...

Operator tests

Testing tridiagonal operator...
Testing differential operators...
Testing consistency of BSM operators...

Piecewise yield curve tests

Testing consistency of piecewise-log-cubic discount curve...
Testing consistency of piecewise-log-linear discount curve...
Testing consistency of piecewise-linear discount curve...
Testing consistency of piecewise-log-linear zero-yield curve...
Testing consistency of piecewise-linear zero-yield curve...
Testing consistency of piecewise-cubic zero-yield curve...
Testing consistency of piecewise-linear forward-rate curve...
Testing consistency of piecewise-flat forward-rate curve...
Testing consistency of piecewise-cubic forward-rate curve...
Testing consistency of convex monotone forward-rate curve...
Testing consistency of local-bootstrap algorithm...
Testing observability of piecewise yield curve...
Testing use of today's LIBOR fixings in swap curve...
Testing bootstrap over JPY LIBOR swaps...
Testing copying of discount curve...
Testing copying of forward-rate curve...
Testing copying of zero-rate curve...
Testing SwapRateHelper last relevant date...
Testing bootstrap starting from bad guess...

Interpolated piecewise zero spreaded yield curve tests

Testing flat interpolation before the first spreaded date...
Testing flat interpolation after the last spreaded date...
Testing linear interpolation with more than two spreaded dates...
Testing linear interpolation between two dates...
Testing forward flat interpolation between two dates...
Testing backward flat interpolation between two dates...
Testing default interpolation between two dates...
Testing factory constructor with additional parameters...
Testing term structure max date...
Testing quote update...

Chooser option tests

Testing analytic simple chooser option...
Testing analytic complex chooser option...

Extensible option tests

Testing analytic engine for holder-extensible option...
Testing analytic engine for writer-extensible option...

Credit risk plus tests

Testing extended credit risk plus model against reference values...