quantjin / quantlibnode

QuantLib Async Bindings for Node.js

QuantLib Async Bindings for Node.js

This project brings QuantLib to the Node.js community, it's similar to QuantLibXL project which is for Microsoft Excel.

Most functions in QuantLibXL can be used in the similar way in Node on the server side.

All functions in this project are Async, they are exported to Promise sytle function, please see Example below.

Getting started

npm install quantlib

• Windows

npm install quantlib will do everything, including the node package installation and pre-built native addon (no dependency) download, you can start use it right away.

• Linux & Mac

Quantlib and QuantLibAddin must be built first, then build QuantLibNode linking to them, pre-built native code is not provided for now

QuantLib Documents

• Function Categories

• Function List

Version Matrix

QuantLib	QuantLibAddin	Node.js	quantlib.node
1.7.1	1.7.0	6.9.1	0.1.x

Example

var ql = require('quantlib');

var mtx1 =
[
  [1.00000,	0.97560,	0.95240,	0.93040,	0.90940,	0.88940,	0.87040,	0.85230,	0.83520,	0.81880],
  [0.97560,	1.00000,    0.97560,    0.95240,    0.93040,    0.90940,    0.88940,    0.87040,    0.85230,    0.83520],
  [0.95240,	0.97560,	1.00000,	0.97560,	0.95240,	0.93040,	0.90940,	0.88940,	0.87040,	0.85230],
  [0.93040,	0.95240,	0.97560,	1.00000,	0.97560,	0.95240,	0.93040,	0.90940,	0.88940,	0.87040],
  [0.90940,	0.93040,	0.95240,	0.97560,	1.00000,	0.97560,	0.95240,	0.93040,	0.90940,	0.88940],
  [0.88940,	0.90940,	0.93040,	0.95240,	0.97560,	1.00000,	0.97560,	0.95240,	0.93040,	0.90940],
  [0.87040,	0.88940,	0.90940,	0.93040,	0.95240,	0.97560,	1.00000,	0.97560,	0.95240,	0.93040],
  [0.85230,	0.87040,	0.88940,	0.90940,	0.93040,	0.95240,	0.97560,	1.00000,	0.97560,	0.95240],
  [0.83520,	0.85230,	0.87040,	0.88940,	0.90940,	0.93040,	0.95240,	0.97560,	1.00000,	0.97560],
  [0.81880,	0.83520,	0.85230,	0.87040,	0.88940,	0.90940,	0.93040,	0.95240,	0.97560,	1.00000]
];

ql.SymmetricSchurDecomposition('mtx#1',mtx1).then(function(obj){

  ql.SymmetricSchurDecompositionEigenvalues(obj).then(function(r){
    console.log(r);
  });

}).catch(function(e){
  console.log(e);
});

>
[ 9.270906840163782,
  0.4207173234885105,
  0.12674770658244172,
  0.059239731356788505,
  0.03595303870722261,
  0.024956978505270924,
  0.019117669503864024,
  0.01580103250921176,
  0.01377474504269164,
  0.012784934140218302 ]