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.
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 | QuantLibAddin | Node.js | quantlib.node |
|---|---|---|---|
| 1.7.1 | 1.7.0 | 6.9.1 | 0.1.x |
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 ]