pricing.cxx

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/* -*- Mode: C++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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 * 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
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 */
 
// 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 <cppuhelper/weak.hxx>
#include <algorithm>
#include <cmath>
#include <string_view>
#include <unotools/resmgr.hxx>
#include <i18nlangtag/languagetag.hxx>
#include <o3tl/string_view.hxx>
 
using namespace ::com::sun::star;
using namespace sca::pricing;
 
 
constexpr OUStringLiteral ADDIN_SERVICE = u"com.sun.star.sheet.AddIn";
constexpr OUStringLiteral MY_SERVICE = u"com.sun.star.sheet.addin.PricingFunctions";
constexpr OUStringLiteral MY_IMPLNAME = u"com.sun.star.sheet.addin.PricingFunctionsImpl";
 
const ScaFuncDataBase pFuncDataArr[] =
{
    { "getOptBarrier", PRICING_FUNCNAME_OptBarrier, PRICING_FUNCDESC_OptBarrier, "OPT_BARRIER", 13, ScaCategory::Finance, false, false },
    { "getOptTouch", PRICING_FUNCNAME_OptTouch, PRICING_FUNCDESC_OptTouch, "OPT_TOUCH", 11, ScaCategory::Finance, false, false },
    { "getOptProbHit", PRICING_FUNCNAME_OptProbHit, PRICING_FUNCDESC_OptProbHit, "OPT_PROB_HIT", 6, ScaCategory::Finance, false, false },
    { "getOptProbInMoney", PRICING_FUNCNAME_OptProbInMoney, PRICING_FUNCDESC_OptProbInMoney, "OPT_PROB_INMONEY", 8, ScaCategory::Finance, false, false },
};
 
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
 
extern "C" SAL_DLLPUBLIC_EXPORT css::uno::XInterface*
scaddins_ScaPricingAddIn_get_implementation(
    css::uno::XComponentContext* , css::uno::Sequence<css::uno::Any> const&)
{
    return cppu::acquire(new ScaPricingAddIn());
}
 
//  "normal" service implementation
ScaPricingAddIn::ScaPricingAddIn()
{
}
 
ScaPricingAddIn::~ScaPricingAddIn()
{
}
 
static const char*  pLang[] = { "en" };
static const char*  pCoun[] = { "US" };
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 < nNumOfLoc) ? pDefLocales[ nIndex ] : aFuncLoc;
}
 
void ScaPricingAddIn::InitData()
{
    aResLocale = Translate::Create("sca", LanguageTag(aFuncLoc));
    pFuncDataList.reset(new ScaFuncDataList);
    InitScaFuncDataList(*pFuncDataList);
    pDefLocales.reset();
}
 
OUString ScaPricingAddIn::GetFuncDescrStr(const TranslateId* pResId, sal_uInt16 nStrIndex)
{
    return ScaResId(pResId[nStrIndex - 1]);
}
 
// XServiceName
OUString SAL_CALL ScaPricingAddIn::getServiceName()
{
    // name of specific AddIn service
    return MY_SERVICE;
}
 
// XServiceInfo
OUString SAL_CALL ScaPricingAddIn::getImplementationName()
{
    return MY_IMPLNAME;
}
 
sal_Bool SAL_CALL ScaPricingAddIn::supportsService( const OUString& aServiceName )
{
    return cppu::supportsService(this, aServiceName);
}
 
uno::Sequence< OUString > SAL_CALL ScaPricingAddIn::getSupportedServiceNames()
{
    return { ADDIN_SERVICE, MY_SERVICE };
}
 
// 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, std::u16string_view str) {
    if(o3tl::starts_with(str, u"c")) {
        pc=bs::types::Call;
    } else if(o3tl::starts_with(str, u"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, std::u16string_view str) {
    if(o3tl::starts_with(str, u"i")) {
        kio=bs::types::KnockIn;
    } else if(o3tl::starts_with(str, u"o")) {
        kio=bs::types::KnockOut;
    } else {
        return false;
    }
    return true;
}
 
bool getinput_barrier(bs::types::BarrierActive& cont, std::u16string_view str) {
    if(o3tl::starts_with(str, u"c")) {
        cont=bs::types::Continuous;
    } else if(o3tl::starts_with(str, u"e")) {
        cont=bs::types::Maturity;
    } else {
        return false;
    }
    return true;
}
 
bool getinput_fordom(bs::types::ForDom& fd, std::u16string_view str) {
    if(o3tl::starts_with(str, u"f")) {
        fd=bs::types::Foreign;
    } else if(o3tl::starts_with(str, u"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);
 
    if (!std::isfinite(fRet))
        throw css::lang::IllegalArgumentException();
    return 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);
 
    if (!std::isfinite(fRet))
        throw css::lang::IllegalArgumentException();
    return 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);
 
    if (!std::isfinite(fRet))
        throw css::lang::IllegalArgumentException();
    return 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);
 
    if (!std::isfinite(fRet))
        throw css::lang::IllegalArgumentException();
    return fRet;
}
 
OUString ScaPricingAddIn::ScaResId(TranslateId aResId)
{
    return Translate::get(aResId, aResLocale);
}
 
/* vim:set shiftwidth=4 softtabstop=4 expandtab: */