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 functions, please see Example below.
npm install quantlib- Windows
npm install quantlib will do everything, including the package and pre-built native addon
- Linux & Mac
Quantlib and QuantLibAddin must be built first, then build QuantLibNode linking to them
| QuantLib | QuantLibAddin | Node.js | QuantLibNode |
|---|---|---|---|
| 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 ]