/* -*- Mode: C++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* * This file is part of the LibreOffice project. * * This Source Code Form is subject to the terms of the Mozilla Public * 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 * the License at http://www.apache.org/licenses/LICENSE-2.0 . */ //------------------------------------------------------------------ // // 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 #include #include #include #include #include #include using namespace ::com::sun::star; using namespace sca::pricing; //------------------------------------------------------------------ #define ADDIN_SERVICE "com.sun.star.sheet.AddIn" #define MY_SERVICE "com.sun.star.sheet.addin.PricingFunctions" #define MY_IMPLNAME "com.sun.star.sheet.addin.PricingFunctionsImpl" //------------------------------------------------------------------ #define STR_FROM_ANSI( s ) OUString( s, strlen( s ), RTL_TEXTENCODING_MS_1252 ) //------------------------------------------------------------------ const sal_uInt32 ScaList::nStartSize = 16; const sal_uInt32 ScaList::nIncrSize = 16; ScaList::ScaList() : pData( new void*[ nStartSize ] ), nSize( nStartSize ), nCount( 0 ), nCurr( 0 ) { } ScaList::~ScaList() { delete[] pData; } void ScaList::_Grow() { nSize += nIncrSize; void** pNewData = new void*[ nSize ]; memcpy( pNewData, pData, nCount * sizeof( void* ) ); delete[] pData; pData = pNewData; } //------------------------------------------------------------------ ScaStringList::~ScaStringList() { for( OUString* pStr = First(); pStr; pStr = Next() ) delete pStr; } //------------------------------------------------------------------ ScaResId::ScaResId( sal_uInt16 nId, ResMgr& rResMgr ) : ResId( nId, rResMgr ) { } //------------------------------------------------------------------ #define UNIQUE sal_False // function name does not exist in Calc #define DOUBLE sal_True // function name exists in Calc #define STDPAR sal_False // all parameters are described #define INTPAR sal_True // first parameter is internal #define FUNCDATA( FuncName, ParamCount, Category, Double, IntPar ) \ { "get" #FuncName, PRICING_FUNCNAME_##FuncName, PRICING_FUNCDESC_##FuncName, PRICING_DEFFUNCNAME_##FuncName, ParamCount, Category, Double, IntPar } const ScaFuncDataBase pFuncDataArr[] = { FUNCDATA( OptBarrier, 13, ScaCat_Finance, UNIQUE, STDPAR), FUNCDATA( OptTouch, 11, ScaCat_Finance, UNIQUE, STDPAR), FUNCDATA( OptProbHit, 6, ScaCat_Finance, UNIQUE, STDPAR), FUNCDATA( OptProbInMoney, 8, ScaCat_Finance, UNIQUE, STDPAR) }; #undef FUNCDATA //------------------------------------------------------------------ ScaFuncData::ScaFuncData( const ScaFuncDataBase& rBaseData, ResMgr& rResMgr ) : aIntName( OUString::createFromAscii( rBaseData.pIntName ) ), nUINameID( rBaseData.nUINameID ), nDescrID( rBaseData.nDescrID ), nCompListID( rBaseData.nCompListID ), nParamCount( rBaseData.nParamCount ), eCat( rBaseData.eCat ), bDouble( rBaseData.bDouble ), bWithOpt( rBaseData.bWithOpt ) { ScaResStringArrLoader aArrLoader( RID_PRICING_DEFFUNCTION_NAMES, nCompListID, rResMgr ); const ResStringArray& rArr = aArrLoader.GetStringArray(); for( sal_uInt16 nIndex = 0; nIndex < rArr.Count(); nIndex++ ) aCompList.Append( rArr.GetString( nIndex ) ); } ScaFuncData::~ScaFuncData() { } sal_uInt16 ScaFuncData::GetStrIndex( sal_uInt16 nParam ) const { if( !bWithOpt ) nParam++; return (nParam > nParamCount) ? (nParamCount * 2) : (nParam * 2); } //------------------------------------------------------------------ ScaFuncDataList::ScaFuncDataList( ResMgr& rResMgr ) : nLast( 0xFFFFFFFF ) { for( sal_uInt16 nIndex = 0; nIndex < SAL_N_ELEMENTS(pFuncDataArr); nIndex++ ) Append( new ScaFuncData( pFuncDataArr[ nIndex ], rResMgr ) ); } ScaFuncDataList::~ScaFuncDataList() { for( ScaFuncData* pFData = First(); pFData; pFData = Next() ) delete pFData; } const ScaFuncData* ScaFuncDataList::Get( const OUString& rProgrammaticName ) const { if( aLastName == rProgrammaticName ){ return Get( nLast ); } for( sal_uInt32 nIndex = 0; nIndex < Count(); nIndex++ ) { const ScaFuncData* pCurr = Get( nIndex ); if( pCurr->Is( rProgrammaticName ) ) { const_cast< ScaFuncDataList* >( this )->aLastName = rProgrammaticName; const_cast< ScaFuncDataList* >( this )->nLast = nIndex; return pCurr; } } return NULL; } //------------------------------------------------------------------ ScaFuncRes::ScaFuncRes( ResId& rResId, ResMgr& rResMgr, sal_uInt16 nIndex, OUString& rRet ) : Resource( rResId ) { rRet = String( ScaResId( nIndex, rResMgr ) ); FreeResource(); } //------------------------------------------------------------------ // // entry points for service registration / instantiation // //------------------------------------------------------------------ uno::Reference< uno::XInterface > SAL_CALL ScaPricingAddIn_CreateInstance( const uno::Reference< lang::XMultiServiceFactory >& ) { static uno::Reference< uno::XInterface > xInst = (cppu::OWeakObject*) new ScaPricingAddIn(); return xInst; } //------------------------------------------------------------------------ extern "C" { SAL_DLLPUBLIC_EXPORT void * SAL_CALL pricing_component_getFactory( const sal_Char * pImplName, void * pServiceManager, void * /*pRegistryKey*/ ) { void* pRet = 0; if ( pServiceManager && OUString::createFromAscii( pImplName ) == ScaPricingAddIn::getImplementationName_Static() ) { uno::Reference< lang::XSingleServiceFactory > xFactory( cppu::createOneInstanceFactory( reinterpret_cast< lang::XMultiServiceFactory* >( pServiceManager ), ScaPricingAddIn::getImplementationName_Static(), ScaPricingAddIn_CreateInstance, ScaPricingAddIn::getSupportedServiceNames_Static() ) ); if (xFactory.is()) { xFactory->acquire(); pRet = xFactory.get(); } } return pRet; } } // extern C //------------------------------------------------------------------------ // // "normal" service implementation // //------------------------------------------------------------------------ ScaPricingAddIn::ScaPricingAddIn() : pDefLocales( NULL ), pResMgr( NULL ), pFuncDataList( NULL ) { } ScaPricingAddIn::~ScaPricingAddIn() { if( pFuncDataList ) delete pFuncDataList; if( pDefLocales ) delete[] pDefLocales; // pResMgr already deleted (_all_ resource managers are deleted _before_ this dtor is called) } static const sal_Char* pLang[] = { "de", "en" }; static const sal_Char* pCoun[] = { "DE", "US" }; static const sal_uInt32 nNumOfLoc = SAL_N_ELEMENTS( pLang ); void ScaPricingAddIn::InitDefLocales() { pDefLocales = 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 < sizeof( pLang )) ? pDefLocales[ nIndex ] : aFuncLoc; } ResMgr& ScaPricingAddIn::GetResMgr() throw( uno::RuntimeException ) { if( !pResMgr ) { InitData(); // try to get resource manager if( !pResMgr ) throw uno::RuntimeException(); } return *pResMgr; } void ScaPricingAddIn::InitData() { if( pResMgr ) delete pResMgr; OString aModName( "pricing" ); pResMgr = ResMgr::CreateResMgr( aModName.getStr(), aFuncLoc ); if( pFuncDataList ) delete pFuncDataList; pFuncDataList = pResMgr ? new ScaFuncDataList( *pResMgr ) : NULL; if( pDefLocales ) { delete pDefLocales; pDefLocales = NULL; } } OUString ScaPricingAddIn::GetDisplFuncStr( sal_uInt16 nResId ) throw( uno::RuntimeException ) { return ScaResStringLoader( RID_PRICING_FUNCTION_NAMES, nResId, GetResMgr() ).GetString(); } OUString ScaPricingAddIn::GetFuncDescrStr( sal_uInt16 nResId, sal_uInt16 nStrIndex ) throw( uno::RuntimeException ) { OUString aRet; ScaResPublisher aResPubl( ScaResId( RID_PRICING_FUNCTION_DESCRIPTIONS, GetResMgr() ) ); ScaResId aResId( nResId, GetResMgr() ); aResId.SetRT( RSC_RESOURCE ); if( aResPubl.IsAvailableRes( aResId ) ) ScaFuncRes aSubRes( aResId, GetResMgr(), nStrIndex, aRet ); aResPubl.FreeResource(); return aRet; } //------------------------------------------------------------------------ OUString ScaPricingAddIn::getImplementationName_Static() { return OUString(RTL_CONSTASCII_USTRINGPARAM( MY_IMPLNAME )); } uno::Sequence< OUString > ScaPricingAddIn::getSupportedServiceNames_Static() { uno::Sequence< OUString > aRet( 2 ); OUString* pArray = aRet.getArray(); pArray[0] = OUString(RTL_CONSTASCII_USTRINGPARAM( ADDIN_SERVICE )); pArray[1] = OUString(RTL_CONSTASCII_USTRINGPARAM( MY_SERVICE )); return aRet; } // XServiceName OUString SAL_CALL ScaPricingAddIn::getServiceName() throw( uno::RuntimeException ) { // name of specific AddIn service return OUString(RTL_CONSTASCII_USTRINGPARAM( MY_SERVICE )); } // XServiceInfo OUString SAL_CALL ScaPricingAddIn::getImplementationName() throw( uno::RuntimeException ) { return getImplementationName_Static(); } sal_Bool SAL_CALL ScaPricingAddIn::supportsService( const OUString& aServiceName ) throw( uno::RuntimeException ) { return aServiceName == ADDIN_SERVICE || aServiceName == MY_SERVICE; } uno::Sequence< OUString > SAL_CALL ScaPricingAddIn::getSupportedServiceNames() throw( uno::RuntimeException ) { return getSupportedServiceNames_Static(); } // XLocalizable void SAL_CALL ScaPricingAddIn::setLocale( const lang::Locale& eLocale ) throw( uno::RuntimeException ) { aFuncLoc = eLocale; InitData(); // change of locale invalidates resources! } lang::Locale SAL_CALL ScaPricingAddIn::getLocale() throw( uno::RuntimeException ) { return aFuncLoc; } //------------------------------------------------------------------ // // function descriptions start here // //------------------------------------------------------------------ // XAddIn OUString SAL_CALL ScaPricingAddIn::getProgrammaticFuntionName( const OUString& ) throw( uno::RuntimeException ) { // 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 ) throw( uno::RuntimeException ) { OUString aRet; const ScaFuncData* pFData = pFuncDataList->Get( aProgrammaticName ); if( pFData ) { aRet = GetDisplFuncStr( pFData->GetUINameID() ); if( pFData->IsDouble() ) aRet += STR_FROM_ANSI( "_ADD" ); } else { aRet = STR_FROM_ANSI( "UNKNOWNFUNC_" ); aRet += aProgrammaticName; } return aRet; } OUString SAL_CALL ScaPricingAddIn::getFunctionDescription( const OUString& aProgrammaticName ) throw( uno::RuntimeException ) { OUString aRet; const ScaFuncData* pFData = pFuncDataList->Get( aProgrammaticName ); if( pFData ) aRet = GetFuncDescrStr( pFData->GetDescrID(), 1 ); return aRet; } OUString SAL_CALL ScaPricingAddIn::getDisplayArgumentName( const OUString& aProgrammaticName, sal_Int32 nArgument ) throw( uno::RuntimeException ) { OUString aRet; const ScaFuncData* pFData = pFuncDataList->Get( aProgrammaticName ); if( pFData && (nArgument <= 0xFFFF) ) { sal_uInt16 nStr = pFData->GetStrIndex( static_cast< sal_uInt16 >( nArgument ) ); if( nStr ) aRet = GetFuncDescrStr( pFData->GetDescrID(), nStr ); else aRet = STR_FROM_ANSI( "internal" ); } return aRet; } OUString SAL_CALL ScaPricingAddIn::getArgumentDescription( const OUString& aProgrammaticName, sal_Int32 nArgument ) throw( uno::RuntimeException ) { OUString aRet; const ScaFuncData* pFData = pFuncDataList->Get( aProgrammaticName ); if( pFData && (nArgument <= 0xFFFF) ) { sal_uInt16 nStr = pFData->GetStrIndex( static_cast< sal_uInt16 >( nArgument ) ); if( nStr ) aRet = GetFuncDescrStr( pFData->GetDescrID(), nStr + 1 ); else aRet = STR_FROM_ANSI( "for internal use only" ); } return aRet; } OUString SAL_CALL ScaPricingAddIn::getProgrammaticCategoryName( const OUString& aProgrammaticName ) throw( uno::RuntimeException ) { OUString aRet; const ScaFuncData* pFData = pFuncDataList->Get( aProgrammaticName ); if( pFData ) { switch( pFData->GetCategory() ) { case ScaCat_DateTime: aRet = STR_FROM_ANSI( "Date&Time" ); break; case ScaCat_Text: aRet = STR_FROM_ANSI( "Text" ); break; case ScaCat_Finance: aRet = STR_FROM_ANSI( "Financial" ); break; case ScaCat_Inf: aRet = STR_FROM_ANSI( "Information" ); break; case ScaCat_Math: aRet = STR_FROM_ANSI( "Mathematical" ); break; case ScaCat_Tech: aRet = STR_FROM_ANSI( "Technical" ); break; default: // to prevent compiler warnings break; } } if( aRet.isEmpty() ) aRet = STR_FROM_ANSI( "Add-In" ); return aRet; } OUString SAL_CALL ScaPricingAddIn::getDisplayCategoryName( const OUString& aProgrammaticName ) throw( uno::RuntimeException ) { return getProgrammaticCategoryName( aProgrammaticName ); } // XCompatibilityNames uno::Sequence< sheet::LocalizedName > SAL_CALL ScaPricingAddIn::getCompatibilityNames( const OUString& aProgrammaticName ) throw( uno::RuntimeException ) { const ScaFuncData* pFData = pFuncDataList->Get( aProgrammaticName ); if( !pFData ) return uno::Sequence< sheet::LocalizedName >( 0 ); const ScaStringList& rStrList = pFData->GetCompNameList(); sal_uInt32 nCount = rStrList.Count(); 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.Get( nIndex ) ); return aRet; } // --------------------------------------------------------------------- // --------------------------------------------------------------------- // actual function implementation starts here // // auxillary input handling functions namespace { bool getinput_putcall(bs::types::PutCall& pc, const OUString& str) { if(str.startsWith("c")) { pc=bs::types::Call; } else if(str.startsWith("p")) { pc=bs::types::Put; } else { return false; } return true; } bool getinput_putcall(bs::types::PutCall& pc, const ANY& anyval) { OUString str; if(anyval.getValueTypeClass() == ::com::sun::star::uno::TypeClass_STRING) { anyval >>= str; } else if(anyval.getValueTypeClass() == ::com::sun::star::uno::TypeClass_VOID) { str="c"; // call as default } else { return false; } return getinput_putcall(pc, str); } bool getinput_strike(double& strike, const ANY& anyval) { if(anyval.getValueTypeClass() == ::com::sun::star::uno::TypeClass_DOUBLE) { anyval >>= strike; } else if(anyval.getValueTypeClass() == ::com::sun::star::uno::TypeClass_VOID) { strike=-1.0; // -1 as default (means not set) } else { return false; } return true; } bool getinput_inout(bs::types::BarrierKIO& kio, const OUString& str) { if(str.startsWith("i")) { kio=bs::types::KnockIn; } else if(str.startsWith("o")) { kio=bs::types::KnockOut; } else { return false; } return true; } bool getinput_barrier(bs::types::BarrierActive& cont, const OUString& str) { if(str.startsWith("c")) { cont=bs::types::Continuous; } else if(str.startsWith("e")) { cont=bs::types::Maturity; } else { return false; } return true; } bool getinput_fordom(bs::types::ForDom& fd, const OUString& str) { if(str.startsWith("f")) { fd=bs::types::Foreign; } else if(str.startsWith("d")) { fd=bs::types::Domestic; } else { return false; } return true; } bool getinput_greek(bs::types::Greeks& greek, const ANY& anyval) { OUString str; if(anyval.getValueTypeClass() == ::com::sun::star::uno::TypeClass_STRING) { anyval >>= str; } else if(anyval.getValueTypeClass() == ::com::sun::star::uno::TypeClass_VOID) { str="value"; } else { return false; } if(str.compareToAscii("value")==0 || str.compareToAscii("price")==0 || str.compareToAscii("v")==0 || str.compareToAscii("p")==0 ) { greek=bs::types::Value; } else if(str.compareToAscii("delta")==0||str.compareToAscii("d")==0) { greek=bs::types::Delta; } else if(str.compareToAscii("gamma")==0||str.compareToAscii("g")==0) { greek=bs::types::Gamma; } else if(str.compareToAscii("theta")==0||str.compareToAscii("t")==0) { greek=bs::types::Theta; } else if(str.compareToAscii("vega")==0||str.compareToAscii("e")==0) { greek=bs::types::Vega; } else if(str.compareToAscii("volga")==0||str.compareToAscii("o")==0) { greek=bs::types::Volga; } else if(str.compareToAscii("vanna")==0||str.compareToAscii("a")==0) { greek=bs::types::Vanna; } else if(str.compareToAscii("rho")==0||str.compareToAscii("r")==0) { greek=bs::types::Rho_d; } else if(str.compareToAscii("rhof")==0||str.compareToAscii("f")==0) { greek=bs::types::Rho_f; } else { return false; } return true; } } // namespace for auxillary 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 ANY& greekstr ) THROWDEF_RTE_IAE { 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_IAE; } double fRet=bs::barrier(spot,vol,r,rf,T,strike, barrier_low,barrier_up, rebate,pc,kio,bcont,greek); RETURN_FINITE( 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 ANY& greekstr ) THROWDEF_RTE_IAE { 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_IAE; } double fRet=bs::touch(spot,vol,r,rf,T,barrier_low,barrier_up, fd,kio,bcont,greek); RETURN_FINITE( fRet ); } // OPT_PRB_HIT(...) double SAL_CALL ScaPricingAddIn::getOptProbHit( double spot, double vol, double mu, double T, double barrier_low, double barrier_up ) THROWDEF_RTE_IAE { // read and check input values if( spot<=0.0 || vol<=0.0 || T<0.0 ) { THROW_IAE; } double fRet=bs::prob_hit(spot,vol,mu,T,barrier_low,barrier_up); RETURN_FINITE( fRet ); } // OPT_PROB_INMONEY(...) double SAL_CALL ScaPricingAddIn::getOptProbInMoney( double spot, double vol, double mu, double T, double barrier_low, double barrier_up, const ANY& strikeval, const ANY& put_call ) THROWDEF_RTE_IAE { bs::types::PutCall pc=bs::types::Call; double K; // 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_IAE; } double fRet=bs::prob_in_money(spot,vol,mu,T,K,barrier_low,barrier_up,pc); RETURN_FINITE( fRet ); } //------------------------------------------------------------------ /* vim:set shiftwidth=4 softtabstop=4 expandtab: */