quantlib.js aims to be a COMPLETE re-implementation of C++ QuantLib in javascript language, emscripten is NOT used. it can be used in web browser or node.js environment.
Old home page and
get startedsection moved to https://quantlib.js.org/test-suite/
We build a notebook app for easy use of quantlib.js, it's hosted on Github pages, after loading, it works offline.
https://quantlib.js.org/notebook/
Tutorial: https://quantlib.js.org/notebook/#tutorial.json
x.y.z : https://cdn.jsdelivr.net/npm/@quantlib/ql@x.y.z/ql.mjs
or https://unpkg.com/@quantlib/ql@x.y.z/ql.mjsnpm i @quantlib/qlql.mjs is ESM format, when using in html script tag, make sure to have script type set to "module"
<script type="module">
import { Actual360, AnalyticEuropeanEngine, BlackConstantVol, BlackScholesProcess, DateExt, EuropeanExercise, EuropeanOption, FlatForward, Handle, Option, PlainVanillaPayoff, Settings, SimpleQuote, TARGET } from 'https://cdn.jsdelivr.net/npm/@quantlib/ql@latest/ql.mjs';
const today = DateExt.UTC('7,March,2014');
Settings.evaluationDate.set(today);
const payoff = new PlainVanillaPayoff(Option.Type.Call, 100.0);
const exercise = new EuropeanExercise(DateExt.UTC('7,June,2014'));
const option = new EuropeanOption(payoff, exercise);
const u = new SimpleQuote(100.0);
const r = new SimpleQuote(0.01);
const s = new SimpleQuote(0.2);
const riskFreeCurve = new FlatForward().ffInit3(0, new TARGET(), new Handle(r), new Actual360());
const volatility = new BlackConstantVol().bcvInit4(0, new TARGET(), new Handle(s), new Actual360());
const process = new BlackScholesProcess(new Handle(u), new Handle(riskFreeCurve), new Handle(volatility));
const engine = new AnalyticEuropeanEngine().init1(process);
option.setPricingEngine(engine);
const npv = option.NPV();
console.log(`NPV = ${npv}`); // 4.155543462156206
</script>UMD format/style javascript?You may use javascript dynamic import
<script>
import('https://cdn.jsdelivr.net/npm/@quantlib/ql@latest/ql.mjs').then(module=>{
window.ql = module;
test();
});
function test() {
const today = ql.DateExt.UTC('7,March,2014');
ql.Settings.evaluationDate.set(today);
const payoff = new ql.PlainVanillaPayoff(ql.Option.Type.Call, 100.0);
const exercise = new ql.EuropeanExercise(ql.DateExt.UTC('7,June,2014'));
const option = new ql.EuropeanOption(payoff, exercise);
const u = new ql.SimpleQuote(100.0);
const r = new ql.SimpleQuote(0.01);
const s = new ql.SimpleQuote(0.2);
const riskFreeCurve = new ql.FlatForward().ffInit3(0, new ql.TARGET(), new ql.Handle(r), new ql.Actual360());
const volatility = new ql.BlackConstantVol().bcvInit4(0, new ql.TARGET(), new ql.Handle(s), new ql.Actual360());
const process = new ql.BlackScholesProcess(new ql.Handle(u), new ql.Handle(riskFreeCurve), new ql.Handle(volatility));
const engine = new ql.AnalyticEuropeanEngine().init1(process);
option.setPricingEngine(engine);
const npv = option.NPV();
console.log(`NPV = ${npv}`); // 4.155543462156206
}
</script>quantlib.js works in node.js environment. after installing with npm, pass --experimental-modules to node to use ESM javascript file
node --experimental-modules test.mjsin test.mjs
import { Actual360, AnalyticEuropeanEngine, BlackConstantVol, BlackScholesProcess, DateExt, EuropeanExercise, EuropeanOption, FlatForward, Handle, Option, PlainVanillaPayoff, Settings, SimpleQuote, TARGET } from '@quantlib/ql';
const today = DateExt.UTC('7,March,2014');
Settings.evaluationDate.set(today);
const payoff = new PlainVanillaPayoff(Option.Type.Call, 100.0);
const exercise = new EuropeanExercise(DateExt.UTC('7,June,2014'));
const option = new EuropeanOption(payoff, exercise);
const u = new SimpleQuote(100.0);
const r = new SimpleQuote(0.01);
const s = new SimpleQuote(0.2);
const riskFreeCurve = new FlatForward().ffInit3(0, new TARGET(), new Handle(r), new Actual360());
const volatility = new BlackConstantVol().bcvInit4(0, new TARGET(), new Handle(s), new Actual360());
const process = new BlackScholesProcess(new Handle(u), new Handle(riskFreeCurve), new Handle(volatility));
const engine = new AnalyticEuropeanEngine().init1(process);
option.setPricingEngine(engine);
const npv = option.NPV();
console.log(`NPV = ${npv}`); // 4.155543462156206ql.d.ts is published along with ql.mjs
write code in typescript, then compile with tsc or run with ts-node
in test.ts
import {Actual360, AnalyticEuropeanEngine, BlackConstantVol, BlackScholesProcess, BlackVolTermStructure, DateExt, EuropeanExercise, EuropeanOption, Exercise, FlatForward, GeneralizedBlackScholesProcess, Handle, Option, PlainVanillaPayoff, PricingEngine, Quote, Real, Settings, SimpleQuote, StrikedTypePayoff, TARGET, YieldTermStructure} from '@quantlib/ql';
const today: Date = DateExt.UTC('7,March,2014');
Settings.evaluationDate.set(today);
const payoff: StrikedTypePayoff =
new PlainVanillaPayoff(Option.Type.Call, 100.0);
const exercise: Exercise = new EuropeanExercise(DateExt.UTC('7,June,2014'));
const option: EuropeanOption = new EuropeanOption(payoff, exercise);
const u: Quote = new SimpleQuote(100.0);
const r: Quote = new SimpleQuote(0.01);
const s: Quote = new SimpleQuote(0.2);
const riskFreeCurve: YieldTermStructure =
new FlatForward().ffInit3(0, new TARGET(), new Handle(r), new Actual360());
const volatility: BlackVolTermStructure = new BlackConstantVol().bcvInit4(
0, new TARGET(), new Handle(s), new Actual360());
const process: GeneralizedBlackScholesProcess = new BlackScholesProcess(
new Handle(u), new Handle(riskFreeCurve), new Handle(volatility));
const engine: PricingEngine = new AnalyticEuropeanEngine().init1(process);
option.setPricingEngine(engine);
const npv: Real = option.NPV();
console.log(`NPV = ${npv}`); // 4.155543462156206| version | notes |
|---|---|
| 0.3.6 | TBD |
| 0.3.5 | minor fix for notebook |
| 0.3.4 | no fix, renamed many symbol names for notebook app |
| 0.3.3 | fixed most asianoption specs |
| 0.3.2 | fixed swaption, most of short-rate models specs and some other pricing specs, and part of bermudanswaption example |
| 0.3.1 | examples code cleanup, fixed 4 examples, global optimizers example DE tests passed |
| 0.3.0 | fixed 40+ pricing specs, started working on model tests |
| 0.2.7 | fixed default probability curves specs |
| 0.2.6 | fixed most european option test, tree engine cleanup |
| 0.2.5 | fixed piecewise zero spreaded term structure, brownian bridge, 4 american options specs, FD engine cleanup |
| 0.2.4 | fixed risk statistics, brownian bridge some piecewise yield curve specs |
| 0.2.3 | fixed termstructure spec, experimental Gaussian quadratures specs |
| 0.2.2 | termstructure constructor cleanup, fixed a few simple ts specs |
| 0.2.1 | add halley, halleysafe, inverseIncompleteGammaFunction from QuantLib-noBoost, fixed blackdeltacalculator |
| 0.2.0 | started working on instrument pricing specs, fixed some old test that passed before |
| 0.1.x | most math specs passed |
| 0.0.x | date&time, patterns, currency, misc specs passed |
source code in ESM javascript:
converted from the c++ quantlib test-suite & Examples
these are the code loaded and executed in https://quantlib.js.org/test-suite/
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limitations under the License.v0.3.3 specs + examples status report total: 735, passed: 452, failed: 176, pending: 107
LazyObject tests
Observer tests
Black delta calculator tests
Exchange-rate tests
Money tests
Rounding tests
Business day convention tests
Calendar tests
Date tests
Day counter tests
Period tests
Schedule tests
Timegrid tests
Time series tests
Gaussian quadraturesGaussian quadratures tests
Gaussian quadratures experimental tests
Integration tests
Numerical differentiation tests
ODE tests
1-D solver tests
Array tests
Covariance and correlation tests
Matrix tests
TQR eigen decomposition tests
Auto-covariance tests
Distribution tests
Linear least squares regression tests
Optimizers tests
Risk statistics tests
Statistics tests
Low-discrepancy sequence tests
RNG traits tests
Mersenne twister tests
Fast fourier transform tests
Factorial tests
Interpolation tests
Sampled curve tests
Transformed grid
Cash flows tests
Capped and floored coupon tests
Digital coupon tests
YoY inflation capped and floored coupon tests
Interest Rate tests
Range Accrual tests
Hybrid Heston-HullWhite tests
Brownian bridge tests
Path generation tests
Longstaff Schwartz MC engine tests
Curve States tests
Finite Difference Heston tests
Linear operator tests
Operator tests
European option extended trees tests
Black formula tests
Amortizing Bond tests
Bond tests
CatBond tests
Convertible bond tests
Cap and floor tests
Inflation (year-on-year) Cap and floor tests
CPI swaption tests
Forward rate agreement
Instrument tests
American option tests
Asian option tests
Asian option experimental tests
Barrier option tests
Barrier option experimental tests
Basket option tests
Cliquet option tests
Dividend European option tests
European option tests
European option experimental tests
Forward option tests
Quanto option tests
Experimental quanto option tests
Quote tests
AssetSwap tests
Cms tests
Cms spread tests
Overnight-indexed swap tests
Swap tests
swap-forward mappings tests
Bermudan swaption tests
Swaption tests
Swaption Volatility Cube tests
Swaption Volatility Matrix tests
Bates model tests
GARCH model tests
GJR-GARCH model tests
GSR model tests
Heston model tests
Heston model experimental tests
Heston Stochastic Local Volatility tests
Jump-diffusion tests
Markov functional model tests
Normal CLV Model tests
Short-rate model tests
SquareRootCLVModel tests
Market-model tests
CMS Market-model tests
SMM Market-model tests
SMM Caplet alpha calibration test
SMM Caplet calibration test
SMM Caplet homogeneous calibration test
volatility models tests
Default-probability curve tests
Inflation tests
CPI bond tests
CPI Swap tests
Term structure tests
Andreasen-Huge volatility interpolation tests
YoY OptionletStripper (yoy inflation vol) tests
Optionlet Stripper Tests
Piecewise yield curve tests
Interpolated piecewise zero spreaded yield curve tests
CDO tests
CDS Option tests
Credit-default swap tests
Nth-to-default tests
NthOrderDerivativeOp tests
Commodity Unit Of Measure tests
Binary Option tests
Chooser option tests
Compound option tests
DoubleBarrier tests
DoubleBarrier experimental tests
DoubleBinary tests
Digital option tests
Extensible option tests
Everest-option tests
Himalaya-option tests
Lookback option tests
Exchange option tests
Pagoda-option tests
Partial-time barrier option tests
Spread option tests
Swing-Option Test
Two-asset barrier option tests
Two-asset correlation option tests
Credit risk plus tests
Risk neutral density calculator tests
Variance Gamma tests
Variance option tests
Variance swap tests
VPP Test
Zabr model tests
NoArbSabrModel tests
Libor market model tests
Libor market model process tests
Examples: