office-gobmx/scaddins/source/pricing/pricing.cxx
Noel Grandin f469309e26 clang-tidy modernize-loop-convert scaddins to sdext
Change-Id: I63ccc56df1a1de8bc443abb95e520246c457912f
Reviewed-on: https://gerrit.libreoffice.org/24798
Reviewed-by: Noel Grandin <noelgrandin@gmail.com>
Tested-by: Noel Grandin <noelgrandin@gmail.com>
2016-05-10 06:29:32 +00:00

619 lines
20 KiB
C++

/* -*- 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 <cppuhelper/factory.hxx>
#include <cppuhelper/supportsservice.hxx>
#include <iostream>
#include <algorithm>
#include <osl/diagnose.h>
#include <rtl/math.hxx>
#include <rtl/ustrbuf.hxx>
#include <tools/rcid.h>
#include <tools/resmgr.hxx>
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 )
ScaResId::ScaResId( sal_uInt16 nId, ResMgr& rResMgr ) :
ResId( nId, rResMgr )
{
}
#define UNIQUE false // function name does not exist in Calc
#define STDPAR false // all parameters are described
#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_uInt32 nIndex = 0; nIndex < rArr.Count(); nIndex++ )
aCompList.push_back( rArr.GetString( nIndex ) );
}
ScaFuncData::~ScaFuncData()
{
}
sal_uInt16 ScaFuncData::GetStrIndex( sal_uInt16 nParam ) const
{
if( !bWithOpt )
nParam++;
return (nParam > nParamCount) ? (nParamCount * 2) : (nParam * 2);
}
void sca::pricing::InitScaFuncDataList( ScaFuncDataList& rList, ResMgr& rResMgr )
{
for(const auto & nIndex : pFuncDataArr)
rList.push_back( ScaFuncData( nIndex, rResMgr ) ) ;
}
ScaFuncRes::ScaFuncRes( ResId& rResId, ResMgr& rResMgr, sal_uInt16 nIndex, OUString& rRet ) :
Resource( rResId )
{
rRet = ScaResId(nIndex, rResMgr).toString();
FreeResource();
}
// entry points for service registration / instantiation
uno::Reference< uno::XInterface > SAL_CALL ScaPricingAddIn_CreateInstance(
const uno::Reference< lang::XMultiServiceFactory >& )
{
return static_cast<cppu::OWeakObject*>(new ScaPricingAddIn());
}
extern "C" {
SAL_DLLPUBLIC_EXPORT void * SAL_CALL pricing_component_getFactory(
const sal_Char * pImplName, void * pServiceManager, void * /*pRegistryKey*/ )
{
void* pRet = nullptr;
if ( pServiceManager &&
OUString::createFromAscii( pImplName ) == ScaPricingAddIn::getImplementationName_Static() )
{
uno::Reference< lang::XSingleServiceFactory > xFactory( cppu::createOneInstanceFactory(
static_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( nullptr ),
pResMgr( nullptr ),
pFuncDataList( nullptr )
{
}
ScaPricingAddIn::~ScaPricingAddIn()
{
delete pFuncDataList;
delete pResMgr;
delete[] pDefLocales;
}
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, std::exception )
{
if( !pResMgr )
{
InitData(); // try to get resource manager
if( !pResMgr )
throw uno::RuntimeException();
}
return *pResMgr;
}
void ScaPricingAddIn::InitData()
{
delete pResMgr;
pResMgr = ResMgr::CreateResMgr("pricing", LanguageTag( aFuncLoc) );
delete pFuncDataList;
if(pResMgr)
{
pFuncDataList = new ScaFuncDataList;
InitScaFuncDataList( *pFuncDataList, *pResMgr );
}
else
{
pFuncDataList = nullptr;
}
if( pDefLocales )
{
delete pDefLocales;
pDefLocales = nullptr;
}
}
OUString ScaPricingAddIn::GetDisplFuncStr( sal_uInt16 nResId ) throw( uno::RuntimeException, std::exception )
{
return ScaResStringLoader( RID_PRICING_FUNCTION_NAMES, nResId, GetResMgr() ).GetString();
}
OUString ScaPricingAddIn::GetFuncDescrStr( sal_uInt16 nResId, sal_uInt16 nStrIndex ) throw( uno::RuntimeException, std::exception )
{
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( MY_IMPLNAME );
}
uno::Sequence< OUString > ScaPricingAddIn::getSupportedServiceNames_Static()
{
uno::Sequence< OUString > aRet( 2 );
OUString* pArray = aRet.getArray();
pArray[0] = ADDIN_SERVICE;
pArray[1] = MY_SERVICE;
return aRet;
}
// XServiceName
OUString SAL_CALL ScaPricingAddIn::getServiceName() throw( uno::RuntimeException, std::exception )
{
// name of specific AddIn service
return OUString( MY_SERVICE );
}
// XServiceInfo
OUString SAL_CALL ScaPricingAddIn::getImplementationName() throw( uno::RuntimeException, std::exception )
{
return getImplementationName_Static();
}
sal_Bool SAL_CALL ScaPricingAddIn::supportsService( const OUString& aServiceName ) throw( uno::RuntimeException, std::exception )
{
return cppu::supportsService(this, aServiceName);
}
uno::Sequence< OUString > SAL_CALL ScaPricingAddIn::getSupportedServiceNames() throw( uno::RuntimeException, std::exception )
{
return getSupportedServiceNames_Static();
}
// XLocalizable
void SAL_CALL ScaPricingAddIn::setLocale( const lang::Locale& eLocale ) throw( uno::RuntimeException, std::exception )
{
aFuncLoc = eLocale;
InitData(); // change of locale invalidates resources!
}
lang::Locale SAL_CALL ScaPricingAddIn::getLocale() throw( uno::RuntimeException, std::exception )
{
return aFuncLoc;
}
// function descriptions start here
// XAddIn
OUString SAL_CALL ScaPricingAddIn::getProgrammaticFuntionName( const OUString& ) throw( uno::RuntimeException, std::exception )
{
// 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, std::exception )
{
OUString aRet;
auto fDataIt = std::find_if(pFuncDataList->begin(), pFuncDataList->end(),
FindScaFuncData( aProgrammaticName ) );
if(fDataIt != pFuncDataList->end() )
{
aRet = GetDisplFuncStr( fDataIt->GetUINameID() );
if( fDataIt->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, std::exception )
{
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 ) throw( uno::RuntimeException, std::exception )
{
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 = STR_FROM_ANSI( "internal" );
}
return aRet;
}
OUString SAL_CALL ScaPricingAddIn::getArgumentDescription(
const OUString& aProgrammaticName, sal_Int32 nArgument ) throw( uno::RuntimeException, std::exception )
{
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 = STR_FROM_ANSI( "for internal use only" );
}
return aRet;
}
OUString SAL_CALL ScaPricingAddIn::getProgrammaticCategoryName(
const OUString& aProgrammaticName ) throw( uno::RuntimeException, std::exception )
{
OUString aRet;
auto fDataIt = std::find_if( pFuncDataList->begin(), pFuncDataList->end(),
FindScaFuncData( aProgrammaticName ) );
if( fDataIt != pFuncDataList->end() )
{
switch( fDataIt->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;
// coverity[dead_error_begin] - following conditions exist to avoid compiler warning
default:
break;
}
}
if( aRet.isEmpty() )
aRet = STR_FROM_ANSI( "Add-In" );
return aRet;
}
OUString SAL_CALL ScaPricingAddIn::getDisplayCategoryName(
const OUString& aProgrammaticName ) throw( uno::RuntimeException, std::exception )
{
return getProgrammaticCategoryName( aProgrammaticName );
}
// XCompatibilityNames
uno::Sequence< sheet::LocalizedName > SAL_CALL ScaPricingAddIn::getCompatibilityNames(
const OUString& aProgrammaticName ) throw( uno::RuntimeException, std::exception )
{
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, 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 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, 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 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 ) throw( uno::RuntimeException, lang::IllegalArgumentException, std::exception )
{
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);
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 uno::Any& greekstr ) throw( uno::RuntimeException, lang::IllegalArgumentException, std::exception )
{
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);
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 ) throw( uno::RuntimeException, lang::IllegalArgumentException, std::exception )
{
// 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);
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 uno::Any& strikeval, const uno::Any& put_call ) throw( uno::RuntimeException, lang::IllegalArgumentException, std::exception )
{
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 lang::IllegalArgumentException();
}
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: */