kelvinni/quant-js

Easy to use quantitative finance workbench for JavaScript, combining Google V8 and QuantLib

About Quant-JS

What is Quant-JS

Quant-JS is an easy to use quantitative finance workbench for JavaScript, combining Google V8 and QuantLib.

Will price options (European, Bermudan and American) using the following methods, where they apply:

• Black-Scholes
• Heston semi-analytic
• Bates semi-analytic
• Barone-Adesi/Whaley
• Bjerksund/Stensland
• Integral
• Finite differences
• Binomial Jarrow-Rudd
• Binomial Cox-Ross-Rubinstein
• Additive equiprobabilities
• Binomial Trigeorgis
• Binomial Tian
• Binomial Leisen-Reimer
• Binomial Joshi
• MC (crude)
• QMC (Sobol)
• MC (Longstaff Schwartz)

Getting started

You need the following to be able to compile quant-js (yum package names):

• QuantLib (QuantLib-devel)
• Boost libraries (boost-devel)
• Google V8 (v8-devel)
• Optional: rlwrap (wrapper for readline)

Build binary:

$ make

Run quantjs:

$ rlwrap -p'1;33' -m ./quantjs --infiles quantjs.js

Example features:

qjs> var pricingEngine = new PricingEngine(0) // BS
qjs> var europeanOption = new EuropeanOption()
qjs> europeanOption.setParams(new OptionParams('PUT', 36, 40, 0.5, 0.00, 0.06, 0.20))
qjs> var t = pricingEngine.calculateNPV(europeanOption)
qjs> t
	3.8094

qjs> var m1 = ident(5)
qjs> m1
	[0]	1 0 0 0 0 
	[1]	0 1 0 0 0 
	[2]	0 0 1 0 0 
	[3]	0 0 0 1 0 
	[4]	0 0 0 0 1 
qjs> numeric.det(m1)
	1.0000
	
qjs> var v = _.range(10).map(function(n) { return n; });
qjs> v
	[0]	0
	[1]	1
	[2]	2
	[3]	3
	[4]	4
	[5]	5
	[6]	6
	[7]	7
	[8]	8
	[9]	9

The file quantjs.js is a JavaScript library to hide some implementation details and open for use of other JavaScript libraries as well.

Here's a fully-functional example of how to valuate three different put options using Quant-JS:

// Calculation date is today's date
var pricingEngine = new PricingEngine(2); // Binomial Trigeorgis

// Params: optionType, underlyingPrice, strikePrice, timeToMaturity, dividendYield, riskFreeRate, volatility

var europeanOption = new EuropeanOption();
europeanOption.setParams(new OptionParams('PUT', 36, 40, 0.5, 0.00, 0.06, 0.20));
pricingEngine.calculateNPV(europeanOption); // 3.843556981971868

var americanOption = new AmericanOption();
americanOption.setParams(new OptionParams('PUT', 36, 40, 0.5, 0.00, 0.06, 0.20));
pricingEngine.calculateNPV(americanOption); // 4.486461065154719

var bermudanOption = new BermudanOption();
bermudanOption.setParams(new OptionParams('PUT', 36, 40, 0.5, 0.00, 0.06, 0.20));
pricingEngine.calculateNPV(bermudanOption); // 4.360909275428335

Project status

The project is still in early Alpha stage, so there is a lot of missing functionality.

License and copyright

Quant-JS is copyrighted free software made available under the terms of either the GNU General Public Licence (GPL).

Copyright: (C) 2012-13 by Johan Astborg. All Rights Reserved.