@kaishen/quantlib

!actions

Install this package

``
npm install @kaishen/quantlib --save
`

Support matrix

| | node10 | node12 | node14 | node15 |
| --------------- | ------ | ------ | ------ | ------ |
| Windows x64 | ✓ | ✓ | ✓ | ✓ |
| Windows x32 | ✓ | ✓ | ✓ | ✓ |
| macOS x64 | ✓ | ✓ | ✓ | ✓ |
| macOS arm64 | ✓ | ✓ | ✓ | ✓ |
| Linux x64 gnu | ✓ | ✓ | ✓ | ✓ |
| Linux x64 musl | ✓ | ✓ | ✓ | ✓ |
| Android arm64 | ✓ | ✓ | ✓ | ✓ |

Performance

`bash
派息日历 @ 债券 x 174,647 ops/sec ±5.55% (92 runs sampled)
应计利息 @ 债券 x 1,854,755 ops/sec ±0.93% (95 runs sampled)
Fastest is 应计利息 @ 债券
`

Develop requirements

- Install latest Rust
- Install NodeJS@10+ which supports N-API

Test in local

- npm install
- npm run build
- npm run test

And you will see:

`bash
$ ava --tap | tap-nyan

138 -_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-__,------,
0 -_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-__| /\_/\
0 -_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_~|_( ^ .^)
-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_ "" ""
Pass!
`

Usage

$3


`typescript
import {Bond, DayCountDes} from '@kaishen/quantlib';

const bond = new Bond(
'2013-05-09',
'2013-05-09',
'2013-11-09',
'2043-05-09',
2,
DayCountDes.ISMAThirty360,
4.25,
);

const calendars = bond.calendars();
console.log(calendars: ${calendars});
`

`bash
$ console
calendars: ["2013-05-09","2013-11-09","2014-05-09","2014-11-09","2015-05-09","2015-11-09","2016-05-09","2016-11-09","2017-05-09","2017-11-09","2018-05-09","2018-11-09","2019-05-09","2019-11-09","2020-05-09","2020-11-09","2021-05-09","2021-11-09","2022-05-09","2022-11-09","2023-05-09","2023-11-09","2024-05-09","2024-11-09","2025-05-09","2025-11-09","2026-05-09","2026-11-09","2027-05-09","2027-11-09","2028-05-09","2028-11-09","2029-05-09","2029-11-09","2030-05-09","2030-11-09","2031-05-09","2031-11-09","2032-05-09","2032-11-09","2033-05-09","2033-11-09","2034-05-09","2034-11-09","2035-05-09","2035-11-09","2036-05-09","2036-11-09","2037-05-09","2037-11-09","2038-05-09","2038-11-09","2039-05-09","2039-11-09","2040-05-09","2040-11-09","2041-05-09","2041-11-09","2042-05-09","2042-11-09","2043-05-09"]
`

$3


`typescript
import {Bond, DayCountDes} from '@kaishen/quantlib';

const bond = new Bond(
'2013-05-09',
'2013-05-09',
'2013-11-09',
'2043-05-09',
2,
DayCountDes.ISMAThirty360,
4.25,
);

const accrued = bond.accrued('2021-05-07', 1000000);
console.log(accrued: ${accrued});
`

`bash
$ console
accrued: 21013.888888888887
`

$3


`typescript
import {Bond, Trade, AssetType, DayCountDes, ActionType} from '@kaishen/quantlib';

const trades = new Trades('Bond', AssetType.Bond);
trades.add({
action: ActionType.Buy,
quantity: 1000000,
price: 101,
trade_date: '2020-01-02',
settle_date: '2020-01-03',
});

const bond = new Bond(
'2013-05-09',
'2013-05-09',
'2013-11-09',
'2043-05-09',
2,
DayCountDes.ISMAThirty360,
4.25,
);

const gav = bond.gav('2021-05-07', 110, trades);
console.log(gav: ${gav});
`

`bash
$ console
gav: 1121131.9444444445
``