typename ScalarTraits<BasisFunctionType>::RealType L2NormOfDifference(
const GridFunction<BasisFunctionType, ResultType> &gridFunction,
const Fiber::Function<ResultType> &refFunction,
const Fiber::QuadratureStrategy<BasisFunctionType, ResultType,
GeometryFactory> &quadStrategy,
const EvaluationOptions &options) {
// First, construct the evaluator.
typedef Fiber::EvaluatorForIntegralOperators<ResultType> Evaluator;
std::unique_ptr<Evaluator> evaluator =
makeEvaluator(gridFunction, refFunction, quadStrategy, options);
typedef typename Fiber::ScalarTraits<BasisFunctionType>::RealType
MagnitudeType;
typedef MagnitudeType CoordinateType;
arma::Mat<CoordinateType> evaluationPoints(1, 1);
evaluationPoints(0, 0) = 0.;
arma::Mat<ResultType> resultMatrix;
evaluator->evaluate(Evaluator::FAR_FIELD, evaluationPoints, resultMatrix);
ResultType result = resultMatrix(0, 0);
if (fabs(imagPart(result)) >
1000. * std::numeric_limits<MagnitudeType>::epsilon())
std::cout << "Warning: squared L2 norm has non-negligible imaginary part: "
<< imagPart(result) << std::endl;
return sqrt(realPart(result));
}
CellMatrix // returns delta, gamma, vega, rho, theta
BSGreeks(const MyMatrix& parametersMatrix) {
if (parametersMatrix.columns() != 6 && parametersMatrix.rows() != 1 ) {
throw("Input matrix should be 1 x 5");}
double Spot = parametersMatrix(0,0);
double Strike = parametersMatrix(0,1);
double r = parametersMatrix(0,2);
double d = parametersMatrix(0,3);
double vol = parametersMatrix(0,4);
double expiry = parametersMatrix(0,5);
CellMatrix resultMatrix(1,5);
resultMatrix(0,0) = BlackScholesDelta(Spot,Strike,r,d,vol,expiry);
resultMatrix(0,1) = BlackScholesGamma(Spot,Strike,r,d,vol,expiry);
resultMatrix(0,2) = BlackScholesVega(Spot,Strike,r,d,vol,expiry);
resultMatrix(0,3) = BlackScholesRho(Spot,Strike,r,d,vol,expiry);
resultMatrix(0,4) = BlackScholesTheta(Spot,Strike,r,d,vol,expiry);
return resultMatrix;
}
CellMatrix //
BSGreeksFD(const MyMatrix& parametersMatrix,double epsilon) {
if (parametersMatrix.columns() != 6 && parametersMatrix.rows() != 1 ) {
throw("Input matrix should be 1 x 5");}
double Spot = parametersMatrix(0,0);
double Strike = parametersMatrix(0,1);
double r = parametersMatrix(0,2);
double d = parametersMatrix(0,3);
double vol = parametersMatrix(0,4);
double expiry = parametersMatrix(0,5);
CellMatrix resultMatrix(1,5);
resultMatrix(0,0) = BlackScholesDeltaFD(Spot,Strike,r,d,vol,expiry,epsilon);
resultMatrix(0,1) = BlackScholesGammaFD(Spot,Strike,r,d,vol,expiry,epsilon);
resultMatrix(0,2) = BlackScholesVegaFD(Spot,Strike,r,d,vol,expiry,epsilon);
resultMatrix(0,3) = BlackScholesRhoFD(Spot,Strike,r,d,vol,expiry,epsilon);
resultMatrix(0,4) = BlackScholesThetaFD(Spot,Strike,r,d,vol,expiry,epsilon);
return resultMatrix;
}
RcppExport SEXP RXMLAExecute(SEXP handle, SEXP query, SEXP rPropertiesString)
{
XmlaWebServiceSoapProxy service = XmlaWebServiceSoapProxy(SOAP_XML_DEFAULTNS, SOAP_XML_DEFAULTNS);
Rcpp::XPtr<XMLAHandle> ptr(handle);
const char *connectionString = ptr->connectionString;
std::string propertiesString = CHAR(STRING_ELT(rPropertiesString,0));
ns1__Session session;
std::string sessionId = ptr->sessionID;
session.SessionId = &sessionId;
service.soap_header(NULL, NULL, &session, NULL);
_ns1__Execute execute;
ns1__CommandStatement command;
ns1__Properties properties;
ns1__PropertyList propertyList;
_ns1__ExecuteResponse response;
std::string statement = CHAR(STRING_ELT(query,0));
command.Statement = &statement;
execute.Command = &command;
execute.Properties = &properties;
properties.PropertyList = &propertyList;
if (!propertiesString.empty()) {
parseKeyValuePairs(&propertiesString, propertyList.__any);
}
service.userid = ptr->userName;
service.passwd = ptr->password;
if (service.Execute(connectionString, NULL, &execute, &response) == SOAP_OK) {
// Parse MDDataSet
if (response.return_->ns4__root != NULL && response.return_->ns4__root->__union_ResultXmlRoot != NULL && response.return_->ns4__root->__union_ResultXmlRoot->Axes != NULL) {
if (response.return_->ns4__root->__union_ResultXmlRoot->Axes->Axis.size() < 3) {
std::cerr << "Error: No data on Axis1" << std::endl;
return Rcpp::wrap(false);
}
if (response.return_->ns4__root->__union_ResultXmlRoot->Axes->Axis.size() > 3) {
std::cerr << "Error: More than 2 axes not supported" << std::endl;
return Rcpp::wrap(false);
}
ns4__Axes *axes = response.return_->ns4__root->__union_ResultXmlRoot->Axes;
std::vector<ns4__Cell *> cellDataVector = response.return_->ns4__root->__union_ResultXmlRoot->CellData->Cell;
int numCols = response.return_->ns4__root->__union_ResultXmlRoot->Axes->Axis[0]->__union_Axis->Tuples->Tuple.size();
int numRows = response.return_->ns4__root->__union_ResultXmlRoot->Axes->Axis[1]->__union_Axis->Tuples->Tuple.size();
int cellDataVectorMember = 0;
Rcpp::CharacterVector colNames;
Rcpp::CharacterVector rowNames;
Rcpp::NumericMatrix resultMatrix(numRows, numCols);
for (int row = 0; row < numRows; row++) {
for (int col = 0; col < numCols; col++) {
if (cellDataVector[cellDataVectorMember]->CellOrdinal == ((row * numCols) + col)) {
resultMatrix(row, col) = *cellDataVector[cellDataVectorMember]->Value;
if (cellDataVectorMember < cellDataVector.size() - 1) {
cellDataVectorMember += 1;
}
}
else {
resultMatrix(row, col) = NA_REAL;
}
}
mdDataSetGetNames(rowNames, axes, row, true);
}
for (int col = 0; col < numCols; col++) {
mdDataSetGetNames(colNames, axes, col, false);
}
colNames.push_front("Row Names");
Rcpp::DataFrame resultDataFrame(resultMatrix);
resultDataFrame.push_front(rowNames);
resultDataFrame.attr("names") = colNames;
service.destroy();
return resultDataFrame;
}
// Parse RowSet
else if (response.return_->ns2__root != NULL
&& response.return_->ns2__root->xsd__schema != NULL
&& response.return_->ns2__root->__union_ResultXmlRoot != NULL
&& !response.return_->ns2__root->__union_ResultXmlRoot->row.empty()) {
std::string rawXML = "<root xmlns=\"urn:schemas-microsoft-com:xml-analysis:rowset\" xmlns:xsi=\"http://www.w3.org/2001/XMLSchema-instance\" xmlns:xsd=\"http://www.w3.org/2001/XMLSchema\"><xsd:schema targetNamespace=\"urn:schemas-microsoft-com:xml-analysis:rowset\" xmlns:sql=\"urn:schemas-microsoft-com:xml-sql\" elementFormDefault=\"qualified\">";
rawXML = rawXML + response.return_->ns2__root->xsd__schema + "</xsd:schema></root>";
char *schema = strdup(rawXML.c_str());
rapidxml::xml_document<> doc;
doc.parse<0>(schema);
// Find XML section containing column names
rapidxml::xml_node<char> *rowNode = doc.first_node()->first_node()->first_node("xsd:complexType");
while(rowNode != NULL && strcmp(rowNode->first_attribute("name")->value(), "row") != 0) {
rowNode = rowNode->next_sibling("xsd:complexType");
}
rapidxml::xml_node<char> *schemaElementNode = rowNode->first_node()->first_node();
std::vector<char *> rows = response.return_->ns2__root->__union_ResultXmlRoot->row;
Rcpp::DataFrame resultDataFrame;
Rcpp::CharacterVector colNames;
char *colName;
while(schemaElementNode != NULL) {
colName = schemaElementNode->first_attribute("name")->value();
colNames.push_back(colName);
if (schemaElementNode->first_attribute("type") != 0) {
rowSetParseData(rows, &resultDataFrame, colName, true);
}
else {
rowSetParseData(rows, &resultDataFrame, colName, false);
}
schemaElementNode = schemaElementNode->next_sibling();
}
resultDataFrame.attr("names") = colNames;
service.destroy();
return resultDataFrame;
}
service.destroy();
return Rcpp::wrap(true);
}
else {
char * errorMessage = service.fault->detail->__any;
std::cerr << errorMessage << std::endl;
}
service.destroy();
return Rcpp::wrap(false);
}
