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C++ Mathematical Expression Library (ExprTk) http://www.partow.net/programming/exprtk/index.html

This commit is contained in:
Arash Partow 2014-06-09 17:36:58 +10:00
parent 751226b946
commit 0c8cd6eb80
4 changed files with 150 additions and 24 deletions
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6
Makefile
View File

@ -38,6 +38,7 @@ BUILD_LIST+=exprtk_simple_example_11
BUILD_LIST+=exprtk_simple_example_12
BUILD_LIST+=exprtk_simple_example_13
BUILD_LIST+=exprtk_simple_example_14
BUILD_LIST+=exprtk_simple_example_15
all: $(BUILD_LIST)
@ -89,6 +90,9 @@ exprtk_simple_example_13: exprtk_simple_example_13.cpp exprtk.hpp
exprtk_simple_example_14: exprtk_simple_example_14.cpp exprtk.hpp
$(COMPILER) $(OPTIONS) exprtk_simple_example_14 exprtk_simple_example_14.cpp $(LINKER_OPT)
exprtk_simple_example_15: exprtk_simple_example_15.cpp exprtk.hpp
$(COMPILER) $(OPTIONS) exprtk_simple_example_15 exprtk_simple_example_15.cpp $(LINKER_OPT)
pgo: exprtk_test.cpp exprtk_benchmark.cpp exprtk.hpp
$(COMPILER) $(BASE_OPTIONS) -O3 -march=native -fprofile-generate -o exprtk_benchmark exprtk_benchmark.cpp $(LINKER_OPT)
./exprtk_benchmark
@ -111,6 +115,7 @@ strip_bin:
strip -s exprtk_simple_example_12
strip -s exprtk_simple_example_13
strip -s exprtk_simple_example_14
strip -s exprtk_simple_example_15
valgrind_check:
valgrind --leak-check=full --show-reachable=yes --track-origins=yes --log-file=exprtk_test_valgrind.log -v ./exprtk_test
@ -129,6 +134,7 @@ valgrind_check:
valgrind --leak-check=full --show-reachable=yes --track-origins=yes --log-file=exprtk_simple_example_12_valgrind.log -v ./exprtk_simple_example_12
valgrind --leak-check=full --show-reachable=yes --track-origins=yes --log-file=exprtk_simple_example_13_valgrind.log -v ./exprtk_simple_example_13
valgrind --leak-check=full --show-reachable=yes --track-origins=yes --log-file=exprtk_simple_example_14_valgrind.log -v ./exprtk_simple_example_14
valgrind --leak-check=full --show-reachable=yes --track-origins=yes --log-file=exprtk_simple_example_15_valgrind.log -v ./exprtk_simple_example_15
clean:
rm -f core.* *~ *.o *.bak *stackdump gmon.out *.gcda *.gcno *.gcnor *.gch

69
exprtk.hpp
View File

@ -286,10 +286,10 @@ namespace exprtk
"deg2grad", "deg2rad", "equal", "erf", "erfc", "exp", "expm1", "false", "floor",
"for", "frac", "grad2deg", "hypot", "iclamp", "if", "else", "ilike", "in", "inrange",
"like", "log", "log10", "log2", "logn", "log1p", "mand", "max", "min", "mod", "mor",
"mul", "nand", "nor", "not", "not_equal", "null", "or", "pow", "rad2deg", "repeat",
"root", "round", "roundn", "sec", "sgn", "shl", "shr", "sin", "sinc", "sinh", "sqrt",
"sum", "swap", "switch", "tan", "tanh", "true", "trunc", "until", "var", "while",
"xnor", "xor", "&", "|"
"mul", "ncdf", "nand", "nor", "not", "not_equal", "null", "or", "pow", "rad2deg",
"repeat", "root", "round", "roundn", "sec", "sgn", "shl", "shr", "sin", "sinc",
"sinh", "sqrt", "sum", "swap", "switch", "tan", "tanh", "true", "trunc", "until",
"var", "while", "xnor", "xor", "&", "|"
};
static const std::size_t reserved_symbols_size = sizeof(reserved_symbols) / sizeof(std::string);
@ -428,6 +428,7 @@ namespace exprtk
static const double _2_pi = 0.636619772367581343076;
static const double _180_pi = 57.295779513082320876798;
static const double log2 = 0.693147180559945309417;
static const double sqrt2 = 1.414213562373095048801;
}
namespace details
@ -852,6 +853,21 @@ namespace exprtk
return erfc_impl(static_cast<double>(v),real_type_tag());
}
template <typename T>
inline T ncdf_impl(T v, real_type_tag)
{
T cnd = T(0.5) * (T(1) + erf_impl(
abs_impl(v,real_type_tag()) /
numeric::constant::sqrt2,real_type_tag()));
return (v < 0) ? (T(1) - cnd) : cnd;
}
template <typename T>
inline T ncdf_impl(T v, int_type_tag)
{
return ncdf_impl(static_cast<double>(v),real_type_tag());
}
template <typename T>
inline T sinc_impl(T v, real_type_tag)
{
@ -864,7 +880,7 @@ namespace exprtk
template <typename T>
inline T sinc_impl(T v, int_type_tag)
{
return erfc_impl(static_cast<double>(v),real_type_tag());
return sinc_impl(static_cast<double>(v),real_type_tag());
}
template <typename T> inline T acos_impl(const T v, real_type_tag) { return std::acos (v); }
@ -1158,6 +1174,7 @@ namespace exprtk
exprtk_define_unary_function(sgn )
exprtk_define_unary_function(erf )
exprtk_define_unary_function(erfc )
exprtk_define_unary_function(ncdf )
exprtk_define_unary_function(frac )
exprtk_define_unary_function(trunc)
#undef exprtk_define_unary_function
@ -3217,10 +3234,10 @@ namespace exprtk
e_tanh , e_cot , e_clamp , e_iclamp ,
e_inrange , e_sgn , e_r2d , e_d2r ,
e_d2g , e_g2d , e_hypot , e_notl ,
e_erf , e_erfc , e_frac , e_trunc ,
e_assign , e_addass , e_subass , e_mulass ,
e_divass , e_modass , e_in , e_like ,
e_ilike , e_multi , e_swap ,
e_erf , e_erfc , e_ncdf , e_frac ,
e_trunc , e_assign , e_addass , e_subass ,
e_mulass , e_divass , e_modass , e_in ,
e_like , e_ilike , e_multi , e_swap ,
// Do not add new functions/operators after this point.
e_sf00 = 1000, e_sf01 = 1001, e_sf02 = 1002, e_sf03 = 1003,
@ -3320,6 +3337,7 @@ namespace exprtk
case e_sgn : return numeric::sgn (arg);
case e_erf : return numeric::erf (arg);
case e_erfc : return numeric::erfc (arg);
case e_ncdf : return numeric::ncdf (arg);
case e_frac : return numeric::frac (arg);
case e_trunc : return numeric::trunc(arg);
default : return std::numeric_limits<T>::quiet_NaN();
@ -3465,18 +3483,19 @@ namespace exprtk
e_sqrt , e_tan , e_tanh , e_cot ,
e_sec , e_csc , e_r2d , e_d2r ,
e_d2g , e_g2d , e_notl , e_sgn ,
e_erf , e_erfc , e_frac , e_trunc ,
e_uvouv , e_vov , e_cov , e_voc ,
e_vob , e_bov , e_cob , e_boc ,
e_vovov , e_vovoc , e_vocov , e_covov ,
e_covoc , e_vovovov , e_vovovoc , e_vovocov ,
e_vocovov , e_covovov , e_covocov , e_vocovoc ,
e_covovoc , e_vococov , e_sf3ext , e_sf4ext ,
e_nulleq , e_vector , e_vecelem , e_vecdefass ,
e_vecvalass , e_vecvecass , e_vecopvalass , e_vecopvecass ,
e_vecfunc , e_vecvecswap , e_vecvecineq , e_vecvalineq ,
e_valvecineq , e_vecvecarith , e_vecvalarith , e_valvecarith ,
e_vecunaryop , e_break , e_continue , e_swap
e_erf , e_erfc , e_ncdf , e_frac ,
e_trunc , e_uvouv , e_vov , e_cov ,
e_voc , e_vob , e_bov , e_cob ,
e_boc , e_vovov , e_vovoc , e_vocov ,
e_covov , e_covoc , e_vovovov , e_vovovoc ,
e_vovocov , e_vocovov , e_covovov , e_covocov ,
e_vocovoc , e_covovoc , e_vococov , e_sf3ext ,
e_sf4ext , e_nulleq , e_vector , e_vecelem ,
e_vecdefass , e_vecvalass , e_vecvecass , e_vecopvalass ,
e_vecopvecass , e_vecfunc , e_vecvecswap , e_vecvecineq ,
e_vecvalineq , e_valvecineq , e_vecvecarith , e_vecvalarith ,
e_valvecarith , e_vecunaryop , e_break , e_continue ,
e_swap
};
typedef T value_type;
@ -7692,6 +7711,7 @@ namespace exprtk
exprtk_define_unary_op(log10)
exprtk_define_unary_op(log2 )
exprtk_define_unary_op(log1p)
exprtk_define_unary_op(ncdf )
exprtk_define_unary_op(neg )
exprtk_define_unary_op(notl )
exprtk_define_unary_op(pos )
@ -10940,6 +10960,7 @@ namespace exprtk
register_op( "not",e_notl , 1)
register_op( "erf",e_erf , 1)
register_op( "erfc",e_erfc , 1)
register_op( "ncdf",e_ncdf , 1)
register_op( "frac",e_frac , 1)
register_op( "trunc",e_trunc , 1)
register_op( "atan2",e_atan2 , 2)
@ -16789,8 +16810,8 @@ namespace exprtk
(details::e_d2r == operation) || (details::e_d2g == operation) ||
(details::e_g2d == operation) || (details::e_notl == operation) ||
(details::e_sgn == operation) || (details::e_erf == operation) ||
(details::e_erfc == operation) || (details::e_frac == operation) ||
(details::e_trunc == operation);
(details::e_erfc == operation) || (details::e_ncdf == operation) ||
(details::e_frac == operation) || (details::e_trunc == operation);
}
inline bool sf3_optimizable(const std::string& sf3id, trinary_functor_t& tfunc)
@ -17558,6 +17579,7 @@ namespace exprtk
case_stmt(details:: e_sgn,details:: sgn_op) \
case_stmt(details:: e_erf,details:: erf_op) \
case_stmt(details:: e_erfc,details:: erfc_op) \
case_stmt(details:: e_ncdf,details:: ncdf_op) \
case_stmt(details:: e_frac,details:: frac_op) \
case_stmt(details::e_trunc,details::trunc_op) \
@ -23000,6 +23022,7 @@ namespace exprtk
register_unary_op(details:: e_sgn,details:: sgn_op)
register_unary_op(details:: e_erf,details:: erf_op)
register_unary_op(details:: e_erfc,details:: erfc_op)
register_unary_op(details:: e_ncdf,details:: ncdf_op)
register_unary_op(details:: e_frac,details:: frac_op)
register_unary_op(details::e_trunc,details::trunc_op)
#undef register_unary_op

94
exprtk_simple_example_15.cpp Normal file
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@ -0,0 +1,94 @@
/*
**************************************************************
* C++ Mathematical Expression Toolkit Library *
* *
* Simple Example 15 *
* Author: Arash Partow (1999-2014) *
* URL: http://www.partow.net/programming/exprtk/index.html *
* *
* Copyright notice: *
* Free use of the Mathematical Expression Toolkit Library is *
* permitted under the guidelines and in accordance with the *
* most current version of the Common Public License. *
* http://www.opensource.org/licenses/cpl1.0.php *
* *
**************************************************************
*/
#include <cstdio>
#include <cstdlib>
#include <ctime>
#include <string>
#include "exprtk.hpp"
template<typename T>
void black_scholes_merton_model()
{
typedef exprtk::symbol_table<T> symbol_table_t;
typedef exprtk::expression<T> expression_t;
typedef exprtk::parser<T> parser_t;
std::string bsm_model_program =
" var d1 := (log(s / x) + (r + v^2 / 2) * t) / (v * sqrt(t)); "
" var d2 := d1 - v * sqrt(t); "
" "
" if(callput_flag == 'call') "
" s * ncdf(d1) - x * e^(-r * t) * ncdf(d2); "
" else if(callput_flag == 'put') "
" x * e^(-r * t) * ncdf(-d2) - s * ncdf(-d1); "
" ";
T s = T(60.00); // Stock price
T x = T(65.00); // Strike price
T t = T( 0.25); // Years to maturity
T r = T( 0.08); // Risk free rate
T v = T( 0.30); // Volatility
std::string callput_flag;
static const T e = exprtk::details::numeric::constant::e;
symbol_table_t symbol_table;
symbol_table.add_variable("s",s);
symbol_table.add_variable("x",x);
symbol_table.add_variable("t",t);
symbol_table.add_variable("r",r);
symbol_table.add_variable("v",v);
symbol_table.add_constant("e",e);
symbol_table.add_stringvar("callput_flag",callput_flag);
expression_t expression;
expression.register_symbol_table(symbol_table);
parser_t parser;
parser.compile(bsm_model_program,expression);
{
callput_flag = "call";
T bsm = expression.value();
printf("BSM(%s,%5.3f,%5.3f,%5.3f,%5.3f,%5.3f) = %10.6f\n",
callput_flag.c_str(),
s,x,t,r,v,
bsm);
}
{
callput_flag = "put";
T bsm = expression.value();
printf("BSM(%s,%5.3f,%5.3f,%5.3f,%5.3f,%5.3f) = %10.6f\n",
callput_flag.c_str(),
s,x,t,r,v,
bsm);
}
}
int main()
{
black_scholes_merton_model<double>();
return 0;
}

5
readme.txt
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@ -17,7 +17,7 @@ arithmetic operations, functions and processes:
(01) Functions: abs, avg, ceil, clamp, equal, erf, erfc, exp,
expm1, floor, frac, log, log10, log1p, log2,
logn, max, min, mul, nequal, root, round,
logn, max, min, mul, ncdf, nequal, root, round,
roundn, sgn, sqrt, sum, swap, trunc
(02) Trigonometry: acos, acosh, asin, asinh, atan, atanh, atan2,
@ -283,6 +283,8 @@ of C++ compilers:
| mul | Product of all the inputs. |
| | (eg: mul(x,y,z,w,u,v,t) == (x * y * z * w * u * v * t)) |
+----------+---------------------------------------------------------+
| ncdf | Normal cumulative distribution function. (eg: ncdf(x)) |
+----------+---------------------------------------------------------+
| nequal | Not-equal test between x and y using normalized epsilon |
+----------+---------------------------------------------------------+
| root | Nth-Root of x. where n is a positive integer. |
@ -1343,6 +1345,7 @@ in a compilation failure.
(16) exprtk_simple_example_12.cpp
(17) exprtk_simple_example_13.cpp
(18) exprtk_simple_example_14.cpp
(19) exprtk_simple_example_15.cpp