SyntaxParser.hpp

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#ifndef FTQUANT_SYNTAXPARSER_HPP
#define FTQUANT_SYNTAXPARSER_HPP
 
#include <ftqlib.hpp>
 
#include <algorithm>
#include <fstream>
#include <iostream>
#include <map>
#include <sstream>
#include <string>
#include <string_view>
#include <vector>
 
namespace {
std::map<std::string, int> Fields{
    {"INTEREST_RATE", 0}, {"TRAJECTORIES_NUMBER", 2},
    {"STEPS_NUMBER", 4},  {"SIGMA", 6},
    {"FILE", 7},          {"EXP_T", 8},
    {"SPOT_PRICE", 9},    {"FILE_W", 10},
    {"FILE_T", 12},       {"FILE_y", 13},
    {"STOCK_PRICE", 14},  {"STRIKE_PRICE", 15},
    {"ERROR", 16},        {"LOWER_BARRIER", 17},
    {"UPPER_BARRIER", 18}
    // {"ANTITHETIC", 10}
};
 
std::map<std::string, int> Commands{{"INVALID_COMMAND", -1},
                                    {"BLACK_SCHOLES", 0},
                                    {"BLACK_SCHOLES_F", 1},
                                    {"LOCVOL", 2},
                                    {"GENERATE_TRAJECTORIES", 3},
                                    {"EURO_PUT", 4},
                                    {"EURO_CALL", 5},
                                    {"PUT_KNOCK_OUT", 6},
                                    {"CALL_KNOCK_OUT", 7},
                                    {"PUT_KNOCK_IN", 8},
                                    {"CALL_KNOCK_IN", 9}};
 
enum Codes {
  INVALID_COMMAND = -1,
  BLACK_SCHOLES = 0,
  BLACK_SCHOLES_F = 1,
  LOCVOL = 2,
  GENERATE_TRAJECTORIES = 3,
  EURO_PUT = 4,
  EURO_CALL = 5,
  PUT_KNOCK_OUT = 6,
  CALL_KNOCK_OUT = 7,
  PUT_KNOCK_IN = 8,
  CALL_KNOCK_IN = 9,
};
 
std::vector<std::vector<std::string>> RequiredFields{
    {"INTEREST_RATE", "SIGMA", "EXP_T", "SPOT_PRICE"},
    {"INTEREST_RATE", "FILE"},
    {"FILE_w", "FILE_T", "FILE_y", "SPOT_PRICE"},
    {"TRAJECTORIES_NUMBER", "STEPS_NUMBER", "EXP_T", "SPOT_PRICE"},
    {"ERROR", "STRIKE_PRICE", "TRAJECTORIES_NUMBER", "STEPS_NUMBER", "EXP_T",
     "SPOT_PRICE"},
    {"ERROR", "STRIKE_PRICE", "TRAJECTORIES_NUMBER", "STEPS_NUMBER", "EXP_T",
     "SPOT_PRICE"},
    {"ERROR", "STRIKE_PRICE", "LOWER_BARRIER"},
    {"ERROR", "STRIKE_PRICE", "LOWER_BARRIER"},
    {"ERROR", "STRIKE_PRICE", "UPPER_BARRIER"},
    {"ERROR", "STRIKE_PRICE", "UPPER_BARRIER"}};
}  // namespace
 
bool is_double(const std::string& str);
 
class Command {
  friend class Execution;
 
 private:
  int _code;
  std::map<std::string, std::string> _key_numbers;
 
 public:
  Command() : _code(Commands["INVALID_COMMAND"]) {}
 
  Command(std::string com);
 
  int code() const;
 
  std::string to_json() const;
 
  friend std::ostream& operator<<(std::ostream& os, const Command& C);
};
 
class Execution {
 private:
  int traj_generated = 0;
  int isBS = 1;
  std::vector<std::vector<double>> traj;
  std::vector<std::vector<double>> w;
  std::vector<double> T;
  std::vector<double> y;
 
  BlackScholes BSmodel;
  LocalVolatility LVmodel;
 
 public:
  Execution() {}
 
  int execute(Command C);
};
 
#endif  //FTQUANT_SYNTAXPARSER_HPP