{"id":"node_modules/@investflex/volchartsjs/time_lapse_skew.js","dependencies":[{"name":"/home/hernan/workspace/tests/test-simulador/package.json","includedInParent":true,"mtime":1597264365661},{"name":"/home/hernan/workspace/tests/test-simulador/node_modules/@investflex/volchartsjs/package.json","includedInParent":true,"mtime":1597264112536},{"name":"./utils","loc":{"line":1,"column":23},"parent":"/home/hernan/workspace/tests/test-simulador/node_modules/@investflex/volchartsjs/time_lapse_skew.js","resolved":"/home/hernan/workspace/tests/test-simulador/node_modules/@investflex/volchartsjs/utils.js"},{"name":"./chart_base","loc":{"line":2,"column":24},"parent":"/home/hernan/workspace/tests/test-simulador/node_modules/@investflex/volchartsjs/time_lapse_skew.js","resolved":"/home/hernan/workspace/tests/test-simulador/node_modules/@investflex/volchartsjs/chart_base.js"},{"name":"d3","loc":{"line":3,"column":20},"parent":"/home/hernan/workspace/tests/test-simulador/node_modules/@investflex/volchartsjs/time_lapse_skew.js","resolved":"/home/hernan/workspace/tests/test-simulador/node_modules/d3/index.js"},{"name":"@investflex/iflexquantjs/iflexquant","loc":{"line":5,"column":24},"parent":"/home/hernan/workspace/tests/test-simulador/node_modules/@investflex/volchartsjs/time_lapse_skew.js","resolved":"/home/hernan/workspace/tests/test-simulador/node_modules/@investflex/iflexquantjs/iflexquant.js"}],"generated":{"js":"\"use strict\";\n\nObject.defineProperty(exports, \"__esModule\", {\n  value: true\n});\nexports.TimeLapseSkewChart = void 0;\n\nvar utils = _interopRequireWildcard(require(\"./utils\"));\n\nvar _chart_base = require(\"./chart_base\");\n\nvar d3 = _interopRequireWildcard(require(\"d3\"));\n\nvar iquant = _interopRequireWildcard(require(\"@investflex/iflexquantjs/iflexquant\"));\n\nfunction _getRequireWildcardCache() { if (typeof WeakMap !== \"function\") return null; var cache = new WeakMap(); _getRequireWildcardCache = function () { return cache; }; return cache; }\n\nfunction _interopRequireWildcard(obj) { if (obj && obj.__esModule) { return obj; } if (obj === null || typeof obj !== \"object\" && typeof obj !== \"function\") { return { default: obj }; } var cache = _getRequireWildcardCache(); if (cache && cache.has(obj)) { return cache.get(obj); } var newObj = {}; var hasPropertyDescriptor = Object.defineProperty && Object.getOwnPropertyDescriptor; for (var key in obj) { if (Object.prototype.hasOwnProperty.call(obj, key)) { var desc = hasPropertyDescriptor ? Object.getOwnPropertyDescriptor(obj, key) : null; if (desc && (desc.get || desc.set)) { Object.defineProperty(newObj, key, desc); } else { newObj[key] = obj[key]; } } } newObj.default = obj; if (cache) { cache.set(obj, newObj); } return newObj; }\n\n// iflex quant\n'use strict';\n\nclass TimeLapseSkewChart extends _chart_base.ChartBase {\n  constructor() {\n    super();\n    this._expirations = [];\n    this._targetExpiration = null;\n    this._targetDayNbrs = [0, 1];\n    this._sigmas = 2.0;\n    this._selection = null;\n    this._dataRoute = '/v1/exchanges/BVMF/instruments/{symbol}/time-lapse-skew';\n    this._periodSelectorEnabled = false;\n    this._daysSelectorEnabled = true; // private vars\n\n    this._atmVol = 0.40;\n    this._underPx = null; // Map to hold the current skews retrieved from API by data to avoid requesting same data again\n\n    this._currentDaysData = {};\n    this._requiresNewData = true;\n    this._curDaysMap = {};\n    this._chartCode = 'tls';\n  }\n\n  get expirations() {\n    return this._expirations;\n  }\n\n  set expirations(value) {\n    this._expirations = value;\n  }\n\n  get targetExpiration() {\n    return this._targetExpiration;\n  }\n\n  set targetExpiration(value) {\n    this._targetExpiration = value;\n  }\n\n  get targetDayNbrs() {\n    return this._targetDayNbrs;\n  }\n\n  set targetDayNbrs(value) {\n    this._targetDayNbrs = value;\n  }\n\n  get sigmas() {\n    return this._sigmas;\n  }\n\n  set sigmas(value) {\n    this._sigmas = value;\n  }\n\n  get selection() {\n    return this._selection;\n  }\n\n  set selection(value) {\n    this._selection = value;\n  }\n\n  get dataRoute() {\n    return this._dataRoute;\n  }\n\n  set dataRoute(value) {\n    this._dataRoute = value;\n  } // Methods\n\n\n  _initialize() {\n    super._initialize();\n\n    console.log(\"initializing TimeLapseSkewChart\");\n\n    for (var key in this._targetDayNbrs) {\n      this._curDaysMap['sd' + key] = {\n        'days': key,\n        'selected': true\n      };\n    } // Layout related configs\n\n\n    this._yTitle = 'chart.ytitle-ivol';\n    this._xTitle = 'chart.xtitle-strike';\n    this._colorScale = d3.scaleOrdinal(d3.schemePaired);\n    this._stroke_dasharray = 2;\n    this._stroke_width = 1.0;\n    this._dot_radius = 1.5; //this._showScatterChart = false;\n    //this._showLineChart = false;\n  } // ********* Override base class methods ******************\n\n\n  _yValue(d) {\n    return d.callPutSkew;\n  }\n\n  _xValue(d) {\n    return d.strike;\n  }\n\n  _isXdomainInverted() {\n    return false;\n  }\n\n  _xRangeValue(d) {\n    return this._xScale.invert(d);\n  }\n\n  _categoryValue(d) {\n    return d.day;\n  }\n\n  _legendValue(d) {\n    return 'Dia ' + d;\n  }\n\n  _getPanelSelectors() {\n    const selectors = [{\n      'id': 'tls_exp_sel',\n      'title': this._pgt.t('cpanel.titles.expiration'),\n      'type': 'radioSelector',\n      'elements': [],\n      'selected': []\n    }, {\n      'id': 'tls_sigmas',\n      'title': this._pgt.t('cpanel.titles.strikes'),\n      'type': 'numStepper',\n      'min': 0.5,\n      'max': 3.0,\n      'value': 2.0,\n      'step': 0.5,\n      'label': this._pgt.t('cpanel.labels.interval.sigmas')\n    }];\n    return selectors;\n  }\n\n  _getApiUrl() {\n    var url = '';\n\n    if (this._targetDayNbrs.length > 0) {\n      const daysQuery = (s, d) => s.concat('&dayDelta=' + d);\n\n      var query = '?expiration=' + this._targetExpiration + this._targetDayNbrs.reduce(daysQuery, '');\n\n      url = this._baseUrl + this._dataRoute.replace('{symbol}', this._symbol) + query;\n    }\n\n    return url;\n  } // Url to get incrementl data of the current day only\n\n\n  _getRefreshApiUrl() {\n    var query = '?expiration=' + this._targetExpiration + '&dayDelta=0';\n    const url = this._baseUrl + this._dataRoute.replace('{symbol}', this._symbol) + query;\n    return url;\n  }\n\n  _parseChartData(json) {\n    //console.log('_parseChartData');\n    var d = [];\n\n    if ('records' in json) {\n      for (var key in json['records']) {\n        // create composed key\n        json['records'][key]['c_key'] = this._dataKey(json['records'][key]); // add to return list\n\n        d.push(json['records'][key]);\n      }\n\n      return d;\n    }\n\n    return [];\n  }\n\n  _mapChartData(jdata) {\n    //console.log('_mapChartData');\n    var dados = [];\n    var selected = [];\n    this._underPx = 0.0; //global\n\n    var skews = jdata.length;\n    var prices = null;\n\n    if (skews > 0) {\n      // define atm_vol for sigma intervals calc purposes\n      // we define here the first max_atm_vol of the serie (convention, its just to have areference for max and min x values)\n      this._atmVol = jdata[0].params['maxAtmVol']; // define underPx as the underPx of all first curve (convention)\n\n      this._underPx += jdata[0].params['underPx']; //console.log(atmVol, underPx);\n      //calc sigmas\n\n      prices = iquant.sigmaStockPrices(this._underPx, this._atmVol, this._sigmas, 20); //console.log(prices);                \n    }\n\n    const thiz = this;\n\n    if (null == thiz._targetExpiration) {\n      thiz._targetExpiration = jdata[0].expiration;\n    }\n\n    var new_expirations = []; // Define list of expirations as expirations on first result array element\n\n    if (jdata.length > 0) {\n      if (new_expirations.length == 0) {\n        new_expirations = jdata[0].params.expirations;\n      }\n    }\n\n    jdata.forEach(parseDaySkew);\n\n    function parseDaySkew(item, index) {\n      // update currentDaysData map\n      if (!(thiz._targetExpiration in thiz._currentDaysData)) {\n        thiz._currentDaysData[thiz._targetExpiration] = {};\n      }\n\n      if (!(item.dayDelta in thiz._currentDaysData[thiz._targetExpiration])) {\n        thiz._currentDaysData[thiz._targetExpiration][item.dayDelta] = {};\n        thiz._currentDaysData[thiz._targetExpiration][item.dayDelta]['selected'] = true;\n        thiz._currentDaysData[thiz._targetExpiration][item.dayDelta]['day'] = item.day;\n      } // we will only receive one expiration element here\n\n\n      for (var key in item.skews) {\n        //console.log(key);\n        selected.push(key); // uncompress skew data for each day\n\n        item['skews'][key]['callSkew'] = utils.uncompress(item['skews'][key]['callSkew']);\n        item['skews'][key]['putSkew'] = utils.uncompress(item['skews'][key]['putSkew']); //Iterate over strikes and create datasets for charts\n\n        dados = dados.concat(item.params.strikes.map(function (d, i) {\n          return {\n            'day': item.day,\n            'expiration': key,\n            'strike': d,\n            'callPutSkew': utils.fitCallPutSkew(Math.log(d / item.params.underPx), item['skews'][key]['callSkew'][i], item['skews'][key]['putSkew'][i]),\n            'underPx': item.params['underPx']\n          };\n        }).filter(function (d) {\n          return thiz._yValue(d) > 0.05 && thiz._xValue(d) > prices[0] && thiz._xValue(d) < prices[1];\n        }));\n      }\n    }\n\n    if (new_expirations.length > 0) {\n      this.controlPanel.selectorUpdates([{\n        'id': 'tls_exp_sel',\n        'elements': new_expirations,\n        'selected': [this._targetExpiration]\n      }]);\n    }\n\n    return dados;\n  }\n\n  _filterChartData(data) {\n    self = this; //console.log('_filterChartData');\n\n    const fdata = data.filter(function (d) {\n      return self._isDayAndExpSelected(d.day, d.expiration);\n    });\n    return fdata;\n  }\n\n  _appendChartData(jdata, jd) {\n    var i;\n\n    for (i = 0; i < jd.length; i++) {\n      // check if element with same c_key exists in current data\n      var c;\n      var found = false;\n\n      for (c = 0; c < jdata.length; c++) {\n        if (jd[i]['c_key'] == jdata[c]['c_key']) {\n          jdata[c]['params'] = jd[i]['params'];\n          jdata[c]['skews'] = jd[i]['skews'];\n          found = true;\n          break;\n        }\n      }\n\n      if (!found) {\n        jdata.push(jd[i]);\n      }\n    }\n  } // ******************* Local methods ************************************\n\n\n  _dataKey(d) {\n    return d['day'] + '_' + d['expiration'];\n  }\n\n  _isDayAndExpSelected(dayKey, expKey) {\n    if (expKey == this._targetExpiration) {\n      for (var key in this._currentDaysData[this._targetExpiration]) {\n        if (dayKey == this._currentDaysData[this._targetExpiration][key]['day']) {\n          return this._currentDaysData[this._targetExpiration][key]['selected'];\n        }\n      }\n    }\n\n    return false;\n  }\n\n  onSelectionsChange(selId, selections) {\n    if ('tls_exp_sel' == selId) {\n      this.expirationsChangeHandler(selections);\n    }\n\n    if ('tls_sigmas' == selId) {\n      this.strikesChangeHandler(selections);\n    }\n\n    if ('days_selector' == selId) {\n      this.daysChangeHandler(selections);\n    }\n  }\n\n  expirationsChangeHandler(targetItem) {\n    this.targetExpiration 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* as utils from './utils';\nimport {ChartBase} from './chart_base';\nimport * as d3 from \"d3\";\n// iflex quant\nimport * as iquant from '@investflex/iflexquantjs/iflexquant';\n'use strict';\n\nexport class TimeLapseSkewChart extends ChartBase{\n  constructor(){\n    super();\n    this._expirations = [];\n    this._targetExpiration = null;\n    this._targetDayNbrs = [0, 1];\n    this._sigmas = 2.0;\n    this._selection = null;\n    this._dataRoute = '/v1/exchanges/BVMF/instruments/{symbol}/time-lapse-skew';    \n    this._periodSelectorEnabled = false;\n    this._daysSelectorEnabled = true;\n    \n    // private vars\n    this._atmVol = 0.40;\n    this._underPx = null;\n\n    // Map to hold the current skews retrieved from API by data to avoid requesting same data again\n    this._currentDaysData = {};\n    this._requiresNewData = true;\n    this._curDaysMap = {}\n\n    this._chartCode = 'tls';\n\n  };\n\n  get expirations(){\n    return this._expirations;\n  }\n\n  set expirations(value){\n    this._expirations = value;\n  }\n \n  get targetExpiration(){\n    return this._targetExpiration;\n  }\n\n  set targetExpiration(value){\n    this._targetExpiration = value;\n  }\n \n  get targetDayNbrs(){\n    return this._targetDayNbrs;\n  }\n\n  set targetDayNbrs(value){\n    this._targetDayNbrs = value;\n  } \n\n  get sigmas(){\n    return this._sigmas;\n  }\n\n  set sigmas(value){\n    this._sigmas = value;\n  }  \n\n  get selection (){\n    return this._selection ;\n  }\n\n  set selection (value){\n    this._selection  = value;\n  }    \n\n  get dataRoute (){\n    return this._dataRoute ;\n  }\n\n  set dataRoute (value){\n    this._dataRoute  = value;\n  }   \n\n\n  // Methods\n  _initialize(){\n    super._initialize();\n    console.log(\"initializing TimeLapseSkewChart\");\n    \n\n    for (var key in this._targetDayNbrs){\n      this._curDaysMap['sd'+key] = {'days': key, 'selected': true};\n    }\n\n    // Layout related configs\n    this._yTitle = 'chart.ytitle-ivol';\n    this._xTitle = 'chart.xtitle-strike';\n    this._colorScale = d3.scaleOrdinal(d3.schemePaired);\n    this._stroke_dasharray = 2;\n    this._stroke_width = 1.0;\n    this._dot_radius = 1.5;\n    //this._showScatterChart = false;\n    //this._showLineChart = false;\n  }\n\n\n  // ********* Override base class methods ******************\n  _yValue(d){\n    return d.callPutSkew;\n  }\n\n  _xValue(d){\n    return d.strike;\n  }\n\n  _isXdomainInverted(){\n    return false;\n  }\n\n  _xRangeValue(d){\n    return this._xScale.invert(d);\n  }\n\n  _categoryValue(d){\n    return d.day;\n  }\n\n  _legendValue(d){\n    return 'Dia ' + d;\n  }       \n\n  _getPanelSelectors(){\n    const selectors = [\n      {\n        'id': 'tls_exp_sel',\n        'title': this._pgt.t('cpanel.titles.expiration'),\n        'type': 'radioSelector',\n        'elements': [],\n        'selected': [],\n      },\n      {\n        'id': 'tls_sigmas',\n        'title': this._pgt.t('cpanel.titles.strikes'),\n        'type': 'numStepper',\n        'min': 0.5,\n        'max': 3.0,\n        'value': 2.0,\n        'step': 0.5,\n        'label': this._pgt.t('cpanel.labels.interval.sigmas')\n      }\n    ]\n    return selectors;\n  } \n\n  _getApiUrl(){\n    var url = '';\n    if (this._targetDayNbrs.length > 0){\n      const daysQuery = (s, d) => s.concat('&dayDelta=' + d); \n      var query = '?expiration=' + this._targetExpiration + this._targetDayNbrs.reduce(daysQuery, '') ;  \n      url = this._baseUrl + this._dataRoute.replace('{symbol}', this._symbol) + query; \n    }\n    return url;\n  }\n\n  // Url to get incrementl data of the current day only\n  _getRefreshApiUrl(){\n    var query = '?expiration=' + this._targetExpiration + '&dayDelta=0' ;  \n    const url = this._baseUrl + this._dataRoute.replace('{symbol}', this._symbol) + query; \n    return url;\n  }  \n\n\n  _parseChartData(json){       \n      //console.log('_parseChartData');\n      var d = [];                          \n      if ('records' in json){\n        for(var key in json['records']){          \n          // create composed key\n          json['records'][key]['c_key'] = this._dataKey(json['records'][key]);\n          // add to return list\n          d.push(json['records'][key]); \n        }  \n        return d;                                  \n     }\n\n     return [];\n  } \n\n  _mapChartData(jdata){\n    //console.log('_mapChartData');\n    var dados = [];\n    var selected = [];\n    this._underPx = 0.0; //global\n    var skews = jdata.length;\n    var prices = null;\n    if (skews > 0){\n        // define atm_vol for sigma intervals calc purposes\n        // we define here the first max_atm_vol of the serie (convention, its just to have areference for max and min x values)\n        this._atmVol = jdata[0].params['maxAtmVol'];\n        // define underPx as the underPx of all first curve (convention)\n        this._underPx += jdata[0].params['underPx'];\n        //console.log(atmVol, underPx);\n        //calc sigmas\n        prices = iquant.sigmaStockPrices(this._underPx, this._atmVol, this._sigmas, 20);\n        //console.log(prices);                \n    }    \n\n    const thiz = this;\n\n    if (null == thiz._targetExpiration){\n      thiz._targetExpiration = jdata[0].expiration;\n    }\n\n    var new_expirations = [];\n    // Define list of expirations as expirations on first result array element\n    if (jdata.length > 0){\n      if(new_expirations.length == 0){\n        new_expirations = jdata[0].params.expirations;\n      }      \n    }\n\n    jdata.forEach(parseDaySkew);\n    function parseDaySkew(item, index){\n        // update currentDaysData map\n        if (!(thiz._targetExpiration in thiz._currentDaysData)){\n          thiz._currentDaysData[thiz._targetExpiration] = {};\n        }\n        if (! (item.dayDelta in thiz._currentDaysData[thiz._targetExpiration])){\n          thiz._currentDaysData[thiz._targetExpiration][item.dayDelta] = {};\n          thiz._currentDaysData[thiz._targetExpiration][item.dayDelta]['selected'] = true;\n          thiz._currentDaysData[thiz._targetExpiration][item.dayDelta]['day'] = item.day;\n        }\n\n        // we will only receive one expiration element here\n        for (var key in item.skews){\n            //console.log(key);\n            selected.push(key);\n            // uncompress skew data for each day\n            item['skews'][key]['callSkew'] = utils.uncompress(item['skews'][key]['callSkew']); \n            item['skews'][key]['putSkew'] = utils.uncompress(item['skews'][key]['putSkew']); \n\n            //Iterate over strikes and create datasets for charts\n            dados = dados.concat(\n                item.params.strikes.map(function(d, i){\n                    return {\n                    'day': item.day,\n                    'expiration': key,\n                    'strike': d,\n                    'callPutSkew': utils.fitCallPutSkew(Math.log(d / item.params.underPx), item['skews'][key]['callSkew'][i], item['skews'][key]['putSkew'][i]) ,\n                    'underPx': item.params['underPx']                    \n                    }  \n                }).filter(function (d) {\n                    return (thiz._yValue(d) > 0.05 \n                                && thiz._xValue(d) > prices[0] \n                                && thiz._xValue(d) < prices[1]\n                    )\n\n                })             \n            )\n        }\n      }\n    if (new_expirations.length > 0){\n      this.controlPanel.selectorUpdates([\n        {\n          'id': 'tls_exp_sel',\n          'elements': new_expirations,\n          'selected': [this._targetExpiration],\n        }\n      ]);\n    }\n\n\n    return dados;\n  }   \n      \n  _filterChartData(data){\n    self = this;\n    //console.log('_filterChartData');\n    const fdata = data.filter(function (d) {\n      return self._isDayAndExpSelected(d.day, d.expiration);\n     })   \n   return fdata;\n\n   }   \n\n  _appendChartData(jdata, jd){\n    var i;\n    for (i = 0; i < jd.length; i++){\n      // check if element with same c_key exists in current data\n      var c;\n      var found = false;\n      for (c = 0; c < jdata.length; c++){\n        if (jd[i]['c_key'] == jdata[c]['c_key']){\n          jdata[c]['params'] = jd[i]['params'];\n          jdata[c]['skews'] = jd[i]['skews'];\n          found = true;\n          break;\n        }\n      }\n      if (!found){\n        jdata.push(jd[i]);\n      }      \n    }\n  }\n\n\n  // ******************* Local methods ************************************\n           \n\n  _dataKey(d){\n    return d['day'] + '_' + d['expiration'];\n  }\n\n  _isDayAndExpSelected(dayKey, expKey){\n    if (expKey == this._targetExpiration){\n      for (var key in this._currentDaysData[this._targetExpiration]){\n        if (dayKey == this._currentDaysData[this._targetExpiration][key]['day']){\n            return this._currentDaysData[this._targetExpiration][key]['selected'];\n        } \n      }  \n    }\n    return false;\n  }\n\n\n  onSelectionsChange(selId, selections){\n    if ('tls_exp_sel' == selId){\n      this.expirationsChangeHandler(selections);\n    }\n    if ('tls_sigmas' == selId){\n      this.strikesChangeHandler(selections);\n    }\n    if ('days_selector' == selId){\n      this.daysChangeHandler(selections);\n    }\n  }\n\n  expirationsChangeHandler(targetItem){\n    this.targetExpiration = targetItem[0];       \n    if(!(this.targetExpiration in this._currentDaysData)){\n      this._currentDaysData[this.targetExpiration] = {};\n    }    \n    this.daysChangeHandler(this._curDaysMap);  \n  }\n\n  strikesChangeHandler(value){\n    this._sigmas = value;\n    this._render();  \n  }\n\n  daysChangeHandler(daysMap){ \n    this._targetDayNbrs = [];\n    this._curDaysMap = daysMap;\n    var newData = false;\n    for(var key in daysMap) {\n      if (daysMap[key]['selected']){                                  \n        if (!(daysMap[key]['days'] in this._currentDaysData[this.targetExpiration])){\n          this._targetDayNbrs.push(daysMap[key]['days']); \n          newData = true;\n        } \n        else{\n          this._currentDaysData[this.targetExpiration][daysMap[key]['days']]['selected'] = true;\n        }                \n      }\n      else{\n        // only mark as non selected data that is currently retrieved\n        if (daysMap[key]['days'] in this._currentDaysData[this.targetExpiration]){\n          this._currentDaysData[this.targetExpiration][daysMap[key]['days']]['selected'] = false;\n        }\n      }\n    }\n    // check for days not anymore on input needs to be hide\n    for(var key in this._currentDaysData[this.targetExpiration]){\n      var found = false;\n      for (var d in daysMap){\n        if(key == daysMap[d]['days']){\n          found = true;\n          break;\n        }\n      }\n      if (!found){\n        this._currentDaysData[this.targetExpiration][key]['selected'] = false;\n      }\n    }\n\n    if(newData){\n      this._requiresNewData = true;\n    }\n    else{\n      this._render();\n    }\n    \n\n  }\n\n}"},"lineCount":null}},"error":null,"hash":"8fabbbc99e763b45444b5e5c122d8949","cacheData":{"env":{}}}