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abcd.cpp
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2189 lines (1662 loc) · 51.1 KB
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/*
Copyright (C) 2016 -2017 Jerry Jin
*/
#include <nan.h>
#include <string.h>
#include "abcd.hpp"
#include <qlo/qladdindefines.hpp>
#include <qlo/abcd.hpp>
#include <qlo/optimization.hpp>
#include <ql/termstructures/volatility/abcd.hpp>
#include <ql/termstructures/volatility/abcdcalibration.hpp>
#include <qlo/loop/loop_abcd.hpp>
#include <oh/objecthandler.hpp>
#include <oh/conversions/getobjectvector.hpp>
#include <qlo/valueobjects/vo_all.hpp>
#include <qlo/conversions/all.hpp>
#include "../loop.hpp"
void AbcdFunctionWorker::Execute(){
try{
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlAbcdFunction(
mObjectID,
mA,
mB,
mC,
mD,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::AbcdFunction(
valueObject,
mA,
mB,
mC,
mD,
false
));
// Store the Object in the Repository
mReturnValue = ObjectHandler::Repository::instance().storeObject(mObjectID, object, false, valueObject);
}catch(const std::exception &e){
mError = e.what();
}catch (...){
mError = "unkown error";
}
}
void AbcdFunctionWorker::HandleOKCallback(){
Nan::HandleScope scope;
Local<v8::Value> argv[2] = {
Nan::New<String>(mError).ToLocalChecked(),
Nan::New<String>(mReturnValue).ToLocalChecked()
};
callback->Call(2, argv);
}
NAN_METHOD(QuantLibNode::AbcdFunction) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 1 || !info[1]->IsNumber()) {
return Nan::ThrowError("A is required.");
}
if (info.Length() == 2 || !info[2]->IsNumber()) {
return Nan::ThrowError("B is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("C is required.");
}
if (info.Length() == 4 || !info[4]->IsNumber()) {
return Nan::ThrowError("D is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
double ACpp = Nan::To<double>(info[1]).FromJust();
// convert js argument to c++ type
double BCpp = Nan::To<double>(info[2]).FromJust();
// convert js argument to c++ type
double CCpp = Nan::To<double>(info[3]).FromJust();
// convert js argument to c++ type
double DCpp = Nan::To<double>(info[4]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[5].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new AbcdFunctionWorker(
callback
,ObjectIDCpp
,ACpp
,BCpp
,CCpp
,DCpp
));
}
//AbcdFunctionWorker::~AbcdFunctionWorker(){
//
//}
//void AbcdFunctionWorker::Destroy(){
//
//}
void AbcdCalibrationWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(EndCriteriaLibObjPtr, mEndCriteria,
QuantLibAddin::EndCriteria, QuantLib::EndCriteria)
// convert object IDs into library objects
OH_GET_REFERENCE(MethodLibObjPtr, mMethod,
QuantLibAddin::OptimizationMethod, QuantLib::OptimizationMethod)
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlAbcdCalibration(
mObjectID,
mTimes,
mBlackVols,
mA,
mB,
mC,
mD,
mAIsFixed,
mBIsFixed,
mCIsFixed,
mDIsFixed,
mVegaWeighted,
mEndCriteria,
mMethod,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::AbcdCalibration(
valueObject,
mTimes,
mBlackVols,
mA,
mB,
mC,
mD,
mAIsFixed,
mBIsFixed,
mCIsFixed,
mDIsFixed,
mVegaWeighted,
EndCriteriaLibObjPtr,
MethodLibObjPtr,
false
));
// Store the Object in the Repository
mReturnValue = ObjectHandler::Repository::instance().storeObject(mObjectID, object, false, valueObject);
}catch(const std::exception &e){
mError = e.what();
}catch (...){
mError = "unkown error";
}
}
void AbcdCalibrationWorker::HandleOKCallback(){
Nan::HandleScope scope;
Local<v8::Value> argv[2] = {
Nan::New<String>(mError).ToLocalChecked(),
Nan::New<String>(mReturnValue).ToLocalChecked()
};
callback->Call(2, argv);
}
NAN_METHOD(QuantLibNode::AbcdCalibration) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 1 || !info[1]->IsArray()) {
return Nan::ThrowError("Times is required.");
}
if (info.Length() == 2 || !info[2]->IsArray()) {
return Nan::ThrowError("BlackVols is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("A is required.");
}
if (info.Length() == 4 || !info[4]->IsNumber()) {
return Nan::ThrowError("B is required.");
}
if (info.Length() == 5 || !info[5]->IsNumber()) {
return Nan::ThrowError("C is required.");
}
if (info.Length() == 6 || !info[6]->IsNumber()) {
return Nan::ThrowError("D is required.");
}
if (info.Length() == 7 || !info[7]->IsBoolean()) {
return Nan::ThrowError("AIsFixed is required.");
}
if (info.Length() == 8 || !info[8]->IsBoolean()) {
return Nan::ThrowError("BIsFixed is required.");
}
if (info.Length() == 9 || !info[9]->IsBoolean()) {
return Nan::ThrowError("CIsFixed is required.");
}
if (info.Length() == 10 || !info[10]->IsBoolean()) {
return Nan::ThrowError("DIsFixed is required.");
}
if (info.Length() == 11 || !info[11]->IsBoolean()) {
return Nan::ThrowError("VegaWeighted is required.");
}
if (info.Length() == 12 || !info[12]->IsString()) {
return Nan::ThrowError("EndCriteria is required.");
}
if (info.Length() == 13 || !info[13]->IsString()) {
return Nan::ThrowError("Method is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
std::vector<double>TimesCpp;
Local<Array> TimesArray = info[1].As<Array>();
for (unsigned int i = 0; i < TimesArray->Length(); i++){
TimesCpp.push_back(Nan::To<double>(Nan::Get(TimesArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
std::vector<double>BlackVolsCpp;
Local<Array> BlackVolsArray = info[2].As<Array>();
for (unsigned int i = 0; i < BlackVolsArray->Length(); i++){
BlackVolsCpp.push_back(Nan::To<double>(Nan::Get(BlackVolsArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
double ACpp = Nan::To<double>(info[3]).FromJust();
// convert js argument to c++ type
double BCpp = Nan::To<double>(info[4]).FromJust();
// convert js argument to c++ type
double CCpp = Nan::To<double>(info[5]).FromJust();
// convert js argument to c++ type
double DCpp = Nan::To<double>(info[6]).FromJust();
// convert js argument to c++ type
bool AIsFixedCpp = Nan::To<bool>(info[7]).FromJust();
// convert js argument to c++ type
bool BIsFixedCpp = Nan::To<bool>(info[8]).FromJust();
// convert js argument to c++ type
bool CIsFixedCpp = Nan::To<bool>(info[9]).FromJust();
// convert js argument to c++ type
bool DIsFixedCpp = Nan::To<bool>(info[10]).FromJust();
// convert js argument to c++ type
bool VegaWeightedCpp = Nan::To<bool>(info[11]).FromJust();
// convert js argument to c++ type
String::Utf8Value strEndCriteria(info[12]->ToString());
string EndCriteriaCpp(strdup(*strEndCriteria));
// convert js argument to c++ type
String::Utf8Value strMethod(info[13]->ToString());
string MethodCpp(strdup(*strMethod));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[14].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new AbcdCalibrationWorker(
callback
,ObjectIDCpp
,TimesCpp
,BlackVolsCpp
,ACpp
,BCpp
,CCpp
,DCpp
,AIsFixedCpp
,BIsFixedCpp
,CIsFixedCpp
,DIsFixedCpp
,VegaWeightedCpp
,EndCriteriaCpp
,MethodCpp
));
}
//AbcdCalibrationWorker::~AbcdCalibrationWorker(){
//
//}
//void AbcdCalibrationWorker::Destroy(){
//
//}
void AbcdFunctionInstantaneousValueWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(ObjectIDLibObjPtr, mObjectID,
QuantLibAddin::AbcdFunction, QuantLib::AbcdFunction)
// loop on the input parameter and populate the return vector
QuantLibAddin::qlAbcdFunctionInstantaneousValueBind bindObject =
boost::bind((QuantLibAddin::qlAbcdFunctionInstantaneousValueSignature)
&QuantLib::AbcdFunction::operator(),
ObjectIDLibObjPtr
,_1
);
ObjectHandler::loop
<QuantLibAddin::qlAbcdFunctionInstantaneousValueBind,
double,
double>
(bindObject,
mU,
mReturnValue
);
}catch(const std::exception &e){
mError = e.what();
}catch (...){
mError = "unkown error";
}
}
void AbcdFunctionInstantaneousValueWorker::HandleOKCallback(){
Nan::HandleScope scope;
Local<Array> tmpArray = Nan::New<Array>(mReturnValue.size());
for (unsigned int i = 0; i < mReturnValue.size(); i++) {
Nan::Set(tmpArray,i,Nan::New<Number>(mReturnValue[i]));
}
Local<v8::Value> argv[2] = {
Nan::New<String>(mError).ToLocalChecked(),
tmpArray
};
callback->Call(2, argv);
}
NAN_METHOD(QuantLibNode::AbcdFunctionInstantaneousValue) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 1 || !info[1]->IsArray()) {
return Nan::ThrowError("U is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
std::vector<double>UCpp;
Local<Array> UArray = info[1].As<Array>();
for (unsigned int i = 0; i < UArray->Length(); i++){
UCpp.push_back(Nan::To<double>(Nan::Get(UArray, i).ToLocalChecked()).FromJust());
}
// declare callback
Nan::Callback *callback = new Nan::Callback(info[2].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new AbcdFunctionInstantaneousValueWorker(
callback
,ObjectIDCpp
,UCpp
));
}
//AbcdFunctionInstantaneousValueWorker::~AbcdFunctionInstantaneousValueWorker(){
//
//}
//void AbcdFunctionInstantaneousValueWorker::Destroy(){
//
//}
void AbcdFunctionInstantaneousCovarianceWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(ObjectIDLibObjPtr, mObjectID,
QuantLibAddin::AbcdFunction, QuantLib::AbcdFunction)
// loop on the input parameter and populate the return vector
QuantLibAddin::qlAbcdFunctionInstantaneousCovarianceBind bindObject =
boost::bind((QuantLibAddin::qlAbcdFunctionInstantaneousCovarianceSignature)
&QuantLib::AbcdFunction::instantaneousCovariance,
ObjectIDLibObjPtr
,_1
,mT
,mS
);
ObjectHandler::loop
<QuantLibAddin::qlAbcdFunctionInstantaneousCovarianceBind,
double,
double>
(bindObject,
mU,
mReturnValue
);
}catch(const std::exception &e){
mError = e.what();
}catch (...){
mError = "unkown error";
}
}
void AbcdFunctionInstantaneousCovarianceWorker::HandleOKCallback(){
Nan::HandleScope scope;
Local<Array> tmpArray = Nan::New<Array>(mReturnValue.size());
for (unsigned int i = 0; i < mReturnValue.size(); i++) {
Nan::Set(tmpArray,i,Nan::New<Number>(mReturnValue[i]));
}
Local<v8::Value> argv[2] = {
Nan::New<String>(mError).ToLocalChecked(),
tmpArray
};
callback->Call(2, argv);
}
NAN_METHOD(QuantLibNode::AbcdFunctionInstantaneousCovariance) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 1 || !info[1]->IsArray()) {
return Nan::ThrowError("U is required.");
}
if (info.Length() == 2 || !info[2]->IsNumber()) {
return Nan::ThrowError("T is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("S is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
std::vector<double>UCpp;
Local<Array> UArray = info[1].As<Array>();
for (unsigned int i = 0; i < UArray->Length(); i++){
UCpp.push_back(Nan::To<double>(Nan::Get(UArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
double TCpp = Nan::To<double>(info[2]).FromJust();
// convert js argument to c++ type
double SCpp = Nan::To<double>(info[3]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[4].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new AbcdFunctionInstantaneousCovarianceWorker(
callback
,ObjectIDCpp
,UCpp
,TCpp
,SCpp
));
}
//AbcdFunctionInstantaneousCovarianceWorker::~AbcdFunctionInstantaneousCovarianceWorker(){
//
//}
//void AbcdFunctionInstantaneousCovarianceWorker::Destroy(){
//
//}
void AbcdFunctionInstantaneousVarianceWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(ObjectIDLibObjPtr, mObjectID,
QuantLibAddin::AbcdFunction, QuantLib::AbcdFunction)
// loop on the input parameter and populate the return vector
QuantLibAddin::qlAbcdFunctionInstantaneousVarianceBind bindObject =
boost::bind((QuantLibAddin::qlAbcdFunctionInstantaneousVarianceSignature)
&QuantLib::AbcdFunction::instantaneousVariance,
ObjectIDLibObjPtr
,_1
,mT
);
ObjectHandler::loop
<QuantLibAddin::qlAbcdFunctionInstantaneousVarianceBind,
double,
double>
(bindObject,
mU,
mReturnValue
);
}catch(const std::exception &e){
mError = e.what();
}catch (...){
mError = "unkown error";
}
}
void AbcdFunctionInstantaneousVarianceWorker::HandleOKCallback(){
Nan::HandleScope scope;
Local<Array> tmpArray = Nan::New<Array>(mReturnValue.size());
for (unsigned int i = 0; i < mReturnValue.size(); i++) {
Nan::Set(tmpArray,i,Nan::New<Number>(mReturnValue[i]));
}
Local<v8::Value> argv[2] = {
Nan::New<String>(mError).ToLocalChecked(),
tmpArray
};
callback->Call(2, argv);
}
NAN_METHOD(QuantLibNode::AbcdFunctionInstantaneousVariance) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 1 || !info[1]->IsArray()) {
return Nan::ThrowError("U is required.");
}
if (info.Length() == 2 || !info[2]->IsNumber()) {
return Nan::ThrowError("T is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
std::vector<double>UCpp;
Local<Array> UArray = info[1].As<Array>();
for (unsigned int i = 0; i < UArray->Length(); i++){
UCpp.push_back(Nan::To<double>(Nan::Get(UArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
double TCpp = Nan::To<double>(info[2]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[3].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new AbcdFunctionInstantaneousVarianceWorker(
callback
,ObjectIDCpp
,UCpp
,TCpp
));
}
//AbcdFunctionInstantaneousVarianceWorker::~AbcdFunctionInstantaneousVarianceWorker(){
//
//}
//void AbcdFunctionInstantaneousVarianceWorker::Destroy(){
//
//}
void AbcdFunctionInstantaneousVolatilityWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(ObjectIDLibObjPtr, mObjectID,
QuantLibAddin::AbcdFunction, QuantLib::AbcdFunction)
// loop on the input parameter and populate the return vector
QuantLibAddin::qlAbcdFunctionInstantaneousVolatilityBind bindObject =
boost::bind((QuantLibAddin::qlAbcdFunctionInstantaneousVolatilitySignature)
&QuantLib::AbcdFunction::instantaneousVolatility,
ObjectIDLibObjPtr
,_1
,mT
);
ObjectHandler::loop
<QuantLibAddin::qlAbcdFunctionInstantaneousVolatilityBind,
double,
QuantLib::Volatility>
(bindObject,
mU,
mReturnValue
);
}catch(const std::exception &e){
mError = e.what();
}catch (...){
mError = "unkown error";
}
}
void AbcdFunctionInstantaneousVolatilityWorker::HandleOKCallback(){
Nan::HandleScope scope;
Local<Array> tmpArray = Nan::New<Array>(mReturnValue.size());
for (unsigned int i = 0; i < mReturnValue.size(); i++) {
Nan::Set(tmpArray,i,Nan::New<Number>(mReturnValue[i]));
}
Local<v8::Value> argv[2] = {
Nan::New<String>(mError).ToLocalChecked(),
tmpArray
};
callback->Call(2, argv);
}
NAN_METHOD(QuantLibNode::AbcdFunctionInstantaneousVolatility) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 1 || !info[1]->IsArray()) {
return Nan::ThrowError("U is required.");
}
if (info.Length() == 2 || !info[2]->IsNumber()) {
return Nan::ThrowError("T is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
std::vector<double>UCpp;
Local<Array> UArray = info[1].As<Array>();
for (unsigned int i = 0; i < UArray->Length(); i++){
UCpp.push_back(Nan::To<double>(Nan::Get(UArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
double TCpp = Nan::To<double>(info[2]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[3].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new AbcdFunctionInstantaneousVolatilityWorker(
callback
,ObjectIDCpp
,UCpp
,TCpp
));
}
//AbcdFunctionInstantaneousVolatilityWorker::~AbcdFunctionInstantaneousVolatilityWorker(){
//
//}
//void AbcdFunctionInstantaneousVolatilityWorker::Destroy(){
//
//}
void AbcdFunctionCovarianceWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(ObjectIDLibObjPtr, mObjectID,
QuantLibAddin::AbcdFunction, QuantLib::AbcdFunction)
// loop on the input parameter and populate the return vector
QuantLibAddin::qlAbcdFunctionCovarianceBind bindObject =
boost::bind((QuantLibAddin::qlAbcdFunctionCovarianceSignature)
&QuantLib::AbcdFunction::covariance,
ObjectIDLibObjPtr
,mTMin
,_1
,mT
,mS
);
ObjectHandler::loop
<QuantLibAddin::qlAbcdFunctionCovarianceBind,
double,
double>
(bindObject,
mTMax,
mReturnValue
);
}catch(const std::exception &e){
mError = e.what();
}catch (...){
mError = "unkown error";
}
}
void AbcdFunctionCovarianceWorker::HandleOKCallback(){
Nan::HandleScope scope;
Local<Array> tmpArray = Nan::New<Array>(mReturnValue.size());
for (unsigned int i = 0; i < mReturnValue.size(); i++) {
Nan::Set(tmpArray,i,Nan::New<Number>(mReturnValue[i]));
}
Local<v8::Value> argv[2] = {
Nan::New<String>(mError).ToLocalChecked(),
tmpArray
};
callback->Call(2, argv);
}
NAN_METHOD(QuantLibNode::AbcdFunctionCovariance) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 1 || !info[1]->IsNumber()) {
return Nan::ThrowError("TMin is required.");
}
if (info.Length() == 2 || !info[2]->IsArray()) {
return Nan::ThrowError("TMax is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("T is required.");
}
if (info.Length() == 4 || !info[4]->IsNumber()) {
return Nan::ThrowError("S is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
double TMinCpp = Nan::To<double>(info[1]).FromJust();
// convert js argument to c++ type
std::vector<double>TMaxCpp;
Local<Array> TMaxArray = info[2].As<Array>();
for (unsigned int i = 0; i < TMaxArray->Length(); i++){
TMaxCpp.push_back(Nan::To<double>(Nan::Get(TMaxArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
double TCpp = Nan::To<double>(info[3]).FromJust();
// convert js argument to c++ type
double SCpp = Nan::To<double>(info[4]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[5].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new AbcdFunctionCovarianceWorker(
callback
,ObjectIDCpp
,TMinCpp
,TMaxCpp
,TCpp
,SCpp
));
}
//AbcdFunctionCovarianceWorker::~AbcdFunctionCovarianceWorker(){
//
//}
//void AbcdFunctionCovarianceWorker::Destroy(){
//
//}
void AbcdFunctionVarianceWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(ObjectIDLibObjPtr, mObjectID,
QuantLibAddin::AbcdFunction, QuantLib::AbcdFunction)
// loop on the input parameter and populate the return vector
QuantLibAddin::qlAbcdFunctionVarianceBind bindObject =
boost::bind((QuantLibAddin::qlAbcdFunctionVarianceSignature)
&QuantLib::AbcdFunction::variance,
ObjectIDLibObjPtr
,mTMin
,_1
,mT
);
ObjectHandler::loop
<QuantLibAddin::qlAbcdFunctionVarianceBind,
double,
double>
(bindObject,
mTMax,
mReturnValue
);
}catch(const std::exception &e){
mError = e.what();
}catch (...){
mError = "unkown error";
}
}
void AbcdFunctionVarianceWorker::HandleOKCallback(){
Nan::HandleScope scope;
Local<Array> tmpArray = Nan::New<Array>(mReturnValue.size());
for (unsigned int i = 0; i < mReturnValue.size(); i++) {
Nan::Set(tmpArray,i,Nan::New<Number>(mReturnValue[i]));
}
Local<v8::Value> argv[2] = {
Nan::New<String>(mError).ToLocalChecked(),
tmpArray
};
callback->Call(2, argv);
}
NAN_METHOD(QuantLibNode::AbcdFunctionVariance) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 1 || !info[1]->IsNumber()) {
return Nan::ThrowError("TMin is required.");
}
if (info.Length() == 2 || !info[2]->IsArray()) {
return Nan::ThrowError("TMax is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("T is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
double TMinCpp = Nan::To<double>(info[1]).FromJust();
// convert js argument to c++ type
std::vector<double>TMaxCpp;
Local<Array> TMaxArray = info[2].As<Array>();
for (unsigned int i = 0; i < TMaxArray->Length(); i++){
TMaxCpp.push_back(Nan::To<double>(Nan::Get(TMaxArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
double TCpp = Nan::To<double>(info[3]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[4].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new AbcdFunctionVarianceWorker(
callback
,ObjectIDCpp
,TMinCpp
,TMaxCpp
,TCpp
));
}
//AbcdFunctionVarianceWorker::~AbcdFunctionVarianceWorker(){
//
//}
//void AbcdFunctionVarianceWorker::Destroy(){
//
//}
void AbcdFunctionVolatilityWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(ObjectIDLibObjPtr, mObjectID,
QuantLibAddin::AbcdFunction, QuantLib::AbcdFunction)
// loop on the input parameter and populate the return vector
QuantLibAddin::qlAbcdFunctionVolatilityBind bindObject =
boost::bind((QuantLibAddin::qlAbcdFunctionVolatilitySignature)
&QuantLib::AbcdFunction::volatility,
ObjectIDLibObjPtr
,mTMin
,_1
,mT
);
ObjectHandler::loop
<QuantLibAddin::qlAbcdFunctionVolatilityBind,
double,
QuantLib::Volatility>
(bindObject,
mTMax,
mReturnValue
);
}catch(const std::exception &e){
mError = e.what();
}catch (...){
mError = "unkown error";
}
}
void AbcdFunctionVolatilityWorker::HandleOKCallback(){
Nan::HandleScope scope;
Local<Array> tmpArray = Nan::New<Array>(mReturnValue.size());
for (unsigned int i = 0; i < mReturnValue.size(); i++) {
Nan::Set(tmpArray,i,Nan::New<Number>(mReturnValue[i]));
}
Local<v8::Value> argv[2] = {
Nan::New<String>(mError).ToLocalChecked(),
tmpArray
};
callback->Call(2, argv);
}