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pricingengines.cpp
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4985 lines (3767 loc) · 122 KB
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/*
Copyright (C) 2016 -2017 Jerry Jin
*/
#include <nan.h>
#include <string.h>
#include "pricingengines.hpp"
#include <qlo/qladdindefines.hpp>
#include <qlo/pricingengines.hpp>
#include <qlo/termstructures.hpp>
#include <qlo/shortratemodels.hpp>
#include <qlo/payoffs.hpp>
#include <qlo/marketmodels.hpp>
#include <qlo/processes.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/pricingengines/blackscholescalculator.hpp>
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
#include <ql/pricingengines/swaption/jamshidianswaptionengine.hpp>
#include <ql/pricingengines/swaption/g2swaptionengine.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 BlackCalculator2Worker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(PayoffIDLibObjPtr, mPayoffID,
QuantLibAddin::StrikedTypePayoff, QuantLib::StrikedTypePayoff)
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlBlackCalculator2(
mObjectID,
mPayoffID,
mAtmForwardValue,
mStdDev,
mDeflator,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::BlackCalculator(
valueObject,
PayoffIDLibObjPtr,
mAtmForwardValue,
mStdDev,
mDeflator,
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 BlackCalculator2Worker::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::BlackCalculator2) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 1 || !info[1]->IsString()) {
return Nan::ThrowError("PayoffID is required.");
}
if (info.Length() == 2 || !info[2]->IsNumber()) {
return Nan::ThrowError("AtmForwardValue is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("StdDev is required.");
}
if (info.Length() == 4 || !info[4]->IsNumber()) {
return Nan::ThrowError("Deflator is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
String::Utf8Value strPayoffID(info[1]->ToString());
string PayoffIDCpp(strdup(*strPayoffID));
// convert js argument to c++ type
double AtmForwardValueCpp = Nan::To<double>(info[2]).FromJust();
// convert js argument to c++ type
double StdDevCpp = Nan::To<double>(info[3]).FromJust();
// convert js argument to c++ type
double DeflatorCpp = Nan::To<double>(info[4]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[5].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new BlackCalculator2Worker(
callback
,ObjectIDCpp
,PayoffIDCpp
,AtmForwardValueCpp
,StdDevCpp
,DeflatorCpp
));
}
//BlackCalculator2Worker::~BlackCalculator2Worker(){
//
//}
//void BlackCalculator2Worker::Destroy(){
//
//}
void BlackCalculatorWorker::Execute(){
try{
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Option::Type OptionTypeEnum =
ObjectHandler::Create<QuantLib::Option::Type>()(mOptionType);
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlBlackCalculator(
mObjectID,
mOptionType,
mStrike,
mAtmForwardValue,
mStdDev,
mDeflator,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::BlackCalculator(
valueObject,
OptionTypeEnum,
mStrike,
mAtmForwardValue,
mStdDev,
mDeflator,
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 BlackCalculatorWorker::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::BlackCalculator) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 1 || !info[1]->IsString()) {
return Nan::ThrowError("OptionType is required.");
}
if (info.Length() == 2 || !info[2]->IsNumber()) {
return Nan::ThrowError("Strike is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("AtmForwardValue is required.");
}
if (info.Length() == 4 || !info[4]->IsNumber()) {
return Nan::ThrowError("StdDev is required.");
}
if (info.Length() == 5 || !info[5]->IsNumber()) {
return Nan::ThrowError("Deflator is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
String::Utf8Value strOptionType(info[1]->ToString());
string OptionTypeCpp(strdup(*strOptionType));
// convert js argument to c++ type
double StrikeCpp = Nan::To<double>(info[2]).FromJust();
// convert js argument to c++ type
double AtmForwardValueCpp = Nan::To<double>(info[3]).FromJust();
// convert js argument to c++ type
double StdDevCpp = Nan::To<double>(info[4]).FromJust();
// convert js argument to c++ type
double DeflatorCpp = Nan::To<double>(info[5]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[6].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new BlackCalculatorWorker(
callback
,ObjectIDCpp
,OptionTypeCpp
,StrikeCpp
,AtmForwardValueCpp
,StdDevCpp
,DeflatorCpp
));
}
//BlackCalculatorWorker::~BlackCalculatorWorker(){
//
//}
//void BlackCalculatorWorker::Destroy(){
//
//}
void BlackScholesCalculator2Worker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(PayoffIDLibObjPtr, mPayoffID,
QuantLibAddin::StrikedTypePayoff, QuantLib::StrikedTypePayoff)
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlBlackScholesCalculator2(
mObjectID,
mPayoffID,
mSpot,
mGrowth,
mStdDev,
mDeflator,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::BlackScholesCalculator(
valueObject,
PayoffIDLibObjPtr,
mSpot,
mGrowth,
mStdDev,
mDeflator,
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 BlackScholesCalculator2Worker::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::BlackScholesCalculator2) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 1 || !info[1]->IsString()) {
return Nan::ThrowError("PayoffID is required.");
}
if (info.Length() == 2 || !info[2]->IsNumber()) {
return Nan::ThrowError("Spot is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("Growth is required.");
}
if (info.Length() == 4 || !info[4]->IsNumber()) {
return Nan::ThrowError("StdDev is required.");
}
if (info.Length() == 5 || !info[5]->IsNumber()) {
return Nan::ThrowError("Deflator is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
String::Utf8Value strPayoffID(info[1]->ToString());
string PayoffIDCpp(strdup(*strPayoffID));
// convert js argument to c++ type
double SpotCpp = Nan::To<double>(info[2]).FromJust();
// convert js argument to c++ type
double GrowthCpp = Nan::To<double>(info[3]).FromJust();
// convert js argument to c++ type
double StdDevCpp = Nan::To<double>(info[4]).FromJust();
// convert js argument to c++ type
double DeflatorCpp = Nan::To<double>(info[5]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[6].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new BlackScholesCalculator2Worker(
callback
,ObjectIDCpp
,PayoffIDCpp
,SpotCpp
,GrowthCpp
,StdDevCpp
,DeflatorCpp
));
}
//BlackScholesCalculator2Worker::~BlackScholesCalculator2Worker(){
//
//}
//void BlackScholesCalculator2Worker::Destroy(){
//
//}
void BlackScholesCalculatorWorker::Execute(){
try{
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Option::Type OptionTypeEnum =
ObjectHandler::Create<QuantLib::Option::Type>()(mOptionType);
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlBlackScholesCalculator(
mObjectID,
mOptionType,
mStrike,
mSpot,
mGrowth,
mStdDev,
mDeflator,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::BlackScholesCalculator(
valueObject,
OptionTypeEnum,
mStrike,
mSpot,
mGrowth,
mStdDev,
mDeflator,
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 BlackScholesCalculatorWorker::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::BlackScholesCalculator) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 1 || !info[1]->IsString()) {
return Nan::ThrowError("OptionType is required.");
}
if (info.Length() == 2 || !info[2]->IsNumber()) {
return Nan::ThrowError("Strike is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("Spot is required.");
}
if (info.Length() == 4 || !info[4]->IsNumber()) {
return Nan::ThrowError("Growth is required.");
}
if (info.Length() == 5 || !info[5]->IsNumber()) {
return Nan::ThrowError("StdDev is required.");
}
if (info.Length() == 6 || !info[6]->IsNumber()) {
return Nan::ThrowError("Deflator is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
String::Utf8Value strOptionType(info[1]->ToString());
string OptionTypeCpp(strdup(*strOptionType));
// convert js argument to c++ type
double StrikeCpp = Nan::To<double>(info[2]).FromJust();
// convert js argument to c++ type
double SpotCpp = Nan::To<double>(info[3]).FromJust();
// convert js argument to c++ type
double GrowthCpp = Nan::To<double>(info[4]).FromJust();
// convert js argument to c++ type
double StdDevCpp = Nan::To<double>(info[5]).FromJust();
// convert js argument to c++ type
double DeflatorCpp = Nan::To<double>(info[6]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[7].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new BlackScholesCalculatorWorker(
callback
,ObjectIDCpp
,OptionTypeCpp
,StrikeCpp
,SpotCpp
,GrowthCpp
,StdDevCpp
,DeflatorCpp
));
}
//BlackScholesCalculatorWorker::~BlackScholesCalculatorWorker(){
//
//}
//void BlackScholesCalculatorWorker::Destroy(){
//
//}
void PricingEngineWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(ProcessIDLibObjPtr, mProcessID,
QuantLibAddin::GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess)
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlPricingEngine(
mObjectID,
mEngineID,
mProcessID,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::PricingEngine(
valueObject,
mEngineID,
ProcessIDLibObjPtr,
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 PricingEngineWorker::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::PricingEngine) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 1 || !info[1]->IsString()) {
return Nan::ThrowError("EngineID is required.");
}
if (info.Length() == 2 || !info[2]->IsString()) {
return Nan::ThrowError("ProcessID is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
String::Utf8Value strEngineID(info[1]->ToString());
string EngineIDCpp(strdup(*strEngineID));
// convert js argument to c++ type
String::Utf8Value strProcessID(info[2]->ToString());
string ProcessIDCpp(strdup(*strProcessID));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[3].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new PricingEngineWorker(
callback
,ObjectIDCpp
,EngineIDCpp
,ProcessIDCpp
));
}
//PricingEngineWorker::~PricingEngineWorker(){
//
//}
//void PricingEngineWorker::Destroy(){
//
//}
void DiscountingSwapEngineWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_OBJECT(YieldCurveCoerce, mYieldCurve, ObjectHandler::Object)
QuantLib::Handle<QuantLib::YieldTermStructure> YieldCurveLibObj =
QuantLibAddin::CoerceHandle<
QuantLibAddin::YieldTermStructure,
QuantLib::YieldTermStructure>()(
YieldCurveCoerce);
// convert input datatypes to QuantLib datatypes
QuantLib::Date SettlementDateLib = ObjectHandler::convert2<QuantLib::Date>(
mSettlementDate, "SettlementDate");
// convert input datatypes to QuantLib datatypes
QuantLib::Date NpvDateLib = ObjectHandler::convert2<QuantLib::Date>(
mNpvDate, "NpvDate");
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlDiscountingSwapEngine(
mObjectID,
mYieldCurve,
mIncludeSettlDate,
mSettlementDate,
mNpvDate,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::DiscountingSwapEngine(
valueObject,
YieldCurveLibObj,
mIncludeSettlDate,
SettlementDateLib,
NpvDateLib,
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 DiscountingSwapEngineWorker::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::DiscountingSwapEngine) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 2 || !info[2]->IsBoolean()) {
return Nan::ThrowError("IncludeSettlDate is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
ObjectHandler::property_t YieldCurveCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[1]).FromJust()));
// convert js argument to c++ type
bool IncludeSettlDateCpp = Nan::To<bool>(info[2]).FromJust();
// convert js argument to c++ type
ObjectHandler::property_t SettlementDateCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[3]).FromJust()));
// convert js argument to c++ type
ObjectHandler::property_t NpvDateCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[4]).FromJust()));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[5].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new DiscountingSwapEngineWorker(
callback
,ObjectIDCpp
,YieldCurveCpp
,IncludeSettlDateCpp
,SettlementDateCpp
,NpvDateCpp
));
}
//DiscountingSwapEngineWorker::~DiscountingSwapEngineWorker(){
//
//}
//void DiscountingSwapEngineWorker::Destroy(){
//
//}
void BinomialPricingEngineWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(ProcessIDLibObjPtr, mProcessID,
QuantLibAddin::GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess)
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlBinomialPricingEngine(
mObjectID,
mEngineID,
mProcessID,
mTimeSteps,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::PricingEngine(
valueObject,
mEngineID,
ProcessIDLibObjPtr,
mTimeSteps,
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 BinomialPricingEngineWorker::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::BinomialPricingEngine) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 1 || !info[1]->IsString()) {
return Nan::ThrowError("EngineID is required.");
}
if (info.Length() == 2 || !info[2]->IsString()) {
return Nan::ThrowError("ProcessID is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("TimeSteps is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
String::Utf8Value strEngineID(info[1]->ToString());
string EngineIDCpp(strdup(*strEngineID));
// convert js argument to c++ type
String::Utf8Value strProcessID(info[2]->ToString());
string ProcessIDCpp(strdup(*strProcessID));
// convert js argument to c++ type
long TimeStepsCpp = Nan::To<int32_t>(info[3]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[4].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new BinomialPricingEngineWorker(
callback
,ObjectIDCpp
,EngineIDCpp
,ProcessIDCpp
,TimeStepsCpp
));
}
//BinomialPricingEngineWorker::~BinomialPricingEngineWorker(){
//
//}
//void BinomialPricingEngineWorker::Destroy(){
//
//}
void BlackSwaptionEngineWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_OBJECT(YieldCurveCoerce, mYieldCurve, ObjectHandler::Object)
QuantLib::Handle<QuantLib::YieldTermStructure> YieldCurveLibObj =
QuantLibAddin::CoerceHandle<
QuantLibAddin::YieldTermStructure,
QuantLib::YieldTermStructure>()(
YieldCurveCoerce);
// convert object IDs into library objects
OH_GET_OBJECT(VolTSCoerce, mVolTS, ObjectHandler::Object)
QuantLib::Handle<QuantLib::SwaptionVolatilityStructure> VolTSLibObj =
QuantLibAddin::CoerceHandle<
QuantLibAddin::SwaptionVolatilityStructure,
QuantLib::SwaptionVolatilityStructure>()(
VolTSCoerce);
// convert input datatypes to QuantLib datatypes
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlBlackSwaptionEngine(
mObjectID,
mYieldCurve,
mVolTS,
mDisplacement,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::BlackSwaptionEngine(
valueObject,
YieldCurveLibObj,
VolTSLibObj,
mDisplacement,
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 BlackSwaptionEngineWorker::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::BlackSwaptionEngine) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("Displacement is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
ObjectHandler::property_t YieldCurveCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[1]).FromJust()));
// convert js argument to c++ type
ObjectHandler::property_t VolTSCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[2]).FromJust()));
// convert js argument to c++ type
double DisplacementCpp = Nan::To<double>(info[3]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[4].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new BlackSwaptionEngineWorker(
callback
,ObjectIDCpp
,YieldCurveCpp
,VolTSCpp
,DisplacementCpp
));
}
//BlackSwaptionEngineWorker::~BlackSwaptionEngineWorker(){
//
//}
//void BlackSwaptionEngineWorker::Destroy(){
//
//}
void BlackSwaptionEngine2Worker::Execute(){
try{
// convert object IDs into library objects
OH_GET_OBJECT(YieldCurveCoerce, mYieldCurve, ObjectHandler::Object)
QuantLib::Handle<QuantLib::YieldTermStructure> YieldCurveLibObj =
QuantLibAddin::CoerceHandle<
QuantLibAddin::YieldTermStructure,
QuantLib::YieldTermStructure>()(
YieldCurveCoerce);
// convert object IDs into library objects
QuantLib::Handle<QuantLib::Quote> VolLibObj =
ObjectHandler::convert2< QuantLib::Handle<QuantLib::Quote> >(mVol, "Vol");
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::DayCounter DayCounterEnum =
ObjectHandler::Create<QuantLib::DayCounter>()(mDayCounter);
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlBlackSwaptionEngine2(