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bonds.cpp
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5315 lines (3996 loc) · 133 KB
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/*
Copyright (C) 2016 -2017 Jerry Jin
*/
#include <nan.h>
#include <string.h>
#include "bonds.hpp"
#include <qlo/qladdindefines.hpp>
#include <qlo/indexes/iborindex.hpp>
#include <qlo/indexes/swapindex.hpp>
#include <qlo/schedule.hpp>
#include <qlo/bonds.hpp>
#include <qlo/termstructures.hpp>
#include <qlo/couponvectors.hpp>
#include <ql/instruments/bond.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/pricingengines/bond/bondfunctions.hpp>
#include <ql/currency.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/indexes/swapindex.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 FixedRateBondWorker::Execute(){
try{
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Currency CurrencyEnum =
ObjectHandler::Create<QuantLib::Currency>()(mCurrency);
// convert input datatypes to QuantLib datatypes
QuantLib::Size SettlementDaysLib;
QuantLibAddin::cppToLibrary(mSettlementDays, SettlementDaysLib);
// convert input datatypes to QuantLib datatypes
// convert object IDs into library objects
OH_GET_REFERENCE(ScheduleIDLibObjPtr, mScheduleID,
QuantLibAddin::Schedule, QuantLib::Schedule)
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::DayCounter DayCounterEnum =
ObjectHandler::Create<QuantLib::DayCounter>()(mDayCounter);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::BusinessDayConvention PaymentBDCEnum =
ObjectHandler::Create<QuantLib::BusinessDayConvention>()(mPaymentBDC);
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
QuantLib::Date IssueDateLib = ObjectHandler::convert2<QuantLib::Date>(
mIssueDate, "IssueDate");
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Calendar PaymentCalendarEnum =
ObjectHandler::Create<QuantLib::Calendar>()(mPaymentCalendar);
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlFixedRateBond(
mObjectID,
mDescription,
mCurrency,
mSettlementDays,
mFaceAmount,
mScheduleID,
mCoupons,
mDayCounter,
mPaymentBDC,
mRedemption,
mIssueDate,
mPaymentCalendar,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::FixedRateBond(
valueObject,
mDescription,
CurrencyEnum,
SettlementDaysLib,
mFaceAmount,
ScheduleIDLibObjPtr,
mCoupons,
DayCounterEnum,
PaymentBDCEnum,
mRedemption,
IssueDateLib,
PaymentCalendarEnum,
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 FixedRateBondWorker::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::FixedRateBond) {
// 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("Description is required.");
}
if (info.Length() == 2 || !info[2]->IsString()) {
return Nan::ThrowError("Currency is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("SettlementDays is required.");
}
if (info.Length() == 4 || !info[4]->IsNumber()) {
return Nan::ThrowError("FaceAmount is required.");
}
if (info.Length() == 5 || !info[5]->IsString()) {
return Nan::ThrowError("ScheduleID is required.");
}
if (info.Length() == 6 || !info[6]->IsArray()) {
return Nan::ThrowError("Coupons is required.");
}
if (info.Length() == 7 || !info[7]->IsString()) {
return Nan::ThrowError("DayCounter is required.");
}
if (info.Length() == 8 || !info[8]->IsString()) {
return Nan::ThrowError("PaymentBDC is required.");
}
if (info.Length() == 9 || !info[9]->IsNumber()) {
return Nan::ThrowError("Redemption is required.");
}
if (info.Length() == 11 || !info[11]->IsString()) {
return Nan::ThrowError("PaymentCalendar 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 strDescription(info[1]->ToString());
string DescriptionCpp(strdup(*strDescription));
// convert js argument to c++ type
String::Utf8Value strCurrency(info[2]->ToString());
string CurrencyCpp(strdup(*strCurrency));
// convert js argument to c++ type
long SettlementDaysCpp = Nan::To<int32_t>(info[3]).FromJust();
// convert js argument to c++ type
double FaceAmountCpp = Nan::To<double>(info[4]).FromJust();
// convert js argument to c++ type
String::Utf8Value strScheduleID(info[5]->ToString());
string ScheduleIDCpp(strdup(*strScheduleID));
// convert js argument to c++ type
std::vector<double>CouponsCpp;
Local<Array> CouponsArray = info[6].As<Array>();
for (unsigned int i = 0; i < CouponsArray->Length(); i++){
CouponsCpp.push_back(Nan::To<double>(Nan::Get(CouponsArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
String::Utf8Value strDayCounter(info[7]->ToString());
string DayCounterCpp(strdup(*strDayCounter));
// convert js argument to c++ type
String::Utf8Value strPaymentBDC(info[8]->ToString());
string PaymentBDCCpp(strdup(*strPaymentBDC));
// convert js argument to c++ type
double RedemptionCpp = Nan::To<double>(info[9]).FromJust();
// convert js argument to c++ type
ObjectHandler::property_t IssueDateCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[10]).FromJust()));
// convert js argument to c++ type
String::Utf8Value strPaymentCalendar(info[11]->ToString());
string PaymentCalendarCpp(strdup(*strPaymentCalendar));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[12].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new FixedRateBondWorker(
callback
,ObjectIDCpp
,DescriptionCpp
,CurrencyCpp
,SettlementDaysCpp
,FaceAmountCpp
,ScheduleIDCpp
,CouponsCpp
,DayCounterCpp
,PaymentBDCCpp
,RedemptionCpp
,IssueDateCpp
,PaymentCalendarCpp
));
}
//FixedRateBondWorker::~FixedRateBondWorker(){
//
//}
//void FixedRateBondWorker::Destroy(){
//
//}
void FixedRateBond2Worker::Execute(){
try{
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Currency CurrencyEnum =
ObjectHandler::Create<QuantLib::Currency>()(mCurrency);
// convert input datatypes to QuantLib datatypes
QuantLib::Size SettlementDaysLib;
QuantLibAddin::cppToLibrary(mSettlementDays, SettlementDaysLib);
// convert input datatypes to QuantLib datatypes
// convert object IDs into library objects
OH_GET_REFERENCE(ScheduleIDLibObjPtr, mScheduleID,
QuantLibAddin::Schedule, QuantLib::Schedule)
// convert object IDs into library objects
std::vector< boost::shared_ptr<QuantLib::InterestRate> > CouponsLibObjPtr =
ObjectHandler::getLibraryObjectVector<QuantLibAddin::InterestRate, QuantLib::InterestRate>(mCoupons);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::BusinessDayConvention PaymentBDCEnum =
ObjectHandler::Create<QuantLib::BusinessDayConvention>()(mPaymentBDC);
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
QuantLib::Date IssueDateLib = ObjectHandler::convert2<QuantLib::Date>(
mIssueDate, "IssueDate");
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Calendar PaymentCalendarEnum =
ObjectHandler::Create<QuantLib::Calendar>()(mPaymentCalendar);
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlFixedRateBond2(
mObjectID,
mDescription,
mCurrency,
mSettlementDays,
mFaceAmount,
mScheduleID,
mCoupons,
mPaymentBDC,
mRedemption,
mIssueDate,
mPaymentCalendar,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::FixedRateBond(
valueObject,
mDescription,
CurrencyEnum,
SettlementDaysLib,
mFaceAmount,
ScheduleIDLibObjPtr,
CouponsLibObjPtr,
PaymentBDCEnum,
mRedemption,
IssueDateLib,
PaymentCalendarEnum,
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 FixedRateBond2Worker::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::FixedRateBond2) {
// 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("Description is required.");
}
if (info.Length() == 2 || !info[2]->IsString()) {
return Nan::ThrowError("Currency is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("SettlementDays is required.");
}
if (info.Length() == 4 || !info[4]->IsNumber()) {
return Nan::ThrowError("FaceAmount is required.");
}
if (info.Length() == 5 || !info[5]->IsString()) {
return Nan::ThrowError("ScheduleID is required.");
}
if (info.Length() == 6 || !info[6]->IsArray()) {
return Nan::ThrowError("Coupons is required.");
}
if (info.Length() == 7 || !info[7]->IsString()) {
return Nan::ThrowError("PaymentBDC is required.");
}
if (info.Length() == 8 || !info[8]->IsNumber()) {
return Nan::ThrowError("Redemption is required.");
}
if (info.Length() == 10 || !info[10]->IsString()) {
return Nan::ThrowError("PaymentCalendar 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 strDescription(info[1]->ToString());
string DescriptionCpp(strdup(*strDescription));
// convert js argument to c++ type
String::Utf8Value strCurrency(info[2]->ToString());
string CurrencyCpp(strdup(*strCurrency));
// convert js argument to c++ type
long SettlementDaysCpp = Nan::To<int32_t>(info[3]).FromJust();
// convert js argument to c++ type
double FaceAmountCpp = Nan::To<double>(info[4]).FromJust();
// convert js argument to c++ type
String::Utf8Value strScheduleID(info[5]->ToString());
string ScheduleIDCpp(strdup(*strScheduleID));
// convert js argument to c++ type
std::vector<string>CouponsCpp;
Local<Array> CouponsArray = info[6].As<Array>();
for (unsigned int i = 0; i < CouponsArray->Length(); i++){
String::Utf8Value strCoupons(Nan::Get(CouponsArray, i).ToLocalChecked()->ToString());
CouponsCpp.push_back(strdup(*strCoupons));
}
// convert js argument to c++ type
String::Utf8Value strPaymentBDC(info[7]->ToString());
string PaymentBDCCpp(strdup(*strPaymentBDC));
// convert js argument to c++ type
double RedemptionCpp = Nan::To<double>(info[8]).FromJust();
// convert js argument to c++ type
ObjectHandler::property_t IssueDateCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[9]).FromJust()));
// convert js argument to c++ type
String::Utf8Value strPaymentCalendar(info[10]->ToString());
string PaymentCalendarCpp(strdup(*strPaymentCalendar));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[11].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new FixedRateBond2Worker(
callback
,ObjectIDCpp
,DescriptionCpp
,CurrencyCpp
,SettlementDaysCpp
,FaceAmountCpp
,ScheduleIDCpp
,CouponsCpp
,PaymentBDCCpp
,RedemptionCpp
,IssueDateCpp
,PaymentCalendarCpp
));
}
//FixedRateBond2Worker::~FixedRateBond2Worker(){
//
//}
//void FixedRateBond2Worker::Destroy(){
//
//}
void FloatingRateBondWorker::Execute(){
try{
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Currency CurrencyEnum =
ObjectHandler::Create<QuantLib::Currency>()(mCurrency);
// convert input datatypes to QuantLib datatypes
QuantLib::Size SettlementDaysLib;
QuantLibAddin::cppToLibrary(mSettlementDays, SettlementDaysLib);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::BusinessDayConvention PaymentBDCEnum =
ObjectHandler::Create<QuantLib::BusinessDayConvention>()(mPaymentBDC);
// convert input datatypes to QuantLib datatypes
// convert object IDs into library objects
OH_GET_REFERENCE(ScheduleIDLibObjPtr, mScheduleID,
QuantLibAddin::Schedule, QuantLib::Schedule)
// convert input datatypes to QuantLib datatypes
QuantLib::Natural FixingDaysLib = ObjectHandler::convert2<long>(
mFixingDays, "FixingDays", QuantLib::Null<QuantLib::Natural>());
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::DayCounter DayCounterEnum =
ObjectHandler::Create<QuantLib::DayCounter>()(mDayCounter);
// convert object IDs into library objects
OH_GET_REFERENCE(IborIndexLibObjPtr, mIborIndex,
QuantLibAddin::IborIndex, QuantLib::IborIndex)
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
QuantLib::Date IssueDateLib = ObjectHandler::convert2<QuantLib::Date>(
mIssueDate, "IssueDate");
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlFloatingRateBond(
mObjectID,
mDescription,
mCurrency,
mSettlementDays,
mPaymentBDC,
mFaceAmount,
mScheduleID,
mFixingDays,
mIsInArrears,
mDayCounter,
mFloors,
mGearings,
mIborIndex,
mSpreads,
mCaps,
mRedemption,
mIssueDate,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::FloatingRateBond(
valueObject,
mDescription,
CurrencyEnum,
SettlementDaysLib,
PaymentBDCEnum,
mFaceAmount,
ScheduleIDLibObjPtr,
FixingDaysLib,
mIsInArrears,
DayCounterEnum,
mFloors,
mGearings,
IborIndexLibObjPtr,
mSpreads,
mCaps,
mRedemption,
IssueDateLib,
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 FloatingRateBondWorker::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::FloatingRateBond) {
// 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("Description is required.");
}
if (info.Length() == 2 || !info[2]->IsString()) {
return Nan::ThrowError("Currency is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("SettlementDays is required.");
}
if (info.Length() == 4 || !info[4]->IsString()) {
return Nan::ThrowError("PaymentBDC is required.");
}
if (info.Length() == 5 || !info[5]->IsNumber()) {
return Nan::ThrowError("FaceAmount is required.");
}
if (info.Length() == 6 || !info[6]->IsString()) {
return Nan::ThrowError("ScheduleID is required.");
}
if (info.Length() == 8 || !info[8]->IsBoolean()) {
return Nan::ThrowError("IsInArrears is required.");
}
if (info.Length() == 9 || !info[9]->IsString()) {
return Nan::ThrowError("DayCounter is required.");
}
if (info.Length() == 10 || !info[10]->IsArray()) {
return Nan::ThrowError("Floors is required.");
}
if (info.Length() == 11 || !info[11]->IsArray()) {
return Nan::ThrowError("Gearings is required.");
}
if (info.Length() == 12 || !info[12]->IsString()) {
return Nan::ThrowError("IborIndex is required.");
}
if (info.Length() == 13 || !info[13]->IsArray()) {
return Nan::ThrowError("Spreads is required.");
}
if (info.Length() == 14 || !info[14]->IsArray()) {
return Nan::ThrowError("Caps is required.");
}
if (info.Length() == 15 || !info[15]->IsNumber()) {
return Nan::ThrowError("Redemption 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 strDescription(info[1]->ToString());
string DescriptionCpp(strdup(*strDescription));
// convert js argument to c++ type
String::Utf8Value strCurrency(info[2]->ToString());
string CurrencyCpp(strdup(*strCurrency));
// convert js argument to c++ type
long SettlementDaysCpp = Nan::To<int32_t>(info[3]).FromJust();
// convert js argument to c++ type
String::Utf8Value strPaymentBDC(info[4]->ToString());
string PaymentBDCCpp(strdup(*strPaymentBDC));
// convert js argument to c++ type
double FaceAmountCpp = Nan::To<double>(info[5]).FromJust();
// convert js argument to c++ type
String::Utf8Value strScheduleID(info[6]->ToString());
string ScheduleIDCpp(strdup(*strScheduleID));
// convert js argument to c++ type
ObjectHandler::property_t FixingDaysCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[7]).FromJust()));
// convert js argument to c++ type
bool IsInArrearsCpp = Nan::To<bool>(info[8]).FromJust();
// convert js argument to c++ type
String::Utf8Value strDayCounter(info[9]->ToString());
string DayCounterCpp(strdup(*strDayCounter));
// convert js argument to c++ type
std::vector<double>FloorsCpp;
Local<Array> FloorsArray = info[10].As<Array>();
for (unsigned int i = 0; i < FloorsArray->Length(); i++){
FloorsCpp.push_back(Nan::To<double>(Nan::Get(FloorsArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
std::vector<double>GearingsCpp;
Local<Array> GearingsArray = info[11].As<Array>();
for (unsigned int i = 0; i < GearingsArray->Length(); i++){
GearingsCpp.push_back(Nan::To<double>(Nan::Get(GearingsArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
String::Utf8Value strIborIndex(info[12]->ToString());
string IborIndexCpp(strdup(*strIborIndex));
// convert js argument to c++ type
std::vector<double>SpreadsCpp;
Local<Array> SpreadsArray = info[13].As<Array>();
for (unsigned int i = 0; i < SpreadsArray->Length(); i++){
SpreadsCpp.push_back(Nan::To<double>(Nan::Get(SpreadsArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
std::vector<double>CapsCpp;
Local<Array> CapsArray = info[14].As<Array>();
for (unsigned int i = 0; i < CapsArray->Length(); i++){
CapsCpp.push_back(Nan::To<double>(Nan::Get(CapsArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
double RedemptionCpp = Nan::To<double>(info[15]).FromJust();
// convert js argument to c++ type
ObjectHandler::property_t IssueDateCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[16]).FromJust()));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[17].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new FloatingRateBondWorker(
callback
,ObjectIDCpp
,DescriptionCpp
,CurrencyCpp
,SettlementDaysCpp
,PaymentBDCCpp
,FaceAmountCpp
,ScheduleIDCpp
,FixingDaysCpp
,IsInArrearsCpp
,DayCounterCpp
,FloorsCpp
,GearingsCpp
,IborIndexCpp
,SpreadsCpp
,CapsCpp
,RedemptionCpp
,IssueDateCpp
));
}
//FloatingRateBondWorker::~FloatingRateBondWorker(){
//
//}
//void FloatingRateBondWorker::Destroy(){
//
//}
void CmsRateBondWorker::Execute(){
try{
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Currency CurrencyEnum =
ObjectHandler::Create<QuantLib::Currency>()(mCurrency);
// convert input datatypes to QuantLib datatypes
QuantLib::Size SettlementDaysLib;
QuantLibAddin::cppToLibrary(mSettlementDays, SettlementDaysLib);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::BusinessDayConvention PaymentBDCEnum =
ObjectHandler::Create<QuantLib::BusinessDayConvention>()(mPaymentBDC);
// convert input datatypes to QuantLib datatypes
// convert object IDs into library objects
OH_GET_REFERENCE(ScheduleIDLibObjPtr, mScheduleID,
QuantLibAddin::Schedule, QuantLib::Schedule)
// convert input datatypes to QuantLib datatypes
QuantLib::Natural FixingDaysLib = ObjectHandler::convert2<long>(
mFixingDays, "FixingDays", QuantLib::Null<QuantLib::Natural>());
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::DayCounter DayCounterEnum =
ObjectHandler::Create<QuantLib::DayCounter>()(mDayCounter);
// convert object IDs into library objects
OH_GET_REFERENCE(SwapIndexLibObjPtr, mSwapIndex,
QuantLibAddin::SwapIndex, QuantLib::SwapIndex)
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
QuantLib::Date IssueDateLib = ObjectHandler::convert2<QuantLib::Date>(
mIssueDate, "IssueDate");
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlCmsRateBond(
mObjectID,
mDescription,
mCurrency,
mSettlementDays,
mPaymentBDC,
mFaceAmount,
mScheduleID,
mFixingDays,
mIsInArrears,
mDayCounter,
mFloors,
mGearings,
mSwapIndex,
mSpreads,
mCaps,
mRedemption,
mIssueDate,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::CmsRateBond(
valueObject,
mDescription,
CurrencyEnum,
SettlementDaysLib,
PaymentBDCEnum,
mFaceAmount,
ScheduleIDLibObjPtr,
FixingDaysLib,
mIsInArrears,
DayCounterEnum,
mFloors,
mGearings,
SwapIndexLibObjPtr,
mSpreads,
mCaps,
mRedemption,
IssueDateLib,
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 CmsRateBondWorker::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::CmsRateBond) {
// 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("Description is required.");
}
if (info.Length() == 2 || !info[2]->IsString()) {
return Nan::ThrowError("Currency is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("SettlementDays is required.");
}
if (info.Length() == 4 || !info[4]->IsString()) {
return Nan::ThrowError("PaymentBDC is required.");
}
if (info.Length() == 5 || !info[5]->IsNumber()) {
return Nan::ThrowError("FaceAmount is required.");
}
if (info.Length() == 6 || !info[6]->IsString()) {
return Nan::ThrowError("ScheduleID is required.");
}
if (info.Length() == 8 || !info[8]->IsBoolean()) {
return Nan::ThrowError("IsInArrears is required.");
}
if (info.Length() == 9 || !info[9]->IsString()) {
return Nan::ThrowError("DayCounter is required.");
}
if (info.Length() == 10 || !info[10]->IsArray()) {
return Nan::ThrowError("Floors is required.");
}
if (info.Length() == 11 || !info[11]->IsArray()) {
return Nan::ThrowError("Gearings is required.");
}
if (info.Length() == 12 || !info[12]->IsString()) {
return Nan::ThrowError("SwapIndex is required.");
}
if (info.Length() == 13 || !info[13]->IsArray()) {
return Nan::ThrowError("Spreads is required.");
}
if (info.Length() == 14 || !info[14]->IsArray()) {
return Nan::ThrowError("Caps is required.");
}
if (info.Length() == 15 || !info[15]->IsNumber()) {
return Nan::ThrowError("Redemption 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 strDescription(info[1]->ToString());
string DescriptionCpp(strdup(*strDescription));
// convert js argument to c++ type
String::Utf8Value strCurrency(info[2]->ToString());
string CurrencyCpp(strdup(*strCurrency));
// convert js argument to c++ type
long SettlementDaysCpp = Nan::To<int32_t>(info[3]).FromJust();
// convert js argument to c++ type
String::Utf8Value strPaymentBDC(info[4]->ToString());
string PaymentBDCCpp(strdup(*strPaymentBDC));
// convert js argument to c++ type
double FaceAmountCpp = Nan::To<double>(info[5]).FromJust();
// convert js argument to c++ type
String::Utf8Value strScheduleID(info[6]->ToString());
string ScheduleIDCpp(strdup(*strScheduleID));
// convert js argument to c++ type
ObjectHandler::property_t FixingDaysCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[7]).FromJust()));
// convert js argument to c++ type
bool IsInArrearsCpp = Nan::To<bool>(info[8]).FromJust();
// convert js argument to c++ type
String::Utf8Value strDayCounter(info[9]->ToString());
string DayCounterCpp(strdup(*strDayCounter));
// convert js argument to c++ type
std::vector<double>FloorsCpp;
Local<Array> FloorsArray = info[10].As<Array>();
for (unsigned int i = 0; i < FloorsArray->Length(); i++){
FloorsCpp.push_back(Nan::To<double>(Nan::Get(FloorsArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
std::vector<double>GearingsCpp;
Local<Array> GearingsArray = info[11].As<Array>();
for (unsigned int i = 0; i < GearingsArray->Length(); i++){
GearingsCpp.push_back(Nan::To<double>(Nan::Get(GearingsArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
String::Utf8Value strSwapIndex(info[12]->ToString());
string SwapIndexCpp(strdup(*strSwapIndex));
// convert js argument to c++ type
std::vector<double>SpreadsCpp;
Local<Array> SpreadsArray = info[13].As<Array>();
for (unsigned int i = 0; i < SpreadsArray->Length(); i++){
SpreadsCpp.push_back(Nan::To<double>(Nan::Get(SpreadsArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
std::vector<double>CapsCpp;
Local<Array> CapsArray = info[14].As<Array>();
for (unsigned int i = 0; i < CapsArray->Length(); i++){
CapsCpp.push_back(Nan::To<double>(Nan::Get(CapsArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
double RedemptionCpp = Nan::To<double>(info[15]).FromJust();
// convert js argument to c++ type
ObjectHandler::property_t IssueDateCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[16]).FromJust()));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[17].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new CmsRateBondWorker(
callback
,ObjectIDCpp
,DescriptionCpp
,CurrencyCpp
,SettlementDaysCpp
,PaymentBDCCpp
,FaceAmountCpp
,ScheduleIDCpp
,FixingDaysCpp
,IsInArrearsCpp
,DayCounterCpp
,FloorsCpp
,GearingsCpp
,SwapIndexCpp
,SpreadsCpp
,CapsCpp