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capletvolstructure.cpp
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3635 lines (2726 loc) · 96.5 KB
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/*
Copyright (C) 2016 -2017 Jerry Jin
*/
#include <nan.h>
#include <string.h>
#include "capletvolstructure.hpp"
#include <qlo/qladdindefines.hpp>
#include <qlo/indexes/iborindex.hpp>
#include <qlo/capletvolstructure.hpp>
#include <qlo/quote.hpp>
#include <qlo/termstructures.hpp>
#include <qlo/handleimpl.hpp>
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>
#include <ql/termstructures/volatility/optionlet/optionletstripper1.hpp>
#include <ql/termstructures/volatility/optionlet/optionletstripper2.hpp>
#include <ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp>
#include <ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp>
#include <ql/indexes/iborindex.hpp>
#include <qlo/loop/loop_capletvolstructure.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 RelinkableHandleOptionletVolatilityStructureWorker::Execute(){
try{
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlRelinkableHandleOptionletVolatilityStructure(
mObjectID,
mCurrentLink,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::RelinkableHandleImpl<QuantLibAddin::OptionletVolatilityStructure, QuantLib::OptionletVolatilityStructure>(
valueObject,
mCurrentLink,
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 RelinkableHandleOptionletVolatilityStructureWorker::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::RelinkableHandleOptionletVolatilityStructure) {
// 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("CurrentLink 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 strCurrentLink(info[1]->ToString());
string CurrentLinkCpp(strdup(*strCurrentLink));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[2].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new RelinkableHandleOptionletVolatilityStructureWorker(
callback
,ObjectIDCpp
,CurrentLinkCpp
));
}
//RelinkableHandleOptionletVolatilityStructureWorker::~RelinkableHandleOptionletVolatilityStructureWorker(){
//
//}
//void RelinkableHandleOptionletVolatilityStructureWorker::Destroy(){
//
//}
void ConstantOptionletVolatilityWorker::Execute(){
try{
// convert input datatypes to QuantLib datatypes
QuantLib::Size NDaysLib;
QuantLibAddin::cppToLibrary(mNDays, NDaysLib);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Calendar CalendarEnum =
ObjectHandler::Create<QuantLib::Calendar>()(mCalendar);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::BusinessDayConvention BusinessDayConventionEnum =
ObjectHandler::Create<QuantLib::BusinessDayConvention>()(mBusinessDayConvention);
// convert object IDs into library objects
QuantLib::Handle<QuantLib::Quote> VolatilityLibObj =
ObjectHandler::convert2< QuantLib::Handle<QuantLib::Quote> >(mVolatility, "Volatility");
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::DayCounter DayCounterEnum =
ObjectHandler::Create<QuantLib::DayCounter>()(mDayCounter);
// convert input datatypes to QuantLib datatypes
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlConstantOptionletVolatility(
mObjectID,
mNDays,
mCalendar,
mBusinessDayConvention,
mVolatility,
mDayCounter,
mVolatilityType,
mDisplacement,
false
));
// Construct the Object
std::map<std::string, QuantLib::VolatilityType> strEnum;
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::ConstantOptionletVolatility(
valueObject,
NDaysLib,
CalendarEnum,
BusinessDayConventionEnum,
VolatilityLibObj,
DayCounterEnum,
strEnum[mVolatilityType],
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 ConstantOptionletVolatilityWorker::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::ConstantOptionletVolatility) {
// 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("NDays is required.");
}
if (info.Length() == 2 || !info[2]->IsString()) {
return Nan::ThrowError("Calendar is required.");
}
if (info.Length() == 3 || !info[3]->IsString()) {
return Nan::ThrowError("BusinessDayConvention is required.");
}
if (info.Length() == 5 || !info[5]->IsString()) {
return Nan::ThrowError("DayCounter is required.");
}
if (info.Length() == 6 || !info[6]->IsString()) {
return Nan::ThrowError("VolatilityType is required.");
}
if (info.Length() == 7 || !info[7]->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
long NDaysCpp = Nan::To<int32_t>(info[1]).FromJust();
// convert js argument to c++ type
String::Utf8Value strCalendar(info[2]->ToString());
string CalendarCpp(strdup(*strCalendar));
// convert js argument to c++ type
String::Utf8Value strBusinessDayConvention(info[3]->ToString());
string BusinessDayConventionCpp(strdup(*strBusinessDayConvention));
// convert js argument to c++ type
ObjectHandler::property_t VolatilityCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[4]).FromJust()));
// convert js argument to c++ type
String::Utf8Value strDayCounter(info[5]->ToString());
string DayCounterCpp(strdup(*strDayCounter));
// convert js argument to c++ type
String::Utf8Value strVolatilityType(info[6]->ToString());
string VolatilityTypeCpp(strdup(*strVolatilityType));
// convert js argument to c++ type
double DisplacementCpp = Nan::To<double>(info[7]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[8].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new ConstantOptionletVolatilityWorker(
callback
,ObjectIDCpp
,NDaysCpp
,CalendarCpp
,BusinessDayConventionCpp
,VolatilityCpp
,DayCounterCpp
,VolatilityTypeCpp
,DisplacementCpp
));
}
//ConstantOptionletVolatilityWorker::~ConstantOptionletVolatilityWorker(){
//
//}
//void ConstantOptionletVolatilityWorker::Destroy(){
//
//}
void SpreadedOptionletVolatilityWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_OBJECT(BaseVolStructureCoerce, mBaseVolStructure, ObjectHandler::Object)
QuantLib::Handle<QuantLib::OptionletVolatilityStructure> BaseVolStructureLibObj =
QuantLibAddin::CoerceHandle<
QuantLibAddin::OptionletVolatilityStructure,
QuantLib::OptionletVolatilityStructure>()(
BaseVolStructureCoerce);
// convert object IDs into library objects
QuantLib::Handle<QuantLib::Quote> SpreadLibObj =
ObjectHandler::convert2< QuantLib::Handle<QuantLib::Quote> >(mSpread, "Spread");
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlSpreadedOptionletVolatility(
mObjectID,
mBaseVolStructure,
mSpread,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::SpreadedOptionletVolatility(
valueObject,
BaseVolStructureLibObj,
SpreadLibObj,
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 SpreadedOptionletVolatilityWorker::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::SpreadedOptionletVolatility) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID 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 BaseVolStructureCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[1]).FromJust()));
// convert js argument to c++ type
ObjectHandler::property_t SpreadCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[2]).FromJust()));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[3].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new SpreadedOptionletVolatilityWorker(
callback
,ObjectIDCpp
,BaseVolStructureCpp
,SpreadCpp
));
}
//SpreadedOptionletVolatilityWorker::~SpreadedOptionletVolatilityWorker(){
//
//}
//void SpreadedOptionletVolatilityWorker::Destroy(){
//
//}
void StrippedOptionletAdapterWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(StrippedOptionletBaseLibObjPtr, mStrippedOptionletBase,
QuantLibAddin::StrippedOptionletBase, QuantLib::StrippedOptionletBase)
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlStrippedOptionletAdapter(
mObjectID,
mStrippedOptionletBase,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::StrippedOptionletAdapter(
valueObject,
StrippedOptionletBaseLibObjPtr,
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 StrippedOptionletAdapterWorker::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::StrippedOptionletAdapter) {
// 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("StrippedOptionletBase 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 strStrippedOptionletBase(info[1]->ToString());
string StrippedOptionletBaseCpp(strdup(*strStrippedOptionletBase));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[2].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new StrippedOptionletAdapterWorker(
callback
,ObjectIDCpp
,StrippedOptionletBaseCpp
));
}
//StrippedOptionletAdapterWorker::~StrippedOptionletAdapterWorker(){
//
//}
//void StrippedOptionletAdapterWorker::Destroy(){
//
//}
void StrippedOptionletWorker::Execute(){
try{
// convert input datatypes to QuantLib datatypes
QuantLib::Size SettlementDaysLib;
QuantLibAddin::cppToLibrary(mSettlementDays, SettlementDaysLib);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Calendar CalendarEnum =
ObjectHandler::Create<QuantLib::Calendar>()(mCalendar);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::BusinessDayConvention BusinessDayConventionEnum =
ObjectHandler::Create<QuantLib::BusinessDayConvention>()(mBusinessDayConvention);
// convert object IDs into library objects
OH_GET_REFERENCE(IborIndexLibObjPtr, mIborIndex,
QuantLibAddin::IborIndex, QuantLib::IborIndex)
// convert input datatypes to QuantLib datatypes
std::vector<QuantLib::Date> OptionletDatesLib = ObjectHandler::vector::convert2<QuantLib::Date>(
mOptionletDates, "OptionletDates");
// convert object IDs into library objects
std::vector< std::vector< QuantLib::Handle<QuantLib::Quote> > > VolatilitiesLibObj =
ObjectHandler::matrix::convert2< QuantLib::Handle<QuantLib::Quote> >(mVolatilities, "Volatilities");
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::DayCounter DayCounterEnum =
ObjectHandler::Create<QuantLib::DayCounter>()(mDayCounter);
// convert input datatypes to QuantLib datatypes
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlStrippedOptionlet(
mObjectID,
mSettlementDays,
mCalendar,
mBusinessDayConvention,
mIborIndex,
mOptionletDates,
mStrikes,
mVolatilities,
mDayCounter,
mVolatilityType,
mDisplacement,
false
));
// Construct the Object
std::map<std::string, QuantLib::VolatilityType> strEnum;
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::StrippedOptionlet(
valueObject,
SettlementDaysLib,
CalendarEnum,
BusinessDayConventionEnum,
IborIndexLibObjPtr,
OptionletDatesLib,
mStrikes,
VolatilitiesLibObj,
DayCounterEnum,
strEnum[mVolatilityType],
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 StrippedOptionletWorker::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::StrippedOptionlet) {
// 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("SettlementDays is required.");
}
if (info.Length() == 2 || !info[2]->IsString()) {
return Nan::ThrowError("Calendar is required.");
}
if (info.Length() == 3 || !info[3]->IsString()) {
return Nan::ThrowError("BusinessDayConvention is required.");
}
if (info.Length() == 4 || !info[4]->IsString()) {
return Nan::ThrowError("IborIndex is required.");
}
if (info.Length() == 5 || !info[5]->IsArray()) {
return Nan::ThrowError("OptionletDates is required.");
}
if (info.Length() == 6 || !info[6]->IsArray()) {
return Nan::ThrowError("Strikes is required.");
}
if (info.Length() == 7 || !info[7]->IsArray()) {
return Nan::ThrowError("Volatilities is required.");
}
if (info.Length() == 8 || !info[8]->IsString()) {
return Nan::ThrowError("DayCounter is required.");
}
if (info.Length() == 9 || !info[9]->IsString()) {
return Nan::ThrowError("VolatilityType is required.");
}
if (info.Length() == 10 || !info[10]->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
long SettlementDaysCpp = Nan::To<int32_t>(info[1]).FromJust();
// convert js argument to c++ type
String::Utf8Value strCalendar(info[2]->ToString());
string CalendarCpp(strdup(*strCalendar));
// convert js argument to c++ type
String::Utf8Value strBusinessDayConvention(info[3]->ToString());
string BusinessDayConventionCpp(strdup(*strBusinessDayConvention));
// convert js argument to c++ type
String::Utf8Value strIborIndex(info[4]->ToString());
string IborIndexCpp(strdup(*strIborIndex));
// convert js argument to c++ type
std::vector<ObjectHandler::property_t>OptionletDatesCpp;
Local<Array> OptionletDatesArray = info[5].As<Array>();
for (unsigned int i = 0; i < OptionletDatesArray->Length(); i++){
ObjectHandler::property_t tmp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(Nan::Get(OptionletDatesArray, i).ToLocalChecked()).FromJust()));
OptionletDatesCpp.push_back(tmp);
}
// convert js argument to c++ type
std::vector<double>StrikesCpp;
Local<Array> StrikesArray = info[6].As<Array>();
for (unsigned int i = 0; i < StrikesArray->Length(); i++){
StrikesCpp.push_back(Nan::To<double>(Nan::Get(StrikesArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
std::vector< std::vector<ObjectHandler::property_t> >VolatilitiesCpp;
Local<Array> VolatilitiesMatrix = info[7].As<Array>();
for (unsigned int i = 0; i < VolatilitiesMatrix->Length(); i++){
Local<Array> VolatilitiesArray = VolatilitiesMatrix->Get(i).As<Array>();
std::vector<ObjectHandler::property_t> tmp;
for (unsigned int j = 0; j < VolatilitiesArray->Length(); j++){
ObjectHandler::property_t temp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(Nan::Get(VolatilitiesArray, j).ToLocalChecked()).FromJust()));
tmp.push_back(temp);
}
VolatilitiesCpp.push_back(tmp);
}
// convert js argument to c++ type
String::Utf8Value strDayCounter(info[8]->ToString());
string DayCounterCpp(strdup(*strDayCounter));
// convert js argument to c++ type
String::Utf8Value strVolatilityType(info[9]->ToString());
string VolatilityTypeCpp(strdup(*strVolatilityType));
// convert js argument to c++ type
double DisplacementCpp = Nan::To<double>(info[10]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[11].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new StrippedOptionletWorker(
callback
,ObjectIDCpp
,SettlementDaysCpp
,CalendarCpp
,BusinessDayConventionCpp
,IborIndexCpp
,OptionletDatesCpp
,StrikesCpp
,VolatilitiesCpp
,DayCounterCpp
,VolatilityTypeCpp
,DisplacementCpp
));
}
//StrippedOptionletWorker::~StrippedOptionletWorker(){
//
//}
//void StrippedOptionletWorker::Destroy(){
//
//}
void OptionletStripper1Worker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(TermVolSurfaceLibObjPtr, mTermVolSurface,
QuantLibAddin::CapFloorTermVolSurface, QuantLib::CapFloorTermVolSurface)
// 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::Natural MaxIterLib = ObjectHandler::convert2<long>(
mMaxIter, "MaxIter", QuantLib::Null<QuantLib::Natural>());
// convert input datatypes to QuantLib datatypes
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlOptionletStripper1(
mObjectID,
mTermVolSurface,
mIborIndex,
mSwitchStrike,
mAccuracy,
mMaxIter,
mVolatilityType,
mDisplacement,
false
));
// Construct the Object
std::map<std::string, QuantLib::VolatilityType> strEnum;
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::OptionletStripper1(
valueObject,
TermVolSurfaceLibObjPtr,
IborIndexLibObjPtr,
mSwitchStrike,
mAccuracy,
MaxIterLib,
strEnum[mVolatilityType],
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 OptionletStripper1Worker::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::OptionletStripper1) {
// 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("TermVolSurface is required.");
}
if (info.Length() == 2 || !info[2]->IsString()) {
return Nan::ThrowError("IborIndex is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("SwitchStrike is required.");
}
if (info.Length() == 4 || !info[4]->IsNumber()) {
return Nan::ThrowError("Accuracy is required.");
}
if (info.Length() == 6 || !info[6]->IsString()) {
return Nan::ThrowError("VolatilityType is required.");
}
if (info.Length() == 7 || !info[7]->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
String::Utf8Value strTermVolSurface(info[1]->ToString());
string TermVolSurfaceCpp(strdup(*strTermVolSurface));
// convert js argument to c++ type
String::Utf8Value strIborIndex(info[2]->ToString());
string IborIndexCpp(strdup(*strIborIndex));
// convert js argument to c++ type
double SwitchStrikeCpp = Nan::To<double>(info[3]).FromJust();
// convert js argument to c++ type
double AccuracyCpp = Nan::To<double>(info[4]).FromJust();
// convert js argument to c++ type
ObjectHandler::property_t MaxIterCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[5]).FromJust()));
// convert js argument to c++ type
String::Utf8Value strVolatilityType(info[6]->ToString());
string VolatilityTypeCpp(strdup(*strVolatilityType));
// convert js argument to c++ type
double DisplacementCpp = Nan::To<double>(info[7]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[8].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new OptionletStripper1Worker(
callback
,ObjectIDCpp
,TermVolSurfaceCpp
,IborIndexCpp
,SwitchStrikeCpp
,AccuracyCpp
,MaxIterCpp
,VolatilityTypeCpp
,DisplacementCpp
));
}
//OptionletStripper1Worker::~OptionletStripper1Worker(){
//
//}
//void OptionletStripper1Worker::Destroy(){
//
//}
void OptionletStripper2Worker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(OptionletStripper1LibObjPtr, mOptionletStripper1,
QuantLibAddin::OptionletStripper1, QuantLib::OptionletStripper1)
// convert object IDs into library objects
OH_GET_OBJECT(TermVolCurveCoerce, mTermVolCurve, ObjectHandler::Object)
QuantLib::Handle<QuantLib::CapFloorTermVolCurve> TermVolCurveLibObj =
QuantLibAddin::CoerceHandle<
QuantLibAddin::CapFloorTermVolCurve,
QuantLib::CapFloorTermVolCurve>()(
TermVolCurveCoerce);
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlOptionletStripper2(
mObjectID,
mOptionletStripper1,
mTermVolCurve,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::OptionletStripper2(
valueObject,
OptionletStripper1LibObjPtr,
TermVolCurveLibObj,
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 OptionletStripper2Worker::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::OptionletStripper2) {
// 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("OptionletStripper1 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 strOptionletStripper1(info[1]->ToString());
string OptionletStripper1Cpp(strdup(*strOptionletStripper1));
// convert js argument to c++ type
ObjectHandler::property_t TermVolCurveCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[2]).FromJust()));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[3].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new OptionletStripper2Worker(
callback
,ObjectIDCpp
,OptionletStripper1Cpp
,TermVolCurveCpp
));
}
//OptionletStripper2Worker::~OptionletStripper2Worker(){
//
//}
//void OptionletStripper2Worker::Destroy(){
//
//}
void CapFloorTermVolCurveWorker::Execute(){
try{
// convert input datatypes to QuantLib datatypes
QuantLib::Size SettlementDaysLib;
QuantLibAddin::cppToLibrary(mSettlementDays, SettlementDaysLib);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Calendar CalendarEnum =
ObjectHandler::Create<QuantLib::Calendar>()(mCalendar);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::BusinessDayConvention BusinessDayConventionEnum =
ObjectHandler::Create<QuantLib::BusinessDayConvention>()(mBusinessDayConvention);
// convert input datatypes to QuantLib datatypes
std::vector<QuantLib::Period> OptionTenorsLib;
// convert object IDs into library objects
std::vector< QuantLib::Handle<QuantLib::Quote> > VolatilitiesLibObj =
ObjectHandler::vector::convert2< QuantLib::Handle<QuantLib::Quote> >(mVolatilities, "Volatilities");
// 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::qlCapFloorTermVolCurve(
mObjectID,
mSettlementDays,
mCalendar,
mBusinessDayConvention,
mOptionTenors,
mVolatilities,
mDayCounter,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::CapFloorTermVolCurve(
valueObject,
SettlementDaysLib,
CalendarEnum,
BusinessDayConventionEnum,
OptionTenorsLib,
VolatilitiesLibObj,
DayCounterEnum,
false
));
// Store the Object in the Repository
mReturnValue = ObjectHandler::Repository::instance().storeObject(mObjectID, object, false, valueObject);