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credit.cpp
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3212 lines (2474 loc) · 86.6 KB
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/*
Copyright (C) 2016 -2017 Jerry Jin
*/
#include <nan.h>
#include <string.h>
#include "credit.hpp"
#include <qlo/qladdindefines.hpp>
#include <qlo/credit.hpp>
#include <qlo/creditdefaultswap.hpp>
#include <qlo/cdsoption.hpp>
#include <qlo/pricingengines.hpp>
#include <qlo/termstructures.hpp>
#include <qlo/handleimpl.hpp>
#include <qlo/conversions/coercetermstructure.hpp>
#include <qlo/ratehelpers.hpp>
#include <qlo/defaultbasket.hpp>
#include <qlo/exercise.hpp>
#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp>
#include <ql/pricingengines/credit/midpointcdsengine.hpp>
#include <ql/experimental/credit/basket.hpp>
#include <ql/experimental/credit/cdsoption.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 CreditDefaultSwapWorker::Execute(){
try{
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Protection::Side BuyerSellerEnum =
ObjectHandler::Create<QuantLib::Protection::Side>()(mBuyerSeller);
// convert input datatypes to QuantLib datatypes
// convert object IDs into library objects
OH_GET_REFERENCE(PremiumScheduleLibObjPtr, mPremiumSchedule,
QuantLibAddin::Schedule, QuantLib::Schedule)
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::BusinessDayConvention PaymentConventionEnum =
ObjectHandler::Create<QuantLib::BusinessDayConvention>()(mPaymentConvention);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::DayCounter DayCounterEnum =
ObjectHandler::Create<QuantLib::DayCounter>()(mDayCounter);
// convert input datatypes to QuantLib datatypes
QuantLib::Date ProtectionStartLib = ObjectHandler::convert2<QuantLib::Date>(
mProtectionStart, "ProtectionStart");
// convert input datatypes to QuantLib datatypes
QuantLib::Date UpfrontDateLib = ObjectHandler::convert2<QuantLib::Date>(
mUpfrontDate, "UpfrontDate");
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlCreditDefaultSwap(
mObjectID,
mBuyerSeller,
mNotional,
mUpfront,
mSpread,
mPremiumSchedule,
mPaymentConvention,
mDayCounter,
mSettlesAccrual,
mPayAtDefault,
mProtectionStart,
mUpfrontDate,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::CreditDefaultSwap(
valueObject,
BuyerSellerEnum,
mNotional,
mUpfront,
mSpread,
PremiumScheduleLibObjPtr,
PaymentConventionEnum,
DayCounterEnum,
mSettlesAccrual,
mPayAtDefault,
ProtectionStartLib,
UpfrontDateLib,
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 CreditDefaultSwapWorker::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::CreditDefaultSwap) {
// 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("BuyerSeller is required.");
}
if (info.Length() == 2 || !info[2]->IsNumber()) {
return Nan::ThrowError("Notional is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("Upfront is required.");
}
if (info.Length() == 4 || !info[4]->IsNumber()) {
return Nan::ThrowError("Spread is required.");
}
if (info.Length() == 5 || !info[5]->IsString()) {
return Nan::ThrowError("PremiumSchedule is required.");
}
if (info.Length() == 6 || !info[6]->IsString()) {
return Nan::ThrowError("PaymentConvention is required.");
}
if (info.Length() == 7 || !info[7]->IsString()) {
return Nan::ThrowError("DayCounter is required.");
}
if (info.Length() == 8 || !info[8]->IsBoolean()) {
return Nan::ThrowError("SettlesAccrual is required.");
}
if (info.Length() == 9 || !info[9]->IsBoolean()) {
return Nan::ThrowError("PayAtDefault 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 strBuyerSeller(info[1]->ToString());
string BuyerSellerCpp(strdup(*strBuyerSeller));
// convert js argument to c++ type
double NotionalCpp = Nan::To<double>(info[2]).FromJust();
// convert js argument to c++ type
double UpfrontCpp = Nan::To<double>(info[3]).FromJust();
// convert js argument to c++ type
double SpreadCpp = Nan::To<double>(info[4]).FromJust();
// convert js argument to c++ type
String::Utf8Value strPremiumSchedule(info[5]->ToString());
string PremiumScheduleCpp(strdup(*strPremiumSchedule));
// convert js argument to c++ type
String::Utf8Value strPaymentConvention(info[6]->ToString());
string PaymentConventionCpp(strdup(*strPaymentConvention));
// convert js argument to c++ type
String::Utf8Value strDayCounter(info[7]->ToString());
string DayCounterCpp(strdup(*strDayCounter));
// convert js argument to c++ type
bool SettlesAccrualCpp = Nan::To<bool>(info[8]).FromJust();
// convert js argument to c++ type
bool PayAtDefaultCpp = Nan::To<bool>(info[9]).FromJust();
// convert js argument to c++ type
ObjectHandler::property_t ProtectionStartCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[10]).FromJust()));
// convert js argument to c++ type
ObjectHandler::property_t UpfrontDateCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[11]).FromJust()));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[12].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new CreditDefaultSwapWorker(
callback
,ObjectIDCpp
,BuyerSellerCpp
,NotionalCpp
,UpfrontCpp
,SpreadCpp
,PremiumScheduleCpp
,PaymentConventionCpp
,DayCounterCpp
,SettlesAccrualCpp
,PayAtDefaultCpp
,ProtectionStartCpp
,UpfrontDateCpp
));
}
//CreditDefaultSwapWorker::~CreditDefaultSwapWorker(){
//
//}
//void CreditDefaultSwapWorker::Destroy(){
//
//}
void MidPointCdsEngineWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_OBJECT(DefaultCurveCoerce, mDefaultCurve, ObjectHandler::Object)
QuantLib::Handle<QuantLib::DefaultProbabilityTermStructure> DefaultCurveLibObj =
QuantLibAddin::CoerceHandle<
QuantLibAddin::DefaultProbabilityTermStructure,
QuantLib::DefaultProbabilityTermStructure>()(
DefaultCurveCoerce);
// convert input datatypes to QuantLib datatypes
// 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);
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlMidPointCdsEngine(
mObjectID,
mDefaultCurve,
mRecoveryRate,
mYieldCurve,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::MidPointCdsEngine(
valueObject,
DefaultCurveLibObj,
mRecoveryRate,
YieldCurveLibObj,
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 MidPointCdsEngineWorker::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::MidPointCdsEngine) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 2 || !info[2]->IsNumber()) {
return Nan::ThrowError("RecoveryRate 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 DefaultCurveCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[1]).FromJust()));
// convert js argument to c++ type
double RecoveryRateCpp = Nan::To<double>(info[2]).FromJust();
// convert js argument to c++ type
ObjectHandler::property_t YieldCurveCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[3]).FromJust()));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[4].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new MidPointCdsEngineWorker(
callback
,ObjectIDCpp
,DefaultCurveCpp
,RecoveryRateCpp
,YieldCurveCpp
));
}
//MidPointCdsEngineWorker::~MidPointCdsEngineWorker(){
//
//}
//void MidPointCdsEngineWorker::Destroy(){
//
//}
void HazardRateCurveWorker::Execute(){
try{
// convert input datatypes to QuantLib datatypes
std::vector<QuantLib::Date> CurveDatesLib = ObjectHandler::vector::convert2<QuantLib::Date>(
mCurveDates, "CurveDates");
// 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::qlHazardRateCurve(
mObjectID,
mCurveDates,
mCurveRates,
mDayCounter,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::HazardRateCurve(
valueObject,
CurveDatesLib,
mCurveRates,
DayCounterEnum,
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 HazardRateCurveWorker::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::HazardRateCurve) {
// 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("CurveDates is required.");
}
if (info.Length() == 2 || !info[2]->IsArray()) {
return Nan::ThrowError("CurveRates is required.");
}
if (info.Length() == 3 || !info[3]->IsString()) {
return Nan::ThrowError("DayCounter 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<ObjectHandler::property_t>CurveDatesCpp;
Local<Array> CurveDatesArray = info[1].As<Array>();
for (unsigned int i = 0; i < CurveDatesArray->Length(); i++){
ObjectHandler::property_t tmp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(Nan::Get(CurveDatesArray, i).ToLocalChecked()).FromJust()));
CurveDatesCpp.push_back(tmp);
}
// convert js argument to c++ type
std::vector<double>CurveRatesCpp;
Local<Array> CurveRatesArray = info[2].As<Array>();
for (unsigned int i = 0; i < CurveRatesArray->Length(); i++){
CurveRatesCpp.push_back(Nan::To<double>(Nan::Get(CurveRatesArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
String::Utf8Value strDayCounter(info[3]->ToString());
string DayCounterCpp(strdup(*strDayCounter));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[4].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new HazardRateCurveWorker(
callback
,ObjectIDCpp
,CurveDatesCpp
,CurveRatesCpp
,DayCounterCpp
));
}
//HazardRateCurveWorker::~HazardRateCurveWorker(){
//
//}
//void HazardRateCurveWorker::Destroy(){
//
//}
void SpreadCdsHelperWorker::Execute(){
try{
// convert object IDs into library objects
QuantLib::Handle<QuantLib::Quote> RunningSpreadLibObj =
ObjectHandler::convert2< QuantLib::Handle<QuantLib::Quote> >(mRunningSpread, "RunningSpread");
// convert input datatypes to QuantLib datatypes
QuantLib::Period TenorLib;
QuantLibAddin::cppToLibrary(mTenor, TenorLib);
// convert input datatypes to QuantLib datatypes
QuantLib::Natural SettlementDaysLib = ObjectHandler::convert2<long>(
mSettlementDays, "SettlementDays", QuantLib::Null<QuantLib::Natural>());
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Calendar CalendarEnum =
ObjectHandler::Create<QuantLib::Calendar>()(mCalendar);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Frequency FrequencyEnum =
ObjectHandler::Create<QuantLib::Frequency>()(mFrequency);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::BusinessDayConvention PaymentConventionEnum =
ObjectHandler::Create<QuantLib::BusinessDayConvention>()(mPaymentConvention);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::DateGeneration::Rule GenRuleEnum =
ObjectHandler::Create<QuantLib::DateGeneration::Rule>()(mGenRule);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::DayCounter DayCounterEnum =
ObjectHandler::Create<QuantLib::DayCounter>()(mDayCounter);
// convert input datatypes to QuantLib datatypes
// convert object IDs into library objects
OH_GET_OBJECT(DiscountingCurveCoerce, mDiscountingCurve, ObjectHandler::Object)
QuantLib::Handle<QuantLib::YieldTermStructure> DiscountingCurveLibObj =
QuantLibAddin::CoerceHandle<
QuantLibAddin::YieldTermStructure,
QuantLib::YieldTermStructure>()(
DiscountingCurveCoerce);
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlSpreadCdsHelper(
mObjectID,
mRunningSpread,
mTenor,
mSettlementDays,
mCalendar,
mFrequency,
mPaymentConvention,
mGenRule,
mDayCounter,
mRecoveryRate,
mDiscountingCurve,
mSettleAccrual,
mPayAtDefault,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::SpreadCdsHelper(
valueObject,
RunningSpreadLibObj,
TenorLib,
SettlementDaysLib,
CalendarEnum,
FrequencyEnum,
PaymentConventionEnum,
GenRuleEnum,
DayCounterEnum,
mRecoveryRate,
DiscountingCurveLibObj,
mSettleAccrual,
mPayAtDefault,
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 SpreadCdsHelperWorker::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::SpreadCdsHelper) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 2 || !info[2]->IsString()) {
return Nan::ThrowError("Tenor is required.");
}
if (info.Length() == 4 || !info[4]->IsString()) {
return Nan::ThrowError("Calendar is required.");
}
if (info.Length() == 5 || !info[5]->IsString()) {
return Nan::ThrowError("Frequency is required.");
}
if (info.Length() == 6 || !info[6]->IsString()) {
return Nan::ThrowError("PaymentConvention is required.");
}
if (info.Length() == 7 || !info[7]->IsString()) {
return Nan::ThrowError("GenRule is required.");
}
if (info.Length() == 8 || !info[8]->IsString()) {
return Nan::ThrowError("DayCounter is required.");
}
if (info.Length() == 9 || !info[9]->IsNumber()) {
return Nan::ThrowError("RecoveryRate is required.");
}
if (info.Length() == 11 || !info[11]->IsBoolean()) {
return Nan::ThrowError("SettleAccrual is required.");
}
if (info.Length() == 12 || !info[12]->IsBoolean()) {
return Nan::ThrowError("PayAtDefault 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 RunningSpreadCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[1]).FromJust()));
// convert js argument to c++ type
String::Utf8Value strTenor(info[2]->ToString());
string TenorCpp(strdup(*strTenor));
// convert js argument to c++ type
ObjectHandler::property_t SettlementDaysCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[3]).FromJust()));
// convert js argument to c++ type
String::Utf8Value strCalendar(info[4]->ToString());
string CalendarCpp(strdup(*strCalendar));
// convert js argument to c++ type
String::Utf8Value strFrequency(info[5]->ToString());
string FrequencyCpp(strdup(*strFrequency));
// convert js argument to c++ type
String::Utf8Value strPaymentConvention(info[6]->ToString());
string PaymentConventionCpp(strdup(*strPaymentConvention));
// convert js argument to c++ type
String::Utf8Value strGenRule(info[7]->ToString());
string GenRuleCpp(strdup(*strGenRule));
// convert js argument to c++ type
String::Utf8Value strDayCounter(info[8]->ToString());
string DayCounterCpp(strdup(*strDayCounter));
// convert js argument to c++ type
double RecoveryRateCpp = Nan::To<double>(info[9]).FromJust();
// convert js argument to c++ type
ObjectHandler::property_t DiscountingCurveCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[10]).FromJust()));
// convert js argument to c++ type
bool SettleAccrualCpp = Nan::To<bool>(info[11]).FromJust();
// convert js argument to c++ type
bool PayAtDefaultCpp = Nan::To<bool>(info[12]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[13].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new SpreadCdsHelperWorker(
callback
,ObjectIDCpp
,RunningSpreadCpp
,TenorCpp
,SettlementDaysCpp
,CalendarCpp
,FrequencyCpp
,PaymentConventionCpp
,GenRuleCpp
,DayCounterCpp
,RecoveryRateCpp
,DiscountingCurveCpp
,SettleAccrualCpp
,PayAtDefaultCpp
));
}
//SpreadCdsHelperWorker::~SpreadCdsHelperWorker(){
//
//}
//void SpreadCdsHelperWorker::Destroy(){
//
//}
void UpfrontCdsHelperWorker::Execute(){
try{
// convert object IDs into library objects
QuantLib::Handle<QuantLib::Quote> UpfrontSpreadLibObj =
ObjectHandler::convert2< QuantLib::Handle<QuantLib::Quote> >(mUpfrontSpread, "UpfrontSpread");
// convert input datatypes to QuantLib datatypes
QuantLib::Period TenorLib;
QuantLibAddin::cppToLibrary(mTenor, TenorLib);
// convert input datatypes to QuantLib datatypes
QuantLib::Natural SettlementDaysLib = ObjectHandler::convert2<long>(
mSettlementDays, "SettlementDays", QuantLib::Null<QuantLib::Natural>());
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Calendar CalendarEnum =
ObjectHandler::Create<QuantLib::Calendar>()(mCalendar);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Frequency FrequencyEnum =
ObjectHandler::Create<QuantLib::Frequency>()(mFrequency);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::BusinessDayConvention PaymentConventionEnum =
ObjectHandler::Create<QuantLib::BusinessDayConvention>()(mPaymentConvention);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::DateGeneration::Rule GenRuleEnum =
ObjectHandler::Create<QuantLib::DateGeneration::Rule>()(mGenRule);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::DayCounter DayCounterEnum =
ObjectHandler::Create<QuantLib::DayCounter>()(mDayCounter);
// convert input datatypes to QuantLib datatypes
// convert object IDs into library objects
OH_GET_OBJECT(DiscCurveCoerce, mDiscCurve, ObjectHandler::Object)
QuantLib::Handle<QuantLib::YieldTermStructure> DiscCurveLibObj =
QuantLibAddin::CoerceHandle<
QuantLibAddin::YieldTermStructure,
QuantLib::YieldTermStructure>()(
DiscCurveCoerce);
// convert input datatypes to QuantLib datatypes
QuantLib::Natural UpfSettlDaysLib = ObjectHandler::convert2<long>(
mUpfSettlDays, "UpfSettlDays", QuantLib::Null<QuantLib::Natural>());
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlUpfrontCdsHelper(
mObjectID,
mUpfrontSpread,
mRunningSpread,
mTenor,
mSettlementDays,
mCalendar,
mFrequency,
mPaymentConvention,
mGenRule,
mDayCounter,
mRecRate,
mDiscCurve,
mUpfSettlDays,
mSettlAccr,
mPayAtDefault,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::UpfrontCdsHelper(
valueObject,
UpfrontSpreadLibObj,
mRunningSpread,
TenorLib,
SettlementDaysLib,
CalendarEnum,
FrequencyEnum,
PaymentConventionEnum,
GenRuleEnum,
DayCounterEnum,
mRecRate,
DiscCurveLibObj,
UpfSettlDaysLib,
mSettlAccr,
mPayAtDefault,
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 UpfrontCdsHelperWorker::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::UpfrontCdsHelper) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 2 || !info[2]->IsNumber()) {
return Nan::ThrowError("RunningSpread is required.");
}
if (info.Length() == 3 || !info[3]->IsString()) {
return Nan::ThrowError("Tenor is required.");
}
if (info.Length() == 5 || !info[5]->IsString()) {
return Nan::ThrowError("Calendar is required.");
}
if (info.Length() == 6 || !info[6]->IsString()) {
return Nan::ThrowError("Frequency is required.");
}
if (info.Length() == 7 || !info[7]->IsString()) {
return Nan::ThrowError("PaymentConvention is required.");
}
if (info.Length() == 8 || !info[8]->IsString()) {
return Nan::ThrowError("GenRule is required.");
}
if (info.Length() == 9 || !info[9]->IsString()) {
return Nan::ThrowError("DayCounter is required.");
}
if (info.Length() == 10 || !info[10]->IsNumber()) {
return Nan::ThrowError("RecRate is required.");
}
if (info.Length() == 13 || !info[13]->IsBoolean()) {
return Nan::ThrowError("SettlAccr is required.");
}
if (info.Length() == 14 || !info[14]->IsBoolean()) {
return Nan::ThrowError("PayAtDefault 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 UpfrontSpreadCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[1]).FromJust()));
// convert js argument to c++ type
double RunningSpreadCpp = Nan::To<double>(info[2]).FromJust();
// convert js argument to c++ type
String::Utf8Value strTenor(info[3]->ToString());
string TenorCpp(strdup(*strTenor));
// convert js argument to c++ type
ObjectHandler::property_t SettlementDaysCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[4]).FromJust()));
// convert js argument to c++ type
String::Utf8Value strCalendar(info[5]->ToString());
string CalendarCpp(strdup(*strCalendar));
// convert js argument to c++ type
String::Utf8Value strFrequency(info[6]->ToString());
string FrequencyCpp(strdup(*strFrequency));
// convert js argument to c++ type
String::Utf8Value strPaymentConvention(info[7]->ToString());
string PaymentConventionCpp(strdup(*strPaymentConvention));
// convert js argument to c++ type
String::Utf8Value strGenRule(info[8]->ToString());
string GenRuleCpp(strdup(*strGenRule));
// convert js argument to c++ type
String::Utf8Value strDayCounter(info[9]->ToString());
string DayCounterCpp(strdup(*strDayCounter));
// convert js argument to c++ type
double RecRateCpp = Nan::To<double>(info[10]).FromJust();
// convert js argument to c++ type
ObjectHandler::property_t DiscCurveCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[11]).FromJust()));
// convert js argument to c++ type
ObjectHandler::property_t UpfSettlDaysCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[12]).FromJust()));
// convert js argument to c++ type
bool SettlAccrCpp = Nan::To<bool>(info[13]).FromJust();
// convert js argument to c++ type
bool PayAtDefaultCpp = Nan::To<bool>(info[14]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[15].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new UpfrontCdsHelperWorker(
callback
,ObjectIDCpp
,UpfrontSpreadCpp
,RunningSpreadCpp
,TenorCpp
,SettlementDaysCpp
,CalendarCpp
,FrequencyCpp
,PaymentConventionCpp
,GenRuleCpp
,DayCounterCpp
,RecRateCpp
,DiscCurveCpp
,UpfSettlDaysCpp
,SettlAccrCpp
,PayAtDefaultCpp
));
}
//UpfrontCdsHelperWorker::~UpfrontCdsHelperWorker(){
//
//}
//void UpfrontCdsHelperWorker::Destroy(){
//
//}
void PiecewiseHazardRateCurveWorker::Execute(){
try{
// convert object IDs into library objects
std::vector< boost::shared_ptr<QuantLib::DefaultProbabilityHelper> > HelpersLibObjPtr =
ObjectHandler::getLibraryObjectVector<QuantLibAddin::DefaultProbabilityHelper, QuantLib::DefaultProbabilityHelper>(mHelpers);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::DayCounter DayCounterEnum =
ObjectHandler::Create<QuantLib::DayCounter>()(mDayCounter);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Calendar CalendarEnum =
ObjectHandler::Create<QuantLib::Calendar>()(mCalendar);
// convert input datatypes to QuantLib datatypes
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlPiecewiseHazardRateCurve(
mObjectID,
mHelpers,
mDayCounter,
mCalendar,
mInterpolation,
mAccuracy,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::PiecewiseHazardRateCurve(
valueObject,
HelpersLibObjPtr,
DayCounterEnum,
CalendarEnum,
mInterpolation,
mAccuracy,
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";
}
}