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interpolation.cpp
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3968 lines (2946 loc) · 97.6 KB
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/*
Copyright (C) 2016 -2017 Jerry Jin
*/
#include <nan.h>
#include <string.h>
#include "interpolation.hpp"
#include <qlo/qladdindefines.hpp>
#include <qlo/interpolation.hpp>
#include <qlo/interpolation2D.hpp>
#include <qlo/optimization.hpp>
#include <ql/math/interpolations/sabrinterpolation.hpp>
#include <ql/math/interpolations/abcdinterpolation.hpp>
#include <ql/math/interpolations/interpolation2d.hpp>
#include <qlo/loop/loop_interpolation.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 InterpolationWorker::Execute(){
try{
// convert input datatypes to QuantLib datatypes
std::vector<QuantLib::Real> XArrayLib =
QuantLibAddin::convertVector<double, QuantLib::Real>(mXArray);
// convert object IDs into library objects
std::vector< QuantLib::Handle<QuantLib::Quote> > YArrayLibObj =
ObjectHandler::vector::convert2< QuantLib::Handle<QuantLib::Quote> >(mYArray, "YArray");
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlInterpolation(
mObjectID,
mInterpolationType,
mXArray,
mYArray,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::GenericInterp(
valueObject,
mInterpolationType,
mXArray,
YArrayLibObj,
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 InterpolationWorker::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::Interpolation) {
// 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("InterpolationType is required.");
}
if (info.Length() == 2 || !info[2]->IsArray()) {
return Nan::ThrowError("XArray is required.");
}
if (info.Length() == 3 || !info[3]->IsArray()) {
return Nan::ThrowError("YArray 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 strInterpolationType(info[1]->ToString());
string InterpolationTypeCpp(strdup(*strInterpolationType));
// convert js argument to c++ type
std::vector<double>XArrayCpp;
Local<Array> XArrayArray = info[2].As<Array>();
for (unsigned int i = 0; i < XArrayArray->Length(); i++){
XArrayCpp.push_back(Nan::To<double>(Nan::Get(XArrayArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
std::vector<ObjectHandler::property_t>YArrayCpp;
Local<Array> YArrayArray = info[3].As<Array>();
for (unsigned int i = 0; i < YArrayArray->Length(); i++){
ObjectHandler::property_t tmp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(Nan::Get(YArrayArray, i).ToLocalChecked()).FromJust()));
YArrayCpp.push_back(tmp);
}
// declare callback
Nan::Callback *callback = new Nan::Callback(info[4].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new InterpolationWorker(
callback
,ObjectIDCpp
,InterpolationTypeCpp
,XArrayCpp
,YArrayCpp
));
}
//InterpolationWorker::~InterpolationWorker(){
//
//}
//void InterpolationWorker::Destroy(){
//
//}
void MixedLinearCubicInterpolationWorker::Execute(){
try{
// convert input datatypes to QuantLib datatypes
std::vector<QuantLib::Real> XArrayLib =
QuantLibAddin::convertVector<double, QuantLib::Real>(mXArray);
// convert object IDs into library objects
std::vector< QuantLib::Handle<QuantLib::Quote> > YArrayLibObj =
ObjectHandler::vector::convert2< QuantLib::Handle<QuantLib::Quote> >(mYArray, "YArray");
// convert input datatypes to QuantLib datatypes
QuantLib::Size SwitchIndexLib;
QuantLibAddin::cppToLibrary(mSwitchIndex, SwitchIndexLib);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::CubicInterpolation::DerivativeApprox DerApproxEnum =
ObjectHandler::Create<QuantLib::CubicInterpolation::DerivativeApprox>()(mDerApprox);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::CubicInterpolation::BoundaryCondition LeftConditionTypeEnum =
ObjectHandler::Create<QuantLib::CubicInterpolation::BoundaryCondition>()(mLeftConditionType);
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::CubicInterpolation::BoundaryCondition RightConditionTypeEnum =
ObjectHandler::Create<QuantLib::CubicInterpolation::BoundaryCondition>()(mRightConditionType);
// convert input datatypes to QuantLib datatypes
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlMixedLinearCubicInterpolation(
mObjectID,
mXArray,
mYArray,
mSwitchIndex,
mDerApprox,
mMonotonic,
mLeftConditionType,
mLeftConditionValue,
mRightConditionType,
mRightConditionValue,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::MixedLinearCubicInterpolation(
valueObject,
mXArray,
YArrayLibObj,
SwitchIndexLib,
DerApproxEnum,
mMonotonic,
LeftConditionTypeEnum,
mLeftConditionValue,
RightConditionTypeEnum,
mRightConditionValue,
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 MixedLinearCubicInterpolationWorker::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::MixedLinearCubicInterpolation) {
// 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("XArray is required.");
}
if (info.Length() == 2 || !info[2]->IsArray()) {
return Nan::ThrowError("YArray is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("SwitchIndex is required.");
}
if (info.Length() == 4 || !info[4]->IsString()) {
return Nan::ThrowError("DerApprox is required.");
}
if (info.Length() == 5 || !info[5]->IsBoolean()) {
return Nan::ThrowError("Monotonic is required.");
}
if (info.Length() == 6 || !info[6]->IsString()) {
return Nan::ThrowError("LeftConditionType is required.");
}
if (info.Length() == 7 || !info[7]->IsNumber()) {
return Nan::ThrowError("LeftConditionValue is required.");
}
if (info.Length() == 8 || !info[8]->IsString()) {
return Nan::ThrowError("RightConditionType is required.");
}
if (info.Length() == 9 || !info[9]->IsNumber()) {
return Nan::ThrowError("RightConditionValue is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
std::vector<double>XArrayCpp;
Local<Array> XArrayArray = info[1].As<Array>();
for (unsigned int i = 0; i < XArrayArray->Length(); i++){
XArrayCpp.push_back(Nan::To<double>(Nan::Get(XArrayArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
std::vector<ObjectHandler::property_t>YArrayCpp;
Local<Array> YArrayArray = info[2].As<Array>();
for (unsigned int i = 0; i < YArrayArray->Length(); i++){
ObjectHandler::property_t tmp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(Nan::Get(YArrayArray, i).ToLocalChecked()).FromJust()));
YArrayCpp.push_back(tmp);
}
// convert js argument to c++ type
long SwitchIndexCpp = Nan::To<int32_t>(info[3]).FromJust();
// convert js argument to c++ type
String::Utf8Value strDerApprox(info[4]->ToString());
string DerApproxCpp(strdup(*strDerApprox));
// convert js argument to c++ type
bool MonotonicCpp = Nan::To<bool>(info[5]).FromJust();
// convert js argument to c++ type
String::Utf8Value strLeftConditionType(info[6]->ToString());
string LeftConditionTypeCpp(strdup(*strLeftConditionType));
// convert js argument to c++ type
double LeftConditionValueCpp = Nan::To<double>(info[7]).FromJust();
// convert js argument to c++ type
String::Utf8Value strRightConditionType(info[8]->ToString());
string RightConditionTypeCpp(strdup(*strRightConditionType));
// convert js argument to c++ type
double RightConditionValueCpp = Nan::To<double>(info[9]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[10].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new MixedLinearCubicInterpolationWorker(
callback
,ObjectIDCpp
,XArrayCpp
,YArrayCpp
,SwitchIndexCpp
,DerApproxCpp
,MonotonicCpp
,LeftConditionTypeCpp
,LeftConditionValueCpp
,RightConditionTypeCpp
,RightConditionValueCpp
));
}
//MixedLinearCubicInterpolationWorker::~MixedLinearCubicInterpolationWorker(){
//
//}
//void MixedLinearCubicInterpolationWorker::Destroy(){
//
//}
void CubicInterpolationWorker::Execute(){
try{
// convert input datatypes to QuantLib datatypes
std::vector<QuantLib::Real> XArrayLib =
QuantLibAddin::convertVector<double, QuantLib::Real>(mXArray);
// convert object IDs into library objects
std::vector< QuantLib::Handle<QuantLib::Quote> > YArrayLibObj =
ObjectHandler::vector::convert2< QuantLib::Handle<QuantLib::Quote> >(mYArray, "YArray");
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::CubicInterpolation::DerivativeApprox DerApproxEnum =
ObjectHandler::Create<QuantLib::CubicInterpolation::DerivativeApprox>()(mDerApprox);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::CubicInterpolation::BoundaryCondition LeftConditionTypeEnum =
ObjectHandler::Create<QuantLib::CubicInterpolation::BoundaryCondition>()(mLeftConditionType);
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::CubicInterpolation::BoundaryCondition RightConditionTypeEnum =
ObjectHandler::Create<QuantLib::CubicInterpolation::BoundaryCondition>()(mRightConditionType);
// convert input datatypes to QuantLib datatypes
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlCubicInterpolation(
mObjectID,
mXArray,
mYArray,
mDerApprox,
mMonotonic,
mLeftConditionType,
mLeftConditionValue,
mRightConditionType,
mRightConditionValue,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::CubicInterpolation(
valueObject,
mXArray,
YArrayLibObj,
DerApproxEnum,
mMonotonic,
LeftConditionTypeEnum,
mLeftConditionValue,
RightConditionTypeEnum,
mRightConditionValue,
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 CubicInterpolationWorker::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::CubicInterpolation) {
// 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("XArray is required.");
}
if (info.Length() == 2 || !info[2]->IsArray()) {
return Nan::ThrowError("YArray is required.");
}
if (info.Length() == 3 || !info[3]->IsString()) {
return Nan::ThrowError("DerApprox is required.");
}
if (info.Length() == 4 || !info[4]->IsBoolean()) {
return Nan::ThrowError("Monotonic is required.");
}
if (info.Length() == 5 || !info[5]->IsString()) {
return Nan::ThrowError("LeftConditionType is required.");
}
if (info.Length() == 6 || !info[6]->IsNumber()) {
return Nan::ThrowError("LeftConditionValue is required.");
}
if (info.Length() == 7 || !info[7]->IsString()) {
return Nan::ThrowError("RightConditionType is required.");
}
if (info.Length() == 8 || !info[8]->IsNumber()) {
return Nan::ThrowError("RightConditionValue is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
std::vector<double>XArrayCpp;
Local<Array> XArrayArray = info[1].As<Array>();
for (unsigned int i = 0; i < XArrayArray->Length(); i++){
XArrayCpp.push_back(Nan::To<double>(Nan::Get(XArrayArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
std::vector<ObjectHandler::property_t>YArrayCpp;
Local<Array> YArrayArray = info[2].As<Array>();
for (unsigned int i = 0; i < YArrayArray->Length(); i++){
ObjectHandler::property_t tmp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(Nan::Get(YArrayArray, i).ToLocalChecked()).FromJust()));
YArrayCpp.push_back(tmp);
}
// convert js argument to c++ type
String::Utf8Value strDerApprox(info[3]->ToString());
string DerApproxCpp(strdup(*strDerApprox));
// convert js argument to c++ type
bool MonotonicCpp = Nan::To<bool>(info[4]).FromJust();
// convert js argument to c++ type
String::Utf8Value strLeftConditionType(info[5]->ToString());
string LeftConditionTypeCpp(strdup(*strLeftConditionType));
// convert js argument to c++ type
double LeftConditionValueCpp = Nan::To<double>(info[6]).FromJust();
// convert js argument to c++ type
String::Utf8Value strRightConditionType(info[7]->ToString());
string RightConditionTypeCpp(strdup(*strRightConditionType));
// convert js argument to c++ type
double RightConditionValueCpp = Nan::To<double>(info[8]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[9].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new CubicInterpolationWorker(
callback
,ObjectIDCpp
,XArrayCpp
,YArrayCpp
,DerApproxCpp
,MonotonicCpp
,LeftConditionTypeCpp
,LeftConditionValueCpp
,RightConditionTypeCpp
,RightConditionValueCpp
));
}
//CubicInterpolationWorker::~CubicInterpolationWorker(){
//
//}
//void CubicInterpolationWorker::Destroy(){
//
//}
void AbcdInterpolationWorker::Execute(){
try{
// convert input datatypes to QuantLib datatypes
std::vector<QuantLib::Real> XArrayLib =
QuantLibAddin::convertVector<double, QuantLib::Real>(mXArray);
// convert object IDs into library objects
std::vector< QuantLib::Handle<QuantLib::Quote> > YArrayLibObj =
ObjectHandler::vector::convert2< QuantLib::Handle<QuantLib::Quote> >(mYArray, "YArray");
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
// convert object IDs into library objects
OH_GET_REFERENCE(EndCriteriaLibObjPtr, mEndCriteria,
QuantLibAddin::EndCriteria, QuantLib::EndCriteria)
// convert object IDs into library objects
OH_GET_REFERENCE(OptimizationMethLibObjPtr, mOptimizationMeth,
QuantLibAddin::OptimizationMethod, QuantLib::OptimizationMethod)
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlAbcdInterpolation(
mObjectID,
mXArray,
mYArray,
mA,
mB,
mC,
mD,
mAIsFixed,
mBIsFixed,
mCIsFixed,
mDIsFixed,
mVegaWeighted,
mEndCriteria,
mOptimizationMeth,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::AbcdInterpolation(
valueObject,
mXArray,
YArrayLibObj,
mA,
mB,
mC,
mD,
mAIsFixed,
mBIsFixed,
mCIsFixed,
mDIsFixed,
mVegaWeighted,
EndCriteriaLibObjPtr,
OptimizationMethLibObjPtr,
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 AbcdInterpolationWorker::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::AbcdInterpolation) {
// 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("XArray is required.");
}
if (info.Length() == 2 || !info[2]->IsArray()) {
return Nan::ThrowError("YArray is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("A is required.");
}
if (info.Length() == 4 || !info[4]->IsNumber()) {
return Nan::ThrowError("B is required.");
}
if (info.Length() == 5 || !info[5]->IsNumber()) {
return Nan::ThrowError("C is required.");
}
if (info.Length() == 6 || !info[6]->IsNumber()) {
return Nan::ThrowError("D is required.");
}
if (info.Length() == 7 || !info[7]->IsBoolean()) {
return Nan::ThrowError("AIsFixed is required.");
}
if (info.Length() == 8 || !info[8]->IsBoolean()) {
return Nan::ThrowError("BIsFixed is required.");
}
if (info.Length() == 9 || !info[9]->IsBoolean()) {
return Nan::ThrowError("CIsFixed is required.");
}
if (info.Length() == 10 || !info[10]->IsBoolean()) {
return Nan::ThrowError("DIsFixed is required.");
}
if (info.Length() == 11 || !info[11]->IsBoolean()) {
return Nan::ThrowError("VegaWeighted is required.");
}
if (info.Length() == 12 || !info[12]->IsString()) {
return Nan::ThrowError("EndCriteria is required.");
}
if (info.Length() == 13 || !info[13]->IsString()) {
return Nan::ThrowError("OptimizationMeth is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
std::vector<double>XArrayCpp;
Local<Array> XArrayArray = info[1].As<Array>();
for (unsigned int i = 0; i < XArrayArray->Length(); i++){
XArrayCpp.push_back(Nan::To<double>(Nan::Get(XArrayArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
std::vector<ObjectHandler::property_t>YArrayCpp;
Local<Array> YArrayArray = info[2].As<Array>();
for (unsigned int i = 0; i < YArrayArray->Length(); i++){
ObjectHandler::property_t tmp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(Nan::Get(YArrayArray, i).ToLocalChecked()).FromJust()));
YArrayCpp.push_back(tmp);
}
// convert js argument to c++ type
double ACpp = Nan::To<double>(info[3]).FromJust();
// convert js argument to c++ type
double BCpp = Nan::To<double>(info[4]).FromJust();
// convert js argument to c++ type
double CCpp = Nan::To<double>(info[5]).FromJust();
// convert js argument to c++ type
double DCpp = Nan::To<double>(info[6]).FromJust();
// convert js argument to c++ type
bool AIsFixedCpp = Nan::To<bool>(info[7]).FromJust();
// convert js argument to c++ type
bool BIsFixedCpp = Nan::To<bool>(info[8]).FromJust();
// convert js argument to c++ type
bool CIsFixedCpp = Nan::To<bool>(info[9]).FromJust();
// convert js argument to c++ type
bool DIsFixedCpp = Nan::To<bool>(info[10]).FromJust();
// convert js argument to c++ type
bool VegaWeightedCpp = Nan::To<bool>(info[11]).FromJust();
// convert js argument to c++ type
String::Utf8Value strEndCriteria(info[12]->ToString());
string EndCriteriaCpp(strdup(*strEndCriteria));
// convert js argument to c++ type
String::Utf8Value strOptimizationMeth(info[13]->ToString());
string OptimizationMethCpp(strdup(*strOptimizationMeth));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[14].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new AbcdInterpolationWorker(
callback
,ObjectIDCpp
,XArrayCpp
,YArrayCpp
,ACpp
,BCpp
,CCpp
,DCpp
,AIsFixedCpp
,BIsFixedCpp
,CIsFixedCpp
,DIsFixedCpp
,VegaWeightedCpp
,EndCriteriaCpp
,OptimizationMethCpp
));
}
//AbcdInterpolationWorker::~AbcdInterpolationWorker(){
//
//}
//void AbcdInterpolationWorker::Destroy(){
//
//}
void SABRInterpolationWorker::Execute(){
try{
// convert input datatypes to QuantLib datatypes
std::vector<QuantLib::Real> XArrayLib =
QuantLibAddin::convertVector<double, QuantLib::Real>(mXArray);
// convert object IDs into library objects
std::vector< QuantLib::Handle<QuantLib::Quote> > YArrayLibObj =
ObjectHandler::vector::convert2< QuantLib::Handle<QuantLib::Quote> >(mYArray, "YArray");
// convert object IDs into library objects
QuantLib::Handle<QuantLib::Quote> ForwardLibObj =
ObjectHandler::convert2< QuantLib::Handle<QuantLib::Quote> >(mForward, "Forward");
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
// convert input datatypes to QuantLib datatypes
// convert object IDs into library objects
OH_GET_REFERENCE(EndCriteriaLibObjPtr, mEndCriteria,
QuantLibAddin::EndCriteria, QuantLib::EndCriteria)
// convert object IDs into library objects
OH_GET_REFERENCE(OptimizationMethLibObjPtr, mOptimizationMeth,
QuantLibAddin::OptimizationMethod, QuantLib::OptimizationMethod)
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlSABRInterpolation(
mObjectID,
mXArray,
mYArray,
mExpiry,
mForward,
mAlpha,
mBeta,
mNu,
mRho,
mAlphaIsFixed,
mBetaIsFixed,
mNuIsFixed,
mRhoIsFixed,
mVegaWeighted,
mEndCriteria,
mOptimizationMeth,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::SABRInterpolation(
valueObject,
mXArray,
YArrayLibObj,
mExpiry,
ForwardLibObj,
mAlpha,
mBeta,
mNu,
mRho,
mAlphaIsFixed,
mBetaIsFixed,
mNuIsFixed,
mRhoIsFixed,
mVegaWeighted,
EndCriteriaLibObjPtr,
OptimizationMethLibObjPtr,
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 SABRInterpolationWorker::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::SABRInterpolation) {
// 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("XArray is required.");
}
if (info.Length() == 2 || !info[2]->IsArray()) {
return Nan::ThrowError("YArray is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("Expiry is required.");
}
if (info.Length() == 5 || !info[5]->IsNumber()) {
return Nan::ThrowError("Alpha is required.");
}
if (info.Length() == 6 || !info[6]->IsNumber()) {
return Nan::ThrowError("Beta is required.");
}
if (info.Length() == 7 || !info[7]->IsNumber()) {
return Nan::ThrowError("Nu is required.");
}
if (info.Length() == 8 || !info[8]->IsNumber()) {
return Nan::ThrowError("Rho is required.");
}
if (info.Length() == 9 || !info[9]->IsBoolean()) {
return Nan::ThrowError("AlphaIsFixed is required.");
}
if (info.Length() == 10 || !info[10]->IsBoolean()) {
return Nan::ThrowError("BetaIsFixed is required.");
}
if (info.Length() == 11 || !info[11]->IsBoolean()) {
return Nan::ThrowError("NuIsFixed is required.");
}
if (info.Length() == 12 || !info[12]->IsBoolean()) {
return Nan::ThrowError("RhoIsFixed is required.");
}
if (info.Length() == 13 || !info[13]->IsBoolean()) {
return Nan::ThrowError("VegaWeighted is required.");
}
if (info.Length() == 14 || !info[14]->IsString()) {
return Nan::ThrowError("EndCriteria is required.");
}
if (info.Length() == 15 || !info[15]->IsString()) {
return Nan::ThrowError("OptimizationMeth is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
std::vector<double>XArrayCpp;
Local<Array> XArrayArray = info[1].As<Array>();
for (unsigned int i = 0; i < XArrayArray->Length(); i++){
XArrayCpp.push_back(Nan::To<double>(Nan::Get(XArrayArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
std::vector<ObjectHandler::property_t>YArrayCpp;
Local<Array> YArrayArray = info[2].As<Array>();
for (unsigned int i = 0; i < YArrayArray->Length(); i++){
ObjectHandler::property_t tmp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(Nan::Get(YArrayArray, i).ToLocalChecked()).FromJust()));
YArrayCpp.push_back(tmp);
}
// convert js argument to c++ type
double ExpiryCpp = Nan::To<double>(info[3]).FromJust();
// convert js argument to c++ type
ObjectHandler::property_t ForwardCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[4]).FromJust()));
// convert js argument to c++ type
double AlphaCpp = Nan::To<double>(info[5]).FromJust();
// convert js argument to c++ type
double BetaCpp = Nan::To<double>(info[6]).FromJust();
// convert js argument to c++ type
double NuCpp = Nan::To<double>(info[7]).FromJust();
// convert js argument to c++ type
double RhoCpp = Nan::To<double>(info[8]).FromJust();
// convert js argument to c++ type
bool AlphaIsFixedCpp = Nan::To<bool>(info[9]).FromJust();
// convert js argument to c++ type
bool BetaIsFixedCpp = Nan::To<bool>(info[10]).FromJust();
// convert js argument to c++ type
bool NuIsFixedCpp = Nan::To<bool>(info[11]).FromJust();
// convert js argument to c++ type
bool RhoIsFixedCpp = Nan::To<bool>(info[12]).FromJust();
// convert js argument to c++ type
bool VegaWeightedCpp = Nan::To<bool>(info[13]).FromJust();
// convert js argument to c++ type
String::Utf8Value strEndCriteria(info[14]->ToString());
string EndCriteriaCpp(strdup(*strEndCriteria));
// convert js argument to c++ type
String::Utf8Value strOptimizationMeth(info[15]->ToString());
string OptimizationMethCpp(strdup(*strOptimizationMeth));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[16].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new SABRInterpolationWorker(
callback
,ObjectIDCpp
,XArrayCpp
,YArrayCpp
,ExpiryCpp
,ForwardCpp
,AlphaCpp
,BetaCpp
,NuCpp
,RhoCpp
,AlphaIsFixedCpp
,BetaIsFixedCpp
,NuIsFixedCpp
,RhoIsFixedCpp
,VegaWeightedCpp
,EndCriteriaCpp
,OptimizationMethCpp
));
}