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processes.cpp
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158 lines (123 loc) · 4.27 KB
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/*
Copyright (C) 2016 -2017 Jerry Jin
*/
#include <nan.h>
#include <string.h>
#include "processes.hpp"
#include <qlo/qladdindefines.hpp>
#include <qlo/processes.hpp>
#include <qlo/volatilities.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 GeneralizedBlackScholesProcessWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(BlackVolIDLibObjPtr, mBlackVolID,
QuantLibAddin::BlackVolTermStructure, QuantLib::BlackVolTermStructure)
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::DayCounter DayCounterEnum =
ObjectHandler::Create<QuantLib::DayCounter>()(mDayCounter);
// convert input datatypes to QuantLib datatypes
QuantLib::Date SettlementDateLib = ObjectHandler::convert2<QuantLib::Date>(
mSettlementDate, "SettlementDate");
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlGeneralizedBlackScholesProcess(
mObjectID,
mBlackVolID,
mUnderlying,
mDayCounter,
mSettlementDate,
mRiskFreeRate,
mDividendYield,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::GeneralizedBlackScholesProcess(
valueObject,
BlackVolIDLibObjPtr,
mUnderlying,
DayCounterEnum,
SettlementDateLib,
mRiskFreeRate,
mDividendYield,
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 GeneralizedBlackScholesProcessWorker::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::GeneralizedBlackScholesProcess) {
// 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("BlackVolID is required.");
}
if (info.Length() == 2 || !info[2]->IsNumber()) {
return Nan::ThrowError("Underlying is required.");
}
if (info.Length() == 3 || !info[3]->IsString()) {
return Nan::ThrowError("DayCounter is required.");
}
if (info.Length() == 5 || !info[5]->IsNumber()) {
return Nan::ThrowError("RiskFreeRate is required.");
}
if (info.Length() == 6 || !info[6]->IsNumber()) {
return Nan::ThrowError("DividendYield 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 strBlackVolID(info[1]->ToString());
string BlackVolIDCpp(strdup(*strBlackVolID));
// convert js argument to c++ type
double UnderlyingCpp = Nan::To<double>(info[2]).FromJust();
// convert js argument to c++ type
String::Utf8Value strDayCounter(info[3]->ToString());
string DayCounterCpp(strdup(*strDayCounter));
// convert js argument to c++ type
ObjectHandler::property_t SettlementDateCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[4]).FromJust()));
// convert js argument to c++ type
double RiskFreeRateCpp = Nan::To<double>(info[5]).FromJust();
// convert js argument to c++ type
double DividendYieldCpp = Nan::To<double>(info[6]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[7].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new GeneralizedBlackScholesProcessWorker(
callback
,ObjectIDCpp
,BlackVolIDCpp
,UnderlyingCpp
,DayCounterCpp
,SettlementDateCpp
,RiskFreeRateCpp
,DividendYieldCpp
));
}
//GeneralizedBlackScholesProcessWorker::~GeneralizedBlackScholesProcessWorker(){
//
//}
//void GeneralizedBlackScholesProcessWorker::Destroy(){
//
//}