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ratehelpers.cpp
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3766 lines (2832 loc) · 98.7 KB
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/*
Copyright (C) 2016 -2017 Jerry Jin
*/
#include <nan.h>
#include <string.h>
#include "ratehelpers.hpp"
#include <qlo/qladdindefines.hpp>
#include <qlo/ratehelpers.hpp>
#include <qlo/indexes/swapindex.hpp>
#include <qlo/schedule.hpp>
#include <qlo/bonds.hpp>
#include <qlo/yieldtermstructures.hpp>
#include <qlo/indexes/ibor/euribor.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/instruments/bonds/fixedratebond.hpp>
#include <ql/indexes/ibor/euribor.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 DepositRateHelperWorker::Execute(){
try{
// convert object IDs into library objects
QuantLib::Handle<QuantLib::Quote> RateLibObj =
ObjectHandler::convert2< QuantLib::Handle<QuantLib::Quote> >(mRate, "Rate");
// convert object IDs into library objects
OH_GET_REFERENCE(IborIndexLibObjPtr, mIborIndex,
QuantLibAddin::IborIndex, QuantLib::IborIndex)
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlDepositRateHelper(
mObjectID,
mRate,
mIborIndex,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::DepositRateHelper(
valueObject,
RateLibObj,
IborIndexLibObjPtr,
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 DepositRateHelperWorker::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::DepositRateHelper) {
// 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("IborIndex 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 RateCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[1]).FromJust()));
// convert js argument to c++ type
String::Utf8Value strIborIndex(info[2]->ToString());
string IborIndexCpp(strdup(*strIborIndex));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[3].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new DepositRateHelperWorker(
callback
,ObjectIDCpp
,RateCpp
,IborIndexCpp
));
}
//DepositRateHelperWorker::~DepositRateHelperWorker(){
//
//}
//void DepositRateHelperWorker::Destroy(){
//
//}
void DepositRateHelper2Worker::Execute(){
try{
// convert object IDs into library objects
QuantLib::Handle<QuantLib::Quote> RateLibObj =
ObjectHandler::convert2< QuantLib::Handle<QuantLib::Quote> >(mRate, "Rate");
// convert input datatypes to QuantLib datatypes
QuantLib::Period TenorLib;
QuantLibAddin::cppToLibrary(mTenor, TenorLib);
// 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::Calendar CalendarEnum =
ObjectHandler::Create<QuantLib::Calendar>()(mCalendar);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::BusinessDayConvention ConventionEnum =
ObjectHandler::Create<QuantLib::BusinessDayConvention>()(mConvention);
// 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::qlDepositRateHelper2(
mObjectID,
mRate,
mTenor,
mFixingDays,
mCalendar,
mConvention,
mEndOfMonth,
mDayCounter,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::DepositRateHelper(
valueObject,
RateLibObj,
TenorLib,
FixingDaysLib,
CalendarEnum,
ConventionEnum,
mEndOfMonth,
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 DepositRateHelper2Worker::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::DepositRateHelper2) {
// 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("Convention is required.");
}
if (info.Length() == 6 || !info[6]->IsBoolean()) {
return Nan::ThrowError("EndOfMonth is required.");
}
if (info.Length() == 7 || !info[7]->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
ObjectHandler::property_t RateCpp =
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 FixingDaysCpp =
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 strConvention(info[5]->ToString());
string ConventionCpp(strdup(*strConvention));
// convert js argument to c++ type
bool EndOfMonthCpp = Nan::To<bool>(info[6]).FromJust();
// convert js argument to c++ type
String::Utf8Value strDayCounter(info[7]->ToString());
string DayCounterCpp(strdup(*strDayCounter));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[8].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new DepositRateHelper2Worker(
callback
,ObjectIDCpp
,RateCpp
,TenorCpp
,FixingDaysCpp
,CalendarCpp
,ConventionCpp
,EndOfMonthCpp
,DayCounterCpp
));
}
//DepositRateHelper2Worker::~DepositRateHelper2Worker(){
//
//}
//void DepositRateHelper2Worker::Destroy(){
//
//}
void SwapRateHelperWorker::Execute(){
try{
// convert object IDs into library objects
QuantLib::Handle<QuantLib::Quote> RateLibObj =
ObjectHandler::convert2< QuantLib::Handle<QuantLib::Quote> >(mRate, "Rate");
// convert object IDs into library objects
OH_GET_REFERENCE(SwapIndexLibObjPtr, mSwapIndex,
QuantLibAddin::SwapIndex, QuantLib::SwapIndex)
// convert object IDs into library objects
QuantLib::Handle<QuantLib::Quote> SpreadLibObj =
ObjectHandler::convert2< QuantLib::Handle<QuantLib::Quote> >(mSpread, "Spread");
// convert input datatypes to QuantLib datatypes
QuantLib::Period ForwardStartLib;
QuantLibAddin::cppToLibrary(mForwardStart, ForwardStartLib);
// 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);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Pillar::Choice PillarDateEnum =
ObjectHandler::Create<QuantLib::Pillar::Choice>()(mPillarDate);
// convert input datatypes to QuantLib datatypes
QuantLib::Date CustomPillarDateLib = ObjectHandler::convert2<QuantLib::Date>(
mCustomPillarDate, "CustomPillarDate");
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlSwapRateHelper(
mObjectID,
mRate,
mSwapIndex,
mSpread,
mForwardStart,
mDiscountingCurve,
mPillarDate,
mCustomPillarDate,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::SwapRateHelper(
valueObject,
RateLibObj,
SwapIndexLibObjPtr,
SpreadLibObj,
ForwardStartLib,
DiscountingCurveLibObj,
PillarDateEnum,
CustomPillarDateLib,
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 SwapRateHelperWorker::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::SwapRateHelper) {
// 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("SwapIndex is required.");
}
if (info.Length() == 4 || !info[4]->IsString()) {
return Nan::ThrowError("ForwardStart is required.");
}
if (info.Length() == 6 || !info[6]->IsString()) {
return Nan::ThrowError("PillarDate 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 RateCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[1]).FromJust()));
// convert js argument to c++ type
String::Utf8Value strSwapIndex(info[2]->ToString());
string SwapIndexCpp(strdup(*strSwapIndex));
// convert js argument to c++ type
ObjectHandler::property_t SpreadCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[3]).FromJust()));
// convert js argument to c++ type
String::Utf8Value strForwardStart(info[4]->ToString());
string ForwardStartCpp(strdup(*strForwardStart));
// convert js argument to c++ type
ObjectHandler::property_t DiscountingCurveCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[5]).FromJust()));
// convert js argument to c++ type
String::Utf8Value strPillarDate(info[6]->ToString());
string PillarDateCpp(strdup(*strPillarDate));
// convert js argument to c++ type
ObjectHandler::property_t CustomPillarDateCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[7]).FromJust()));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[8].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new SwapRateHelperWorker(
callback
,ObjectIDCpp
,RateCpp
,SwapIndexCpp
,SpreadCpp
,ForwardStartCpp
,DiscountingCurveCpp
,PillarDateCpp
,CustomPillarDateCpp
));
}
//SwapRateHelperWorker::~SwapRateHelperWorker(){
//
//}
//void SwapRateHelperWorker::Destroy(){
//
//}
void SwapRateHelper2Worker::Execute(){
try{
// convert object IDs into library objects
QuantLib::Handle<QuantLib::Quote> RateLibObj =
ObjectHandler::convert2< QuantLib::Handle<QuantLib::Quote> >(mRate, "Rate");
// convert input datatypes to QuantLib datatypes
QuantLib::Natural SettlDaysLib = ObjectHandler::convert2<long>(
mSettlDays, "SettlDays", QuantLib::Null<QuantLib::Natural>());
// convert input datatypes to QuantLib datatypes
QuantLib::Period TenorLib;
QuantLibAddin::cppToLibrary(mTenor, TenorLib);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Calendar CalendarEnum =
ObjectHandler::Create<QuantLib::Calendar>()(mCalendar);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Frequency FixedLegFrequencyEnum =
ObjectHandler::Create<QuantLib::Frequency>()(mFixedLegFrequency);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::BusinessDayConvention FixedLegConventionEnum =
ObjectHandler::Create<QuantLib::BusinessDayConvention>()(mFixedLegConvention);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::DayCounter FixedLegDayCounterEnum =
ObjectHandler::Create<QuantLib::DayCounter>()(mFixedLegDayCounter);
// convert object IDs into library objects
OH_GET_REFERENCE(IborIndexLibObjPtr, mIborIndex,
QuantLibAddin::IborIndex, QuantLib::IborIndex)
// convert object IDs into library objects
QuantLib::Handle<QuantLib::Quote> SpreadLibObj =
ObjectHandler::convert2< QuantLib::Handle<QuantLib::Quote> >(mSpread, "Spread");
// convert input datatypes to QuantLib datatypes
QuantLib::Period ForwardStartLib;
QuantLibAddin::cppToLibrary(mForwardStart, ForwardStartLib);
// 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);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Pillar::Choice PillarDateEnum =
ObjectHandler::Create<QuantLib::Pillar::Choice>()(mPillarDate);
// convert input datatypes to QuantLib datatypes
QuantLib::Date CustomPillarDateLib = ObjectHandler::convert2<QuantLib::Date>(
mCustomPillarDate, "CustomPillarDate");
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlSwapRateHelper2(
mObjectID,
mRate,
mSettlDays,
mTenor,
mCalendar,
mFixedLegFrequency,
mFixedLegConvention,
mFixedLegDayCounter,
mIborIndex,
mSpread,
mForwardStart,
mDiscountingCurve,
mPillarDate,
mCustomPillarDate,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::SwapRateHelper(
valueObject,
RateLibObj,
SettlDaysLib,
TenorLib,
CalendarEnum,
FixedLegFrequencyEnum,
FixedLegConventionEnum,
FixedLegDayCounterEnum,
IborIndexLibObjPtr,
SpreadLibObj,
ForwardStartLib,
DiscountingCurveLibObj,
PillarDateEnum,
CustomPillarDateLib,
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 SwapRateHelper2Worker::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::SwapRateHelper2) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 3 || !info[3]->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("FixedLegFrequency is required.");
}
if (info.Length() == 6 || !info[6]->IsString()) {
return Nan::ThrowError("FixedLegConvention is required.");
}
if (info.Length() == 7 || !info[7]->IsString()) {
return Nan::ThrowError("FixedLegDayCounter is required.");
}
if (info.Length() == 8 || !info[8]->IsString()) {
return Nan::ThrowError("IborIndex is required.");
}
if (info.Length() == 10 || !info[10]->IsString()) {
return Nan::ThrowError("ForwardStart is required.");
}
if (info.Length() == 12 || !info[12]->IsString()) {
return Nan::ThrowError("PillarDate 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 RateCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[1]).FromJust()));
// convert js argument to c++ type
ObjectHandler::property_t SettlDaysCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(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
String::Utf8Value strCalendar(info[4]->ToString());
string CalendarCpp(strdup(*strCalendar));
// convert js argument to c++ type
String::Utf8Value strFixedLegFrequency(info[5]->ToString());
string FixedLegFrequencyCpp(strdup(*strFixedLegFrequency));
// convert js argument to c++ type
String::Utf8Value strFixedLegConvention(info[6]->ToString());
string FixedLegConventionCpp(strdup(*strFixedLegConvention));
// convert js argument to c++ type
String::Utf8Value strFixedLegDayCounter(info[7]->ToString());
string FixedLegDayCounterCpp(strdup(*strFixedLegDayCounter));
// convert js argument to c++ type
String::Utf8Value strIborIndex(info[8]->ToString());
string IborIndexCpp(strdup(*strIborIndex));
// convert js argument to c++ type
ObjectHandler::property_t SpreadCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[9]).FromJust()));
// convert js argument to c++ type
String::Utf8Value strForwardStart(info[10]->ToString());
string ForwardStartCpp(strdup(*strForwardStart));
// convert js argument to c++ type
ObjectHandler::property_t DiscountingCurveCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[11]).FromJust()));
// convert js argument to c++ type
String::Utf8Value strPillarDate(info[12]->ToString());
string PillarDateCpp(strdup(*strPillarDate));
// convert js argument to c++ type
ObjectHandler::property_t CustomPillarDateCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[13]).FromJust()));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[14].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new SwapRateHelper2Worker(
callback
,ObjectIDCpp
,RateCpp
,SettlDaysCpp
,TenorCpp
,CalendarCpp
,FixedLegFrequencyCpp
,FixedLegConventionCpp
,FixedLegDayCounterCpp
,IborIndexCpp
,SpreadCpp
,ForwardStartCpp
,DiscountingCurveCpp
,PillarDateCpp
,CustomPillarDateCpp
));
}
//SwapRateHelper2Worker::~SwapRateHelper2Worker(){
//
//}
//void SwapRateHelper2Worker::Destroy(){
//
//}
void OISRateHelperWorker::Execute(){
try{
// convert input datatypes to QuantLib datatypes
QuantLib::Natural SettlDaysLib = ObjectHandler::convert2<long>(
mSettlDays, "SettlDays", QuantLib::Null<QuantLib::Natural>());
// convert input datatypes to QuantLib datatypes
QuantLib::Period TenorLib;
QuantLibAddin::cppToLibrary(mTenor, TenorLib);
// convert object IDs into library objects
QuantLib::Handle<QuantLib::Quote> FixedRateLibObj =
ObjectHandler::convert2< QuantLib::Handle<QuantLib::Quote> >(mFixedRate, "FixedRate");
// convert object IDs into library objects
OH_GET_REFERENCE(ONIndexLibObjPtr, mONIndex,
QuantLibAddin::OvernightIndex, QuantLib::OvernightIndex)
// 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::qlOISRateHelper(
mObjectID,
mSettlDays,
mTenor,
mFixedRate,
mONIndex,
mDiscountingCurve,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::OISRateHelper(
valueObject,
SettlDaysLib,
TenorLib,
FixedRateLibObj,
ONIndexLibObjPtr,
DiscountingCurveLibObj,
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 OISRateHelperWorker::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::OISRateHelper) {
// 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("ONIndex 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 SettlDaysCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(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 FixedRateCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[3]).FromJust()));
// convert js argument to c++ type
String::Utf8Value strONIndex(info[4]->ToString());
string ONIndexCpp(strdup(*strONIndex));
// convert js argument to c++ type
ObjectHandler::property_t DiscountingCurveCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[5]).FromJust()));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[6].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new OISRateHelperWorker(
callback
,ObjectIDCpp
,SettlDaysCpp
,TenorCpp
,FixedRateCpp
,ONIndexCpp
,DiscountingCurveCpp
));
}
//OISRateHelperWorker::~OISRateHelperWorker(){
//
//}
//void OISRateHelperWorker::Destroy(){
//
//}
void DatedOISRateHelperWorker::Execute(){
try{
// convert input datatypes to QuantLib datatypes
QuantLib::Date StartDateLib = ObjectHandler::convert2<QuantLib::Date>(
mStartDate, "StartDate");
// convert input datatypes to QuantLib datatypes
QuantLib::Date EndDateLib = ObjectHandler::convert2<QuantLib::Date>(
mEndDate, "EndDate");
// convert object IDs into library objects
QuantLib::Handle<QuantLib::Quote> FixedRateLibObj =
ObjectHandler::convert2< QuantLib::Handle<QuantLib::Quote> >(mFixedRate, "FixedRate");
// convert object IDs into library objects
OH_GET_REFERENCE(ONIndexLibObjPtr, mONIndex,
QuantLibAddin::OvernightIndex, QuantLib::OvernightIndex)
// 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::qlDatedOISRateHelper(
mObjectID,
mStartDate,
mEndDate,
mFixedRate,
mONIndex,
mDiscountingCurve,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::DatedOISRateHelper(
valueObject,
StartDateLib,
EndDateLib,
FixedRateLibObj,
ONIndexLibObjPtr,
DiscountingCurveLibObj,
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 DatedOISRateHelperWorker::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::DatedOISRateHelper) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 4 || !info[4]->IsString()) {
return Nan::ThrowError("ONIndex 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 StartDateCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[1]).FromJust()));
// convert js argument to c++ type
ObjectHandler::property_t EndDateCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[2]).FromJust()));
// convert js argument to c++ type
ObjectHandler::property_t FixedRateCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[3]).FromJust()));
// convert js argument to c++ type
String::Utf8Value strONIndex(info[4]->ToString());
string ONIndexCpp(strdup(*strONIndex));
// convert js argument to c++ type
ObjectHandler::property_t DiscountingCurveCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[5]).FromJust()));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[6].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new DatedOISRateHelperWorker(
callback
,ObjectIDCpp
,StartDateCpp
,EndDateCpp
,FixedRateCpp
,ONIndexCpp
,DiscountingCurveCpp
));
}
//DatedOISRateHelperWorker::~DatedOISRateHelperWorker(){
//
//}
//void DatedOISRateHelperWorker::Destroy(){
//
//}
void FraRateHelperWorker::Execute(){
try{
// convert object IDs into library objects
QuantLib::Handle<QuantLib::Quote> RateLibObj =
ObjectHandler::convert2< QuantLib::Handle<QuantLib::Quote> >(mRate, "Rate");
// convert input datatypes to QuantLib datatypes
QuantLib::Period PeriodToStartLib;
QuantLibAddin::cppToLibrary(mPeriodToStart, PeriodToStartLib);
// convert object IDs into library objects