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/*
Copyright (C) 2016 -2017 Jerry Jin
*/
#include <nan.h>
#include <string.h>
#include "exercise.hpp"
#include <qlo/qladdindefines.hpp>
#include <ql/exercise.hpp>
#include <qlo/exercise.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 AmericanExerciseWorker::Execute(){
try{
// convert input datatypes to QuantLib datatypes
QuantLib::Date EarliestDateLib = ObjectHandler::convert2<QuantLib::Date>(
mEarliestDate, "EarliestDate");
// convert input datatypes to QuantLib datatypes
QuantLib::Date LatestDateLib = ObjectHandler::convert2<QuantLib::Date>(
mLatestDate, "LatestDate");
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlAmericanExercise(
mObjectID,
mEarliestDate,
mLatestDate,
mPayoffAtExpiry,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::AmericanExercise(
valueObject,
EarliestDateLib,
LatestDateLib,
mPayoffAtExpiry,
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 AmericanExerciseWorker::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::AmericanExercise) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 3 || !info[3]->IsBoolean()) {
return Nan::ThrowError("PayoffAtExpiry 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 EarliestDateCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[1]).FromJust()));
// convert js argument to c++ type
ObjectHandler::property_t LatestDateCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[2]).FromJust()));
// convert js argument to c++ type
bool PayoffAtExpiryCpp = Nan::To<bool>(info[3]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[4].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new AmericanExerciseWorker(
callback
,ObjectIDCpp
,EarliestDateCpp
,LatestDateCpp
,PayoffAtExpiryCpp
));
}
//AmericanExerciseWorker::~AmericanExerciseWorker(){
//
//}
//void AmericanExerciseWorker::Destroy(){
//
//}
void EuropeanExerciseWorker::Execute(){
try{
// convert input datatypes to QuantLib datatypes
QuantLib::Date ExpiryDateLib = ObjectHandler::convert2<QuantLib::Date>(
mExpiryDate, "ExpiryDate");
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlEuropeanExercise(
mObjectID,
mExpiryDate,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::EuropeanExercise(
valueObject,
ExpiryDateLib,
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 EuropeanExerciseWorker::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::EuropeanExercise) {
// 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 ExpiryDateCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[1]).FromJust()));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[2].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new EuropeanExerciseWorker(
callback
,ObjectIDCpp
,ExpiryDateCpp
));
}
//EuropeanExerciseWorker::~EuropeanExerciseWorker(){
//
//}
//void EuropeanExerciseWorker::Destroy(){
//
//}
void BermudanExerciseWorker::Execute(){
try{
// convert input datatypes to QuantLib datatypes
std::vector<QuantLib::Date> DatesLib = ObjectHandler::vector::convert2<QuantLib::Date>(
mDates, "Dates");
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlBermudanExercise(
mObjectID,
mDates,
mPayoffAtExpiry,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::BermudanExercise(
valueObject,
DatesLib,
mPayoffAtExpiry,
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 BermudanExerciseWorker::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::BermudanExercise) {
// 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("Dates is required.");
}
if (info.Length() == 2 || !info[2]->IsBoolean()) {
return Nan::ThrowError("PayoffAtExpiry 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>DatesCpp;
Local<Array> DatesArray = info[1].As<Array>();
for (unsigned int i = 0; i < DatesArray->Length(); i++){
ObjectHandler::property_t tmp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(Nan::Get(DatesArray, i).ToLocalChecked()).FromJust()));
DatesCpp.push_back(tmp);
}
// convert js argument to c++ type
bool PayoffAtExpiryCpp = Nan::To<bool>(info[2]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[3].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new BermudanExerciseWorker(
callback
,ObjectIDCpp
,DatesCpp
,PayoffAtExpiryCpp
));
}
//BermudanExerciseWorker::~BermudanExerciseWorker(){
//
//}
//void BermudanExerciseWorker::Destroy(){
//
//}
void ExerciseDatesWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(ObjectIDLibObjPtr, mObjectID,
QuantLibAddin::Exercise, QuantLib::Exercise)
// loop on the input parameter and populate the return vector
std::vector<QuantLib::Date> returnValue = ObjectIDLibObjPtr->dates(
);
mReturnValue = QuantLibAddin::libraryToVector(returnValue);
}catch(const std::exception &e){
mError = e.what();
}catch (...){
mError = "unkown error";
}
}
void ExerciseDatesWorker::HandleOKCallback(){
Nan::HandleScope scope;
Local<Array> tmpArray = Nan::New<Array>(mReturnValue.size());
for (unsigned int i = 0; i < mReturnValue.size(); i++) {
Nan::Set(tmpArray,i,Nan::New<Number>(mReturnValue[i]));
}
Local<v8::Value> argv[2] = {
Nan::New<String>(mError).ToLocalChecked(),
tmpArray
};
callback->Call(2, argv);
}
NAN_METHOD(QuantLibNode::ExerciseDates) {
// 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));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[1].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new ExerciseDatesWorker(
callback
,ObjectIDCpp
));
}
//ExerciseDatesWorker::~ExerciseDatesWorker(){
//
//}
//void ExerciseDatesWorker::Destroy(){
//
//}
void ExerciseLastDateWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(ObjectIDLibObjPtr, mObjectID,
QuantLibAddin::Exercise, QuantLib::Exercise)
// invoke the member function
QuantLib::Date returnValue = ObjectIDLibObjPtr->lastDate(
);
mReturnValue = QuantLibAddin::libraryToScalar(returnValue);
}catch(const std::exception &e){
mError = e.what();
}catch (...){
mError = "unkown error";
}
}
void ExerciseLastDateWorker::HandleOKCallback(){
Nan::HandleScope scope;
Local<v8::Value> argv[2] = {
Nan::New<String>(mError).ToLocalChecked(),
Nan::New<Number>(mReturnValue)
};
callback->Call(2, argv);
}
NAN_METHOD(QuantLibNode::ExerciseLastDate) {
// 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));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[1].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new ExerciseLastDateWorker(
callback
,ObjectIDCpp
));
}
//ExerciseLastDateWorker::~ExerciseLastDateWorker(){
//
//}
//void ExerciseLastDateWorker::Destroy(){
//
//}