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3226 lines (2443 loc) · 81.5 KB
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/*
Copyright (C) 2016 -2017 Jerry Jin
*/
#include <nan.h>
#include <string.h>
#include "index.hpp"
#include <qlo/qladdindefines.hpp>
#include <qlo/indexes/bmaindex.hpp>
#include <qlo/indexes/ibor/euribor.hpp>
#include <qlo/indexes/ibor/libor.hpp>
#include <qlo/indexes/swap/euriborswap.hpp>
#include <qlo/indexes/swap/liborswap.hpp>
#include <qlo/indexes/swap/isdafixaswap.hpp>
#include <qlo/termstructures.hpp>
#include <qlo/handleimpl.hpp>
#include <qlo/timeseries.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/experimental/coupons/proxyibor.hpp>
#include <ql/indexes/swapindex.hpp>
#include <qlo/loop/loop_index.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 IborIndexWorker::Execute(){
try{
// 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::Currency CurrencyEnum =
ObjectHandler::Create<QuantLib::Currency>()(mCurrency);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Calendar CalendarEnum =
ObjectHandler::Create<QuantLib::Calendar>()(mCalendar);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::BusinessDayConvention BDayConventionEnum =
ObjectHandler::Create<QuantLib::BusinessDayConvention>()(mBDayConvention);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::DayCounter DayCounterEnum =
ObjectHandler::Create<QuantLib::DayCounter>()(mDayCounter);
// convert object IDs into library objects
OH_GET_OBJECT(FwdCurveCoerce, mFwdCurve, ObjectHandler::Object)
QuantLib::Handle<QuantLib::YieldTermStructure> FwdCurveLibObj =
QuantLibAddin::CoerceHandle<
QuantLibAddin::YieldTermStructure,
QuantLib::YieldTermStructure>()(
FwdCurveCoerce);
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlIborIndex(
mObjectID,
mFamilyName,
mTenor,
mFixingDays,
mCurrency,
mCalendar,
mBDayConvention,
mEndOfMonth,
mDayCounter,
mFwdCurve,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::IborIndex(
valueObject,
mFamilyName,
TenorLib,
FixingDaysLib,
CurrencyEnum,
CalendarEnum,
BDayConventionEnum,
mEndOfMonth,
DayCounterEnum,
FwdCurveLibObj,
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 IborIndexWorker::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::IborIndex) {
// 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("FamilyName 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("Currency 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("BDayConvention is required.");
}
if (info.Length() == 7 || !info[7]->IsBoolean()) {
return Nan::ThrowError("EndOfMonth is required.");
}
if (info.Length() == 8 || !info[8]->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
String::Utf8Value strFamilyName(info[1]->ToString());
string FamilyNameCpp(strdup(*strFamilyName));
// 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 strCurrency(info[4]->ToString());
string CurrencyCpp(strdup(*strCurrency));
// convert js argument to c++ type
String::Utf8Value strCalendar(info[5]->ToString());
string CalendarCpp(strdup(*strCalendar));
// convert js argument to c++ type
String::Utf8Value strBDayConvention(info[6]->ToString());
string BDayConventionCpp(strdup(*strBDayConvention));
// convert js argument to c++ type
bool EndOfMonthCpp = Nan::To<bool>(info[7]).FromJust();
// convert js argument to c++ type
String::Utf8Value strDayCounter(info[8]->ToString());
string DayCounterCpp(strdup(*strDayCounter));
// convert js argument to c++ type
ObjectHandler::property_t FwdCurveCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[9]).FromJust()));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[10].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new IborIndexWorker(
callback
,ObjectIDCpp
,FamilyNameCpp
,TenorCpp
,FixingDaysCpp
,CurrencyCpp
,CalendarCpp
,BDayConventionCpp
,EndOfMonthCpp
,DayCounterCpp
,FwdCurveCpp
));
}
//IborIndexWorker::~IborIndexWorker(){
//
//}
//void IborIndexWorker::Destroy(){
//
//}
void OvernightIndexWorker::Execute(){
try{
// 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::Currency CurrencyEnum =
ObjectHandler::Create<QuantLib::Currency>()(mCurrency);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Calendar CalendarEnum =
ObjectHandler::Create<QuantLib::Calendar>()(mCalendar);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::DayCounter DayCounterEnum =
ObjectHandler::Create<QuantLib::DayCounter>()(mDayCounter);
// 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::qlOvernightIndex(
mObjectID,
mFamilyName,
mFixingDays,
mCurrency,
mCalendar,
mDayCounter,
mYieldCurve,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::OvernightIndex(
valueObject,
mFamilyName,
FixingDaysLib,
CurrencyEnum,
CalendarEnum,
DayCounterEnum,
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 OvernightIndexWorker::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::OvernightIndex) {
// 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("FamilyName is required.");
}
if (info.Length() == 3 || !info[3]->IsString()) {
return Nan::ThrowError("Currency 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("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
String::Utf8Value strFamilyName(info[1]->ToString());
string FamilyNameCpp(strdup(*strFamilyName));
// convert js argument to c++ type
ObjectHandler::property_t FixingDaysCpp =
ObjectHandler::property_t(static_cast<long>(Nan::To<int32_t>(info[2]).FromJust()));
// convert js argument to c++ type
String::Utf8Value strCurrency(info[3]->ToString());
string CurrencyCpp(strdup(*strCurrency));
// convert js argument to c++ type
String::Utf8Value strCalendar(info[4]->ToString());
string CalendarCpp(strdup(*strCalendar));
// convert js argument to c++ type
String::Utf8Value strDayCounter(info[5]->ToString());
string DayCounterCpp(strdup(*strDayCounter));
// convert js argument to c++ type
ObjectHandler::property_t YieldCurveCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[6]).FromJust()));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[7].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new OvernightIndexWorker(
callback
,ObjectIDCpp
,FamilyNameCpp
,FixingDaysCpp
,CurrencyCpp
,CalendarCpp
,DayCounterCpp
,YieldCurveCpp
));
}
//OvernightIndexWorker::~OvernightIndexWorker(){
//
//}
//void OvernightIndexWorker::Destroy(){
//
//}
void EuriborWorker::Execute(){
try{
// 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::qlEuribor(
mObjectID,
mTenor,
mYieldCurve,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::Euribor(
valueObject,
mTenor,
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 EuriborWorker::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::Euribor) {
// 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("Tenor 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 strTenor(info[1]->ToString());
string TenorCpp(strdup(*strTenor));
// convert js argument to c++ type
ObjectHandler::property_t YieldCurveCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[2]).FromJust()));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[3].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new EuriborWorker(
callback
,ObjectIDCpp
,TenorCpp
,YieldCurveCpp
));
}
//EuriborWorker::~EuriborWorker(){
//
//}
//void EuriborWorker::Destroy(){
//
//}
void Euribor365Worker::Execute(){
try{
// 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::qlEuribor365(
mObjectID,
mTenor,
mYieldCurve,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::Euribor365(
valueObject,
mTenor,
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 Euribor365Worker::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::Euribor365) {
// 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("Tenor 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 strTenor(info[1]->ToString());
string TenorCpp(strdup(*strTenor));
// convert js argument to c++ type
ObjectHandler::property_t YieldCurveCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[2]).FromJust()));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[3].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new Euribor365Worker(
callback
,ObjectIDCpp
,TenorCpp
,YieldCurveCpp
));
}
//Euribor365Worker::~Euribor365Worker(){
//
//}
//void Euribor365Worker::Destroy(){
//
//}
void EoniaWorker::Execute(){
try{
// 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::qlEonia(
mObjectID,
mYieldCurve,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::Eonia(
valueObject,
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 EoniaWorker::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::Eonia) {
// 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 YieldCurveCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[1]).FromJust()));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[2].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new EoniaWorker(
callback
,ObjectIDCpp
,YieldCurveCpp
));
}
//EoniaWorker::~EoniaWorker(){
//
//}
//void EoniaWorker::Destroy(){
//
//}
void LiborWorker::Execute(){
try{
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Currency CurrencyEnum =
ObjectHandler::Create<QuantLib::Currency>()(mCurrency);
// 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::qlLibor(
mObjectID,
mCurrency,
mTenor,
mYieldCurve,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::Libor(
valueObject,
CurrencyEnum,
mTenor,
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 LiborWorker::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::Libor) {
// 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("Currency is required.");
}
if (info.Length() == 2 || !info[2]->IsString()) {
return Nan::ThrowError("Tenor 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 strCurrency(info[1]->ToString());
string CurrencyCpp(strdup(*strCurrency));
// 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 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 LiborWorker(
callback
,ObjectIDCpp
,CurrencyCpp
,TenorCpp
,YieldCurveCpp
));
}
//LiborWorker::~LiborWorker(){
//
//}
//void LiborWorker::Destroy(){
//
//}
void SoniaWorker::Execute(){
try{
// 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::qlSonia(
mObjectID,
mYieldCurve,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::Sonia(
valueObject,
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 SoniaWorker::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::Sonia) {
// 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 YieldCurveCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[1]).FromJust()));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[2].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new SoniaWorker(
callback
,ObjectIDCpp
,YieldCurveCpp
));
}
//SoniaWorker::~SoniaWorker(){
//
//}
//void SoniaWorker::Destroy(){
//
//}
void SwapIndexWorker::Execute(){
try{
// 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::Currency CurrencyEnum =
ObjectHandler::Create<QuantLib::Currency>()(mCurrency);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Calendar CalendarEnum =
ObjectHandler::Create<QuantLib::Calendar>()(mCalendar);
// convert input datatypes to QuantLib datatypes
QuantLib::Period FixedLegTenorLib;
QuantLibAddin::cppToLibrary(mFixedLegTenor, FixedLegTenorLib);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::BusinessDayConvention FixedLegBDCEnum =
ObjectHandler::Create<QuantLib::BusinessDayConvention>()(mFixedLegBDC);
// 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
OH_GET_OBJECT(DiscCurveCoerce, mDiscCurve, ObjectHandler::Object)
QuantLib::Handle<QuantLib::YieldTermStructure> DiscCurveLibObj =
QuantLibAddin::CoerceHandle<
QuantLibAddin::YieldTermStructure,
QuantLib::YieldTermStructure>()(
DiscCurveCoerce);
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlSwapIndex(
mObjectID,
mFamilyName,
mTenor,
mFixingDays,
mCurrency,
mCalendar,
mFixedLegTenor,
mFixedLegBDC,
mFixedLegDayCounter,
mIborIndex,
mDiscCurve,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::SwapIndex(
valueObject,
mFamilyName,
TenorLib,
FixingDaysLib,
CurrencyEnum,
CalendarEnum,
FixedLegTenorLib,
FixedLegBDCEnum,
FixedLegDayCounterEnum,
IborIndexLibObjPtr,
DiscCurveLibObj,
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 SwapIndexWorker::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::SwapIndex) {
// 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("FamilyName 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("Currency 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("FixedLegTenor is required.");
}
if (info.Length() == 7 || !info[7]->IsString()) {
return Nan::ThrowError("FixedLegBDC is required.");
}
if (info.Length() == 8 || !info[8]->IsString()) {
return Nan::ThrowError("FixedLegDayCounter is required.");
}
if (info.Length() == 9 || !info[9]->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
String::Utf8Value strFamilyName(info[1]->ToString());
string FamilyNameCpp(strdup(*strFamilyName));
// convert js argument to c++ type