/*

Copyright (C) 2016 -2017 Jerry Jin

*/

#ifndef pricingengines_h

#define pricingengines_h

#include <nan.h>

#include <string>

#include <queue>

#include <utility>

#include "../quantlibnode.hpp"

#include <oh/objecthandler.hpp>

using namespace node;

using namespace v8;

using namespace std;

class BlackCalculator2Worker : public Nan::AsyncWorker {

public:

string mObjectID;

string mPayoffID;

double mAtmForwardValue;

double mStdDev;

double mDeflator;

string mReturnValue;

string mError;

BlackCalculator2Worker(

Nan::Callback *callback

,string ObjectID

,string PayoffID

,double AtmForwardValue

,double StdDev

,double Deflator

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mPayoffID(PayoffID)

,mAtmForwardValue(AtmForwardValue)

,mStdDev(StdDev)

,mDeflator(Deflator)

{

};

//~BlackCalculator2Worker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BlackCalculatorWorker : public Nan::AsyncWorker {

public:

string mObjectID;

string mOptionType;

double mStrike;

double mAtmForwardValue;

double mStdDev;

double mDeflator;

string mReturnValue;

string mError;

BlackCalculatorWorker(

Nan::Callback *callback

,string ObjectID

,string OptionType

,double Strike

,double AtmForwardValue

,double StdDev

,double Deflator

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mOptionType(OptionType)

,mStrike(Strike)

,mAtmForwardValue(AtmForwardValue)

,mStdDev(StdDev)

,mDeflator(Deflator)

{

};

//~BlackCalculatorWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BlackScholesCalculator2Worker : public Nan::AsyncWorker {

public:

string mObjectID;

string mPayoffID;

double mSpot;

double mGrowth;

double mStdDev;

double mDeflator;

string mReturnValue;

string mError;

BlackScholesCalculator2Worker(

Nan::Callback *callback

,string ObjectID

,string PayoffID

,double Spot

,double Growth

,double StdDev

,double Deflator

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mPayoffID(PayoffID)

,mSpot(Spot)

,mGrowth(Growth)

,mStdDev(StdDev)

,mDeflator(Deflator)

{

};

//~BlackScholesCalculator2Worker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BlackScholesCalculatorWorker : public Nan::AsyncWorker {

public:

string mObjectID;

string mOptionType;

double mStrike;

double mSpot;

double mGrowth;

double mStdDev;

double mDeflator;

string mReturnValue;

string mError;

BlackScholesCalculatorWorker(

Nan::Callback *callback

,string ObjectID

,string OptionType

,double Strike

,double Spot

,double Growth

,double StdDev

,double Deflator

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mOptionType(OptionType)

,mStrike(Strike)

,mSpot(Spot)

,mGrowth(Growth)

,mStdDev(StdDev)

,mDeflator(Deflator)

{

};

//~BlackScholesCalculatorWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class PricingEngineWorker : public Nan::AsyncWorker {

public:

string mObjectID;

string mEngineID;

string mProcessID;

string mReturnValue;

string mError;

PricingEngineWorker(

Nan::Callback *callback

,string ObjectID

,string EngineID

,string ProcessID

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mEngineID(EngineID)

,mProcessID(ProcessID)

{

};

//~PricingEngineWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class DiscountingSwapEngineWorker : public Nan::AsyncWorker {

public:

string mObjectID;

ObjectHandler::property_t mYieldCurve;

bool mIncludeSettlDate;

ObjectHandler::property_t mSettlementDate;

ObjectHandler::property_t mNpvDate;

string mReturnValue;

string mError;

DiscountingSwapEngineWorker(

Nan::Callback *callback

,string ObjectID

,ObjectHandler::property_t YieldCurve

,bool IncludeSettlDate

,ObjectHandler::property_t SettlementDate

,ObjectHandler::property_t NpvDate

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mYieldCurve(YieldCurve)

,mIncludeSettlDate(IncludeSettlDate)

,mSettlementDate(SettlementDate)

,mNpvDate(NpvDate)

{

};

//~DiscountingSwapEngineWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BinomialPricingEngineWorker : public Nan::AsyncWorker {

public:

string mObjectID;

string mEngineID;

string mProcessID;

long mTimeSteps;

string mReturnValue;

string mError;

BinomialPricingEngineWorker(

Nan::Callback *callback

,string ObjectID

,string EngineID

,string ProcessID

,long TimeSteps

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mEngineID(EngineID)

,mProcessID(ProcessID)

,mTimeSteps(TimeSteps)

{

};

//~BinomialPricingEngineWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BlackSwaptionEngineWorker : public Nan::AsyncWorker {

public:

string mObjectID;

ObjectHandler::property_t mYieldCurve;

ObjectHandler::property_t mVolTS;

double mDisplacement;

string mReturnValue;

string mError;

BlackSwaptionEngineWorker(

Nan::Callback *callback

,string ObjectID

,ObjectHandler::property_t YieldCurve

,ObjectHandler::property_t VolTS

,double Displacement

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mYieldCurve(YieldCurve)

,mVolTS(VolTS)

,mDisplacement(Displacement)

{

};

//~BlackSwaptionEngineWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BlackSwaptionEngine2Worker : public Nan::AsyncWorker {

public:

string mObjectID;

ObjectHandler::property_t mYieldCurve;

ObjectHandler::property_t mVol;

double mDisplacement;

string mDayCounter;

string mReturnValue;

string mError;

BlackSwaptionEngine2Worker(

Nan::Callback *callback

,string ObjectID

,ObjectHandler::property_t YieldCurve

,ObjectHandler::property_t Vol

,double Displacement

,string DayCounter

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mYieldCurve(YieldCurve)

,mVol(Vol)

,mDisplacement(Displacement)

,mDayCounter(DayCounter)

{

};

//~BlackSwaptionEngine2Worker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BlackCapFloorEngineWorker : public Nan::AsyncWorker {

public:

string mObjectID;

ObjectHandler::property_t mYieldCurve;

ObjectHandler::property_t mVolTS;

double mDisplacement;

string mReturnValue;

string mError;

BlackCapFloorEngineWorker(

Nan::Callback *callback

,string ObjectID

,ObjectHandler::property_t YieldCurve

,ObjectHandler::property_t VolTS

,double Displacement

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mYieldCurve(YieldCurve)

,mVolTS(VolTS)

,mDisplacement(Displacement)

{

};

//~BlackCapFloorEngineWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BlackCapFloorEngine2Worker : public Nan::AsyncWorker {

public:

string mObjectID;

ObjectHandler::property_t mYieldCurve;

ObjectHandler::property_t mVol;

double mDisplacement;

string mDayCounter;

string mReturnValue;

string mError;

BlackCapFloorEngine2Worker(

Nan::Callback *callback

,string ObjectID

,ObjectHandler::property_t YieldCurve

,ObjectHandler::property_t Vol

,double Displacement

,string DayCounter

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mYieldCurve(YieldCurve)

,mVol(Vol)

,mDisplacement(Displacement)

,mDayCounter(DayCounter)

{

};

//~BlackCapFloorEngine2Worker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BachelierCapFloorEngineWorker : public Nan::AsyncWorker {

public:

string mObjectID;

ObjectHandler::property_t mYieldCurve;

ObjectHandler::property_t mVolTS;

string mReturnValue;

string mError;

BachelierCapFloorEngineWorker(

Nan::Callback *callback

,string ObjectID

,ObjectHandler::property_t YieldCurve

,ObjectHandler::property_t VolTS

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mYieldCurve(YieldCurve)

,mVolTS(VolTS)

{

};

//~BachelierCapFloorEngineWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BachelierCapFloorEngine2Worker : public Nan::AsyncWorker {

public:

string mObjectID;

ObjectHandler::property_t mYieldCurve;

ObjectHandler::property_t mVol;

string mDayCounter;

string mReturnValue;

string mError;

BachelierCapFloorEngine2Worker(

Nan::Callback *callback

,string ObjectID

,ObjectHandler::property_t YieldCurve

,ObjectHandler::property_t Vol

,string DayCounter

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mYieldCurve(YieldCurve)

,mVol(Vol)

,mDayCounter(DayCounter)

{

};

//~BachelierCapFloorEngine2Worker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class AnalyticCapFloorEngineWorker : public Nan::AsyncWorker {

public:

string mObjectID;

string mHandleModel;

string mReturnValue;

string mError;

AnalyticCapFloorEngineWorker(

Nan::Callback *callback

,string ObjectID

,string HandleModel

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mHandleModel(HandleModel)

{

};

//~AnalyticCapFloorEngineWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BondEngineWorker : public Nan::AsyncWorker {

public:

string mObjectID;

ObjectHandler::property_t mYieldCurve;

string mReturnValue;

string mError;

BondEngineWorker(

Nan::Callback *callback

,string ObjectID

,ObjectHandler::property_t YieldCurve

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mYieldCurve(YieldCurve)

{

};

//~BondEngineWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class JamshidianSwaptionEngineWorker : public Nan::AsyncWorker {

public:

string mObjectID;

string mModel;

ObjectHandler::property_t mYieldCurve;

string mReturnValue;

string mError;

JamshidianSwaptionEngineWorker(

Nan::Callback *callback

,string ObjectID

,string Model

,ObjectHandler::property_t YieldCurve

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mModel(Model)

,mYieldCurve(YieldCurve)

{

};

//~JamshidianSwaptionEngineWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class TreeSwaptionEngineWorker : public Nan::AsyncWorker {

public:

string mObjectID;

string mModel;

long mNsteps;

ObjectHandler::property_t mYieldCurve;

string mReturnValue;

string mError;

TreeSwaptionEngineWorker(

Nan::Callback *callback

,string ObjectID

,string Model

,long Nsteps

,ObjectHandler::property_t YieldCurve

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mModel(Model)

,mNsteps(Nsteps)

,mYieldCurve(YieldCurve)

{

};

//~TreeSwaptionEngineWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class ModelG2SwaptionEngineWorker : public Nan::AsyncWorker {

public:

string mObjectID;

string mModel;

double mRange;

long mIntervals;

string mReturnValue;

string mError;

ModelG2SwaptionEngineWorker(

Nan::Callback *callback

,string ObjectID

,string Model

,double Range

,long Intervals

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mModel(Model)

,mRange(Range)

,mIntervals(Intervals)

{

};

//~ModelG2SwaptionEngineWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BlackCalculatorValueWorker : public Nan::AsyncWorker {

public:

string mObjectID;

double mReturnValue;

string mError;

BlackCalculatorValueWorker(

Nan::Callback *callback

,string ObjectID

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

{

};

//~BlackCalculatorValueWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BlackCalculatorDeltaForwardWorker : public Nan::AsyncWorker {

public:

string mObjectID;

double mReturnValue;

string mError;

BlackCalculatorDeltaForwardWorker(

Nan::Callback *callback

,string ObjectID

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

{

};

//~BlackCalculatorDeltaForwardWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BlackCalculatorDeltaWorker : public Nan::AsyncWorker {

public:

string mObjectID;

double mSpot;

double mReturnValue;

string mError;

BlackCalculatorDeltaWorker(

Nan::Callback *callback

,string ObjectID

,double Spot

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mSpot(Spot)

{

};

//~BlackCalculatorDeltaWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BlackCalculatorElasticityForwardWorker : public Nan::AsyncWorker {

public:

string mObjectID;

double mReturnValue;

string mError;

BlackCalculatorElasticityForwardWorker(

Nan::Callback *callback

,string ObjectID

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

{

};

//~BlackCalculatorElasticityForwardWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BlackCalculatorElasticityWorker : public Nan::AsyncWorker {

public:

string mObjectID;

double mSpot;

double mReturnValue;

string mError;

BlackCalculatorElasticityWorker(

Nan::Callback *callback

,string ObjectID

,double Spot

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mSpot(Spot)

{

};

//~BlackCalculatorElasticityWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BlackCalculatorGammaForwardWorker : public Nan::AsyncWorker {

public:

string mObjectID;

double mReturnValue;

string mError;

BlackCalculatorGammaForwardWorker(

Nan::Callback *callback

,string ObjectID

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

{

};

//~BlackCalculatorGammaForwardWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BlackCalculatorGammaWorker : public Nan::AsyncWorker {

public:

string mObjectID;

double mSpot;

double mReturnValue;

string mError;

BlackCalculatorGammaWorker(

Nan::Callback *callback

,string ObjectID

,double Spot

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mSpot(Spot)

{

};

//~BlackCalculatorGammaWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BlackCalculatorThetaWorker : public Nan::AsyncWorker {

public:

string mObjectID;

double mSpot;

double mTimeToMaturity;

double mReturnValue;

string mError;

BlackCalculatorThetaWorker(

Nan::Callback *callback

,string ObjectID

,double Spot

,double TimeToMaturity

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mSpot(Spot)

,mTimeToMaturity(TimeToMaturity)

{

};

//~BlackCalculatorThetaWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BlackCalculatorThetaPerDayWorker : public Nan::AsyncWorker {

public:

string mObjectID;

double mSpot;

double mTimeToMaturity;

double mReturnValue;

string mError;

BlackCalculatorThetaPerDayWorker(

Nan::Callback *callback

,string ObjectID

,double Spot

,double TimeToMaturity

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mSpot(Spot)

,mTimeToMaturity(TimeToMaturity)

{

};

//~BlackCalculatorThetaPerDayWorker();

//void Destroy();

void Execute();

void HandleOKCallback();

};

class BlackCalculatorVegaWorker : public Nan::AsyncWorker {

public:

string mObjectID;

double mTimeToMaturity;

double mReturnValue;

string mError;

BlackCalculatorVegaWorker(

Nan::Callback *callback

,string ObjectID

,double TimeToMaturity

):

Nan::AsyncWorker(callback)

,mObjectID(ObjectID)

,mTimeToMaturity(TimeToMaturity)

{

};

//~BlackCalculatorVegaWorker();

//void Destroy();

void Execute();

void HandleOKCallback();