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Copy pathmarketmodels.cpp
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2446 lines (1840 loc) · 60.2 KB
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// This is a generated file, modify: generate/templates/class_content.cc
#include <nan.h>
#include <string.h>
#include "marketmodels.hpp"
#include <qlo/qladdindefines.hpp>
#include <qlo/marketmodels.hpp>
#include <qlo/curvestate.hpp>
#include <qlo/evolutiondescription.hpp>
#include <qlo/correlation.hpp>
#include <qlo/ctsmmcapletcalibration.hpp>
#include <qlo/yieldtermstructures.hpp>
#include <ql/models/marketmodels/models/fwdperiodadapter.hpp>
#include <ql/models/marketmodels/swapforwardmappings.hpp>
#include <ql/models/marketmodels/models/capletcoterminalalphacalibration.hpp>
#include <ql/termstructures/yieldtermstructure.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 FlatVolWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(CorrelationsLibObjPtr, mCorrelations,
QuantLibAddin::PiecewiseConstantCorrelation, QuantLib::PiecewiseConstantCorrelation)
// convert object IDs into library objects
OH_GET_UNDERLYING(EvolutionDescriptionLibObj, mEvolutionDescription,
QuantLibAddin::EvolutionDescription, QuantLib::EvolutionDescription)
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlFlatVol(
mObjectID,
mVolatilities,
mCorrelations,
mEvolutionDescription,
mFactors,
mInitialRates,
mDisplacements,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::FlatVol(
valueObject,
mVolatilities,
CorrelationsLibObjPtr,
EvolutionDescriptionLibObj,
mFactors,
mInitialRates,
mDisplacements,
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 FlatVolWorker::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::FlatVol) {
// 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("Volatilities is required.");
}
if (info.Length() == 2 || !info[2]->IsString()) {
return Nan::ThrowError("Correlations is required.");
}
if (info.Length() == 3 || !info[3]->IsString()) {
return Nan::ThrowError("EvolutionDescription is required.");
}
if (info.Length() == 4 || !info[4]->IsNumber()) {
return Nan::ThrowError("Factors is required.");
}
if (info.Length() == 5 || !info[5]->IsArray()) {
return Nan::ThrowError("InitialRates is required.");
}
if (info.Length() == 6 || !info[6]->IsArray()) {
return Nan::ThrowError("Displacements 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<double>VolatilitiesCpp;
Local<Array> VolatilitiesArray = info[1].As<Array>();
for (unsigned int i = 0; i < VolatilitiesArray->Length(); i++){
VolatilitiesCpp.push_back(Nan::To<double>(Nan::Get(VolatilitiesArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
String::Utf8Value strCorrelations(info[2]->ToString());
string CorrelationsCpp(strdup(*strCorrelations));
// convert js argument to c++ type
String::Utf8Value strEvolutionDescription(info[3]->ToString());
string EvolutionDescriptionCpp(strdup(*strEvolutionDescription));
// convert js argument to c++ type
long FactorsCpp = Nan::To<int32_t>(info[4]).FromJust();
// convert js argument to c++ type
std::vector<double>InitialRatesCpp;
Local<Array> InitialRatesArray = info[5].As<Array>();
for (unsigned int i = 0; i < InitialRatesArray->Length(); i++){
InitialRatesCpp.push_back(Nan::To<double>(Nan::Get(InitialRatesArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
std::vector<double>DisplacementsCpp;
Local<Array> DisplacementsArray = info[6].As<Array>();
for (unsigned int i = 0; i < DisplacementsArray->Length(); i++){
DisplacementsCpp.push_back(Nan::To<double>(Nan::Get(DisplacementsArray, i).ToLocalChecked()).FromJust());
}
// declare callback
Nan::Callback *callback = new Nan::Callback(info[7].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new FlatVolWorker(
callback
,ObjectIDCpp
,VolatilitiesCpp
,CorrelationsCpp
,EvolutionDescriptionCpp
,FactorsCpp
,InitialRatesCpp
,DisplacementsCpp
));
}
//FlatVolWorker::~FlatVolWorker(){
//
//}
//FlatVolWorker::Destroy(){
//
//}
void AbcdVolWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(CorrelationsLibObjPtr, mCorrelations,
QuantLibAddin::PiecewiseConstantCorrelation, QuantLib::PiecewiseConstantCorrelation)
// convert object IDs into library objects
OH_GET_UNDERLYING(EvolutionDescriptionLibObj, mEvolutionDescription,
QuantLibAddin::EvolutionDescription, QuantLib::EvolutionDescription)
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlAbcdVol(
mObjectID,
mA,
mB,
mC,
mD,
mKs,
mCorrelations,
mEvolutionDescription,
mFactors,
mInitialRates,
mDisplacements,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::AbcdVol(
valueObject,
mA,
mB,
mC,
mD,
mKs,
CorrelationsLibObjPtr,
EvolutionDescriptionLibObj,
mFactors,
mInitialRates,
mDisplacements,
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 AbcdVolWorker::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::AbcdVol) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 1 || !info[1]->IsNumber()) {
return Nan::ThrowError("A is required.");
}
if (info.Length() == 2 || !info[2]->IsNumber()) {
return Nan::ThrowError("B is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("C is required.");
}
if (info.Length() == 4 || !info[4]->IsNumber()) {
return Nan::ThrowError("D is required.");
}
if (info.Length() == 5 || !info[5]->IsArray()) {
return Nan::ThrowError("Ks is required.");
}
if (info.Length() == 6 || !info[6]->IsString()) {
return Nan::ThrowError("Correlations is required.");
}
if (info.Length() == 7 || !info[7]->IsString()) {
return Nan::ThrowError("EvolutionDescription is required.");
}
if (info.Length() == 8 || !info[8]->IsNumber()) {
return Nan::ThrowError("Factors is required.");
}
if (info.Length() == 9 || !info[9]->IsArray()) {
return Nan::ThrowError("InitialRates is required.");
}
if (info.Length() == 10 || !info[10]->IsArray()) {
return Nan::ThrowError("Displacements is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
double ACpp = Nan::To<double>(info[1]).FromJust();
// convert js argument to c++ type
double BCpp = Nan::To<double>(info[2]).FromJust();
// convert js argument to c++ type
double CCpp = Nan::To<double>(info[3]).FromJust();
// convert js argument to c++ type
double DCpp = Nan::To<double>(info[4]).FromJust();
// convert js argument to c++ type
std::vector<double>KsCpp;
Local<Array> KsArray = info[5].As<Array>();
for (unsigned int i = 0; i < KsArray->Length(); i++){
KsCpp.push_back(Nan::To<double>(Nan::Get(KsArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
String::Utf8Value strCorrelations(info[6]->ToString());
string CorrelationsCpp(strdup(*strCorrelations));
// convert js argument to c++ type
String::Utf8Value strEvolutionDescription(info[7]->ToString());
string EvolutionDescriptionCpp(strdup(*strEvolutionDescription));
// convert js argument to c++ type
long FactorsCpp = Nan::To<int32_t>(info[8]).FromJust();
// convert js argument to c++ type
std::vector<double>InitialRatesCpp;
Local<Array> InitialRatesArray = info[9].As<Array>();
for (unsigned int i = 0; i < InitialRatesArray->Length(); i++){
InitialRatesCpp.push_back(Nan::To<double>(Nan::Get(InitialRatesArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
std::vector<double>DisplacementsCpp;
Local<Array> DisplacementsArray = info[10].As<Array>();
for (unsigned int i = 0; i < DisplacementsArray->Length(); i++){
DisplacementsCpp.push_back(Nan::To<double>(Nan::Get(DisplacementsArray, i).ToLocalChecked()).FromJust());
}
// declare callback
Nan::Callback *callback = new Nan::Callback(info[11].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new AbcdVolWorker(
callback
,ObjectIDCpp
,ACpp
,BCpp
,CCpp
,DCpp
,KsCpp
,CorrelationsCpp
,EvolutionDescriptionCpp
,FactorsCpp
,InitialRatesCpp
,DisplacementsCpp
));
}
//AbcdVolWorker::~AbcdVolWorker(){
//
//}
//AbcdVolWorker::Destroy(){
//
//}
void PseudoRootFacadeWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(CalibratorLibObjPtr, mCalibrator,
QuantLibAddin::CTSMMCapletCalibration, QuantLib::CTSMMCapletCalibration)
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlPseudoRootFacade(
mObjectID,
mCalibrator,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::PseudoRootFacade(
valueObject,
CalibratorLibObjPtr,
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 PseudoRootFacadeWorker::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::PseudoRootFacade) {
// 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("Calibrator 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 strCalibrator(info[1]->ToString());
string CalibratorCpp(strdup(*strCalibrator));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[2].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new PseudoRootFacadeWorker(
callback
,ObjectIDCpp
,CalibratorCpp
));
}
//PseudoRootFacadeWorker::~PseudoRootFacadeWorker(){
//
//}
//PseudoRootFacadeWorker::Destroy(){
//
//}
void CotSwapToFwdAdapterWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(CoterminalModelLibObjPtr, mCoterminalModel,
QuantLibAddin::MarketModel, QuantLib::MarketModel)
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlCotSwapToFwdAdapter(
mObjectID,
mCoterminalModel,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::CotSwapToFwdAdapter(
valueObject,
CoterminalModelLibObjPtr,
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 CotSwapToFwdAdapterWorker::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::CotSwapToFwdAdapter) {
// 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("CoterminalModel 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 strCoterminalModel(info[1]->ToString());
string CoterminalModelCpp(strdup(*strCoterminalModel));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[2].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new CotSwapToFwdAdapterWorker(
callback
,ObjectIDCpp
,CoterminalModelCpp
));
}
//CotSwapToFwdAdapterWorker::~CotSwapToFwdAdapterWorker(){
//
//}
//CotSwapToFwdAdapterWorker::Destroy(){
//
//}
void FwdPeriodAdapterWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(LargeModelLibObjPtr, mLargeModel,
QuantLibAddin::MarketModel, QuantLib::MarketModel)
// convert input datatypes to QuantLib datatypes
QuantLib::Size PeriodLib;
QuantLibAddin::cppToLibrary(mPeriod, PeriodLib);
// convert input datatypes to QuantLib datatypes
QuantLib::Size OffsetLib;
QuantLibAddin::cppToLibrary(mOffset, OffsetLib);
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlFwdPeriodAdapter(
mObjectID,
mLargeModel,
mPeriod,
mOffset,
mDisplacements,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::FwdPeriodAdapter(
valueObject,
LargeModelLibObjPtr,
PeriodLib,
OffsetLib,
mDisplacements,
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 FwdPeriodAdapterWorker::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::FwdPeriodAdapter) {
// 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("LargeModel is required.");
}
if (info.Length() == 2 || !info[2]->IsNumber()) {
return Nan::ThrowError("Period is required.");
}
if (info.Length() == 3 || !info[3]->IsNumber()) {
return Nan::ThrowError("Offset is required.");
}
if (info.Length() == 4 || !info[4]->IsArray()) {
return Nan::ThrowError("Displacements 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 strLargeModel(info[1]->ToString());
string LargeModelCpp(strdup(*strLargeModel));
// convert js argument to c++ type
long PeriodCpp = Nan::To<int32_t>(info[2]).FromJust();
// convert js argument to c++ type
long OffsetCpp = Nan::To<int32_t>(info[3]).FromJust();
// convert js argument to c++ type
std::vector<double>DisplacementsCpp;
Local<Array> DisplacementsArray = info[4].As<Array>();
for (unsigned int i = 0; i < DisplacementsArray->Length(); i++){
DisplacementsCpp.push_back(Nan::To<double>(Nan::Get(DisplacementsArray, i).ToLocalChecked()).FromJust());
}
// declare callback
Nan::Callback *callback = new Nan::Callback(info[5].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new FwdPeriodAdapterWorker(
callback
,ObjectIDCpp
,LargeModelCpp
,PeriodCpp
,OffsetCpp
,DisplacementsCpp
));
}
//FwdPeriodAdapterWorker::~FwdPeriodAdapterWorker(){
//
//}
//FwdPeriodAdapterWorker::Destroy(){
//
//}
void FwdToCotSwapAdapterWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(ForwardModelLibObjPtr, mForwardModel,
QuantLibAddin::MarketModel, QuantLib::MarketModel)
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlFwdToCotSwapAdapter(
mObjectID,
mForwardModel,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::FwdToCotSwapAdapter(
valueObject,
ForwardModelLibObjPtr,
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 FwdToCotSwapAdapterWorker::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::FwdToCotSwapAdapter) {
// 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("ForwardModel 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 strForwardModel(info[1]->ToString());
string ForwardModelCpp(strdup(*strForwardModel));
// declare callback
Nan::Callback *callback = new Nan::Callback(info[2].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new FwdToCotSwapAdapterWorker(
callback
,ObjectIDCpp
,ForwardModelCpp
));
}
//FwdToCotSwapAdapterWorker::~FwdToCotSwapAdapterWorker(){
//
//}
//FwdToCotSwapAdapterWorker::Destroy(){
//
//}
void FlatVolFactoryWorker::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::qlFlatVolFactory(
mObjectID,
mLongTermCorr,
mBeta,
mTimes,
mVolatilities,
mYieldCurve,
mDisplacement,
false
));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::FlatVolFactory(
valueObject,
mLongTermCorr,
mBeta,
mTimes,
mVolatilities,
YieldCurveLibObj,
mDisplacement,
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 FlatVolFactoryWorker::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::FlatVolFactory) {
// validate js arguments
if (info.Length() == 0 || !info[0]->IsString()) {
return Nan::ThrowError("ObjectID is required.");
}
if (info.Length() == 1 || !info[1]->IsNumber()) {
return Nan::ThrowError("LongTermCorr is required.");
}
if (info.Length() == 2 || !info[2]->IsNumber()) {
return Nan::ThrowError("Beta is required.");
}
if (info.Length() == 3 || !info[3]->IsArray()) {
return Nan::ThrowError("Times is required.");
}
if (info.Length() == 4 || !info[4]->IsArray()) {
return Nan::ThrowError("Volatilities is required.");
}
if (info.Length() == 6 || !info[6]->IsNumber()) {
return Nan::ThrowError("Displacement is required.");
}
// convert js argument to c++ type
String::Utf8Value strObjectID(info[0]->ToString());
string ObjectIDCpp(strdup(*strObjectID));
// convert js argument to c++ type
double LongTermCorrCpp = Nan::To<double>(info[1]).FromJust();
// convert js argument to c++ type
double BetaCpp = Nan::To<double>(info[2]).FromJust();
// convert js argument to c++ type
std::vector<double>TimesCpp;
Local<Array> TimesArray = info[3].As<Array>();
for (unsigned int i = 0; i < TimesArray->Length(); i++){
TimesCpp.push_back(Nan::To<double>(Nan::Get(TimesArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
std::vector<double>VolatilitiesCpp;
Local<Array> VolatilitiesArray = info[4].As<Array>();
for (unsigned int i = 0; i < VolatilitiesArray->Length(); i++){
VolatilitiesCpp.push_back(Nan::To<double>(Nan::Get(VolatilitiesArray, i).ToLocalChecked()).FromJust());
}
// convert js argument to c++ type
ObjectHandler::property_t YieldCurveCpp =
ObjectHandler::property_t(static_cast<double>(Nan::To<double>(info[5]).FromJust()));
// convert js argument to c++ type
double DisplacementCpp = Nan::To<double>(info[6]).FromJust();
// declare callback
Nan::Callback *callback = new Nan::Callback(info[7].As<Function>());
// launch Async worker
Nan::AsyncQueueWorker(new FlatVolFactoryWorker(
callback
,ObjectIDCpp
,LongTermCorrCpp
,BetaCpp
,TimesCpp
,VolatilitiesCpp
,YieldCurveCpp
,DisplacementCpp
));
}
//FlatVolFactoryWorker::~FlatVolFactoryWorker(){
//
//}
//FlatVolFactoryWorker::Destroy(){
//
//}
void MarketModelInitialRatesWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(ObjectIDLibObjPtr, mObjectID,
QuantLibAddin::MarketModel, QuantLib::MarketModel)
// loop on the input parameter and populate the return vector
mReturnValue = ObjectIDLibObjPtr->initialRates(
);
}catch(const std::exception &e){
mError = e.what();
}catch (...){
mError = "unkown error";
}
}
void MarketModelInitialRatesWorker::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::MarketModelInitialRates) {
// 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 MarketModelInitialRatesWorker(
callback
,ObjectIDCpp
));
}
//MarketModelInitialRatesWorker::~MarketModelInitialRatesWorker(){
//
//}
//MarketModelInitialRatesWorker::Destroy(){
//
//}
void MarketModelDisplacementsWorker::Execute(){
try{
// convert object IDs into library objects
OH_GET_REFERENCE(ObjectIDLibObjPtr, mObjectID,
QuantLibAddin::MarketModel, QuantLib::MarketModel)
// loop on the input parameter and populate the return vector
mReturnValue = ObjectIDLibObjPtr->displacements(
);
}catch(const std::exception &e){
mError = e.what();
}catch (...){
mError = "unkown error";
}
}
void MarketModelDisplacementsWorker::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::MarketModelDisplacements) {
// 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));