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/*
Copyright (C) 2016 Jerry Jin
*/
#
ifndef
ratehelpers_h
#
define
ratehelpers_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
DepositRateHelperWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
ObjectHandler::
property_t
mRate
;
string
mIborIndex
;
string
mReturnValue
;
string
mError
;
DepositRateHelperWorker
(
Nan::Callback *callback
,string ObjectID
,ObjectHandler::
property_t
Rate
,string IborIndex
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
,
mRate
(Rate)
,
mIborIndex
(IborIndex)
{
};
//
~DepositRateHelperWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
DepositRateHelper2Worker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
ObjectHandler::
property_t
mRate
;
string
mTenor
;
ObjectHandler::
property_t
mFixingDays
;
string
mCalendar
;
string
mConvention
;
bool
mEndOfMonth
;
string
mDayCounter
;
string
mReturnValue
;
string
mError
;
DepositRateHelper2Worker
(
Nan::Callback *callback
,string ObjectID
,ObjectHandler::
property_t
Rate
,string Tenor
,ObjectHandler::
property_t
FixingDays
,string Calendar
,string Convention
,
bool
EndOfMonth
,string DayCounter
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
,
mRate
(Rate)
,
mTenor
(Tenor)
,
mFixingDays
(FixingDays)
,
mCalendar
(Calendar)
,
mConvention
(Convention)
,
mEndOfMonth
(EndOfMonth)
,
mDayCounter
(DayCounter)
{
};
//
~DepositRateHelper2Worker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
SwapRateHelperWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
ObjectHandler::
property_t
mRate
;
string
mSwapIndex
;
ObjectHandler::
property_t
mSpread
;
string
mForwardStart
;
ObjectHandler::
property_t
mDiscountingCurve
;
string
mPillarDate
;
ObjectHandler::
property_t
mCustomPillarDate
;
string
mReturnValue
;
string
mError
;
SwapRateHelperWorker
(
Nan::Callback *callback
,string ObjectID
,ObjectHandler::
property_t
Rate
,string SwapIndex
,ObjectHandler::
property_t
Spread
,string ForwardStart
,ObjectHandler::
property_t
DiscountingCurve
,string PillarDate
,ObjectHandler::
property_t
CustomPillarDate
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
,
mRate
(Rate)
,
mSwapIndex
(SwapIndex)
,
mSpread
(Spread)
,
mForwardStart
(ForwardStart)
,
mDiscountingCurve
(DiscountingCurve)
,
mPillarDate
(PillarDate)
,
mCustomPillarDate
(CustomPillarDate)
{
};
//
~SwapRateHelperWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
SwapRateHelper2Worker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
ObjectHandler::
property_t
mRate
;
ObjectHandler::
property_t
mSettlDays
;
string
mTenor
;
string
mCalendar
;
string
mFixedLegFrequency
;
string
mFixedLegConvention
;
string
mFixedLegDayCounter
;
string
mIborIndex
;
ObjectHandler::
property_t
mSpread
;
string
mForwardStart
;
ObjectHandler::
property_t
mDiscountingCurve
;
string
mPillarDate
;
ObjectHandler::
property_t
mCustomPillarDate
;
string
mReturnValue
;
string
mError
;
SwapRateHelper2Worker
(
Nan::Callback *callback
,string ObjectID
,ObjectHandler::
property_t
Rate
,ObjectHandler::
property_t
SettlDays
,string Tenor
,string Calendar
,string FixedLegFrequency
,string FixedLegConvention
,string FixedLegDayCounter
,string IborIndex
,ObjectHandler::
property_t
Spread
,string ForwardStart
,ObjectHandler::
property_t
DiscountingCurve
,string PillarDate
,ObjectHandler::
property_t
CustomPillarDate
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
,
mRate
(Rate)
,
mSettlDays
(SettlDays)
,
mTenor
(Tenor)
,
mCalendar
(Calendar)
,
mFixedLegFrequency
(FixedLegFrequency)
,
mFixedLegConvention
(FixedLegConvention)
,
mFixedLegDayCounter
(FixedLegDayCounter)
,
mIborIndex
(IborIndex)
,
mSpread
(Spread)
,
mForwardStart
(ForwardStart)
,
mDiscountingCurve
(DiscountingCurve)
,
mPillarDate
(PillarDate)
,
mCustomPillarDate
(CustomPillarDate)
{
};
//
~SwapRateHelper2Worker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
OISRateHelperWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
ObjectHandler::
property_t
mSettlDays
;
string
mTenor
;
ObjectHandler::
property_t
mFixedRate
;
string
mONIndex
;
ObjectHandler::
property_t
mDiscountingCurve
;
string
mReturnValue
;
string
mError
;
OISRateHelperWorker
(
Nan::Callback *callback
,string ObjectID
,ObjectHandler::
property_t
SettlDays
,string Tenor
,ObjectHandler::
property_t
FixedRate
,string ONIndex
,ObjectHandler::
property_t
DiscountingCurve
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
,
mSettlDays
(SettlDays)
,
mTenor
(Tenor)
,
mFixedRate
(FixedRate)
,
mONIndex
(ONIndex)
,
mDiscountingCurve
(DiscountingCurve)
{
};
//
~OISRateHelperWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
DatedOISRateHelperWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
ObjectHandler::
property_t
mStartDate
;
ObjectHandler::
property_t
mEndDate
;
ObjectHandler::
property_t
mFixedRate
;
string
mONIndex
;
ObjectHandler::
property_t
mDiscountingCurve
;
string
mReturnValue
;
string
mError
;
DatedOISRateHelperWorker
(
Nan::Callback *callback
,string ObjectID
,ObjectHandler::
property_t
StartDate
,ObjectHandler::
property_t
EndDate
,ObjectHandler::
property_t
FixedRate
,string ONIndex
,ObjectHandler::
property_t
DiscountingCurve
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
,
mStartDate
(StartDate)
,
mEndDate
(EndDate)
,
mFixedRate
(FixedRate)
,
mONIndex
(ONIndex)
,
mDiscountingCurve
(DiscountingCurve)
{
};
//
~DatedOISRateHelperWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
FraRateHelperWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
ObjectHandler::
property_t
mRate
;
string
mPeriodToStart
;
string
mIborIndex
;
string
mPillarDate
;
ObjectHandler::
property_t
mCustomPillarDate
;
string
mReturnValue
;
string
mError
;
FraRateHelperWorker
(
Nan::Callback *callback
,string ObjectID
,ObjectHandler::
property_t
Rate
,string PeriodToStart
,string IborIndex
,string PillarDate
,ObjectHandler::
property_t
CustomPillarDate
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
,
mRate
(Rate)
,
mPeriodToStart
(PeriodToStart)
,
mIborIndex
(IborIndex)
,
mPillarDate
(PillarDate)
,
mCustomPillarDate
(CustomPillarDate)
{
};
//
~FraRateHelperWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
FraRateHelper2Worker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
ObjectHandler::
property_t
mRate
;
string
mPeriodToStart
;
ObjectHandler::
property_t
mLengthInMonths
;
ObjectHandler::
property_t
mFixingDays
;
string
mCalendar
;
string
mConvention
;
bool
mEndOfMonth
;
string
mDayCounter
;
string
mPillarDate
;
ObjectHandler::
property_t
mCustomPillarDate
;
string
mReturnValue
;
string
mError
;
FraRateHelper2Worker
(
Nan::Callback *callback
,string ObjectID
,ObjectHandler::
property_t
Rate
,string PeriodToStart
,ObjectHandler::
property_t
LengthInMonths
,ObjectHandler::
property_t
FixingDays
,string Calendar
,string Convention
,
bool
EndOfMonth
,string DayCounter
,string PillarDate
,ObjectHandler::
property_t
CustomPillarDate
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
,
mRate
(Rate)
,
mPeriodToStart
(PeriodToStart)
,
mLengthInMonths
(LengthInMonths)
,
mFixingDays
(FixingDays)
,
mCalendar
(Calendar)
,
mConvention
(Convention)
,
mEndOfMonth
(EndOfMonth)
,
mDayCounter
(DayCounter)
,
mPillarDate
(PillarDate)
,
mCustomPillarDate
(CustomPillarDate)
{
};
//
~FraRateHelper2Worker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
BondHelperWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
ObjectHandler::
property_t
mPrice
;
string
mBond
;
bool
mUseCleanPrice
;
string
mReturnValue
;
string
mError
;
BondHelperWorker
(
Nan::Callback *callback
,string ObjectID
,ObjectHandler::
property_t
Price
,string Bond
,
bool
UseCleanPrice
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
,
mPrice
(Price)
,
mBond
(Bond)
,
mUseCleanPrice
(UseCleanPrice)
{
};
//
~BondHelperWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
FixedRateBondHelperWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
ObjectHandler::
property_t
mPrice
;
long
mSettlementDays
;
double
mFaceAmount
;
string
mScheduleID
;
std::vector<
double
>
mCoupons
;
string
mDayCounter
;
string
mPaymentBDC
;
double
mRedemption
;
ObjectHandler::
property_t
mIssueDate
;
string
mPaymentCalendar
;
string
mExCouponPeriod
;
string
mExCouponCalendar
;
string
mExCouponBDC
;
bool
mExCouponEndOfMonth
;
bool
mUseCleanPrice
;
string
mReturnValue
;
string
mError
;
FixedRateBondHelperWorker
(
Nan::Callback *callback
,string ObjectID
,ObjectHandler::
property_t
Price
,
long
SettlementDays
,
double
FaceAmount
,string ScheduleID
,std::vector<
double
> Coupons
,string DayCounter
,string PaymentBDC
,
double
Redemption
,ObjectHandler::
property_t
IssueDate
,string PaymentCalendar
,string ExCouponPeriod
,string ExCouponCalendar
,string ExCouponBDC
,
bool
ExCouponEndOfMonth
,
bool
UseCleanPrice
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
,
mPrice
(Price)
,
mSettlementDays
(SettlementDays)
,
mFaceAmount
(FaceAmount)
,
mScheduleID
(ScheduleID)
,
mCoupons
(Coupons)
,
mDayCounter
(DayCounter)
,
mPaymentBDC
(PaymentBDC)
,
mRedemption
(Redemption)
,
mIssueDate
(IssueDate)
,
mPaymentCalendar
(PaymentCalendar)
,
mExCouponPeriod
(ExCouponPeriod)
,
mExCouponCalendar
(ExCouponCalendar)
,
mExCouponBDC
(ExCouponBDC)
,
mExCouponEndOfMonth
(ExCouponEndOfMonth)
,
mUseCleanPrice
(UseCleanPrice)
{
};
//
~FixedRateBondHelperWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
FuturesRateHelperWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
ObjectHandler::
property_t
mPrice
;
string
mFuturesType
;
ObjectHandler::
property_t
mFuturesDate
;
string
mIborIndex
;
ObjectHandler::
property_t
mConvexityAdjQuote
;
string
mReturnValue
;
string
mError
;
FuturesRateHelperWorker
(
Nan::Callback *callback
,string ObjectID
,ObjectHandler::
property_t
Price
,string FuturesType
,ObjectHandler::
property_t
FuturesDate
,string IborIndex
,ObjectHandler::
property_t
ConvexityAdjQuote
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
,
mPrice
(Price)
,
mFuturesType
(FuturesType)
,
mFuturesDate
(FuturesDate)
,
mIborIndex
(IborIndex)
,
mConvexityAdjQuote
(ConvexityAdjQuote)
{
};
//
~FuturesRateHelperWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
FuturesRateHelper2Worker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
ObjectHandler::
property_t
mPrice
;
string
mFuturesType
;
ObjectHandler::
property_t
mFuturesDate
;
long
mLengthInMonths
;
string
mCalendar
;
string
mConvention
;
bool
mEndOfMonth
;
string
mDayCounter
;
ObjectHandler::
property_t
mConvexityAdjQuote
;
string
mReturnValue
;
string
mError
;
FuturesRateHelper2Worker
(
Nan::Callback *callback
,string ObjectID
,ObjectHandler::
property_t
Price
,string FuturesType
,ObjectHandler::
property_t
FuturesDate
,
long
LengthInMonths
,string Calendar
,string Convention
,
bool
EndOfMonth
,string DayCounter
,ObjectHandler::
property_t
ConvexityAdjQuote
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
,
mPrice
(Price)
,
mFuturesType
(FuturesType)
,
mFuturesDate
(FuturesDate)
,
mLengthInMonths
(LengthInMonths)
,
mCalendar
(Calendar)
,
mConvention
(Convention)
,
mEndOfMonth
(EndOfMonth)
,
mDayCounter
(DayCounter)
,
mConvexityAdjQuote
(ConvexityAdjQuote)
{
};
//
~FuturesRateHelper2Worker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
FuturesRateHelper3Worker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
ObjectHandler::
property_t
mPrice
;
string
mFuturesType
;
ObjectHandler::
property_t
mFuturesDate
;
ObjectHandler::
property_t
mEndDate
;
string
mDayCounter
;
ObjectHandler::
property_t
mConvexityAdjQuote
;
string
mReturnValue
;
string
mError
;
FuturesRateHelper3Worker
(
Nan::Callback *callback
,string ObjectID
,ObjectHandler::
property_t
Price
,string FuturesType
,ObjectHandler::
property_t
FuturesDate
,ObjectHandler::
property_t
EndDate
,string DayCounter
,ObjectHandler::
property_t
ConvexityAdjQuote
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
,
mPrice
(Price)
,
mFuturesType
(FuturesType)
,
mFuturesDate
(FuturesDate)
,
mEndDate
(EndDate)
,
mDayCounter
(DayCounter)
,
mConvexityAdjQuote
(ConvexityAdjQuote)
{
};
//
~FuturesRateHelper3Worker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
FxSwapRateHelperWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
ObjectHandler::
property_t
mFwdPoint
;
ObjectHandler::
property_t
mSpotFx
;
string
mTenor
;
ObjectHandler::
property_t
mFixingDays
;
string
mCalendar
;
string
mConvention
;
bool
mEndOfMonth
;
bool
mIsFxBaseCurrencyCollateralCurrency
;
ObjectHandler::
property_t
mCollateralCurve
;
string
mReturnValue
;
string
mError
;
FxSwapRateHelperWorker
(
Nan::Callback *callback
,string ObjectID
,ObjectHandler::
property_t
FwdPoint
,ObjectHandler::
property_t
SpotFx
,string Tenor
,ObjectHandler::
property_t
FixingDays
,string Calendar
,string Convention
,
bool
EndOfMonth
,
bool
IsFxBaseCurrencyCollateralCurrency
,ObjectHandler::
property_t
CollateralCurve
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
,
mFwdPoint
(FwdPoint)
,
mSpotFx
(SpotFx)
,
mTenor
(Tenor)
,
mFixingDays
(FixingDays)
,
mCalendar
(Calendar)
,
mConvention
(Convention)
,
mEndOfMonth
(EndOfMonth)
,
mIsFxBaseCurrencyCollateralCurrency
(IsFxBaseCurrencyCollateralCurrency)
,
mCollateralCurve
(CollateralCurve)
{
};
//
~FxSwapRateHelperWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
RateHelperEarliestDateWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
long
mReturnValue
;
string
mError
;
RateHelperEarliestDateWorker
(
Nan::Callback *callback
,string ObjectID
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
{
};
//
~RateHelperEarliestDateWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
RateHelperLatestRelevantDateWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
long
mReturnValue
;
string
mError
;
RateHelperLatestRelevantDateWorker
(
Nan::Callback *callback
,string ObjectID
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
{
};
//
~RateHelperLatestRelevantDateWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
RateHelperPillarDateWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
long
mReturnValue
;
string
mError
;
RateHelperPillarDateWorker
(
Nan::Callback *callback
,string ObjectID
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
{
};
//
~RateHelperPillarDateWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
RateHelperMaturityDateWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
long
mReturnValue
;
string
mError
;
RateHelperMaturityDateWorker
(
Nan::Callback *callback
,string ObjectID
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
{
};
//
~RateHelperMaturityDateWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
RateHelperQuoteNameWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
string
mReturnValue
;
string
mError
;
RateHelperQuoteNameWorker
(
Nan::Callback *callback
,string ObjectID
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
{
};
//
~RateHelperQuoteNameWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
RateHelperQuoteValueWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
double
mReturnValue
;
string
mError
;
RateHelperQuoteValueWorker
(
Nan::Callback *callback
,string ObjectID
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
{
};
//
~RateHelperQuoteValueWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
RateHelperQuoteIsValidWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
double
mReturnValue
;
string
mError
;
RateHelperQuoteIsValidWorker
(
Nan::Callback *callback
,string ObjectID
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
{
};
//
~RateHelperQuoteIsValidWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
RateHelperImpliedQuoteWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
double
mReturnValue
;
string
mError
;
RateHelperImpliedQuoteWorker
(
Nan::Callback *callback
,string ObjectID
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
{
};
//
~RateHelperImpliedQuoteWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
RateHelperQuoteErrorWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
double
mReturnValue
;
string
mError
;
RateHelperQuoteErrorWorker
(
Nan::Callback *callback
,string ObjectID
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
{
};
//
~RateHelperQuoteErrorWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
SwapRateHelperSpreadWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
double
mReturnValue
;
string
mError
;
SwapRateHelperSpreadWorker
(
Nan::Callback *callback
,string ObjectID
):
Nan::AsyncWorker
(callback)
,
mObjectID
(ObjectID)
{
};
//
~SwapRateHelperSpreadWorker();
//
void Destroy();
void
Execute
();
void
HandleOKCallback
();
};
class
SwapRateHelperForwardStartWorker
:
public
Nan
::AsyncWorker {
public:
string
mObjectID
;
string
mReturnValue
;
View remainder of file in raw view
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