instrument_in.cpp

Example QuantLibAddin C++ program which deserializes an instrument.

 
/*
 Copyright (C) 2008, 2011 Eric Ehlers
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#include <Addins/Cpp/addincpp.hpp>
#include <ql/qldefines.hpp>
#if defined BOOST_MSVC
#include <oh/auto_link.hpp>
#include <ql/auto_link.hpp>
#endif
#include <iostream>
 
#define OH_NULL ObjectHandler::property_t()
 
#ifdef LOG_MESSAGE
#undef LOG_MESSAGE
#endif
#ifdef LOG_ERROR
#undef LOG_ERROR
#endif
 
#define LOG_MESSAGE(msg) std::cout << msg << std::endl
#define LOG_ERROR(msg) std::cerr << msg << std::endl
 
using namespace QuantLibAddinCpp;
 
int main(int argc, char** argv) {
 
    try {
 
        if(argc < 5) {
            std::cerr << "Usage:" << argv[0] << "  evaldate tradeid tradefile "
                "marketfile_1 marketfile_2 ... marketfile_n\n";
            return -1;
        }
 
        //long lEvaldate = atol(argv[1]);
        double lEvaldate = atol(argv[1]);
        std::string tradeID = argv[2];
        std::string tradeFile = argv[3];
        std::vector<std::string> vecMaketfiles;
 
        for(int i = 4; i < argc; i += 1) {
            vecMaketfiles.push_back(argv[i]);
        }
        
        //print the information of the command line
        //std::cout<< "evaldate = " << lEvaldate<<"\ntradeid is " << tradeID 
        //    << "\ntrade file is " << tradeFile << "\n";
        //int i = 0;
        //for(unsigned int i = 0; i < vecMaketfiles.size(); ++i)
        //    std::cout<<"market file (" << (i+1) <<") is " << vecMaketfiles[i] << "\n";
 
        // Initialize the environment
 
        initializeAddin();
 
        ohLogSetFile("qla_demo.log", 4L, OH_NULL);
        ohLogSetConsole(1, 4L, OH_NULL);
        LOG_MESSAGE("Begin example program.");
        LOG_MESSAGE("QuantLibAddin version = " << qlAddinVersion(OH_NULL));
        LOG_MESSAGE("ObjectHandler version = " << ohVersion(OH_NULL));
 
        // Set the evaluation date
 
        qlSettingsSetEvaluationDate(lEvaldate, OH_NULL);
 
        // Deserialize the objects
        for(unsigned int index = 0; index < vecMaketfiles.size(); ++index) {
            ohObjectLoad("MarketData", vecMaketfiles[index],
                false, OH_NULL, OH_NULL);
        }
        ohObjectLoad("Models", tradeFile, false, OH_NULL, OH_NULL);
 
        // Output the PV of the deal
 
        LOG_MESSAGE("Instrument PV = " << qlInstrumentNPV(tradeID, OH_NULL));
 
        LOG_MESSAGE("End example program.");
 
        return 0;
 
    } catch (const std::exception &e) {
        LOG_ERROR("Error: " << e.what());
        return 1;
    } catch (...) {
        LOG_ERROR("Unknown error");
        return 1;
    }
}