// compute the date corresponding to the IMM code
DLLEXPORT double xlCalendarIMMDate (xloper * calculationDate_,
char * immCode_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlCalendarIMMDate"));
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), "");
ObjectHandler::validateRange(calculationDate_, "calculation Date");
ObjectHandler::ConvertOper myOper(* calculationDate_);
QuantLib::Date calculationDate( // calculation date
myOper.missing() ?
QuantLib::Date() :
QuantLib::Date(static_cast<QuantLib::BigInteger>(myOper)));
return QuantLib::Date( // next IMM date
QuantLib::IMM::date(
std::string(immCode_),
calculationDate)).serialNumber();
} catch (std::exception & e) {
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall);
return 0;
}
}
void call(const glbinding::Function<void, Arguments...> * function, Arguments&&... arguments) const
{
glbinding::FunctionCall functionCall(function);
if (function->isEnabled(glbinding::CallbackMask::Parameters))
functionCall.parameters = glbinding::createValues(std::forward<Arguments>(arguments)...);
if (function->isEnabled(glbinding::CallbackMask::Before))
function->before(functionCall);
if (function->m_beforeCallback)
{
function->m_beforeCallback(std::forward<Arguments>(arguments)...);
}
basicCall(function, std::forward<Arguments>(arguments)...);
if (function->m_afterCallback)
{
function->m_afterCallback(std::forward<Arguments>(arguments)...);
}
if (function->isEnabled(glbinding::CallbackMask::After))
function->after(functionCall);
}
ReturnType call(const glbinding::Function<ReturnType, Arguments...> * function, Arguments&&... arguments) const
{
glbinding::FunctionCall functionCall(function);
if (function->isEnabled(glbinding::CallbackMask::Parameters))
functionCall.parameters = glbinding::createValues(std::forward<Arguments>(arguments)...);
if (function->isEnabled(glbinding::CallbackMask::Before))
function->before(functionCall);
if (function->m_beforeCallback)
{
function->m_beforeCallback(std::forward<Arguments>(arguments)...);
}
ReturnType value = basicCall(function, std::forward<Arguments>(arguments)...);
if (function->m_afterCallback)
{
function->m_afterCallback(value, std::forward<Arguments>(arguments)...);
}
if (function->isEnabled(glbinding::CallbackMask::After))
{
if (function->isEnabled(glbinding::CallbackMask::ReturnValue))
functionCall.returnValue = glbinding::createValue(value);
function->after(functionCall);
}
return value;
}
/* enregistre un Bill australien */
DLLEXPORT xloper * xlInitiateBtf (const char * objectID_,
const double * issueDate_,
const double * maturityDate_,
xloper * trigger_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlInitiateBtf")) ;
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), "") ;
// trigger pour provoquer le recalcul
ObjectHandler::validateRange(trigger_, "trigger") ;
// Construction du value object
boost::shared_ptr<QuantLibAddin::ValueObjects::btfValueObject> myBondValueObject(
new QuantLibAddin::ValueObjects::btfValueObject(objectID_,
true)) ;
// instanciation de l'instrument
boost::shared_ptr<QuantLibAddin::btfObject> myBillObject(
new QuantLibAddin::btfObject(myBondValueObject,
QuantLib::Date(static_cast<QuantLib::BigInteger>(* maturityDate_)),
QuantLib::Date(static_cast<QuantLib::BigInteger>(* issueDate_)),
true)) ;
// stockage de l'objet
std::string returnValue =
ObjectHandler::RepositoryXL::instance().storeObject(objectID_,
myBillObject,
true) ; // on force la réécriture
static XLOPER returnOper ;
ObjectHandler::scalarToOper(returnValue, returnOper) ;
return & returnOper ;
} catch (std::exception & e) {
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall) ;
static XLOPER returnOper ;
ObjectHandler::scalarToOper(e.what(), returnOper) ;
return & returnOper ;
}
} ;
// calculate gap end
DLLEXPORT double xlCalendarPeriodCount (xloper * calculationDate_,
const char * period_,
xloper * calendar_,
xloper * endDateConvention_,
xloper * endOfMonth_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlCalendarPeriodCount")) ;
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), "") ;
ObjectHandler::validateRange(calculationDate_ , "calculation Date" ); // range validation
ObjectHandler::validateRange(calendar_ , "calendar" );
ObjectHandler::validateRange(endDateConvention_, "end Date Convention");
ObjectHandler::validateRange(endOfMonth_ , "end of Month" );
ObjectHandler::ConvertOper myOper1(* calculationDate_), // xloper
myOper2(* calendar_),
myOper3(* endDateConvention_),
myOper4(* endOfMonth_) ;
QuantLib::Date calculationDate( // calculation date
myOper1.missing() ?
QuantLib::Date() :
QuantLib::Date(static_cast<QuantLib::BigInteger>(myOper1))) ;
QuantLib::Calendar calendar( // calendar
myOper2.missing() ?
QuantLib::WeekendsOnly() :
ObjectHandler::calendarFactory()(static_cast<std::string>(myOper2))) ;
QuantLib::BusinessDayConvention endDateConvention( // business day convention
myOper3.missing() ?
QuantLib::Unadjusted :
ObjectHandler::businessDayConventionFactory()(static_cast<std::string>(myOper3))) ;
bool endOfMonth( // EOM rule
myOper4.missing() ?
false :
static_cast<bool>(myOper4)) ;
return calendar.advance(calculationDate, // period has to be provided
ObjectHandler::periodFactory()(period_),
endDateConvention,
endOfMonth).serialNumber() ;
} catch (std::exception & e) {
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall) ;
return 0.0 ;
}
}
/* fonction de calcul de la moyenne EWMA d'une série suivant un processus log-normal */
DLLEXPORT char * xlInitiateMatrix(const char * objectID_,
const xloper * matrix_,
xloper * trigger_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlInitiateMatrix")) ;
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), "") ;
// trigger pour provoquer le recalcul
ObjectHandler::validateRange(trigger_, "trigger") ;
/* conversion des xloper */
QuantLib::Matrix inputMatrix
= ObjectHandler::operToMatrix(*matrix_, std::string("matrix_")) ;
// value object
boost::shared_ptr<QuantLibAddin::ValueObjects::matrixValueObject> myMatrixValueObject(
new QuantLibAddin::ValueObjects::matrixValueObject(objectID_,
true)) ;
// new pointeur
boost::shared_ptr<ObjectHandler::Object> myMatrixObject(
new QuantLibAddin::matrixObject(myMatrixValueObject,
inputMatrix,
true)) ;
// stockage de l'objet
std::string returnValue =
ObjectHandler::RepositoryXL::instance().storeObject(objectID_,
myMatrixObject,
true) ;
static char ret[XL_MAX_STR_LEN] ;
ObjectHandler::stringToChar(returnValue, ret) ;
return ret ;
} catch (std::exception & e) {
static char ret[XL_MAX_STR_LEN] ;
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall) ;
ObjectHandler::stringToChar(e.what(), ret) ;
return ret ;
}
} ;
Conversation::Conversation(const std::string &contact,
QWidget *parent)
: QWidget(parent), _contact(contact)
{
_call = false;
_first = true;
QLabel *name = new QLabel(tr(contact.c_str()), this);
_textZone = new QLineEdit(this);
_callButton = new QPushButton(this);
_callButton->setIcon(QIcon("./gui/img/phone61.png"));
_callButton->setIconSize(QSize(120, 120));
QPushButton *sendButton = new QPushButton(tr("Send"), this);
_messageZone = new QTextEdit(this);
QFont f("Calibri", 10, QFont::Bold);
name->setFont(f);
_messageZone->setStyleSheet("background-color:white;");
_messageZone->setReadOnly(true);
/* Image */
std::stringstream pp;
pp << "./gui/img/avatar"
<< g_PTUser.currentUser().getContactFromName(contact).getPic()
<< ".png";
QPixmap profilPicture(pp.str().c_str());
QLabel *imgP = new QLabel(this);
imgP->setPixmap(profilPicture.scaled(432, 432, Qt::KeepAspectRatio));
/* --- */
int imgHeight = 432;
int imgWidth = 432;
/* MOVE */
connect(_callButton, SIGNAL(released()), this, SLOT(functionCall()));
connect(sendButton, SIGNAL(released()), this, SLOT(functionText()));
imgP->setGeometry(0, 0, imgHeight, imgWidth);
name->setGeometry(10, imgHeight + 10, 160, 50);
_messageZone->setGeometry(imgWidth, 0, 1370, 920);
_textZone->setGeometry(imgWidth, 920, 1120, 100);
sendButton->setGeometry(1660, 920, 100, 100);
_callButton->setGeometry(130, 900, 120, 120);
/* --- ¨*/
}
void CheckLeakAutoVar::functionCall(const Token *tok, VarInfo *varInfo, const int dealloc)
{
// Ignore function call?
const bool ignore = bool(_settings->library.leakignore.find(tok->str()) != _settings->library.leakignore.end());
if (ignore)
return;
std::map<unsigned int, int> &alloctype = varInfo->alloctype;
std::map<unsigned int, std::string> &possibleUsage = varInfo->possibleUsage;
for (const Token *arg = tok->tokAt(2); arg; arg = arg->nextArgument()) {
if (arg->str() == "new")
arg = arg->next();
if ((Token::Match(arg, "%var% [-,)]") && arg->varId() > 0) ||
(Token::Match(arg, "& %var%") && arg->next()->varId() > 0)) {
// goto variable
if (arg->str() == "&")
arg = arg->next();
// Is variable allocated?
const auto var = alloctype.find(arg->varId());
if (var != alloctype.end()) {
if (dealloc == NOALLOC) {
// possible usage
possibleUsage[arg->varId()] = tok->str();
if (var->second == DEALLOC && arg->previous()->str() == "&")
varInfo->erase(arg->varId());
} else if (var->second == DEALLOC) {
CheckOther checkOther(_tokenizer, _settings, _errorLogger);
checkOther.doubleFreeError(tok, arg->str());
} else if (var->second != dealloc) {
// mismatching allocation and deallocation
mismatchError(tok, arg->str());
varInfo->erase(arg->varId());
} else {
// deallocation
var->second = DEALLOC;
}
} else if (dealloc != NOALLOC) {
alloctype[arg->varId()] = DEALLOC;
}
} else if (Token::Match(arg, "%var% (")) {
functionCall(arg, varInfo, dealloc);
}
}
}
void CheckLeakAutoVar::functionCall(const Token *tok, VarInfo *varInfo, const std::string &dealloc)
{
std::map<unsigned int, std::string> &alloctype = varInfo->alloctype;
std::map<unsigned int, std::string> &possibleUsage = varInfo->possibleUsage;
// Ignore function call?
const bool ignore = bool(cfgignore.find(tok->str()) != cfgignore.end());
//const bool use = bool(cfguse.find(tok->str()) != cfguse.end());
if (ignore)
return;
for (const Token *arg = tok->tokAt(2); arg; arg = arg->nextArgument()) {
if ((Token::Match(arg, "%var% [-,)]") && arg->varId() > 0) ||
(Token::Match(arg, "& %var%") && arg->next()->varId() > 0)) {
// goto variable
if (arg->str() == "&")
arg = arg->next();
// Is variable allocated?
const std::map<unsigned int,std::string>::iterator var = alloctype.find(arg->varId());
if (var != alloctype.end()) {
if (dealloc.empty()) {
// possible usage
possibleUsage[arg->varId()] = tok->str();
} else if (var->second == "dealloc") {
CheckOther checkOther(_tokenizer, _settings, _errorLogger);
checkOther.doubleFreeError(tok, arg->str());
} else if (var->second != dealloc) {
// mismatching allocation and deallocation
mismatchError(tok, arg->str());
varInfo->erase(arg->varId());
} else {
// deallocation
var->second = "dealloc";
}
} else if (!dealloc.empty()) {
alloctype[arg->varId()] = "dealloc";
}
} else if (Token::Match(arg, "%var% (")) {
functionCall(arg, varInfo, dealloc);
}
}
}
DLLEXPORT xloper * xlMeanEWMA(const char * timeSeriesId_,
const double * decay_,
const double * valueDate_,
xloper * trigger_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlMeanEWMA")) ;
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), "") ;
/* déclaration du trigger */
ObjectHandler::validateRange(trigger_, "trigger") ;
/* récupération des séries */
OH_GET_REFERENCE(dataObject,
timeSeriesId_,
QuantLibAddin::TimeSeriesObject<double>,
QuantLib::TimeSeries<double>)
static XLOPER returnOper ;
ObjectHandler::scalarToOper(
meanEWMA(* dataObject,
QuantLib::Date(static_cast<QuantLib::BigInteger>(* valueDate_)),
decay_), returnOper) ;
return & returnOper ;
} catch (std::exception & e) {
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall) ;
static XLOPER returnOper ;
ObjectHandler::scalarToOper(e.what(), returnOper) ;
return & returnOper ;
}
} ;
int Client::rpcCall(const std::string& fun, int* argTypes, void** args) const {
FunctionSignature signature(fun, argTypes);
int serverSocket = connectToServer(signature);
if (serverSocket < 0) {
return serverSocket;
}
Connection conn(serverSocket);
FunctionCall functionCall(std::move(signature), args);
if (conn.send(Message::Type::CALL, functionCall.serialize()) < 0) {
conn.close();
return -1;
}
Message message;
while (true) {
int r = conn.read(&message);
if (r < 0) {
conn.close();
return -1;
}
else if (r > 0) {
// Done
conn.close();
break;
}
}
if (message.type != Message::Type::CALL) {
// Error
return -1;
}
// Now we must deserialize the message
auto callReturn = FunctionCall::deserialize(message);
// Got the response back
callReturn.writeDataTo(args);
return 0;
}
/* Fonction de calcul de l'accrued des instruments */
DLLEXPORT xloper * xlSwapConvexity (const char * instrumentId_,
const char * curveId_,
xloper * trigger_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlSwapConvexity")) ;
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), "") ;
// trigger pour provoquer le recalcul
ObjectHandler::validateRange(trigger_, "trigger") ;
QuantLib::Real returnValue ;
OH_GET_REFERENCE(instrumentPtr,
instrumentId_,
QuantLibAddin::interestRateSwapObject,
QuantLib::vanillaSwap2)
//returnValue = instrumentPtr->dv01();
returnValue = 0;
static XLOPER returnOper ;
ObjectHandler::scalarToOper(returnValue, returnOper) ;
return & returnOper ;
} catch (std::exception & e) {
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall) ;
static XLOPER returnOper ;
returnOper.xltype = xltypeErr ;
returnOper.val.err = xlerrValue ;
return & returnOper ;
}
} ;
void CheckLeakAutoVar::functionCall(const Token *tok, VarInfo *varInfo, const VarInfo::AllocInfo& allocation)
{
// Ignore function call?
const bool ignore = bool(_settings->library.leakignore.find(tok->str()) != _settings->library.leakignore.end());
if (ignore)
return;
for (const Token *arg = tok->tokAt(2); arg; arg = arg->nextArgument()) {
if (_tokenizer->isCPP() && arg->str() == "new")
arg = arg->next();
if (Token::Match(arg, "%var% [-,)]") || Token::Match(arg, "& %var%")) {
// goto variable
if (arg->str() == "&")
arg = arg->next();
// Is variable allocated?
changeAllocStatus(varInfo, allocation, tok, arg);
} else if (Token::Match(arg, "%name% (")) {
functionCall(arg, varInfo, allocation);
}
}
}
void call(const glbinding::Function<void, Arguments...> * function, Arguments&&... arguments) const
{
std::unique_ptr<glbinding::FunctionCall> functionCall(new glbinding::FunctionCall(function));
if (function->isAnyEnabled(glbinding::CallbackMask::Parameters | glbinding::CallbackMask::Logging))
{
functionCall->parameters = glbinding::createValues(std::forward<Arguments>(arguments)...);
}
if (function->isEnabled(glbinding::CallbackMask::Before))
{
function->before(*functionCall);
}
if (function->m_beforeCallback)
{
function->m_beforeCallback(std::forward<Arguments>(arguments)...);
}
basicCall(function, std::forward<Arguments>(arguments)...);
if (function->m_afterCallback)
{
function->m_afterCallback(std::forward<Arguments>(arguments)...);
}
if (function->isEnabled(glbinding::CallbackMask::After))
{
function->after(*functionCall);
}
if(function->isEnabled(glbinding::CallbackMask::Logging))
{
glbinding::logging::log(functionCall.release());
}
}
void CheckLeakAutoVar::checkScope(const Token * const startToken,
VarInfo *varInfo,
std::set<unsigned int> notzero)
{
std::map<unsigned int, int> &alloctype = varInfo->alloctype;
std::map<unsigned int, std::string> &possibleUsage = varInfo->possibleUsage;
const std::set<unsigned int> conditionalAlloc(varInfo->conditionalAlloc);
// Parse all tokens
const Token * const endToken = startToken->link();
for (const Token *tok = startToken; tok && tok != endToken; tok = tok->next()) {
// Deallocation and then dereferencing pointer..
if (tok->varId() > 0) {
const std::map<unsigned int, int>::iterator var = alloctype.find(tok->varId());
if (var != alloctype.end()) {
if (var->second == DEALLOC && !Token::Match(tok->previous(), "[;{},=] %var% =")) {
deallocUseError(tok, tok->str());
} else if (Token::simpleMatch(tok->tokAt(-2), "= &")) {
varInfo->erase(tok->varId());
} else if (tok->strAt(-1) == "=") {
varInfo->erase(tok->varId());
}
} else if (Token::Match(tok->previous(), "& %var% = %var% ;")) {
varInfo->referenced.insert(tok->tokAt(2)->varId());
}
}
if (tok->str() == "(" && tok->previous()->isName()) {
functionCall(tok->previous(), varInfo, NOALLOC);
tok = tok->link();
continue;
}
// look for end of statement
if (!Token::Match(tok, "[;{}]") || Token::Match(tok->next(), "[;{}]"))
continue;
tok = tok->next();
if (!tok || tok == endToken)
break;
// parse statement
// assignment..
if (tok->varId() && Token::Match(tok, "%var% =")) {
// taking address of another variable..
if (Token::Match(tok->next(), "= %var% [+;]")) {
if (tok->tokAt(2)->varId() != tok->varId()) {
// If variable points at allocated memory => error
leakIfAllocated(tok, *varInfo);
// no multivariable checking currently => bail out for rhs variables
for (const Token *tok2 = tok; tok2; tok2 = tok2->next()) {
if (tok2->str() == ";") {
break;
}
if (tok2->varId()) {
varInfo->erase(tok2->varId());
}
}
}
}
// is variable used in rhs?
bool used_in_rhs = false;
for (const Token *tok2 = tok->tokAt(2); tok2; tok2 = tok2->next()) {
if (tok2->str() == ";") {
break;
}
if (tok->varId() == tok2->varId()) {
used_in_rhs = true;
break;
}
}
// TODO: Better checking how the pointer is used in rhs?
if (used_in_rhs)
continue;
// Variable has already been allocated => error
if (conditionalAlloc.find(tok->varId()) == conditionalAlloc.end())
leakIfAllocated(tok, *varInfo);
varInfo->erase(tok->varId());
// not a local variable nor argument?
const Variable *var = tok->variable();
if (var && !var->isArgument() && !var->isLocal()) {
continue;
}
// Don't check reference variables
if (var && var->isReference())
continue;
// allocation?
if (Token::Match(tok->tokAt(2), "%type% (")) {
int i = _settings->library.alloc(tok->tokAt(2));
if (i > 0) {
alloctype[tok->varId()] = i;
}
}
// Assigning non-zero value variable. It might be used to
// track the execution for a later if condition.
if (Token::Match(tok->tokAt(2), "%num% ;") && MathLib::toLongNumber(tok->strAt(2)) != 0)
notzero.insert(tok->varId());
else if (Token::Match(tok->tokAt(2), "- %type% ;") && tok->tokAt(3)->isUpperCaseName())
notzero.insert(tok->varId());
else
notzero.erase(tok->varId());
}
// if/else
else if (Token::simpleMatch(tok, "if (")) {
// Parse function calls inside the condition
for (const Token *innerTok = tok->tokAt(2); innerTok; innerTok = innerTok->next()) {
if (innerTok->str() == ")")
break;
if (innerTok->str() == "(" && innerTok->previous()->isName()) {
const int deallocId = _settings->library.dealloc(tok);
functionCall(innerTok->previous(), varInfo, deallocId);
innerTok = innerTok->link();
}
}
const Token *tok2 = tok->linkAt(1);
if (Token::simpleMatch(tok2, ") {")) {
VarInfo varInfo1(*varInfo); // VarInfo for if code
VarInfo varInfo2(*varInfo); // VarInfo for else code
if (Token::Match(tok->next(), "( %var% )")) {
varInfo2.erase(tok->tokAt(2)->varId());
if (notzero.find(tok->tokAt(2)->varId()) != notzero.end())
varInfo2.clear();
} else if (Token::Match(tok->next(), "( ! %var% )|&&")) {
varInfo1.erase(tok->tokAt(3)->varId());
} else if (Token::Match(tok->next(), "( %var% ( ! %var% ) )|&&")) {
varInfo1.erase(tok->tokAt(5)->varId());
} else if (Token::Match(tok->next(), "( %var% < 0 )|&&")) {
varInfo1.erase(tok->tokAt(2)->varId());
} else if (Token::Match(tok->next(), "( 0 > %var% )|&&")) {
varInfo1.erase(tok->tokAt(4)->varId());
} else if (Token::Match(tok->next(), "( %var% > 0 )|&&")) {
varInfo2.erase(tok->tokAt(2)->varId());
} else if (Token::Match(tok->next(), "( 0 < %var% )|&&")) {
varInfo2.erase(tok->tokAt(4)->varId());
}
checkScope(tok2->next(), &varInfo1, notzero);
tok2 = tok2->linkAt(1);
if (Token::simpleMatch(tok2, "} else {")) {
checkScope(tok2->tokAt(2), &varInfo2, notzero);
tok = tok2->linkAt(2)->previous();
} else {
tok = tok2->previous();
}
VarInfo old;
old.swap(*varInfo);
// Conditional allocation in varInfo1
std::map<unsigned int, int>::const_iterator it;
for (it = varInfo1.alloctype.begin(); it != varInfo1.alloctype.end(); ++it) {
if (varInfo2.alloctype.find(it->first) == varInfo2.alloctype.end() &&
old.alloctype.find(it->first) == old.alloctype.end()) {
varInfo->conditionalAlloc.insert(it->first);
}
}
// Conditional allocation in varInfo2
for (it = varInfo2.alloctype.begin(); it != varInfo2.alloctype.end(); ++it) {
if (varInfo1.alloctype.find(it->first) == varInfo1.alloctype.end() &&
old.alloctype.find(it->first) == old.alloctype.end()) {
varInfo->conditionalAlloc.insert(it->first);
}
}
// Conditional allocation/deallocation
for (it = varInfo1.alloctype.begin(); it != varInfo1.alloctype.end(); ++it) {
if (it->second == DEALLOC && conditionalAlloc.find(it->first) != conditionalAlloc.end()) {
varInfo->conditionalAlloc.erase(it->first);
varInfo2.erase(it->first);
}
}
for (it = varInfo2.alloctype.begin(); it != varInfo2.alloctype.end(); ++it) {
if (it->second == DEALLOC && conditionalAlloc.find(it->first) != conditionalAlloc.end()) {
varInfo->conditionalAlloc.erase(it->first);
varInfo1.erase(it->first);
}
}
alloctype.insert(varInfo1.alloctype.begin(), varInfo1.alloctype.end());
alloctype.insert(varInfo2.alloctype.begin(), varInfo2.alloctype.end());
possibleUsage.insert(varInfo1.possibleUsage.begin(), varInfo1.possibleUsage.end());
possibleUsage.insert(varInfo2.possibleUsage.begin(), varInfo2.possibleUsage.end());
}
}
// unknown control..
else if (Token::Match(tok, "%type% (") && Token::simpleMatch(tok->linkAt(1), ") {")) {
varInfo->clear();
break;
}
// Function call..
else if (Token::Match(tok, "%type% (") && tok->str() != "return") {
const int dealloc = _settings->library.dealloc(tok);
functionCall(tok, varInfo, dealloc);
tok = tok->next()->link();
// Handle scopes that might be noreturn
if (dealloc == NOALLOC && Token::simpleMatch(tok, ") ; }")) {
const std::string &functionName(tok->link()->previous()->str());
bool unknown = false;
if (_tokenizer->IsScopeNoReturn(tok->tokAt(2), &unknown)) {
if (!unknown)
varInfo->clear();
else if (_settings->library.leakignore.find(functionName) == _settings->library.leakignore.end() &&
_settings->library.use.find(functionName) == _settings->library.use.end())
varInfo->possibleUsageAll(functionName);
}
}
continue;
}
// return
else if (tok->str() == "return") {
ret(tok, *varInfo);
varInfo->clear();
}
// goto => weird execution path
else if (tok->str() == "goto") {
varInfo->clear();
}
// continue/break
else if (Token::Match(tok, "continue|break ;")) {
varInfo->clear();
}
// throw
// TODO: if the execution leave the function then treat it as return
else if (tok->str() == "throw") {
varInfo->clear();
}
}
}
/* fonction de calcul de la matrice de variance-covariance d'un historique de taux */
DLLEXPORT xloper * xlCovarianceMatrixEWMA(const xloper * seriesId_,
const double * decay_,
const double * startDate_,
const bool * norm_,
const xloper * trigger_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlCovarianceMatrixEWMA")) ;
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), "") ;
/* déclaration du trigger */
ObjectHandler::validateRange(trigger_, "trigger") ;
/* conversion des xloper */
std::vector<std::string> seriesId =
ObjectHandler::operToVector<std::string>(* seriesId_, "seriesId") ;
/* contrôle sur les dimensions */
QL_ENSURE(seriesId.size() >= 2, "unconsistent data set") ;
/* on récupére les séries variationnelles */
std::vector<QuantLib::TimeSeries<double> > timeSeriesVector ;
for (std::vector<std::string>::const_iterator It = seriesId.begin() ;
It != seriesId.end() ; ++It) {
OH_GET_REFERENCE(TimeSeriesPtr,
* It,
QuantLibAddin::TimeSeriesObject<double>,
QuantLib::TimeSeries<double>)
timeSeriesVector.push_back(* TimeSeriesPtr) ;
}
std::vector<QuantLib::TimeSeries<double> > nTimeSeriesVector ;
/* selon le mode choisi */
if (* norm_ == true) {
std::vector<QuantLib::TimeSeries<double> > deltaSeriesVector ;
for (unsigned long i = 0 ; i < timeSeriesVector.size() ; i++)
deltaSeriesVector.push_back(
QuantLib::deltaTimeSeries<double>(timeSeriesVector[i])) ;
/* création des vecteurs moyenne et std dev */
std::vector<double> mean ;
std::vector<double> variance ;
for (std::vector<QuantLib::TimeSeries<double> >::const_iterator It = deltaSeriesVector.begin() ;
It < deltaSeriesVector.end() ; ++It) {
variance.push_back(covarianceEWMA(* It,
* It, QuantLib::Date(static_cast<QuantLib::BigInteger>(* startDate_)),
decay_)) ;
mean.push_back(meanEWMA(* It,
QuantLib::Date(static_cast<QuantLib::BigInteger>(* startDate_)),
decay_)) ;
}
/* Mode normé */
for (unsigned int i = 0 ; i < deltaSeriesVector.size() ; i++) {
std::vector<double> tempValues ;
std::vector<QuantLib::Date> tempDates ;
for (QuantLib::TimeSeries<double>::const_iterator It = deltaSeriesVector[i].begin() ;
It != deltaSeriesVector[i].end() ; ++It) {
tempDates.push_back(It->first) ;
tempValues.push_back((deltaSeriesVector[i][It->first] - mean[i]) /
pow((deltaSeriesVector[i].size() + 1) * variance[i], 0.5)) ;
}
QuantLib::TimeSeries<double> tempSeries(tempDates.begin(),
tempDates.end(),
tempValues.begin()) ;
nTimeSeriesVector.push_back(tempSeries) ;
}
}
else {
/* Mode non normé */
std::vector<double> mean ;
for (std::vector<QuantLib::TimeSeries<double>>::const_iterator It = timeSeriesVector.begin() ;
It < timeSeriesVector.end() ; ++It)
mean.push_back(meanEWMA(* It, QuantLib::Date(
static_cast<QuantLib::BigInteger>(* startDate_)), decay_)) ;
/* on se contente de centrer les séries */
for (unsigned int i = 0 ; i < timeSeriesVector.size() ; i++) {
std::vector<double> tempValues ;
std::vector<QuantLib::Date> tempDates ;
for (QuantLib::TimeSeries<double>::const_iterator It = timeSeriesVector[i].begin() ;
It != timeSeriesVector[i].end() ; ++It) {
tempDates.push_back(It->first) ;
tempValues.push_back(timeSeriesVector[i][It->first] - mean[i]) ;
}
QuantLib::TimeSeries<double> tempSeries(tempDates.begin(),
tempDates.end(),
tempValues.begin()) ;
nTimeSeriesVector.push_back(tempSeries) ;
}
}
/* création de la matrice de retour */
QuantLib::Matrix returnMatrix(
nTimeSeriesVector.size(), nTimeSeriesVector.size()) ;
for (unsigned int i = 0 ; i < nTimeSeriesVector.size() ; i++) {
for (unsigned int j = 0 ; j <= i ; j++) {
returnMatrix[i][j] = covarianceEWMA(nTimeSeriesVector[i],
nTimeSeriesVector[j],
QuantLib::Date(static_cast<QuantLib::BigInteger>(* startDate_)),
decay_) ;
returnMatrix[j][i] = returnMatrix[i][j];
}
}
static OPER returnOper ;
ObjectHandler::MatrixToOper(returnMatrix, returnOper) ;
return & returnOper ;
} catch (std::exception & e) {
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall) ;
return 0 ;
}
}
/* enregistre un helper pour un depôt */
DLLEXPORT xloper * xlInitiateDepositBootstrapHelper (const char * objectId_,
const char * depositId_,
const double * depositPrice_,
const xloper * trigger_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlInitiateDepositBootstrapHelper")) ;
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), "") ;
// trigger pour provoquer le recalcul
ObjectHandler::validateRange(trigger_, "trigger") ;
OH_GET_REFERENCE(depositPtr,
depositId_,
QuantLibAddin::depositObject,
QuantLib::deposit)
// creation de la quote
boost::shared_ptr<QuantLib::Quote> myQuote(
new QuantLib::SimpleQuote(* depositPrice_)) ;
// création du handler
QuantLib::Handle<QuantLib::Quote> quoteHandler(myQuote) ;
// creation du value object
boost::shared_ptr<QuantLibAddin::ValueObjects::depositBootstrapHelperValueObject> depositValueObject(
new QuantLibAddin::ValueObjects::depositBootstrapHelperValueObject(objectId_,
true)) ;
// creation du helper
boost::shared_ptr<QuantLibAddin::depositBootstrapHelperObject> depositBootstrapObject(
new QuantLibAddin::depositBootstrapHelperObject(depositValueObject,
depositPtr,
quoteHandler,
true)) ;
// stockage de l'objet
std::string returnValue =
ObjectHandler::RepositoryXL::instance().storeObject(objectId_,
depositBootstrapObject,
true) ; // on force la réécriture
static XLOPER returnOper ;
ObjectHandler::scalarToOper(returnValue, returnOper) ;
return & returnOper ;
} catch (std::exception & e) {
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall) ;
static XLOPER returnOper ;
ObjectHandler::scalarToOper(e.what(), returnOper) ;
return & returnOper ;
}
} ;
/* register a deposit for curve fitting */
DLLEXPORT xloper * xlInitiateDepositBootstrapHelper2 (const char * objectId_,
const char * tenor_,
const xloper * calendar_,
const xloper * settlementDays_,
const double * depositYield_,
const xloper * annualBasis_,
const xloper * trigger_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlInitiateDepositBootstrapHelper2")) ;
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), "");
// range validation
ObjectHandler::validateRange(trigger_ , "trigger" );
ObjectHandler::validateRange(calendar_ , "calendar" );
ObjectHandler::validateRange(settlementDays_, "settlement days");
ObjectHandler::validateRange(annualBasis_ , "annual basis" );
// OPER management
ObjectHandler::ConvertOper myOper1(* calendar_ ),
myOper2(* settlementDays_),
myOper3(* annualBasis_ );
// creates a value object
boost::shared_ptr<QuantLibAddin::ValueObjects::depositBootstrapHelperValueObject> depositValueObject(
new QuantLibAddin::ValueObjects::depositBootstrapHelperValueObject(
objectId_, true)) ;
// quantlib objects
QuantLib::Natural settlementDays(
myOper2.missing() ?
2 : static_cast<long>(myOper2)) ;
QuantLib::Calendar calendar(
myOper1.missing() ?
QuantLib::UnitedStates(
QuantLib::UnitedStates::Settlement) :
ObjectHandler::calendarFactory()(
static_cast<std::string>(myOper1)));
QuantLib::Date valueDate(
calendar.advance(
QuantLib::Settings::instance().evaluationDate().value(),
settlementDays, QuantLib::Days)) ;
QuantLib::DayCounter annualBasis(
myOper3.missing() ?
QuantLib::Actual360() :
ObjectHandler::daycountFactory()(
static_cast<std::string>(myOper3)));
// creates the deposit
boost::shared_ptr<QuantLib::deposit> myDepositPtr (
new QuantLib::deposit(
valueDate,
calendar.advance(valueDate, ObjectHandler::periodFactory()(tenor_)),
calendar,
settlementDays,
QuantLib::Unadjusted));
// creates the helper
boost::shared_ptr<QuantLibAddin::depositBootstrapHelperObject> depositBootstrapObject(
new QuantLibAddin::depositBootstrapHelperObject(
depositValueObject,
myDepositPtr,
QuantLib::Handle<QuantLib::Quote>(
boost::shared_ptr<QuantLib::Quote>(
new QuantLib::SimpleQuote(
myDepositPtr->cleanPrice(
*depositYield_,
annualBasis,
QuantLib::Simple,
QuantLib::Once,
QuantLib::Unadjusted,
valueDate)))),
true));
// storage of the object
std::string returnValue =
ObjectHandler::RepositoryXL::instance().storeObject(
objectId_,
depositBootstrapObject,
true);
static XLOPER returnOper ;
ObjectHandler::scalarToOper(returnValue, returnOper) ;
return & returnOper ;
} catch (std::exception & e)
{
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall) ;
static XLOPER returnOper ;
ObjectHandler::scalarToOper(e.what(), returnOper) ;
return & returnOper ;
}
};
/* enregistre un TIPS */
DLLEXPORT xloper * xlInitiateAussieNote (const char * objectID_,
const double * issueDate_,
xloper * effectiveDate_,
xloper * firstCouponDate_,
xloper * lastCouponDate_,
const double * maturityDate_,
const double * couponRate_,
xloper * trigger_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlInitiateAussieNote")) ;
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), "") ;
// trigger pour provoquer le recalcul
ObjectHandler::validateRange(trigger_, "trigger") ;
ObjectHandler::validateRange(effectiveDate_, "effective Date") ;
ObjectHandler::validateRange(firstCouponDate_, "first Coupon Date") ;
ObjectHandler::validateRange(lastCouponDate_, "last Coupon Date") ;
ObjectHandler::ConvertOper myOper1(* effectiveDate_) ;
ObjectHandler::ConvertOper myOper2(* firstCouponDate_) ;
ObjectHandler::ConvertOper myOper3(* lastCouponDate_) ;
QuantLib::Date issueDate(static_cast<QuantLib::BigInteger>(* issueDate_)) ;
QuantLib::Date effectiveDate(myOper1.missing() ?
issueDate :
static_cast<QuantLib::Date>(myOper1)) ;
QuantLib::Date firstCouponDate(myOper2.missing() ?
QuantLib::Date() :
static_cast<QuantLib::Date>(myOper2)) ;
QuantLib::Date lastCouponDate(myOper3.missing() ?
QuantLib::Date() :
static_cast<QuantLib::Date>(myOper3)) ;
QuantLib::Date maturityDate(static_cast<QuantLib::BigInteger>(* maturityDate_)) ;
// Construction du value object
boost::shared_ptr<QuantLibAddin::ValueObjects::australianTreasuryNoteValueObject> myBondValueObject(
new QuantLibAddin::ValueObjects::australianTreasuryNoteValueObject(objectID_,
true)) ;
// instanciation de l'instrument
boost::shared_ptr<QuantLibAddin::australianTreasuryNoteObject> myBondObject(
new QuantLibAddin::australianTreasuryNoteObject(myBondValueObject,
issueDate,
effectiveDate,
firstCouponDate,
lastCouponDate,
maturityDate,
QuantLib::Rate(* couponRate_),
true)) ;
// stockage de l'objet
std::string returnValue =
ObjectHandler::RepositoryXL::instance().storeObject(objectID_,
myBondObject,
true) ; // on force la réécriture
static XLOPER returnOper ;
ObjectHandler::scalarToOper(returnValue, returnOper) ;
return & returnOper ;
} catch (std::exception & e) {
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall) ;
static XLOPER returnOper ;
ObjectHandler::scalarToOper(e.what(), returnOper) ;
return & returnOper ;
}
} ;
/* Fonction de calcul du carry d'un bond */
DLLEXPORT xloper * xlInstrumentCarry (const char * instrumentId_,
const double * startAccruedDate_,
const double * endAccruedDate_,
const double * instrumentYield_,
const char * conventionId_,
xloper * trigger_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlInstrumentCarry")) ;
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), "") ;
double returnValue ;
// trigger pour provoquer le recalcul
ObjectHandler::validateRange(trigger_, "trigger") ;
// on récupère la convention
OH_GET_REFERENCE(conventionPtr,
conventionId_,
QuantLibAddin::interestRateConventionObject,
QuantLib::InterestRate)
// on récupère l'instrument
OH_GET_UNDERLYING(myBond,
instrumentId_,
QuantLibAddin::Bond,
QuantLib::Bond)
returnValue = myBond.cleanPrice(* instrumentYield_,
conventionPtr->dayCounter(),
conventionPtr->compounding(),
conventionPtr->frequency(),
conventionPtr->businessDayConvention(),
myBond.settlementDate(
QuantLib::Date(static_cast<QuantLib::BigInteger>(* endAccruedDate_)))) ;
returnValue -= myBond.cleanPrice(* instrumentYield_,
conventionPtr->dayCounter(),
conventionPtr->compounding(),
conventionPtr->frequency(),
conventionPtr->businessDayConvention(),
myBond.settlementDate(
QuantLib::Date(static_cast<QuantLib::BigInteger>(* startAccruedDate_)))) ;
// variable de retour
static XLOPER returnOper ;
ObjectHandler::scalarToOper(returnValue, returnOper) ;
return & returnOper ;
} catch (std::exception & e) {
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall);
static XLOPER returnOper;
returnOper.xltype = xltypeErr;
returnOper.val.err = xlerrValue;
return & returnOper;
}
}
/* Fonction de calcul d'un taux fixe de swap */
DLLEXPORT xloper * xlSwapFairFixedRate (const char * swapId_,
const char * legId_,
const char * curveId_,
xloper * trigger_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlSwapFairFixedRate")) ;
try {
QL_REQUIRE(! functionCall->calledByFunctionWizard(), "") ;
// trigger pour provoquer le recalcul
ObjectHandler::validateRange(trigger_, "trigger") ;
// on récupère la courbe des taux
OH_GET_OBJECT(curvePtr, curveId_, QuantLibAddin::YieldTermStructure)
QuantLib::Handle<QuantLib::YieldTermStructure> YieldCurveLibObj =
QuantLibAddin::CoerceHandle<QuantLibAddin::YieldTermStructure, QuantLib::YieldTermStructure>()(curvePtr) ;
// setup de la date de pricing (reference date de la courbe)
//QuantLib::Settings::instance().evaluationDate() = YieldCurveLibObj->referenceDate() ;
// on récupère le swap
OH_GET_OBJECT(objPtr, swapId_, ObjectHandler::Object)
// calcul de la NPV totale des autres jambes
QuantLib::Real fairRate = 0.0 ;
// objet pour contrôle
OH_GET_OBJECT(swapObj, swapId_, QuantLibAddin::interestRateSwapObject)
// on spécialise le ptr
OH_GET_REFERENCE(swapPtr,
swapId_,
QuantLibAddin::interestRateSwapObject,
QuantLib::vanillaSwap2)
// vérification que la jambe fait partie du swap
QL_REQUIRE(swapObj->getLegType(std::string(legId_)) == "fixedLegUnitedStatesValueObject" ||
swapObj->getLegType(std::string(legId_)) == "fixedLegUnitedAustraliaValueObject", "unappropriate leg type") ;
swapPtr->setPricingEngine(boost::shared_ptr<QuantLib::PricingEngine>(
new QuantLib::DiscountingSwapEngine(YieldCurveLibObj))) ;
// calcul de la NPV totale des autres jambes
QuantLib::Size legRank = swapObj->getLegRank(std::string(legId_)) ;
// on suppose que le taux est fixe (pas de step-up cpn)
boost::shared_ptr<QuantLib::FixedRateCoupon> myCastedCashFlow
= boost::dynamic_pointer_cast<QuantLib::FixedRateCoupon>(swapPtr->leg(legRank)[0]) ;
fairRate = myCastedCashFlow->rate() - swapPtr->NPV()/(swapPtr->legBPS(legRank)/1.0e-4) ;
static XLOPER returnOper ;
ObjectHandler::scalarToOper(fairRate, returnOper) ;
return & returnOper ;
} catch (std::exception & e) {
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall) ;
static XLOPER returnOper ;
ObjectHandler::scalarToOper(e.what(), returnOper) ;
return & returnOper ;
}
} ;
// static int mutatorTest( BPatch_thread * appThread, BPatch_image * appImage ) {
test_results_t test_stack_3_Mutator::executeTest() {
bool passedTest;
BPatch::bpatch->setInstrStackFrames(true);
appProc->continueExecution();
static const frameInfo_t correct_frame_info[] = {
#if defined( os_linux_test ) && (defined( arch_x86_test ) || defined( arch_x86_64_test ))
{ true, true, BPatch_frameNormal, "_dl_sysinfo_int80" },
#endif
#if defined( os_aix_test ) && defined( arch_power_test )
/* AIX uses kill(), but the PC of a process in a syscall can
not be correctly determined, and appears to be the address
to which the syscall function will return. */
#elif defined( os_windows_test ) && (defined( arch_x86 ) || defined( arch_x86_64_test ))
/* Windows/x86 does not use kill(), so its lowermost frame will be
something unidentifiable in a system DLL. */
{ false, false, BPatch_frameNormal, NULL },
#else
{ true, false, BPatch_frameNormal, "kill" },
#endif
#if ! defined( os_windows_test )
/* Windows/x86's stop_process_() calls DebugBreak(); it's
apparently normal to lose this frame. */
{ true, false, BPatch_frameNormal, "stop_process_" },
#endif
{ true, false, BPatch_frameNormal, "test_stack_3_func3" },
{ true, false, BPatch_frameTrampoline, NULL },
/* On AIX and x86 (and others), if our instrumentation fires
before frame construction or after frame destruction, it's
acceptable to not report the function (since, after all, it
doesn't have a frame on the stack. */
{ true, true, BPatch_frameNormal, "test_stack_3_func2" },
{ true, false, BPatch_frameNormal, "test_stack_3_func1" },
{ true, false, BPatch_frameNormal, "test_stack_3_mutateeTest" },
{ true, false, BPatch_frameNormal, "main" }
};
/* Wait for the mutatee to stop in test_stack_3_func1(). */
if (waitUntilStopped( bpatch, appProc, 1, "getCallStack through instrumentation") < 0) {
appProc->terminateExecution();
return FAILED;
}
/* Instrument test_stack_3_func2() to call test_stack_3_func3(), which will trip another breakpoint. */
BPatch_Vector<BPatch_function *> instrumentedFunctions;
const char *fName = "test_stack_3_func2";
appImage->findFunction(fName, instrumentedFunctions );
if (instrumentedFunctions.size() != 1) {
// FIXME Print out a useful error message
logerror("**Failed** test_stack_3\n");
logerror(" Unable to find function '%s'\n", fName);
appProc->terminateExecution();
return FAILED;
}
BPatch_Vector<BPatch_point *> * functionEntryPoints = instrumentedFunctions[0]->findPoint( BPatch_entry );
if (functionEntryPoints->size() != 1) {
// FIXME Print out a useful error message
logerror("**Failed** test_stack_3\n");
logerror(" Unable to find entry point to function '%s'\n", fName);
appProc->terminateExecution();
return FAILED;
}
BPatch_Vector<BPatch_function *> calledFunctions;
const char *fName2 = "test_stack_3_func3";
appImage->findFunction(fName2, calledFunctions );
if (calledFunctions.size() != 1) {
//FIXME Print out a useful error message
logerror("**Failed** test_stack_3\n");
logerror(" Unable to find function '%s'\n", fName2);
appProc->terminateExecution();
return FAILED;
}
BPatch_Vector<BPatch_snippet *> functionArguments;
BPatch_funcCallExpr functionCall( * calledFunctions[0], functionArguments );
appProc->insertSnippet( functionCall, functionEntryPoints[0] );
/* Repeat for all three types of instpoints. */
BPatch_Vector<BPatch_point *> * functionCallPoints = instrumentedFunctions[0]->findPoint( BPatch_subroutine );
if (functionCallPoints->size() != 1) {
logerror("**Failed** test_stack_3\n");
logerror(" Unable to find subroutine call points in '%s'\n", fName);
appProc->terminateExecution();
return FAILED;
}
appProc->insertSnippet( functionCall, functionCallPoints[0] );
BPatch_Vector<BPatch_point *> * functionExitPoints = instrumentedFunctions[0]->findPoint( BPatch_exit );
if (functionExitPoints->size() != 1) {
logerror("**Failed** test_stack_3\n");
logerror(" Unable to find exit points in '%s'\n", fName);
appProc->terminateExecution();
return FAILED;
}
appProc->insertSnippet( functionCall, functionExitPoints[0] );
#if defined( DEBUG )
for( int i = 0; i < 80; i++ ) { ptrace( PTRACE_SINGLESTEP, appThread->getPid(), NULL, NULL ); }
for( int i = 80; i < 120; i++ ) {
ptrace( PTRACE_SINGLESTEP, appThread->getPid(), NULL, NULL );
BPatch_Vector<BPatch_frame> stack;
appThread->getCallStack( stack );
dprintf("single-step stack walk, %d instructions after stop for instrumentation.\n", i );
for( unsigned i = 0; i < stack.size(); i++ ) {
char name[ 40 ];
BPatch_function * func = stack[i].findFunction();
if( func == NULL ) { strcpy( name, "[UNKNOWN]" ); }
else { func->getName( name, 40 ); }
dprintf(" %10p: %s, fp = %p\n", stack[i].getPC(), name, stack[i].getFP() );
} /* end stack walk dumper */
dprintf("end of stack walk.\n" );
} /* end single-step iterator */
#endif /* defined( DEBUG ) */
/* After inserting the instrumentation, let it be called. */
appProc->continueExecution();
/* Wait for the mutatee to stop because of the instrumentation we just inserted. */
if (waitUntilStopped( bpatch, appProc, 1, "getCallStack through instrumentation (entry)") < 0) {
appProc->terminateExecution();
return FAILED;
}
passedTest = true;
if( !checkStack( appThread, correct_frame_info,
sizeof(correct_frame_info)/sizeof(frameInfo_t),
3, "getCallStack through instrumentation (entry)" ) ) {
passedTest = false;
}
/* Repeat for other two types of instpoints. */
appProc->continueExecution();
/* Wait for the mutatee to stop because of the instrumentation we just inserted. */
if (waitUntilStopped( bpatch, appProc, 1, "getCallStack through instrumentation (call)") < 0) {
appProc->terminateExecution();
return FAILED;
}
if( !checkStack( appThread, correct_frame_info,
sizeof(correct_frame_info)/sizeof(frameInfo_t),
3, "getCallStack through instrumentation (call)" ) ) {
passedTest = false;
}
appProc->continueExecution();
/* Wait for the mutatee to stop because of the instrumentation we just inserted. */
if (waitUntilStopped( bpatch, appProc, 1, "getCallStack through instrumentation (exit)") < 0) {
appProc->terminateExecution();
return FAILED;
}
if( !checkStack( appThread, correct_frame_info,
sizeof(correct_frame_info)/sizeof(frameInfo_t),
3, "getCallStack through instrumentation (exit)" ) ) {
passedTest = false;
}
if (passedTest)
logerror("Passed test #3 (unwind through base and mini tramps)\n");
/* Return the mutatee to its normal state. */
appProc->continueExecution();
while (!appProc->isTerminated()) {
// Workaround for issue with pgCC_high mutatee
bpatch->waitForStatusChange();
}
if (passedTest)
return PASSED;
return FAILED;
} /* end mutatorTest3() */
/* Fonction de calcul de la NPV d'un swap ou d'une jambe */
DLLEXPORT xloper * xlSwapNPV (const char * instrumentId_,
const char * discountCurveId_,
xloper * forwardCurveId_,
xloper * trigger_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlSwapNPV")) ;
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), "") ;
// validation
ObjectHandler::validateRange(trigger_, "trigger") ;
ObjectHandler::validateRange(forwardCurveId_, "forward Curve") ;
// conversion des xloper
ObjectHandler::ConvertOper myOper(* forwardCurveId_) ;
// on récupère la courbe de discounting
OH_GET_OBJECT(discountCurvePtr,
discountCurveId_,
ObjectHandler::Object)
QuantLib::Handle<QuantLib::YieldTermStructure> discountCurveHandler =
QuantLibAddin::CoerceHandle<QuantLibAddin::YieldTermStructure, QuantLib::YieldTermStructure>()(discountCurvePtr) ;
// on récupère l'instrument
OH_GET_REFERENCE(mySwap,
instrumentId_,
QuantLibAddin::interestRateSwapObject,
QuantLib::vanillaSwap2)
boost::shared_ptr<QuantLib::PricingEngine> myPricingEngine ;
// ligature du pricing engine
if (myOper.missing()) {
myPricingEngine = boost::shared_ptr<QuantLib::PricingEngine>(
new QuantLib::DiscountingSwapEngine(discountCurveHandler/*, discountCurveHandler*/)) ;
//mySwap->setFixingIndex(* discountCurveHandler) ;
} else {
// on récupère la courbe forward
OH_GET_OBJECT(forwardCurvePtr,
static_cast<std::string>(myOper),
ObjectHandler::Object)
QuantLib::Handle<QuantLib::YieldTermStructure> forwardCurveHandler =
QuantLibAddin::CoerceHandle<QuantLibAddin::YieldTermStructure, QuantLib::YieldTermStructure>()(forwardCurvePtr) ;
myPricingEngine = boost::shared_ptr<QuantLib::PricingEngine>(
new QuantLib::DiscountingSwapEngine(discountCurveHandler/*, forwardCurveHandler*/)) ;
//mySwap->setFixingIndex(* forwardCurveHandler) ;
}
mySwap->setPricingEngine(myPricingEngine) ;
static XLOPER returnOper ;
ObjectHandler::scalarToOper(mySwap->NPV(), returnOper) ;
return & returnOper ;
} catch (std::exception & e) {
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall) ;
static XLOPER returnOper ;
ObjectHandler::scalarToOper(e.what(), returnOper) ;
return & returnOper ;
}
} ;
/* enregistre une jambe à taux flottant */
DLLEXPORT xloper * xlInitiateFloatLegUnitedStates (const char * objectID_,
const double * effectiveDate_,
xloper * firstCouponDate_,
xloper * lastCouponDate_,
const double * maturityDate_,
xloper * notional_,
const char * indexId_,
xloper * frequency_,
xloper * daycounter_,
xloper * spread_,
xloper * trigger_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlInitiatefloatLegUnitedStates")) ;
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), "") ;
// vérification des codes erreur
ObjectHandler::validateRange(trigger_, "trigger") ;
ObjectHandler::validateRange(firstCouponDate_, "first Coupon Date") ;
ObjectHandler::validateRange(lastCouponDate_, "last Coupon Date") ;
ObjectHandler::validateRange(notional_, "notional") ;
ObjectHandler::validateRange(frequency_, "frequency") ;
ObjectHandler::validateRange(daycounter_, "daycounter") ;
ObjectHandler::validateRange(spread_, "spread") ;
// Création des oper
ObjectHandler::ConvertOper myOper1(* firstCouponDate_),
myOper2(* lastCouponDate_),
myOper3(* notional_),
myOper4(* frequency_),
myOper5(* daycounter_),
myOper6(* spread_) ;
// création des dates et contrôles sur les dates intermédiaires
QuantLib::Date effectiveDate(QuantLib::Date(static_cast<QuantLib::BigInteger>(* effectiveDate_))) ;
QuantLib::Date maturityDate(QuantLib::Date(static_cast<QuantLib::BigInteger>(* maturityDate_))) ;
QuantLib::Date firstCouponDate(myOper1.missing() ?
QuantLib::Date() :
QuantLib::Date(static_cast<QuantLib::BigInteger>(myOper1))) ;
QuantLib::Date lastCouponDate(myOper2.missing() ?
QuantLib::Date() :
QuantLib::Date(static_cast<QuantLib::BigInteger>(myOper2))) ;
QuantLib::Real notional(myOper3.missing() ?
100.0 :
static_cast<QuantLib::Real>(myOper3)) ;
QuantLib::Frequency frequency(myOper4.missing() ?
QuantLib::Quarterly :
ObjectHandler::frequencyFactory()(static_cast<std::string>(myOper4))) ;
QuantLib::DayCounter daycounter(myOper5.missing() ?
QuantLib::Actual360() :
ObjectHandler::daycountFactory()(static_cast<std::string>(myOper5))) ;
QuantLib::Spread spread(myOper6.missing() ?
0.0 :
static_cast<QuantLib::Spread>(myOper6)) ;
// on récupère l'index libor
OH_GET_REFERENCE(iborIndexPtr,
std::string(indexId_),
QuantLibAddin::iborIndexObject,
QuantLib::IborIndex)
// Construction du value object
boost::shared_ptr<QuantLibAddin::ValueObjects::floatLegUnitedStatesValueObject> myLegValueObject(
new QuantLibAddin::ValueObjects::floatLegUnitedStatesValueObject(objectID_,
true)) ;
// instanciation de l'instrument
boost::shared_ptr<QuantLibAddin::floatLegUnitedStatesObject> myLegObject(
new QuantLibAddin::floatLegUnitedStatesObject(myLegValueObject,
effectiveDate,
firstCouponDate,
lastCouponDate,
maturityDate,
iborIndexPtr,
2,
frequency,
daycounter,
notional,
spread,
QuantLib::ModifiedFollowing,
QuantLib::ModifiedFollowing,
true, true)) ;
// stockage de l'objet
std::string returnValue =
ObjectHandler::RepositoryXL::instance().storeObject(objectID_,
myLegObject,
true) ; // on force la réécriture
static XLOPER returnOper ;
ObjectHandler::scalarToOper(returnValue, returnOper) ;
return & returnOper ;
} catch (std::exception & e) {
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall) ;
static XLOPER returnOper ;
ObjectHandler::scalarToOper(e.what(), returnOper) ;
return & returnOper ;
}
} ;
void CheckLeakAutoVar::checkScope(const Token * const startToken,
VarInfo *varInfo,
std::set<unsigned int> notzero)
{
std::map<unsigned int, std::string> &alloctype = varInfo->alloctype;
std::map<unsigned int, std::string> &possibleUsage = varInfo->possibleUsage;
const std::set<unsigned int> conditionalAlloc(varInfo->conditionalAlloc);
// Allocation functions. key = function name, value = allocation type
std::map<std::string, std::string> allocFunctions(cfgalloc);
allocFunctions["malloc"] = "malloc";
allocFunctions["strdup"] = "malloc";
allocFunctions["fopen"] = "fopen";
// Deallocation functions. key = function name, value = allocation type
std::map<std::string, std::string> deallocFunctions(cfgdealloc);
deallocFunctions["free"] = "malloc";
deallocFunctions["fclose"] = "fopen";
// Parse all tokens
const Token * const endToken = startToken->link();
for (const Token *tok = startToken; tok && tok != endToken; tok = tok->next()) {
// Deallocation and then dereferencing pointer..
if (tok->varId() > 0) {
const std::map<unsigned int, std::string>::iterator var = alloctype.find(tok->varId());
if (var != alloctype.end()) {
if (var->second == "dealloc" && !Token::Match(tok->previous(), "[;{},=] %var% =")) {
deallocUseError(tok, tok->str());
} else if (Token::simpleMatch(tok->tokAt(-2), "= &")) {
varInfo->erase(tok->varId());
} else if (Token::simpleMatch(tok->previous(), "=")) {
varInfo->erase(tok->varId());
}
}
}
if (tok->str() == "(" && tok->previous()->isName()) {
functionCall(tok->previous(), varInfo, "");
tok = tok->link();
continue;
}
// look for end of statement
if (!Token::Match(tok, "[;{}]") || Token::Match(tok->next(), "[;{}]"))
continue;
tok = tok->next();
if (tok == endToken)
break;
// parse statement
// assignment..
if (tok && tok->varId() && Token::Match(tok, "%var% =")) {
// taking address of another variable..
if (Token::Match(tok->next(), "= %var% [+;]")) {
if (tok->tokAt(2)->varId() != tok->varId()) {
// If variable points at allocated memory => error
leakIfAllocated(tok, *varInfo);
// no multivariable checking currently => bail out for rhs variables
for (const Token *tok2 = tok; tok2; tok2 = tok2->next()) {
if (tok2->str() == ";") {
break;
}
if (tok2->varId()) {
varInfo->erase(tok2->varId());
}
}
}
}
// is variable used in rhs?
bool used_in_rhs = false;
for (const Token *tok2 = tok->tokAt(2); tok2; tok2 = tok2->next()) {
if (tok2->str() == ";") {
break;
}
if (tok->varId() == tok2->varId()) {
used_in_rhs = true;
break;
}
}
// TODO: Better checking how the pointer is used in rhs?
if (used_in_rhs)
continue;
// Variable has already been allocated => error
if (conditionalAlloc.find(tok->varId()) == conditionalAlloc.end())
leakIfAllocated(tok, *varInfo);
varInfo->erase(tok->varId());
// not a local variable nor argument?
const Variable *var = _tokenizer->getSymbolDatabase()->getVariableFromVarId(tok->varId());
if (var && !var->isArgument() && !var->isLocal()) {
continue;
}
// Don't check reference variables
if (var && var->isReference())
continue;
// allocation?
if (Token::Match(tok->tokAt(2), "%type% (")) {
const std::map<std::string, std::string>::const_iterator it = allocFunctions.find(tok->strAt(2));
if (it != allocFunctions.end()) {
alloctype[tok->varId()] = it->second;
}
}
// Assigning non-zero value variable. It might be used to
// track the execution for a later if condition.
if (Token::Match(tok->tokAt(2), "%num% ;") && MathLib::toLongNumber(tok->strAt(2)) != 0)
notzero.insert(tok->varId());
else if (Token::Match(tok->tokAt(2), "- %type% ;") && tok->tokAt(3)->isUpperCaseName())
notzero.insert(tok->varId());
else
notzero.erase(tok->varId());
}
// if/else
else if (Token::simpleMatch(tok, "if (")) {
// Parse function calls inside the condition
for (const Token *innerTok = tok->tokAt(2); innerTok; innerTok = innerTok->next()) {
if (innerTok->str() == ")")
break;
if (innerTok->str() == "(" && innerTok->previous()->isName()) {
std::string dealloc;
{
const std::map<std::string, std::string>::iterator func = deallocFunctions.find(tok->str());
if (func != deallocFunctions.end()) {
dealloc = func->second;
}
}
functionCall(innerTok->previous(), varInfo, dealloc);
innerTok = innerTok->link();
}
}
const Token *tok2 = tok->linkAt(1);
if (Token::simpleMatch(tok2, ") {")) {
VarInfo varInfo1(*varInfo);
VarInfo varInfo2(*varInfo);
if (Token::Match(tok->next(), "( %var% )")) {
varInfo2.erase(tok->tokAt(2)->varId());
if (notzero.find(tok->tokAt(2)->varId()) != notzero.end())
varInfo2.clear();
} else if (Token::Match(tok->next(), "( ! %var% )|&&")) {
varInfo1.erase(tok->tokAt(3)->varId());
} else if (Token::Match(tok->next(), "( %var% ( ! %var% ) )|&&")) {
varInfo1.erase(tok->tokAt(5)->varId());
}
checkScope(tok2->next(), &varInfo1, notzero);
tok2 = tok2->linkAt(1);
if (Token::simpleMatch(tok2, "} else {")) {
checkScope(tok2->tokAt(2), &varInfo2, notzero);
tok = tok2->linkAt(2)->previous();
} else {
tok = tok2->previous();
}
VarInfo old;
old.swap(*varInfo);
// Conditional allocation in varInfo1
std::map<unsigned int, std::string>::const_iterator it;
for (it = varInfo1.alloctype.begin(); it != varInfo1.alloctype.end(); ++it) {
if (varInfo2.alloctype.find(it->first) == varInfo2.alloctype.end() &&
old.alloctype.find(it->first) == old.alloctype.end()) {
varInfo->conditionalAlloc.insert(it->first);
}
}
// Conditional allocation in varInfo2
for (it = varInfo2.alloctype.begin(); it != varInfo2.alloctype.end(); ++it) {
if (varInfo1.alloctype.find(it->first) == varInfo1.alloctype.end() &&
old.alloctype.find(it->first) == old.alloctype.end()) {
varInfo->conditionalAlloc.insert(it->first);
}
}
// Conditional allocation/deallocation
for (it = varInfo1.alloctype.begin(); it != varInfo1.alloctype.end(); ++it) {
if (it->second == "dealloc" && conditionalAlloc.find(it->first) != conditionalAlloc.end()) {
varInfo->conditionalAlloc.erase(it->first);
varInfo2.erase(it->first);
}
}
for (it = varInfo2.alloctype.begin(); it != varInfo2.alloctype.end(); ++it) {
if (it->second == "dealloc" && conditionalAlloc.find(it->first) != conditionalAlloc.end()) {
varInfo->conditionalAlloc.erase(it->first);
varInfo1.erase(it->first);
}
}
alloctype.insert(varInfo1.alloctype.begin(), varInfo1.alloctype.end());
alloctype.insert(varInfo2.alloctype.begin(), varInfo2.alloctype.end());
possibleUsage.insert(varInfo1.possibleUsage.begin(), varInfo1.possibleUsage.end());
possibleUsage.insert(varInfo2.possibleUsage.begin(), varInfo2.possibleUsage.end());
}
}
// unknown control..
else if (Token::Match(tok, "%type% (") && Token::simpleMatch(tok->linkAt(1), ") {")) {
varInfo->clear();
break;
}
// Function call..
else if (Token::Match(tok, "%type% (") && tok->str() != "return") {
std::string dealloc;
{
const std::map<std::string, std::string>::iterator func = deallocFunctions.find(tok->str());
if (func != deallocFunctions.end()) {
dealloc = func->second;
}
}
functionCall(tok, varInfo, dealloc);
tok = tok->next()->link();
// Handle scopes that might be noreturn
if (dealloc.empty() && Token::simpleMatch(tok, ") ; }")) {
const std::string &functionName(tok->link()->previous()->str());
bool unknown = false;
if (cfgignore.find(functionName) == cfgignore.end() &&
cfguse.find(functionName) == cfguse.end() &&
_tokenizer->IsScopeNoReturn(tok->tokAt(2), &unknown)) {
if (unknown) {
//const std::string &functionName(tok->link()->previous()->str());
varInfo->possibleUsageAll(functionName);
} else {
varInfo->clear();
}
}
}
continue;
}
// return
else if (tok->str() == "return" || tok->str() == "throw") {
ret(tok, *varInfo);
varInfo->clear();
}
}
}
/* Fonction de calcul de l'accrued des instruments */
DLLEXPORT xloper * xlSwapDV01 (const char * instrumentId_,
const char * curveId_,
const char * conventionId_,
xloper * trigger_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlSwapDV01")) ;
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), "") ;
// trigger pour provoquer le recalcul
ObjectHandler::validateRange(trigger_, "trigger") ;
QuantLib::Real returnValue ;
// on récupère la courbe
OH_GET_OBJECT(curvePtr, curveId_, ObjectHandler::Object)
// on récupère la convention de taux
OH_GET_OBJECT(conventionPtr, conventionId_, QuantLibAddin::interestRateConventionObject)
QuantLib::Handle<QuantLib::YieldTermStructure> curveLibPtr =
QuantLibAddin::CoerceHandle<QuantLibAddin::YieldTermStructure, QuantLib::YieldTermStructure>()(curvePtr) ;
QuantLib::Handle<QuantLib::Quote> mySpread(
new QuantLib::SimpleQuote(1.0 / 100)) ; // 1 bp
QuantLib::Handle<QuantLib::YieldTermStructure> myShiftedCurve(
new QuantLib::ZeroSpreadedTermStructure(curveLibPtr,
mySpread,
conventionPtr->compounding(),
conventionPtr->frequency(),
conventionPtr->daycounter())) ;
// on récupère l'instrument
OH_GET_OBJECT(instrumentPtr, instrumentId_, ObjectHandler::Object)
/* IRS */
if (instrumentPtr->properties()->className() == "interestRateSwapValueObject") {
QuantLib::Handle<QuantLib::vanillaSwap2> swapPtr
= QuantLibAddin::CoerceHandle<QuantLibAddin::interestRateSwapObject,
QuantLib::vanillaSwap2>()(instrumentPtr) ;
returnValue = QuantLib::CashFlows::npv(swapPtr->leg(0),
** curveLibPtr,
QuantLib::Unadjusted, QuantLib::Calendar(),
false) * swapPtr->receivingLeg(0) ;
returnValue += QuantLib::CashFlows::npv(swapPtr->leg(1),
** curveLibPtr,
QuantLib::Unadjusted, QuantLib::Calendar(),
false) * swapPtr->receivingLeg(1) ;
returnValue -= QuantLib::CashFlows::npv(swapPtr->leg(0),
** myShiftedCurve,
QuantLib::Unadjusted, QuantLib::Calendar(),
false) * swapPtr->receivingLeg(0) ;
returnValue -= QuantLib::CashFlows::npv(swapPtr->leg(1),
** myShiftedCurve,
QuantLib::Unadjusted, QuantLib::Calendar(),
false) * swapPtr->receivingLeg(1) ;
}
/* jambe fixe */
else if (instrumentPtr->properties()->className() == "fixedLegAustraliaValueObject" ||
instrumentPtr->properties()->className() == "fixedLegUnitedStatesValueObject"||
instrumentPtr->properties()->className() == "floatLegAustraliaValueObject" ||
instrumentPtr->properties()->className() == "floatLegUnitedStatesValueObject") {
OH_GET_REFERENCE(instrumentLibObj,
instrumentId_,
QuantLibAddin::Leg,
QuantLib::Leg)
returnValue = QuantLib::CashFlows::npv(* instrumentLibObj,
** curveLibPtr,
QuantLib::Unadjusted, QuantLib::Calendar(),
false) ;
returnValue -= QuantLib::CashFlows::npv(* instrumentLibObj,
** myShiftedCurve,
QuantLib::Unadjusted, QuantLib::Calendar(),
false) ;
}
else { // ici pour les autres instruments
QL_FAIL("unknown instrument type") ;
}
static XLOPER returnOper ;
ObjectHandler::scalarToOper(returnValue, returnOper) ;
return & returnOper ;
} catch (std::exception & e) {
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall) ;
static XLOPER returnOper ;
returnOper.xltype = xltypeErr ;
returnOper.val.err = xlerrValue ;
return & returnOper ;
}
} ;
/* Fonction de calcul du nombre de flux restant */
DLLEXPORT xloper * xlInstrumentFlowCount (const char * instrumentId_,
xloper * settlementDate_,
xloper * trigger_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlInstrumentFlowCount")) ;
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), "") ;
/* recherche de code erreur */
ObjectHandler::validateRange(trigger_, "trigger") ;
ObjectHandler::validateRange(settlementDate_, "settlement Date") ;
/* on récupère l'instrument */
OH_GET_UNDERLYING(myBond,
instrumentId_,
QuantLibAddin::Bond,
QuantLib::Bond)
/* les XLOPER des date */
ObjectHandler::ConvertOper myOper(* settlementDate_) ;
QuantLib::Date settlementDate(
myOper.missing() ?
QuantLib::Date() :
QuantLib::Date(static_cast<QuantLib::BigInteger>(myOper))) ;
QuantLib::Natural returnValue = 0;
// increments
for (std::vector<boost::shared_ptr<QuantLib::CashFlow> >::const_reverse_iterator It = myBond.cashflows().crbegin();
It != myBond.cashflows().crend(); It++)
It->get()->date() > settlementDate ? returnValue++ : 0;
static XLOPER returnOper ;
ObjectHandler::scalarToOper(static_cast<double>(returnValue), returnOper) ;
return & returnOper ;
} catch (std::exception & e) {
#ifdef _DEBUG
OutputDebugString(e.what()) ;
#endif
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall) ;
static XLOPER returnOper ;
returnOper.xltype = xltypeErr ;
returnOper.val.err = xlerrValue ;
return & returnOper ;
}
} ;
void CheckLeakAutoVar::checkScope(const Token * const startToken,
VarInfo *varInfo,
std::set<unsigned int> notzero)
{
std::map<unsigned int, VarInfo::AllocInfo> &alloctype = varInfo->alloctype;
std::map<unsigned int, std::string> &possibleUsage = varInfo->possibleUsage;
const std::set<unsigned int> conditionalAlloc(varInfo->conditionalAlloc);
// Parse all tokens
const Token * const endToken = startToken->link();
for (const Token *tok = startToken; tok && tok != endToken; tok = tok->next()) {
if (!tok->scope()->isExecutable()) {
tok = tok->scope()->classEnd;
if (!tok) // Ticket #6666 (crash upon invalid code)
break;
}
// Deallocation and then dereferencing pointer..
if (tok->varId() > 0) {
const std::map<unsigned int, VarInfo::AllocInfo>::const_iterator var = alloctype.find(tok->varId());
if (var != alloctype.end()) {
if (var->second.status == VarInfo::DEALLOC && tok->strAt(-1) != "&" && (!Token::Match(tok, "%name% =") || tok->strAt(-1) == "*")) {
deallocUseError(tok, tok->str());
} else if (Token::simpleMatch(tok->tokAt(-2), "= &")) {
varInfo->erase(tok->varId());
} else if (tok->strAt(-1) == "=") {
varInfo->erase(tok->varId());
}
} else if (Token::Match(tok->previous(), "& %name% = %var% ;")) {
varInfo->referenced.insert(tok->tokAt(2)->varId());
}
}
if (tok->str() == "(" && tok->previous()->isName()) {
VarInfo::AllocInfo allocation(0, VarInfo::NOALLOC);
functionCall(tok->previous(), varInfo, allocation);
tok = tok->link();
continue;
}
// look for end of statement
if (!Token::Match(tok, "[;{}]") || Token::Match(tok->next(), "[;{}]"))
continue;
tok = tok->next();
if (!tok || tok == endToken)
break;
// parse statement, skip to last member
while (Token::Match(tok, "%name% ::|. %name% !!("))
tok = tok->tokAt(2);
// assignment..
if (Token::Match(tok, "%var% =")) {
// taking address of another variable..
if (Token::Match(tok->next(), "= %var% [+;]")) {
if (tok->tokAt(2)->varId() != tok->varId()) {
// If variable points at allocated memory => error
leakIfAllocated(tok, *varInfo);
// no multivariable checking currently => bail out for rhs variables
for (const Token *tok2 = tok; tok2; tok2 = tok2->next()) {
if (tok2->str() == ";") {
break;
}
if (tok2->varId()) {
varInfo->erase(tok2->varId());
}
}
}
}
// is variable used in rhs?
bool used_in_rhs = false;
for (const Token *tok2 = tok->tokAt(2); tok2; tok2 = tok2->next()) {
if (tok2->str() == ";") {
break;
}
if (tok->varId() == tok2->varId()) {
used_in_rhs = true;
break;
}
}
// TODO: Better checking how the pointer is used in rhs?
if (used_in_rhs)
continue;
// Variable has already been allocated => error
if (conditionalAlloc.find(tok->varId()) == conditionalAlloc.end())
leakIfAllocated(tok, *varInfo);
varInfo->erase(tok->varId());
// not a local variable nor argument?
const Variable *var = tok->variable();
if (var && !var->isArgument() && (!var->isLocal() || var->isStatic()))
continue;
// Don't check reference variables
if (var && var->isReference())
continue;
// non-pod variable
if (_tokenizer->isCPP()) {
if (!var)
continue;
// Possibly automatically deallocated memory
if (!var->typeStartToken()->isStandardType() && Token::Match(tok, "%var% = new"))
continue;
}
// allocation?
if (tok->next()->astOperand2() && Token::Match(tok->next()->astOperand2()->previous(), "%type% (")) {
int i = _settings->library.alloc(tok->next()->astOperand2()->previous());
if (i > 0) {
alloctype[tok->varId()].type = i;
alloctype[tok->varId()].status = VarInfo::ALLOC;
}
} else if (_tokenizer->isCPP() && tok->strAt(2) == "new") {
alloctype[tok->varId()].type = -1;
alloctype[tok->varId()].status = VarInfo::ALLOC;
}
// Assigning non-zero value variable. It might be used to
// track the execution for a later if condition.
if (Token::Match(tok->tokAt(2), "%num% ;") && MathLib::toLongNumber(tok->strAt(2)) != 0)
notzero.insert(tok->varId());
else if (Token::Match(tok->tokAt(2), "- %type% ;") && tok->tokAt(3)->isUpperCaseName())
notzero.insert(tok->varId());
else
notzero.erase(tok->varId());
}
// if/else
else if (Token::simpleMatch(tok, "if (")) {
// Parse function calls inside the condition
for (const Token *innerTok = tok->tokAt(2); innerTok; innerTok = innerTok->next()) {
if (innerTok->str() == ")")
break;
if (innerTok->str() == "(" && innerTok->previous()->isName()) {
VarInfo::AllocInfo allocation(_settings->library.dealloc(tok), VarInfo::DEALLOC);
if (allocation.type == 0)
allocation.status = VarInfo::NOALLOC;
functionCall(innerTok->previous(), varInfo, allocation);
innerTok = innerTok->link();
}
}
const Token *tok2 = tok->linkAt(1);
if (Token::simpleMatch(tok2, ") {")) {
VarInfo varInfo1(*varInfo); // VarInfo for if code
VarInfo varInfo2(*varInfo); // VarInfo for else code
// Recursively scan variable comparisons in condition
std::stack<const Token *> tokens;
tokens.push(tok->next()->astOperand2());
while (!tokens.empty()) {
const Token *tok3 = tokens.top();
tokens.pop();
if (!tok3)
continue;
if (tok3->str() == "&&") {
tokens.push(tok3->astOperand1());
tokens.push(tok3->astOperand2());
continue;
}
if (tok3->str() == "(" && Token::Match(tok3->astOperand1(), "UNLIKELY|LIKELY")) {
tokens.push(tok3->astOperand2());
continue;
}
const Token *vartok = nullptr;
if (astIsVariableComparison(tok3, "!=", "0", &vartok)) {
varInfo2.erase(vartok->varId());
if (notzero.find(vartok->varId()) != notzero.end())
varInfo2.clear();
} else if (astIsVariableComparison(tok3, "==", "0", &vartok)) {
varInfo1.erase(vartok->varId());
} else if (astIsVariableComparison(tok3, "<", "0", &vartok)) {
varInfo1.erase(vartok->varId());
} else if (astIsVariableComparison(tok3, ">", "0", &vartok)) {
varInfo2.erase(vartok->varId());
} else if (astIsVariableComparison(tok3, "==", "-1", &vartok)) {
varInfo1.erase(vartok->varId());
}
}
checkScope(tok2->next(), &varInfo1, notzero);
tok2 = tok2->linkAt(1);
if (Token::simpleMatch(tok2, "} else {")) {
checkScope(tok2->tokAt(2), &varInfo2, notzero);
tok = tok2->linkAt(2)->previous();
} else {
tok = tok2->previous();
}
VarInfo old;
old.swap(*varInfo);
// Conditional allocation in varInfo1
std::map<unsigned int, VarInfo::AllocInfo>::const_iterator it;
for (it = varInfo1.alloctype.begin(); it != varInfo1.alloctype.end(); ++it) {
if (varInfo2.alloctype.find(it->first) == varInfo2.alloctype.end() &&
old.alloctype.find(it->first) == old.alloctype.end()) {
varInfo->conditionalAlloc.insert(it->first);
}
}
// Conditional allocation in varInfo2
for (it = varInfo2.alloctype.begin(); it != varInfo2.alloctype.end(); ++it) {
if (varInfo1.alloctype.find(it->first) == varInfo1.alloctype.end() &&
old.alloctype.find(it->first) == old.alloctype.end()) {
varInfo->conditionalAlloc.insert(it->first);
}
}
// Conditional allocation/deallocation
for (it = varInfo1.alloctype.begin(); it != varInfo1.alloctype.end(); ++it) {
if (it->second.status == VarInfo::DEALLOC && conditionalAlloc.find(it->first) != conditionalAlloc.end()) {
varInfo->conditionalAlloc.erase(it->first);
varInfo2.erase(it->first);
}
}
for (it = varInfo2.alloctype.begin(); it != varInfo2.alloctype.end(); ++it) {
if (it->second.status == VarInfo::DEALLOC && conditionalAlloc.find(it->first) != conditionalAlloc.end()) {
varInfo->conditionalAlloc.erase(it->first);
varInfo1.erase(it->first);
}
}
alloctype.insert(varInfo1.alloctype.begin(), varInfo1.alloctype.end());
alloctype.insert(varInfo2.alloctype.begin(), varInfo2.alloctype.end());
possibleUsage.insert(varInfo1.possibleUsage.begin(), varInfo1.possibleUsage.end());
possibleUsage.insert(varInfo2.possibleUsage.begin(), varInfo2.possibleUsage.end());
}
}
// unknown control.. (TODO: handle loops)
else if ((Token::Match(tok, "%type% (") && Token::simpleMatch(tok->linkAt(1), ") {")) || Token::simpleMatch(tok, "do {")) {
varInfo->clear();
break;
}
// return
else if (tok->str() == "return") {
ret(tok, *varInfo);
varInfo->clear();
}
// throw
else if (_tokenizer->isCPP() && tok->str() == "throw") {
bool tryFound = false;
const Scope* scope = tok->scope();
while (scope && scope->isExecutable()) {
if (scope->type == Scope::eTry)
tryFound = true;
scope = scope->nestedIn;
}
// If the execution leaves the function then treat it as return
if (!tryFound)
ret(tok, *varInfo);
varInfo->clear();
}
// Function call..
else if (Token::Match(tok, "%type% (")) {
VarInfo::AllocInfo allocation(_settings->library.dealloc(tok), VarInfo::DEALLOC);
if (allocation.type == 0)
allocation.status = VarInfo::NOALLOC;
functionCall(tok, varInfo, allocation);
tok = tok->next()->link();
// Handle scopes that might be noreturn
if (allocation.status == VarInfo::NOALLOC && Token::simpleMatch(tok, ") ; }")) {
const std::string &functionName(tok->link()->previous()->str());
bool unknown = false;
if (_tokenizer->IsScopeNoReturn(tok->tokAt(2), &unknown)) {
if (!unknown)
varInfo->clear();
else if (_settings->library.leakignore.find(functionName) == _settings->library.leakignore.end() &&
_settings->library.use.find(functionName) == _settings->library.use.end())
varInfo->possibleUsageAll(functionName);
}
}
continue;
}
// delete
else if (_tokenizer->isCPP() && tok->str() == "delete") {
if (tok->strAt(1) == "[")
tok = tok->tokAt(3);
else
tok = tok->next();
while (Token::Match(tok, "%name% ::|."))
tok = tok->tokAt(2);
if (tok->varId() && tok->strAt(1) != "[") {
VarInfo::AllocInfo allocation(-1, VarInfo::DEALLOC);
changeAllocStatus(varInfo, allocation, tok, tok);
}
}
// goto => weird execution path
else if (tok->str() == "goto") {
varInfo->clear();
}
// continue/break
else if (Token::Match(tok, "continue|break ;")) {
varInfo->clear();
}
}
}
// register an interpolated curve object
DLLEXPORT char * xlInitiateInterpolatedCurve(const char * objectID_ ,
xloper * calculationDate_,
const char * curveCalendarId_,
xloper * helperId_ ,
xloper * trigger_ ) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlInitiateInterpolatedCurve")) ;
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), "") ;
// range validation
ObjectHandler::validateRange(trigger_ , "trigger" );
ObjectHandler::validateRange(helperId_ , "helper Id" );
ObjectHandler::validateRange(calculationDate_, "calculation Date");
ObjectHandler::ConvertOper myOper1(* calculationDate_) ; // xlopers
std::vector<std::string> helperId = ObjectHandler::operToVector<std::string>(
* helperId_, "helper Id") ;
QuantLib::Date currentDate( // initiate pricing date
myOper1.missing() ?
QuantLib::Date() :
QuantLib::Date(static_cast<QuantLib::BigInteger>(myOper1)));
std::vector<boost::shared_ptr<QuantLib::BootstrapHelper< // the helpers
QuantLib::YieldTermStructure> > > helpers;
for (std::vector<std::string>::const_iterator It = helperId.begin();
It != helperId.end(); ++It) {
OH_GET_REFERENCE(helperPtr, * It, // get helper references
QuantLibAddin::RateHelper,
QuantLib::RateHelper);
helpers.push_back(helperPtr);
}
// Construction du value object
boost::shared_ptr<QuantLibAddin::ValueObjects::interpolatedCurveValueObject> curveValueObject(
new QuantLibAddin::ValueObjects::interpolatedCurveValueObject(
objectID_,
currentDate.serialNumber(),
true)) ;
// creates the curve
boost::shared_ptr<ObjectHandler::Object> myCurve(
new QuantLibAddin::interpolatedCurveObject(
curveValueObject,
currentDate,
helpers, true,
std::vector<QuantLib::Handle<QuantLib::Quote> >(), // empty jump date
std::vector<QuantLib::Date>(),
CURVE_DEFAULT_ACCURACY));
// object storage
std::string returnValue =
ObjectHandler::RepositoryXL::instance().storeObject(objectID_,
myCurve,
true);
static char ret[XL_MAX_STR_LEN] ;
ObjectHandler::stringToChar(returnValue, ret);
return ret;
} catch (std::exception & e) {
static char ret[XL_MAX_STR_LEN];
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall);
ObjectHandler::stringToChar(e.what(), ret);
return ret;
}
} ;
// parametric fitted curve
DLLEXPORT char * xlInitiateFittedBondDiscountCurve (const char * objectID_ ,
const xloper * evaluationDate_ ,
const xloper * settlementDate_ ,
const xloper * instruments_ ,
const xloper * quote_ ,
const char * calendarID_ ,
const char * fittingMethodID_ ,
const xloper * bondSelectionRule_,
const xloper * trigger_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlInitiateFittedBondDiscountCurve"));
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), ""); // called by wizard ?
ObjectHandler::validateRange(trigger_, "trigger" ); // validate range
ObjectHandler::validateRange(settlementDate_, "settlement Date" );
ObjectHandler::validateRange(instruments_, "instruments" );
ObjectHandler::validateRange(quote_, "quotes" );
ObjectHandler::validateRange(bondSelectionRule_, "bond selection rule");
ObjectHandler::ConvertOper myOper1(* bondSelectionRule_); // bond selection rule oper
QuantLib::bondSelectionRule myRule = // the rule
(myOper1.missing() ?
QuantLib::activeRule() :
ObjectHandler::bondSelectionRuleFactory()(
static_cast<std::string>(myOper1)));
QuantLib::Calendar curveCalendar // calendar
= ObjectHandler::calendarFactory()(calendarID_);
ObjectHandler::ConvertOper oper1(* evaluationDate_); // evaluation date
QuantLib::Date evaluationDate(oper1.missing() ?
QuantLib::Date() :
static_cast<QuantLib::Date>(oper1));
std::vector<std::string> instruments = // instrument ids
ObjectHandler::operToVector<std::string>(
* instruments_, "instruments");
std::vector<QuantLib::Real> quote = // quotes
ObjectHandler::operToVector<double>(
* quote_, "quote");
std::vector<boost::shared_ptr<QuantLib::BondHelper> > instrumentsObject; // helpers
for (unsigned int i = 0 ; i < instruments.size() ; i++) { // capture individual bonds
try {
OH_GET_REFERENCE(instrumentPtr, // get a reference
instruments[i],
QuantLibAddin::Bond,
QuantLib::Bond)
if (quote[i] != 0.0 && instrumentPtr->isTradable()) { // valid quote ?
QuantLib::RelinkableHandle<QuantLib::Quote> quoteHandle; // the handler
quoteHandle.linkTo(boost::shared_ptr<QuantLib::Quote>( // link to the quote
new QuantLib::SimpleQuote(quote[i])));
boost::shared_ptr<QuantLib::BondHelper> noteHelper( // the helper
new QuantLib::BondHelper(quoteHandle, instrumentPtr));
instrumentsObject.push_back(noteHelper); // helper storage
}
} catch (...) {} // nothing on exception
}
ObjectHandler::ConvertOper oper2(* settlementDate_); // settlement date
QuantLib::Date settlementDate(oper2.missing() ?
instrumentsObject[0]->bond()->settlementDate(evaluationDate) :
static_cast<QuantLib::Date>(oper2));
OH_GET_OBJECT(fittingMethodTemp, // fitting method selection
fittingMethodID_,
ObjectHandler::Object)
std::string returnValue;
if (fittingMethodTemp->properties()->className() // svensson ?
== "stochasticFittingValueObject") {
OH_GET_REFERENCE(fittingMethodPtr,
fittingMethodID_,
QuantLibAddin::stochasticFittingObject,
QuantLib::stochasticFittingHelper)
// build the value object
boost::shared_ptr<QuantLibAddin::ValueObjects::fittedBondDiscountCurveValueObject> curveValueObject(
new QuantLibAddin::ValueObjects::fittedBondDiscountCurveValueObject(
objectID_,
settlementDate.serialNumber(),
true));
boost::shared_ptr<ObjectHandler::Object> myCurve( // instanciating the curve
new QuantLibAddin::fittedBondDiscountCurveObject(
curveValueObject,
settlementDate,
myRule.select(instrumentsObject, settlementDate),
* fittingMethodPtr->fittingMethod(),
fittingMethodPtr->initialVector(),
fittingMethodPtr->randomMatrix(),
fittingMethodPtr->accuracy(),
fittingMethodPtr->maxEvaluationPercycle(),
fittingMethodPtr->cyclesPerThread(),
fittingMethodPtr->cycles(),
1.000, // simplex lambda
true)) ;
returnValue = // the value to return
ObjectHandler::RepositoryXL::instance().storeObject(objectID_,
myCurve ,
true );
}
static char ret[XL_MAX_STR_LEN];
ObjectHandler::stringToChar(returnValue, ret);
return ret;
} catch (std::exception & e) {
static char ret[XL_MAX_STR_LEN];
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall);
ObjectHandler::stringToChar(std::string(e.what()), ret);
return ret;
}
};
