// [[Rcpp::export]]
bool setCalendarContext(std::string calendar, int fixingDays, QuantLib::Date settleDate) {
// Rcpp Attribute cannot reflect complicated default arguments
if (settleDate.serialNumber() == 0) {
calendar = "TARGET";
fixingDays = 2;
settleDate = QuantLib::Date::todaysDate() + 2;
}
// set fixingDays and settleDate
RQLContext::instance().fixingDays = fixingDays;
RQLContext::instance().settleDate = settleDate;
boost::shared_ptr<QuantLib::Calendar> pcal(getCalendar(calendar));
RQLContext::instance().calendar = *pcal; // set calendar in global singleton
return true;
}
long libraryToScalar(const QuantLib::Date &d) {
return d.serialNumber();
}
int ACE_TMAIN (int argc, ACE_TCHAR *argv[])
{
DDS::DomainParticipantFactory_var dpf = DDS::DomainParticipantFactory::_nil();
DDS::DomainParticipant_var participant = DDS::DomainParticipant::_nil();
try
{
QuantLibAddinCpp::initializeAddin();
QuantLib::Calendar calendar = QuantLib::TARGET();
QuantLib::Date settlementDate(22, QuantLib::September, 2004);
settlementDate = calendar.adjust(settlementDate);
QuantLib::Integer fixingDays = 2;
QuantLib::Date todaysDate = calendar.advance(settlementDate, -fixingDays, QuantLib::Days);
QuantLibAddinCpp::qlSettingsSetEvaluationDate( todaysDate.serialNumber(), OH_NULL );
std::cout << "Today: " << todaysDate.weekday() << ", " << todaysDate << std::endl;
std::cout << "Settlement date: " << settlementDate.weekday() << ", " << settlementDate << std::endl;
// Initialize, and create a DomainParticipant
dpf = TheParticipantFactoryWithArgs(argc, argv);
qldds_utils::BasicDomainParticipant irs_participant( dpf, IRS_DOMAIN_ID );
irs_participant.createPublisher();
irs_participant.createSubscriber();
std::string term_structure;
std::vector<std::string> rate_helpers;
ACE_Get_Opt cmd_opts( argc, argv, ":c:n:i:" );
int option;
while ( (option = cmd_opts()) != EOF )
{
switch( option )
{
case 'c' :
{
std::istringstream f( cmd_opts.opt_arg() );
std::string s;
while (std::getline(f, s, '|')) {
rate_helpers.push_back(s);
}
break;
}
case 'n' :
{
term_structure = cmd_opts.opt_arg();
break;
}
}
}
QuantLibAddinCpp::qlLibor("Libor", "USD", "6M", "", false, false, true);
// Topics for Swap Components
// Setting up schedule topic
DDS::Topic_var schedule_topic =
irs_participant.createTopicAndRegisterType
< schedule::qlScheduleTypeSupport_var, schedule::qlScheduleTypeSupportImpl >
( SCHEDULE_TOPIC_NAME );
// setting up vanilla swap topic
DDS::Topic_var vanilla_swap_topic =
irs_participant.createTopicAndRegisterType
< vanillaswap::qlVanillaSwapTypeSupport_var, vanillaswap::qlVanillaSwapTypeSupportImpl >
( VANILLA_SWAP_TOPIC_NAME );
// Topics for curve components
// setting up deposit rate helper
DDS::Topic_var deposit_rate_helper2_topic = irs_participant.createTopicAndRegisterType
< ratehelpers::qlDepositRateHelper2TypeSupport_var, ratehelpers::qlDepositRateHelper2TypeSupportImpl >
( DEPOSIT_RATE_HELPER2_TOPIC_NAME );
// setting up FRA Rate helper
DDS::Topic_var fra_rate_helper2_topic = irs_participant.createTopicAndRegisterType
< ratehelpers::qlFraRateHelper2TypeSupport_var, ratehelpers::qlFraRateHelper2TypeSupportImpl >
( FRA_RATE_HELPER2_TOPIC_NAME );
// setting up Swap Rate helper
DDS::Topic_var swap_rate_helper2_topic = irs_participant.createTopicAndRegisterType
< ratehelpers::qlSwapRateHelper2TypeSupport_var, ratehelpers::qlSwapRateHelper2TypeSupportImpl >
( SWAP_RATE_HELPER2_TOPIC_NAME );
irs_participant.createDataReaderListener< schedule::qlScheduleDataReaderListenerImpl> ( qldds_lock, schedule_topic );
irs_participant.createDataReaderListener< VanillaSwapDataReaderListenerImpl > ( qldds_lock, vanilla_swap_topic );
irs_participant.createDataReaderListener< DepositRateHelper2DataReaderListenerImpl > ( qldds_lock,deposit_rate_helper2_topic );
irs_participant.createDataReaderListener< FraRateHelper2DataReaderListenerImpl > ( qldds_lock, fra_rate_helper2_topic );
irs_participant.createDataReaderListener< SwapRateHelper2DataReaderListenerImpl > ( qldds_lock, swap_rate_helper2_topic );
// setting up IRS Portfolio. Priced portfolios will be published on this topic
DDS::Topic_var irs_portfolio_topic = irs_participant.createTopicAndRegisterType
< IRS::PortfolioTypeSupport_var, IRS::PortfolioTypeSupportImpl >
( IRS_PORTFOLIO_TOPIC_NAME );
IRS::PortfolioDataWriter_var irs_portfolio_dw = irs_participant.createDataWriter
< IRS::PortfolioDataWriter_var, IRS::PortfolioDataWriter >
( irs_portfolio_topic );
curves.insert( std::pair < std::string, std::vector< std::string > > ( term_structure, rate_helpers ) );
int calculation_performed = 0;
while ( calculation_performed < 30 )
{
IRS::Portfolio irs_portfolio_out;
if ( computeNPVs( term_structure, irs_portfolio_out ) == false )
{
ACE_Time_Value sleep_100ms( 0, 100000 );
ACE_OS::sleep( sleep_100ms );
continue;
} else {
calculation_performed++;
ACE_OS::sleep(1);
}
std::cout << "Calculator ["<< term_structure << "] publishing NPVs for "<< irs_portfolio_out.swaps.length() << " interest rate swaps."<< std::endl;
int ret = irs_portfolio_dw->write( irs_portfolio_out, DDS::HANDLE_NIL );
if (ret != DDS::RETCODE_OK) {
ACE_ERROR ((LM_ERROR, ACE_TEXT("(%P|%t) ERROR: IRS Portfolio write returned %d.\n"), ret));
}
}
} catch (CORBA::Exception& e)
{
cerr << "Exception caught in main.cpp:" << endl << e << endl;
ACE_OS::exit(1);
}
TheServiceParticipant->shutdown();
return 0;
}