[Quantlib-users] Exposing TimeGrid

[Hyung-Seok H. <hyu...@ib...>]

Hi,

I'm trying to expose QuantLib's TreeSwaptionEngine and TimeGrid in
PricingEngine to QuantLibXL.

Think it is supposed to be easy, but it keeps me the following error.

Compiling...
3>create_pricingengines.cpp
3>\quantlibaddin\qlo\serialization\create\create_pricingengines.cpp(721) :
error C2664: 'QuantLibAddin::TreeSwaptionEngine::TreeSwaptionEngine(const
boost::shared_ptr<T> &,const
boost::shared_ptr<QuantLib::OneFactorAffineModel> &,const
QuantLib::TimeGrid &,bool)' : Can't conver to parameter 3 from
'QuantLib::Handle<T>' to 'const QuantLib::TimeGrid &'
3>        with
3>        [
3>            T=ObjectHandler::ValueObject
3>        ]
3>        and
3>        [
3>            T=QuantLib::TimeGrid
3>        ]
3>        reason: Can't convert from 'QuantLib::Handle<T>' to 'const
QuantLib::TimeGrid'
3>        with
3>        [
3>            T=QuantLib::TimeGrid
3>        ]

Here is the relevant files I've either created or modified.

1. create_pricingengine.cpp that generates the error message

    boost::shared_ptr<ObjectHandler::Object> create_qlTreeSwaptionEngine(
        const boost::shared_ptr<ObjectHandler::ValueObject> &valueObject) {

        // convert input datatypes to C++ datatypes

        std::string HandleModel =

ObjectHandler::convert2<std::string>(valueObject->getProperty("HandleModel"));

        std::string TimeGrid =

ObjectHandler::convert2<std::string>(valueObject->getProperty("TimeGrid"));

        bool Permanent =

ObjectHandler::convert2<bool>(valueObject->getProperty("Permanent"));

        // convert object IDs into library objects

        OH_GET_REFERENCE(HandleModelLibObjPtr, HandleModel,
            QuantLibAddin::OneFactorAffineModel,
QuantLib::OneFactorAffineModel)

        OH_GET_OBJECT(TimeGridCoerce, TimeGrid, ObjectHandler::Object)
        QuantLib::Handle<QuantLib::TimeGrid> TimeGridLibObj =
            QuantLibAddin::CoerceHandle<
                QuantLibAddin::TimeGrid,
                QuantLib::TimeGrid>()(
                    TimeGridCoerce);

        // update value object precedent IDs (if any)

        valueObject->processPrecedentID(HandleModel);
        valueObject->processPrecedentID(TimeGrid);

        // construct and return the object

        boost::shared_ptr<ObjectHandler::Object> object(
            new QuantLibAddin::TreeSwaptionEngine(
                valueObject,
                HandleModelLibObjPtr,
                TimeGridLibObj,
                Permanent));
        return object;
    }

2. pricingengines.xml

<Category name='pricingengines'>
  <description>functions to construct and use PricingEngine
objects.</description>
  <displayName>Pricing Engines</displayName>
  <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory>
  <serializationIncludes>
    <include>qlo/pricingengines.hpp</include>
    <include>qlo/termstructures.hpp</include>
    <include>qlo/shortratemodels.hpp</include>
    <include>qlo/payoffs.hpp</include>
    <include>qlo/marketmodels.hpp</include>
    <include>qlo/processes.hpp</include>
    <include>qlo/timegrid.hpp</include>
    <include>ql/pricingengines/blackformula.hpp</include>
    <include>ql/pricingengines/blackscholescalculator.hpp</include>
    <include>ql/pricingengines/swaption/treeswaptionengine.hpp</include>

<include>ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp</include>

<include>ql/termstructures/volatility/swaption/swaptionvolstructure.hpp</include>
  </serializationIncludes>
  <addinIncludes>
    <include>qlo/pricingengines.hpp</include>
    <include>qlo/termstructures.hpp</include>
    <include>qlo/shortratemodels.hpp</include>
    <include>qlo/payoffs.hpp</include>
    <include>qlo/marketmodels.hpp</include>
    <include>qlo/processes.hpp</include>
    <include>qlo/timegrid.hpp</include>
    <include>ql/pricingengines/blackformula.hpp</include>
    <include>ql/pricingengines/blackscholescalculator.hpp</include>
    <include>ql/pricingengines/swaption/treeswaptionengine.hpp</include>

<include>ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp</include>

<include>ql/termstructures/volatility/swaption/swaptionvolstructure.hpp</include>
  </addinIncludes>
  <copyright>
    Copyright (C) 2006, 2007, 2008 Ferdinando Ametrano
    Copyright (C) 2007 Eric Ehlers
  </copyright>
  <Functions>
...
    <Constructor name='qlTreeSwaptionEngine'>
      <libraryFunction>TreeSwaptionEngine</libraryFunction>
      <SupportedPlatforms>
        <!--SupportedPlatform name='Excel' calcInWizard='false'/-->
        <SupportedPlatform name='Excel'/>
        <SupportedPlatform name='Calc'/>
        <SupportedPlatform name='Cpp'/>
      </SupportedPlatforms>
      <ParameterList>
        <Parameters>
          <Parameter name='HandleModel'>
            <type>QuantLib::OneFactorAffineModel</type>
            <tensorRank>scalar</tensorRank>
            <description>One Factor Hull and White Swaption Pricing object
ID.</description>
          </Parameter>
          <Parameter name='TimeGrid'>
            <type>QuantLib::TimeGrid</type>
            <superType>libToHandle</superType>
            <tensorRank>scalar</tensorRank>
            <description>TimeGrid object.</description>
          </Parameter>
        </Parameters>
      </ParameterList>
    </Constructor>

3. pricingengine.hpp

    class TreeSwaptionEngine : public PricingEngine {
      public:
       TreeSwaptionEngine(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            const boost::shared_ptr<QuantLib::OneFactorAffineModel>& model,
const QuantLib::TimeGrid& timegrid,
            bool permanent);

    };

4. pricingengine.cpp

    TreeSwaptionEngine::TreeSwaptionEngine(
        const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
        const boost::shared_ptr<QuantLib::OneFactorAffineModel>& model,
const QuantLib::TimeGrid& timegrid,
        bool permanent) : PricingEngine(properties, permanent)
    {
        libraryObject_ = boost::shared_ptr<QuantLib::PricingEngine>(new
            QuantLib::TreeSwaptionEngine(model,timegrid));
    }

Any tip would be appreciated.

Thanks!

- Hyung