Exposing TimeGrid

[Hyung-Seok Hahm]

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

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