Thursday, July 7, 2016

Wrapping C++ classes and extending for Swift 3.0

Wrapping C++ classes or libraries for Swift requires the following files

(1) Wrapper.h
(3) Bridging-Header.h, this will include all header files (e.g. #include "Wrapper.h") for bridging to Swift
(4) pre-compiled libraries preferably in a framework. E.g. QuantLib and Boost frameworks for macOS and iOS which can be downloaded from the previous post here

The following example code uses the pre-built QuantLib and Boost frameworks to demonstrate a working C++ Wrapper for Swift.

(1) Wrapper.h
Wrapper.h is the header file for the wrapper classes of QuantLib for Swift. Important points for writing header file when wrapping C++ classes to Swift are:
(a) No C++ header files, no C++ classes nor other C++ syntax stuff here, use void* to point to shared_ptr object instead. This header file Wrapper.h will be included in the bridging header file, so avoid c++ stuffs and use only C and Objective C stuffs when compiling in Swift.
(b) Avoid using C++ typedef here, define them in the implementation .mm source files.
(c) Use NS_ENUM macro to replace c++ enum or struct enum here, cast them to c++ enum in the implementation .mm source files. This helps when bridging to Swift enum
(d) use NS_ASSUME_NONNULL macro here and put nullable for optional variable (when bridging to Swift).
(e) use the new lightweight generic <ClassName*> feature in Objective C for NSArray and other collection types e.g. (NSArray<QLRateHelper*>*)rateHelpers
(f) Use the following Objective C types for conversion to Swift
Objective C TypeSwift Type
char,unsigned charUInt8, UInt8
short, unsigned shortInt16, UInt16
long, unsigned longInt, UInt
long long, unsigned long longInt64, UInt64
double, floatDouble, Float
NSArray, NSDictionaryArray, Dictionary
Void *UnsafePointer<Void>

Wrapper.h    Select all
// // Wrapper.h // #import <Foundation/Foundation.h> NS_ASSUME_NONNULL_BEGIN @interface QLDate : NSObject typedef NS_ENUM(int, QLMonth) { QLMonthJan=1, QLMonthFeb=2, QLMonthMar=3, QLMonthApr=4, QLMonthMay=5, QLMonthJun=6, QLMonthJul=7, QLMonthAug=8, QLMonthSep=9, QLMonthOct=10, QLMonthNov=11, QLMonthDec=12, QLMonthJanuary=1, QLMonthFebruary=2, QLMonthMarch=3, QLMonthApril=4, QLMonthJune=6, QLMonthJuly=7, QLMonthAugust=8, QLMonthSeptember=9, QLMonthOctober=10, QLMonthNovember=11, QLMonthDecember=12 }; @property (unsafe_unretained, nonatomic, readonly, nullable) void *impl; -(instancetype) initWithD:(long)day Month:(QLMonth)month Y:(long)year; -(instancetype) initWithD:(long)dy M:(long)mn Y:(long)yr; -(instancetype) initWithYear:(long)year Month:(long)month Day:(long)day; -(instancetype) initWithSerialNumber:(long) serialNumber; -(NSString *) weekday; -(NSString *) description; @end typedef NS_ENUM(int, QLTimeUnit) { QLTimeUnitDays, QLTimeUnitWeeks, QLTimeUnitMonths, QLTimeUnitYears }; @interface QLCalendar : NSObject @property (unsafe_unretained, nonatomic, readonly, nullable) void *impl; +(instancetype) TARGET; +(instancetype) UnitedStatesGovernmentBond; +(instancetype) UnitedStatesNYSE; -(QLDate *) adjust:(QLDate *)settlementDate; -(QLDate *) advance:(QLDate *)settlementDate fixingDays:(long)fixingDays timeUnit:(QLTimeUnit)timeUnit; -(NSString *) description; @end // TODO: Other Classes definition here NS_ASSUME_NONNULL_END

(2) is the Objective-C++ implementation file for the Wrapper Classes of QuantLib for Swift
(a) Put all the required C++ header files here.
(b) Use boost::shared_ptr<QuantLib::ClassName> or std::shared_ptr<QuantLib::ClassName> in the implementation and point to the C++ objects.
(c) Use static_cast to cast the shared_ptr impl back to QuantLib C++ object. For example
    // cast void* back to QuantLib::ClassName
    QuantLib::Date tmpSettlementDate = *static_cast<QuantLib::Date *>(settlementDate.impl);
    // cast boost::shared_ptr<QuantLib::ClassName> back to QuantLib::ClassName
(d) Use pointer function to access the QuantLib member function. For example
    [[QLDate alloc] initWithSerialNumber:((long)self._impl->adjust(tmpSettlementDate).serialNumber())] ;
(e) Should implement description method for Swift.
    -(NSString *) description    Select all
#import "Wrapper.h" #include <memory> #include <iostream> #include <boost/shared_ptr.hpp> #include <ql/quantlib.hpp> // MARK: QLDate @interface QLDate() @property (unsafe_unretained, nonatomic) boost::shared_ptr<QuantLib::Date> _impl; @end @implementation QLDate -(instancetype) init { self = [super init]; if (self) { self._impl = boost::shared_ptr<QuantLib::Date>(new QuantLib::Date()); } return self; } -(instancetype) initWithD:(long)day Month:(QLMonth)month Y:(long)year { self = [super init]; if (self) { self._impl = boost::shared_ptr<QuantLib::Date>(new QuantLib::Date((int)day, static_cast<QuantLib::Month>(month), (int)year)); } return self; } -(instancetype) initWithD:(long)dy M:(long)mn Y:(long)yr { self = [super init]; if (self) { self._impl = boost::shared_ptr<QuantLib::Date>(new QuantLib::Date((int)dy, static_cast<QuantLib::Month>(mn), (int)yr)); } return self; } -(instancetype) initWithYear:(long)year Month:(long)month Day:(long)day { self = [super init]; if (self) { self._impl = boost::shared_ptr<QuantLib::Date>(new QuantLib::Date((int)day, static_cast<QuantLib::Month>((int)month), (int)year)); } return self; } -(instancetype) initWithSerialNumber:(long) serialNumber { self = [super init]; if (self) { self._impl = boost::shared_ptr<QuantLib::Date>(new QuantLib::Date((QuantLib::BigInteger)serialNumber)); } return self; } -(void *) impl { return static_cast<void *>(self._impl.get()); } -(NSString *) description { std::ostringstream stream; stream << static_cast<QuantLib::Date>(*(self._impl)); std::string name = stream.str(); return [NSString stringWithUTF8String:name.c_str()]; } -(NSString *) weekday { std::ostringstream stream; stream << static_cast<QuantLib::Weekday>(self._impl->weekday()); std::string name = stream.str(); return [NSString stringWithUTF8String:name.c_str()]; } @end // MARK: QLCalendar @implementation QLCalendar -(instancetype) init { self = [super init]; if (self) { self._impl = boost::shared_ptr<QuantLib::Calendar>(new QuantLib::Calendar()); } return self; } -(instancetype) initWithTarget { self = [super init]; if (self) { self._impl = boost::shared_ptr<QuantLib::Calendar>(new QuantLib::TARGET()); } return self; } -(instancetype) initWithUnitedStatesGovernmentBond { self = [super init]; if (self) { self._impl = boost::shared_ptr<QuantLib::Calendar>(new QuantLib::UnitedStates(QuantLib::UnitedStates::GovernmentBond)); } return self; } -(instancetype) initWithUnitedStatesNYSE { self = [super init]; if (self) { self._impl = boost::shared_ptr<QuantLib::Calendar>(new QuantLib::UnitedStates(QuantLib::UnitedStates::NYSE)); } return self; } +(instancetype) TARGET { return [[QLCalendar alloc] initWithTarget]; } +(instancetype) UnitedStatesGovernmentBond { return [[QLCalendar alloc] initWithUnitedStatesGovernmentBond]; } +(instancetype) UnitedStatesNYSE { return [[QLCalendar alloc] initWithUnitedStatesNYSE]; } -(void *) impl { return static_cast<void *>(self._impl.get()); } -(NSString *) description { std::string name = self._impl->name(); return [NSString stringWithUTF8String:name.c_str()]; } -(QLDate *) adjust:(QLDate *)settlementDate { // cast void* to std::shared_ptr<mytype> QuantLib::Date tmpSettlementDate = *static_cast<QuantLib::Date *>(settlementDate.impl); return [[QLDate alloc] initWithSerialNumber:((long)self._impl->adjust(tmpSettlementDate).serialNumber())] ; } -(QLDate *) advance:(QLDate *)settlementDate fixingDays:(long)fixingDays timeUnit:(QLTimeUnit)timeUnit { // cast void* to std::shared_ptr<mytype> QuantLib::Date tmpSettlementDate = *static_cast<QuantLib::Date *>(settlementDate.impl); return [[QLDate alloc] initWithSerialNumber:((long)self._impl->advance(tmpSettlementDate,QuantLib::Integer((int)fixingDays), static_cast<QuantLib::TimeUnit>(timeUnit)).serialNumber())] ; } @end // TODO: Other Classes definition here

(3) main.swift
This is the swift 3.0 example source file (Xcode 8.0) for extending and using the QuantLib C++ classes after wrapping. This example use the calculation method of zeroCouponBond in Bonds.cpp from QuantLib Example source repo.
main.swift    Select all
// // main.swift // import Foundation public extension QLDate { public class func parse(_ string : String, format : String = "yyyy-mm-dd") -> QLDate { var slist : [String] var flist : [String] var d : Int = 0 var m : Int = 0 var y : Int = 0 var delim : String if string.range(of:"/") != nil { delim = "/" } else { delim = "-" } slist = string.components(separatedBy: delim) flist = format.components(separatedBy: delim) for i in 0..<flist.count { let sub = flist[i] if sub.lowercased() == "dd" { d = Int(slist[i])! } else if sub.lowercased() == "mm" { m = Int(slist[i])! } else if sub.lowercased() == "yyyy" { y = Int(slist[i])! } } if y < 100 { y += 2000 } return QLDate(year: y, month: m, day: d) } } public func char2TimeUnit(_ unit:String) -> QLTimeUnit { switch unit { case "D", "d": return .days case "W", "w": return .weeks case "M", "m": return .months case "Y", "y": return .years default: return .months } } /********************* *** MARKET DATA *** *********************/ let calendar = var settlementDate = QLDate.parse("2008-09-18") settlementDate = calendar.adjust(settlementDate); let fixingDays = 3 let settlementDays = 3 let todaysDate = calendar.advance(settlementDate, fixingDays: -(fixingDays), timeUnit: .days) print("Today: \(todaysDate.weekday()), \(todaysDate)") print("Settlement date: \(settlementDate.weekday()), \(settlementDate)") // TODO: Other implementations /*********************************************** ** CURVE BUILDING DEPOSIT + FIXED RATE BOND ** ***********************************************/ var rateHelpers = [QLRateHelper]() /********************* ** DEPOSIT DATA ** *********************/ let depositData: [(Double, Int, String)] = [(0.0096, 3, "M"), (0.0145, 6, "M"), (0.0194, 1, "Y")] for (rate, num, unit) in depositData { let timeunit:QLTimeUnit = char2TimeUnit(unit) let ratehandle = QLHandleQuote(simpleQuoteRate: QLRate(rate:rate)) let depositehelper = QLDepositRateHelper(handle: ratehandle, tenor: QLPeriod(num: num, of: timeunit), fixingDays: fixingDays, calendar: calendar, convention: .modifiedFollowing, endOfMonth: true, dayCounter: QLDayCounter.actual365Fixed()) rateHelpers.append(depositehelper) } /**************************** ** FIXED RATE BOND DATA ** ****************************/ let faceAmount = 100.0 let redemption = 100.0 let tolerance = 1.0e-15 let fixedRateBondData:[(Double, Double, String, String, Double, Double )] = [(faceAmount, redemption, "2005-03-15", "2010-08-31", 0.02375, 100.390625), (faceAmount, redemption, "2005-06-15", "2011-08-31", 0.04625, 106.21875), (faceAmount, redemption, "2006-06-30", "2013-08-31", 0.03125, 100.59375), (faceAmount, redemption, "2002-11-15", "2018-08-15", 0.04000, 101.6875), (faceAmount, redemption, "1987-05-15", "2038-05-15", 0.04500, 102.140625)] for (faceamount, redemption, issuedate, maturitydate, couponrate, marketquote) in fixedRateBondData { let schedule = QLSchedule(issueDate: QLDate.parse(issuedate), maturityDate: QLDate.parse(maturitydate), frequency: QLPeriod(frequency:QLFrequency.semiannual), calendar: QLCalendar.unitedStatesGovernmentBond(), convention: .unadjusted, terminationConvention: .unadjusted, dateGenerationRule: .backward, endOfMonth: false) let quoteHandle = QLRelinkableHandleQuote(marketQuote: marketquote) let bondHelper = QLFixedRateBondHelper(handle: quoteHandle, settlementDays: settlementDays, faceAmount: faceamount, schedule: schedule, couponRate: couponrate, dayCounter: QLDayCounter.actualActualBond(), convention: .unadjusted, redemption: redemption, issueDate: QLDate.parse(issuedate)) rateHelpers.append(bondHelper) } let bondEngine = QLBondPricingEngine(rateHelpers: rateHelpers, settlementDate: settlementDate, tolerance: tolerance) print("bondEngine: \(bondEngine)") /********************* * BONDS TO BE PRICED * **********************/ let zeroCouponBond = QLZeroCouponBond(bondPricingEngine: bondEngine, settlementDays: settlementDays, calendar: QLCalendar.unitedStatesGovernmentBond(), faceAmount: 100.0, maturityDate: QLDate.parse("2013-08-15"), convention: .following, price: 116.92, issueDate: QLDate.parse("2003-08-15")) print("\(zeroCouponBond) NPV = \(String(format: "%.2f", zeroCouponBond.npv()))") print("\(zeroCouponBond) Clean price = \(String(format: "%.2f", zeroCouponBond.cleanPrice()))") print("\(zeroCouponBond) Dirty price = \(String(format: "%.2f", zeroCouponBond.dirtyPrice()))") print("\(zeroCouponBond) Yield = \(String(format: "%.2f%%", zeroCouponBond.yield()*100))")

example xcode project file will be posted here once ready

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