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Protoype creation of a web service wrapper for Quantlib using oat++

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Overview

A prototype to demonstrate exposing Quantlib as a webservice. Uses oat++ including the Swagger module to expose creating a Vanilla Swap object

Project layout

|- CMakeLists.txt                        // projects CMakeLists.txt
|- src/
|    |
|    |- controller/                      // Folder containing SwapController where all endpoints are declared
|    |- dto/                             // DTOs (data transfer objects) are declared here (VanillaSwap and helpers)
|    |- AppComponent.hpp                 // Service config
|    |- App.cpp                          // main() is here
|
|- test/                                 // test folder (to be updated)
|- utility/install-oatpp-modules.sh      // utility script to install required oatpp-modules.  
|- .vscode/                              // configuration to build and run using Microsoft Visual Studio code 
|-                                       // will require C++ / Intellisense, CMake and autoconf extensions

Build and Run

Using CMake

Requires

  • oatpp module must be installed. You may run utility/install-oatpp-modules.sh script to install required oatpp modules (or get the source via git clone https://github.com/oatpp/oatpp and make)

  • oatpp-swagger must be installed

$ git clone https://github.com/oatpp/oatpp-swagger
$ cd oatpp-swagger/
$ mkdir build && cd build/
$ cmake ..
$ make install
  • Quantlib must be installed. Follow instructions at https://www.quantlib.org/download.shtml

To build the service

$ cd QuantlibWebService
$ mkdir build && cd build
$ cmake ..
$ make 
$ ./QuantlibWebService  # - run application.

Go to http://localhost:8000/swagger/ui#/ or get the results inline if you have curl installed

curl -X POST "http://localhost:8000/echo" -H  "accept: application/json" -H  "Content-Type: application/json" -d "{\"id\":0,\"notional\":10000,\"type\":1,\"currency\":{\"currency\":\"USD\"},\"startDate\":40527,\"mtyDate\":47832,\"fixedRate\":2,\"fixedFrequency\":{\"frequency\":\"SEMIANNUAL\"},\"fixedDaycount\":{\"daycounttype\":\"THIRTY360\"},\"fixedDayConvention\":{\"businessDayConvention\":\"FOLLOWING\"},\"floatSpread\":0,\"floatIndexFamily\":{\"indexFamily\":\"LBOR\"},\"floatFrequency\":{\"frequency\":\"QUARTERLY\"},\"floatTenor\":{\"frequency\":\"QUARTERLY\"},\"floatDaycount\":{\"daycounttype\":\"ACTUAL360\"},\"floatDayConvention\":{\"businessDayConvention\":\"FOLLOWING\"},\"dateGenerationRule\":{\"dateGenerationRule\":\"FORWARD\"}}"