mercredi 29 septembre 2021

brace-enclosed initializer list conversion error

I have the following old code that used to work on "older" combinations/versions of C++, QuantLib and Boost. While was playing around with the idea of upgrading to newer versions ie C++11, QuantLib >= 1.76, boost >= 1_71 building now throws the following "conversion" error(s).
I am using [options] g++ -std=gnu++11

hestonslvmodule.cpp:456:7: warning: narrowing conversion of ‘(QuantLib::FdmHestonGreensFct::Algorithm)greensAlgorithm’ from ‘Quant
Lib::FdmHestonGreensFct::Algorithm’ to ‘QuantLib::Real’ {aka ‘double’} [-Wnarrowing]
  456 |       greensAlgorithm,
      |       ^~~~~~~~~~~~~~~
hestonslvmodule.cpp:457:7: error: cannot convert ‘const QuantLib::FdmSquareRootFwdOp::TransformationType’ to ‘const QuantLib::FdmH
estonGreensFct::Algorithm’ in initialization
  457 |       transformationType,
      |       ^~~~~~~~~~~~~~~~~~
      |       |
      |       const QuantLib::FdmSquareRootFwdOp::TransformationType
hestonslvmodule.cpp:458:7: error: cannot convert ‘const QuantLib::FdmSchemeDesc’ to ‘const QuantLib::FdmSquareRootFwdOp::Transform
ationType’ in initialization
  458 |       schemeDesc
      |       ^~~~~~~~~~
      |       |
      |       const QuantLib::FdmSchemeDesc
hestonslvmodule.cpp:459:5: error: could not convert ‘<brace-enclosed initializer list>()’ from ‘<brace-enclosed initializer list>’
 to ‘const QuantLib::FdmSchemeDesc’
  459 |     };
      |     ^
      |     |
      |     <brace-enclosed initializer list>

I did pick up some comments on brace lists and having to have the "right" C++ version to be able to cope with these but my C++ is not good enough to pick up on what exactly the problem could be in (this is my opinion/best guess) of which part of the code is acting "funny" now, causing the problems.

  FdmSchemeDesc getFdmSchemeDesc(const std::string& schemeDescStr) {
    return  (schemeDescStr == "ModifiedCraigSneyd") ? FdmSchemeDesc::ModifiedCraigSneyd()
          : (schemeDescStr == "CraigSneyd") ? FdmSchemeDesc::CraigSneyd()
          : (schemeDescStr == "Hundsdorfer") ? FdmSchemeDesc::Hundsdorfer()
          : (schemeDescStr == "ModifiedHundsdorfer") ? FdmSchemeDesc::ModifiedHundsdorfer()
          : (schemeDescStr == "ImplicitEuler") ? FdmSchemeDesc::ImplicitEuler()
          : (schemeDescStr == "ExplicitEuler") ? FdmSchemeDesc::ExplicitEuler()
          : (schemeDescStr == "Douglas") ? FdmSchemeDesc::Douglas()
          : (stop("unknown scheme type"), FdmSchemeDesc::ExplicitEuler());
  }

ending up being used here ...

class HestonSLVFDMModel {
public:
  HestonSLVFDMModel(QuantLib::Date referenceDate,
                    QuantLib::Date maxDate,
                    Function localVol,
                    S4 hestonProcess,
                    S4 fdmParams) {
    if (!fdmParams.is("HestonSLVFDMParams"))
      stop("Last parameter needs to be of type HestonSLVFDMParams");

    const std::string greensAlgoStr
      = as<std::string>(fdmParams.slot("greensAlgorithm"));

    const FdmHestonGreensFct::Algorithm greensAlgorithm =
        (greensAlgoStr == "Gaussian") ? FdmHestonGreensFct::Gaussian
      : (greensAlgoStr == "ZeroCorrelation") ? FdmHestonGreensFct::ZeroCorrelation
      : (greensAlgoStr == "SemiAnalytical") ? FdmHestonGreensFct::SemiAnalytical
      : (stop("unknown Greens function type"), FdmHestonGreensFct::SemiAnalytical);

    const std::string trafoTypeStr
      = as<std::string>(fdmParams.slot("transformationType"));

    const FdmSquareRootFwdOp::TransformationType transformationType =
        (trafoTypeStr == "Plain") ? FdmSquareRootFwdOp::Plain
      : (trafoTypeStr == "Power") ? FdmSquareRootFwdOp::Power
      : (trafoTypeStr == "Log") ? FdmSquareRootFwdOp::Log
      : (stop("unknown transformation type"), FdmSquareRootFwdOp::Log);

    const std::string schemeDescStr
      = as<std::string>(fdmParams.slot("fdmSchemeType"));

    const FdmSchemeDesc schemeDesc = getFdmSchemeDesc(schemeDescStr);

    const HestonSLVFokkerPlanckFdmParams params = {
      as<unsigned>(fdmParams.slot("xGrid")),
      as<unsigned>(fdmParams.slot("vGrid")),
      as<unsigned>(fdmParams.slot("tMaxStepsPerYear")),
      as<unsigned>(fdmParams.slot("tMinStepsPerYear")),
      as<Real>(fdmParams.slot("tStepNumberDecay")),
      as<unsigned>(fdmParams.slot("predictionCorrectionSteps")),
      as<Real>(fdmParams.slot("x0Density")),
      as<Real>(fdmParams.slot("localVolEpsProb")),
      as<unsigned>(fdmParams.slot("maxIntegrationIterations")),
      as<Real>(fdmParams.slot("vLowerEps")),
      as<Real>(fdmParams.slot("vUpperEps")),
      as<Real>(fdmParams.slot("vMin")),
      as<Real>(fdmParams.slot("v0Density")),
      as<Real>(fdmParams.slot("vLowerBoundDensity")),
      as<Real>(fdmParams.slot("vUpperBoundDensity")),
      as<Real>(fdmParams.slot("leverageFctPropEps")),
      greensAlgorithm,
      transformationType,
      schemeDesc
    }; // THIS IS LINE 459

...

So my question would be - is there an elegant or quick way of fixing the code with respect to handling these <brace-enclosed initializer list>() "conversions"?
Like I said these are all "greek to me" so I would appreciate any hints of how to apply quick fixes to such (think I saw somewhere just additional set of {} curly braces being added)? And also feel free to correct me if I am on the wrong path regarding the error source here?
Thanks

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