public static object AddDuration(object refDate, object period)
{
var date = DateAndDurationConverter.ConvertDate(refDate);
var duration = DateAndDurationConverter.ConvertDuration(period);
return(date + duration);
}
public static object DayCount(object start, object end,
[ExcelArgument("Convention used for counting time : Act/365, Act/360...")] string convention)
{
var startDate = DateAndDurationConverter.ConvertDate(start);
var endDate = DateAndDurationConverter.ConvertDate(end);
var dayCount = DayCountFrac.Parse(convention);
return(dayCount.Count(startDate, endDate));
}
public void TestConvertDuration()
{
var refDuration = 10 * Duration.Year;
Assert.AreEqual(DateAndDurationConverter.ConvertDuration(10 * Duration.Year), refDuration);
Assert.AreEqual(DateAndDurationConverter.ConvertDuration(new DateOrDuration(refDuration)), refDuration);
Assert.AreEqual(DateAndDurationConverter.ConvertDuration("10y"), refDuration);
Assert.AreEqual(DateAndDurationConverter.ConvertDuration("10Y"), refDuration);
}
public void TestConvertDate()
{
var refDate = new DateTime(2015, 01, 27);
Assert.AreEqual(DateAndDurationConverter.ConvertDate(refDate), refDate);
Assert.AreEqual(DateAndDurationConverter.ConvertDate(new DateOrDuration(refDate)), refDate);
Assert.AreEqual(DateAndDurationConverter.ConvertDate("27 Jan 2015"), refDate);
Assert.AreEqual(DateAndDurationConverter.ConvertDate("01/27/2015"), refDate);
Assert.AreEqual(DateAndDurationConverter.ConvertDate("27/01/2015"), refDate);
}
private static Func <object, DateOrDuration> DateOrDurationValueConverter(string name)
{
Func <object, DateOrDuration> converter = o =>
{
DateOrDuration result;
if (DateAndDurationConverter.TryConvertDateOrDuration(o, out result))
{
return(result);
}
throw new Exception(String.Format("Parameter value for {0} is not a Date or a Duration !", name));
};
return(converter);
}
public static object Discount(object mktObj, object[,] dates, string curveId)
{
return(FunctionRunnerUtils.Run("Discount", () =>
{
var market = MarketManager.Instance.GetMarket(mktObj);
var finCurveId = FinancingId.Parse(curveId);
DiscountCurve curve = market.DiscountCurve(finCurveId);
var result = dates.Map(o =>
{
var dateOrDuration = DateAndDurationConverter.ConvertDateOrDuration(o);
var date = dateOrDuration.ToDate(curve.RefDate);
return curve.Zc(date);
});
return result;
}));
}
public static object AssetForward(object mktObj, object[,] dates, string assetName)
{
return(FunctionRunnerUtils.Run("AssetForward", () =>
{
var market = MarketManager.Instance.GetMarket(mktObj);
var assetMarket = market.AssetMarketFromName(assetName);
AssetForwardCurve assetForward = assetMarket.Forward();
var result = dates.Map(o =>
{
var dateOrDuration = DateAndDurationConverter.ConvertDateOrDuration(o);
var date = dateOrDuration.ToDate(assetForward.RefDate);
return assetForward.Fwd(date);
});
return result;
}));
}
private DateTime RetrieveDateParameter(string paramName)
{
var obj = RetrieveParameter(paramName);
return(DateAndDurationConverter.ConvertDate(obj));
}
public static DateTime ConvertDate(object dateObj, DateTime refDate)
{
var dateOrDuration = DateAndDurationConverter.ConvertDateOrDuration(dateObj);
return(dateOrDuration.ToDate(refDate));
}
