internal static global::System.Runtime.InteropServices.HandleRef getCPtr(GenericSwap obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public static object eqInstDisplayIRSwap(
[ExcelArgument(Description = "id of IR Swap ")] string tradeid,
[ExcelArgument(Description = "id of discount curve ")] string discountId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
object[,] ret;
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
if (!tradeid.Contains('@'))
{
tradeid = "SWP@" + tradeid;
}
if (!discountId.Contains('@'))
{
discountId = "CRV@" + discountId;
}
YieldTermStructure discountcurve = OHRepository.Instance.getObject <YieldTermStructure>(discountId);
Date asofdate = Settings.instance().getEvaluationDate();
GenericSwap inst = OHRepository.Instance.getObject <GenericSwap>(tradeid);
int rows = Math.Max(inst.firstLegInfo().Count, inst.secondLegInfo().Count);
ret = new object[rows, 20]; // 10 cols each leg
for (int i = 0; i < rows; i++)
{
for (int j = 0; j < 20; j++)
{
ret[i, j] = ""; // initialization. null will be posted as 0; so explicitly set it to ""
}
}
// first leg
string[] s;
DateTime startdate, enddate, paymentdate, resetdate;
double balance = 0, rate = 0, spread = 0, payment = 0, discount = 0, pv = 0;
for (int i = 0; i < inst.firstLegInfo().Count; i++)
{
s = inst.firstLegInfo()[i].Split(',');
startdate = EliteQuant.EQConverter.DateToDateTime(new Date(Convert.ToInt32(s[0])));
enddate = EliteQuant.EQConverter.DateToDateTime(new Date(Convert.ToInt32(s[1])));
paymentdate = EliteQuant.EQConverter.DateToDateTime(new Date(Convert.ToInt32(s[2])));
resetdate = (s[3] == "") ? DateTime.MinValue : EliteQuant.EQConverter.DateToDateTime(new Date(Convert.ToInt32(s[3])));
balance = Convert.ToDouble(s[4]);
rate = Convert.ToDouble(s[5]);
spread = Convert.ToDouble(s[6]);
payment = Convert.ToDouble(s[7]);
// today's cashflow is not included
if (EliteQuant.EQConverter.DateTimeToDate(paymentdate).serialNumber() <= asofdate.serialNumber())
{
discount = 0.0;
}
else
{
discount = discountcurve.discount(EliteQuant.EQConverter.DateTimeToDate(paymentdate));
}
pv = payment * discount;
// and return the matrix to vba
ret[i, 0] = (object)startdate;
ret[i, 1] = (object)enddate;
ret[i, 2] = (object)paymentdate;
ret[i, 3] = (s[3] == "") ? "":(object)resetdate;
ret[i, 4] = (object)(balance == 0 ? "" : (object)balance);
ret[i, 5] = (object)(rate == 0 ? "" : (object)rate);
ret[i, 6] = (object)(spread == 0 ? "" : (object)spread);
ret[i, 7] = (object)(payment == 0 ? "" : (object)payment);
ret[i, 8] = (object)(discount == 0 ? "" : (object)discount);
ret[i, 9] = (object)(pv == 0 ? "" : (object)pv);
}
for (int i = 0; i < inst.secondLegInfo().Count; i++)
{
s = inst.secondLegInfo()[i].Split(',');
startdate = EliteQuant.EQConverter.DateToDateTime(new Date(Convert.ToInt32(s[0])));
enddate = EliteQuant.EQConverter.DateToDateTime(new Date(Convert.ToInt32(s[1])));
paymentdate = EliteQuant.EQConverter.DateToDateTime(new Date(Convert.ToInt32(s[2])));
resetdate = (s[3] == "") ? DateTime.MinValue : EliteQuant.EQConverter.DateToDateTime(new Date(Convert.ToInt32(s[3])));
balance = Convert.ToDouble(s[4]);
rate = Convert.ToDouble(s[5]);
spread = Convert.ToDouble(s[6]);
payment = Convert.ToDouble(s[7]);
// today's cashflow is not included
if (EliteQuant.EQConverter.DateTimeToDate(paymentdate).serialNumber() <= asofdate.serialNumber())
{
discount = 0.0;
}
else
{
discount = discountcurve.discount(EliteQuant.EQConverter.DateTimeToDate(paymentdate));
}
pv = payment * discount;
// and return the matrix to vba
ret[i, 10] = (object)startdate;
ret[i, 11] = (object)enddate;
ret[i, 12] = (object)paymentdate;
ret[i, 13] = (s[3] == "") ? "" : (object)resetdate;
ret[i, 14] = (object)(balance == 0 ? "" : (object)balance);
ret[i, 15] = (object)(rate == 0 ? "" : (object)rate);
ret[i, 16] = (object)(spread == 0 ? "" : (object)spread);
ret[i, 17] = (object)(payment == 0 ? "" : (object)payment);
ret[i, 18] = (object)(discount == 0 ? "" : (object)discount);
ret[i, 19] = (object)(pv == 0 ? "" : (object)pv);
}
return(ret);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
