public EnergySwapExt(PricingPeriodExts PricingPeriodExts, string commodityName, Frequency deliverySchedule, Calendar calendar) : this(NQuantLibcPINVOKE.new_EnergySwapExt(PricingPeriodExts.getCPtr(PricingPeriodExts), commodityName, (int)deliverySchedule, Calendar.getCPtr(calendar)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public PricingPeriodExts(PricingPeriodExts other) : this(NQuantLibcPINVOKE.new_PricingPeriodExts__SWIG_1(PricingPeriodExts.getCPtr(other)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public PricingPeriodExtsEnumerator(PricingPeriodExts collection)
{
collectionRef = collection;
currentIndex = -1;
currentObject = null;
currentSize = collectionRef.Count;
}
public void SetRange(int index, PricingPeriodExts values)
{
NQuantLibcPINVOKE.PricingPeriodExts_SetRange(swigCPtr, index, PricingPeriodExts.getCPtr(values));
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public PricingPeriodExts pricingPeriods()
{
PricingPeriodExts ret = new PricingPeriodExts(NQuantLibcPINVOKE.EnergySwapExt_pricingPeriods(swigCPtr), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public static PricingPeriodExts Repeat(PricingPeriodExt value, int count)
{
global::System.IntPtr cPtr = NQuantLibcPINVOKE.PricingPeriodExts_Repeat(PricingPeriodExt.getCPtr(value), count);
PricingPeriodExts ret = (cPtr == global::System.IntPtr.Zero) ? null : new PricingPeriodExts(cPtr, true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public PricingPeriodExts GetRange(int index, int count)
{
global::System.IntPtr cPtr = NQuantLibcPINVOKE.PricingPeriodExts_GetRange(swigCPtr, index, count);
PricingPeriodExts ret = (cPtr == global::System.IntPtr.Zero) ? null : new PricingPeriodExts(cPtr, true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(PricingPeriodExts obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public EnergyVanillaSwapExt(bool payer, double fixedPrice, CommodityIndexExt index, PricingPeriodExts PricingPeriodExts, string commodityName, YieldTermStructureHandle payLegTermStructure, YieldTermStructureHandle receiveLegTermStructure) : this(NQuantLibcPINVOKE.new_EnergyVanillaSwapExt__SWIG_2(payer, fixedPrice, CommodityIndexExt.getCPtr(index), PricingPeriodExts.getCPtr(PricingPeriodExts), commodityName, YieldTermStructureHandle.getCPtr(payLegTermStructure), YieldTermStructureHandle.getCPtr(receiveLegTermStructure)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public static object eqInstCommodityVanillaSwap(
[ExcelArgument(Description = "id of instrument ")] string ObjectId,
[ExcelArgument(Description = "name of instrument ")] string name,
[ExcelArgument(Description = "payer/receiver (1/0) ")] bool payer,
[ExcelArgument(Description = "trade price ")] double fixedPrice,
[ExcelArgument(Description = "trade quantity ")] double[] quantities,
[ExcelArgument(Description = "start date ")] object[] startdates,
[ExcelArgument(Description = "end date ")] object[] enddates,
[ExcelArgument(Description = "id of commodity index ")] string indexid,
[ExcelArgument(Description = "id of discount curve ")] string discountId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
//bool ispayer = string.Compare(payer.ToUpper(), "PAYER") == 0 ? true : false;
bool ispayer = payer;
if (startdates.Length != enddates.Length)
{
return("size mismatch");
}
Xl.Range rng = ExcelUtil.getActiveCellRange();
CommodityIndexExt idx = OHRepository.Instance.getObject <CommodityIndexExt>(indexid);
YieldTermStructureHandle discountcurve = OHRepository.Instance.getObject <YieldTermStructureHandle>(discountId);
Date refDate = discountcurve.referenceDate();
PricingPeriodExts pps = new PricingPeriodExts(startdates.Length);
for (int i = 0; i < startdates.Length; i++)
{
if (ExcelUtil.isNull(startdates[i]))
{
continue;
}
//EliteQuant.Date sd = Conversion.ConvertObject<EliteQuant.Date>((DateTime)startdates[i], "date");
//EliteQuant.Date ed = Conversion.ConvertObject<EliteQuant.Date>((DateTime)enddates[i], "date");
Date sd = new Date(Convert.ToInt32(startdates[i]));
Date ed = new Date(Convert.ToInt32(enddates[i]));
PricingPeriodExt pp = new PricingPeriodExt(sd, ed, sd, quantities[i]);
pps.Add(pp);
}
EnergyVanillaSwapExt evs = new EnergyVanillaSwapExt(ispayer, fixedPrice, idx, pps, name, discountcurve, discountcurve,
Frequency.Monthly, new NullCalendar());
// Store the futures and return its id
string id = "Swp@" + ObjectId;
OHRepository.Instance.storeObject(id, evs, callerAddress);
id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss");
return(id);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqInstDisplayEnergySwap(
[ExcelArgument(Description = "id of energy ")] string ObjectId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
EnergyCommodityExt inst = OHRepository.Instance.getObject <EnergyCommodityExt>(ObjectId);
if (inst.GetType() == typeof(EnergyFutureExt))
{
PricingPeriodExt pp = (inst as EnergyFutureExt).pricingPeriod();
object[,] ret = new object[2, 10];
ret[0, 0] = "PayDate"; ret[0, 1] = "Quantity"; ret[0, 2] = "PayCoeff"; ret[0, 3] = "RecCoeff";
ret[0, 4] = "PaySprd"; ret[0, 5] = "RecSprd";
ret[0, 6] = "PayDelta"; ret[0, 7] = "DiscountedPayDelta";
ret[0, 8] = "RecDelta"; ret[0, 9] = "DiscountedRecDelta";
ret[1, 0] = pp.paymentDate().serialNumber();
ret[1, 1] = pp.quantity();
ret[1, 2] = pp.payCoeff();
ret[1, 3] = pp.recCoeff();
ret[1, 4] = pp.paySpread();
ret[1, 5] = pp.recSpread();
ret[1, 6] = pp.getuPayDelta();
ret[1, 7] = pp.getdPayDelta();
ret[1, 8] = pp.getuRecDelta();
ret[1, 9] = pp.getdRecDelta();
return(ret);
}
else
{
double npv = inst.NPV();
PricingPeriodExts pps = (inst as EnergySwapExt).pricingPeriods();
object[,] ret = new object[pps.Count + 1, 10];
ret[0, 0] = "PayDate"; ret[0, 1] = "Quantity"; ret[0, 2] = "PayCoeff"; ret[0, 3] = "RecCoeff";
ret[0, 4] = "PaySprd"; ret[0, 5] = "RecSprd";
ret[0, 6] = "PayDelta"; ret[0, 7] = "DiscountedPayDelta";
ret[0, 8] = "RecDelta"; ret[0, 9] = "DiscountedRecDelta";
for (int i = 0; i < pps.Count; i++)
{
ret[i + 1, 0] = pps[i].paymentDate().serialNumber();
ret[i + 1, 1] = pps[i].quantity();
ret[i + 1, 2] = pps[i].payCoeff();
ret[i + 1, 3] = pps[i].recCoeff();
ret[i + 1, 4] = pps[i].paySpread();
ret[i + 1, 5] = pps[i].recSpread();
ret[i + 1, 6] = pps[i].getuPayDelta();
ret[i + 1, 7] = pps[i].getdPayDelta();
ret[i + 1, 8] = pps[i].getuRecDelta();
ret[i + 1, 9] = pps[i].getdRecDelta();
}
return(ret);
}
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqInstCommodityBasisSwap(
[ExcelArgument(Description = "id of instrument ")] string ObjectId,
[ExcelArgument(Description = "name of instrument ")] string name,
[ExcelArgument(Description = "trade quantity ")] double[] quantities,
[ExcelArgument(Description = "start date ")] object[] startdates,
[ExcelArgument(Description = "end date ")] object[] enddates,
[ExcelArgument(Description = "payCoeff ")] double[] payCoeff,
[ExcelArgument(Description = "recCoeff ")] double[] recCoeff,
[ExcelArgument(Description = "paySpread ")] double[] paySprd,
[ExcelArgument(Description = "recSpread ")] double[] recSprd,
[ExcelArgument(Description = "id of pay leg index ")] string payeridxid,
[ExcelArgument(Description = "id of rec leg index ")] string recidxid,
[ExcelArgument(Description = "id of pay leg discount curve ")] string paydiscountId,
[ExcelArgument(Description = "id of rec leg discount curve ")] string recdiscountId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (startdates.Length != enddates.Length)
{
return("size mismatch");
}
Xl.Range rng = ExcelUtil.getActiveCellRange();
CommodityIndexExt payeridx = OHRepository.Instance.getObject <CommodityIndexExt>(payeridxid);
CommodityIndexExt recidx = OHRepository.Instance.getObject <CommodityIndexExt>(recidxid);
YieldTermStructureHandle paydiscountcurve = OHRepository.Instance.getObject <YieldTermStructureHandle>(paydiscountId);
YieldTermStructureHandle recdiscountcurve = OHRepository.Instance.getObject <YieldTermStructureHandle>(recdiscountId);
Date refDate = paydiscountcurve.referenceDate();
PricingPeriodExts pps = new PricingPeriodExts(startdates.Length);
for (int i = 0; i < startdates.Length; i++)
{
//EliteQuant.Date sd = Conversion.ConvertObject<EliteQuant.Date>((DateTime)startdates[i], "date");
//EliteQuant.Date ed = Conversion.ConvertObject<EliteQuant.Date>((DateTime)enddates[i], "date");
Date sd = new Date(Convert.ToInt32(startdates[i]));
Date ed = new Date(Convert.ToInt32(enddates[i]));
PricingPeriodExt pp = new PricingPeriodExt(sd, ed, sd, quantities[i], payCoeff[i], recCoeff[i], paySprd[i], recSprd[i]);
pps.Add(pp);
}
EnergyBasisSwapExt ebs = new EnergyBasisSwapExt(payeridx, recidx, pps, name, paydiscountcurve, recdiscountcurve, Frequency.Monthly, new NullCalendar());
// Store the futures and return its id
string id = "Swp@" + ObjectId;
OHRepository.Instance.storeObject(id, ebs, callerAddress);
id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss");
return(id);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public EnergyBasisSwapExt(CommodityIndexExt payIndex, CommodityIndexExt receiveIndex, PricingPeriodExts PricingPeriodExts, string commodityName, YieldTermStructureHandle payLegTermStructure, YieldTermStructureHandle receiveLegTermStructure) : this(NQuantLibcPINVOKE.new_EnergyBasisSwapExt__SWIG_2(CommodityIndexExt.getCPtr(payIndex), CommodityIndexExt.getCPtr(receiveIndex), PricingPeriodExts.getCPtr(PricingPeriodExts), commodityName, YieldTermStructureHandle.getCPtr(payLegTermStructure), YieldTermStructureHandle.getCPtr(receiveLegTermStructure)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}