public static object eqTimeAdvanceDate(
[ExcelArgument(Description = "Date ")] DateTime date,
[ExcelArgument(Description = "Calendar (default NYC) ")] string calendar,
[ExcelArgument(Description = "Tenor (e.g. '3D' or '2Y') ")] string tenor,
[ExcelArgument(Description = "BusinessDayConvention (default ModifiedFollowing) ")] string bdc,
[ExcelArgument(Description = "is endofmonth ")] bool eom)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
OHRepository.Instance.removeErrorMessage(callerAddress);
try
{
if (date == DateTime.MinValue)
{
throw new Exception("Date must not be empty. ");
}
EliteQuant.Date d = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(date);
if (string.IsNullOrEmpty(calendar))
{
calendar = "NYC";
}
EliteQuant.Calendar can = EliteQuant.EQConverter.ConvertObject <EliteQuant.Calendar>(calendar);
if (string.IsNullOrEmpty(tenor))
{
tenor = "1D";
}
EliteQuant.Period period = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(tenor);
if (string.IsNullOrEmpty(bdc))
{
bdc = "MF";
}
BusinessDayConvention bdc2 = EliteQuant.EQConverter.ConvertObject <BusinessDayConvention>(bdc);
Date newday = can.advance(d, period, bdc2, eom);
return(newday.serialNumber());
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqTimeSchedule(
[ExcelArgument(Description = "Start Date ")] DateTime date1,
[ExcelArgument(Description = "End Date ")] DateTime date2,
[ExcelArgument(Description = "Tenor (e.g. '3D' or '2Y') ")] string tenor,
[ExcelArgument(Description = "Calendar (default NYC) ")] string calendar,
[ExcelArgument(Description = "BusinessDayConvention (default ModifiedFollowing) ")] string bdc,
[ExcelArgument(Description = "DateGenerationRule (default Backward) ")] string rule,
[ExcelArgument(Description = "is endofmonth ")] bool eom)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
OHRepository.Instance.removeErrorMessage(callerAddress);
try
{
if ((date1 == DateTime.MinValue) || (date2 == DateTime.MinValue))
{
throw new Exception("Date must not be empty. ");
}
Date start = EliteQuant.EQConverter.ConvertObject <Date>(date1);
Date end = EliteQuant.EQConverter.ConvertObject <Date>(date2);
EliteQuant.Period period = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(tenor);
if (string.IsNullOrEmpty(calendar))
{
calendar = "NYC";
}
EliteQuant.Calendar can = EliteQuant.EQConverter.ConvertObject <EliteQuant.Calendar>(calendar);
if (string.IsNullOrEmpty(bdc))
{
bdc = "MF";
}
BusinessDayConvention bdc2 = EliteQuant.EQConverter.ConvertObject <BusinessDayConvention>(bdc);
if (string.IsNullOrEmpty(rule))
{
rule = "BACKWARD";
}
DateGeneration.Rule rule2 = EliteQuant.EQConverter.ConvertObject <DateGeneration.Rule>(rule);
Schedule sch = new Schedule(start, end, period, can, bdc2, bdc2, rule2, eom);
object[,] ret = new object[sch.size(), 1];
for (uint i = 0; i < sch.size(); i++)
{
ret[i, 0] = sch.date(i).serialNumber();
}
return(ret);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("");
}
}
public static object eqInstIROISSwap(
[ExcelArgument(Description = "trade id ")] string tradeid,
[ExcelArgument(Description = "payer/receiver (1/0) ")] bool ispayer,
[ExcelArgument(Description = "notional ")] double notional,
[ExcelArgument(Description = "fixed rate ")] double fixedRate,
[ExcelArgument(Description = "start date ")] DateTime startdate,
[ExcelArgument(Description = " (String) forward start month, e.g. 7D, 3M, 7Y ")] string Tenor,
[ExcelArgument(Description = "id of overnight index ")] string indexid,
[ExcelArgument(Description = "floating leg spread ")] double spread,
[ExcelArgument(Description = "id of discount curve ")] string discountId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
// by default
// endOfMonth_(1*Months<=swapTenor && swapTenor<=2*Years ? true : false),
bool end_of_month = true;
EliteQuant.DayCounter fixeddc = new EliteQuant.Actual360();
if (!indexid.Contains('@'))
{
indexid = "IDX@" + indexid;
}
OvernightIndex idx = OHRepository.Instance.getObject <OvernightIndex>(indexid);
if (!discountId.Contains('@'))
{
discountId = "CRV@" + discountId;
}
YieldTermStructure discountcurve = OHRepository.Instance.getObject <YieldTermStructure>(discountId);
YieldTermStructureHandle dch = new YieldTermStructureHandle(discountcurve);
EliteQuant.Period tenor_ = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(Tenor);
EliteQuant.Date sdate = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(startdate);
EliteQuant.Date fdate = idx.fixingDate(sdate);
EliteQuant.Date tdate = idx.fixingCalendar().advance(sdate, tenor_);
// fixed leg 1 yr. Forward?
Schedule fixedsch = new Schedule(sdate, tdate, new Period(1, TimeUnit.Years),
idx.fixingCalendar(), idx.businessDayConvention(), idx.businessDayConvention(),
DateGeneration.Rule.Forward, end_of_month);
OvernightIndexedSwap swap = new OvernightIndexedSwap(ispayer ? _OvernightIndexedSwap.Type.Payer : _OvernightIndexedSwap.Type.Receiver,
notional, fixedsch, fixedRate, fixeddc, idx, spread);
DiscountingSwapEngine engine = new DiscountingSwapEngine(dch);
swap.setPricingEngine(engine);
Date refDate = discountcurve.referenceDate();
// Store the futures and return its id
string id = "SWP@" + tradeid;
OHRepository.Instance.storeObject(id, swap, 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!");
}
}
