public static object eqIRCurveDisplayDiscountCurve(
[ExcelArgument(Description = "id of discount curve ")] string ObjectId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
if (!ObjectId.Contains('@'))
{
ObjectId = "CRV@" + ObjectId;
}
EliteQuant.YieldTermStructure curve = OHRepository.Instance.getObject <EliteQuant.YieldTermStructure>(ObjectId);
if (curve.GetType() == typeof(EliteQuant.DiscountCurve))
{
object[,] ret = new object[(curve as DiscountCurve).dates().Count, 2];
for (int i = 0; i < (curve as DiscountCurve).dates().Count; i++)
{
ret[i, 0] = (curve as DiscountCurve).dates()[i].serialNumber();
ret[i, 1] = (curve as DiscountCurve).discounts()[i].ToString();
}
return(ret);
}
else if (curve.GetType() == typeof(EliteQuant.LinearDiscountCurve))
{
object[,] ret = new object[(curve as LinearDiscountCurve).dates().Count, 2];
for (int i = 0; i < (curve as LinearDiscountCurve).dates().Count; i++)
{
ret[i, 0] = (curve as LinearDiscountCurve).dates()[i].serialNumber();
ret[i, 1] = (curve as LinearDiscountCurve).discounts()[i].ToString();
}
return(ret);
}
else
{
return(0);
}
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqIRCurveSaveCurveToDisk(
[ExcelArgument(Description = "asofdate ")] DateTime asofdate,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
if (ExcelUtil.isNull(asofdate))
{
asofdate = DateTime.Today;
}
string[] curves = new string[] { "USDOIS", "USDLIB3M", "USDLIB1M", "USDLIB6M", "USDLIB12M" };
string path;
foreach (var s in curves)
{
string targetcurve;
if (s.Contains("@"))
{
targetcurve = s;
}
else
{
targetcurve = "CRV@" + s;
}
EliteQuant.YieldTermStructure curve = OHRepository.Instance.getObject <EliteQuant.YieldTermStructure>(targetcurve);
if (curve.GetType() == typeof(EliteQuant.DiscountCurve))
{
asofdate = EliteQuant.EQConverter.DateToDateTime((curve as DiscountCurve).dates()[0]);
string[] ret = new string[(curve as DiscountCurve).dates().Count];
for (int i = 0; i < (curve as DiscountCurve).dates().Count; i++)
{
ret[i] = (curve as DiscountCurve).dates()[i].serialNumber() + "," + (curve as DiscountCurve).discounts()[i].ToString();
}
path = EliteQuant.ConfigManager.Instance.IRRootDir + @"Curves\"
+ EliteQuant.EQConverter.DateTimeToString(EliteQuant.EQConverter.DateToDateTime((curve as DiscountCurve).dates()[0])) + "\\";
if (!System.IO.Directory.Exists(path))
{
System.IO.Directory.CreateDirectory(path);
}
System.IO.File.WriteAllLines(path + s + ".csv", ret);
}
else if (curve.GetType() == typeof(EliteQuant.LinearDiscountCurve))
{
asofdate = EliteQuant.EQConverter.DateToDateTime((curve as LinearDiscountCurve).dates()[0]);
string[] ret = new string[(curve as LinearDiscountCurve).dates().Count];
for (int i = 0; i < (curve as LinearDiscountCurve).dates().Count; i++)
{
ret[i] = (curve as LinearDiscountCurve).dates()[i].serialNumber() + "," + (curve as LinearDiscountCurve).discounts()[i].ToString();
}
path = EliteQuant.ConfigManager.Instance.IRRootDir + @"Curves\"
+ EliteQuant.EQConverter.DateTimeToString(EliteQuant.EQConverter.DateToDateTime((curve as LinearDiscountCurve).dates()[0])) + "\\";
if (!System.IO.Directory.Exists(path))
{
System.IO.Directory.CreateDirectory(path);
}
System.IO.File.WriteAllLines(path + s + ".csv", ret);
}
}
return(asofdate);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static string eqCurveIRIndex(
[ExcelArgument(Description = "index id (USDOIS, USDLIB3M, USDLIB1M ")] string ObjectId,
[ExcelArgument(Description = "currency (USD, GBP, CAD, EUR, JPY ) ")] string Curncy,
[ExcelArgument(Description = "id or name of discount curve ")] string discountId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (!discountId.Contains('@'))
{
discountId = "CRV@" + discountId;
}
EliteQuant.YieldTermStructure curve = OHRepository.Instance.getObject <EliteQuant.YieldTermStructure>(discountId);
YieldTermStructureHandle h = new YieldTermStructureHandle(curve);
// market defaults
IborIndex idx_default;
if (ObjectId == "USDOIS") //
{
// Eonia and ois shares defaults
//idx_default = new Eonia(h);
//idx_default = new OvernightIndex("USDOIS", 0, new USDCurrency(), new TARGET(), new Actual360(), h);
idx_default = new FedFunds(h);
}
else
{
Period tenor = null;
switch (ObjectId)
{
case "USDLIB3M":
tenor = new Period(3, TimeUnit.Months);
break;
case "USDLIB1M":
tenor = new Period(1, TimeUnit.Months);
break;
case "USDLIB6M":
tenor = new Period(6, TimeUnit.Months);
break;
case "USDLIB12M":
tenor = new Period(12, TimeUnit.Months);
break;
}
idx_default = new USDLibor(tenor, h);
}
// Store the option and return its id
string id = "IDX@" + ObjectId;
OHRepository.Instance.storeObject(id, idx_default, 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!");
}
}