public static object eqModelGetSVIInterpolatedValue(
[ExcelArgument(Description = "id of SVI model ")] string ObjectId,
[ExcelArgument(Description = "strik value ")] double x)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
SVIInterpolation option = OHRepository.Instance.getObject <SVIInterpolation>(ObjectId);
return(option.call(x));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqModelGetSABRCalibratedParameters(
[ExcelArgument(Description = "id of SABR model ")] string ObjectId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
SABRInterpolation option = OHRepository.Instance.getObject <SABRInterpolation>(ObjectId);
object[,] ret = new object[6, 2];
ret[0, 0] = "alpha:"; ret[0, 1] = option.alpha();
ret[1, 0] = "beta:"; ret[1, 1] = option.beta();
ret[2, 0] = "nu:"; ret[2, 1] = option.nu();
ret[3, 0] = "rho:"; ret[3, 1] = option.rho();
ret[4, 0] = "rmsError:"; ret[4, 1] = option.rmsError();
ret[5, 0] = "maxError:"; ret[5, 1] = option.maxError();
return(ret);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqModelGetDoubleExponentialCalibratedParameters(
[ExcelArgument(Description = "id of double exponential ATM model ")] string ObjectId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
DoubleExponentialCalibration atmvol = OHRepository.Instance.getObject <DoubleExponentialCalibration>(ObjectId);
object[,] ret = new object[6, 2];
ret[0, 0] = "sigma:"; ret[0, 1] = atmvol.sigma();
ret[1, 0] = "b1:"; ret[1, 1] = atmvol.b1();
ret[2, 0] = "b2:"; ret[2, 1] = atmvol.b2();
ret[3, 0] = "lambda:"; ret[3, 1] = atmvol.lambda();
ret[4, 0] = "error:"; ret[4, 1] = atmvol.error();
ret[5, 0] = "maxerror:"; ret[5, 1] = atmvol.maxError();
return(ret);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqCurveIRGetDiscountFactor(
[ExcelArgument(Description = "curve id ")] string ObjectId,
[ExcelArgument(Description = "tenors ")] DateTime dt,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
if (!ObjectId.Contains('@'))
{
ObjectId = "CRV@" + ObjectId;
}
YieldTermStructureHandle curve = OHRepository.Instance.getObject <YieldTermStructureHandle>(ObjectId);
Date refDate = curve.referenceDate();
Date dt2 = EliteQuant.EQConverter.ConvertObject <Date>(dt);
double discount = curve.discount(dt2);
return(discount);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
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 eqIndexesLoadFixingFromFile(
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
DateTime asofdate = DateTime.Today;
string[] curves = new string[] { "USDOIS", "USDLIB3M", "USDLIB1M", "USDLIB6M", "USDLIB12M" };
string path = EliteQuant.ConfigManager.Instance.IRRootDir + @"Curves\";
string name;
foreach (var s in curves)
{
string[] data = System.IO.File.ReadAllLines(path + s + "_Fixing.csv");
DateVector dt = new DateVector(data.Length);
DoubleVector qs = new DoubleVector(data.Length);
foreach (var fixing in data)
{
if (fixing == "")
{
continue;
}
string[] ff = fixing.Split(',');
dt.Add(EliteQuant.EQConverter.DateTimeToDate(EliteQuant.EQConverter.StringToDateTime(ff[0])));
qs.Add(Convert.ToDouble(ff[1]));
}
name = s;
if (!s.Contains("@"))
{
name = "IDX@" + s;
}
string name2 = EliteQuant.Curves.IndexMapping.ExtIndexName2EQName(name);
RealTimeSeries fixings = new RealTimeSeries(dt, qs);
IndexManager.instance().setHistory(name2, fixings);
}
return(asofdate);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqModelGetDoubleExponentialTermVol(
[ExcelArgument(Description = "id of double exponential atm model ")] string ObjectId,
[ExcelArgument(Description = "from t ")] double tfrom,
[ExcelArgument(Description = "to t ")] double tto, // 0 to t
[ExcelArgument(Description = "T value ")] double maturityT,
[ExcelArgument(Description = "T Vol ")] double TQuoteVol) // for T
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (ExcelUtil.isNull(tfrom))
{
tfrom = 0.0;
}
bool bigT = true;
if (ExcelUtil.isNull(TQuoteVol) || (TQuoteVol == 0.0))
{
bigT = false;
}
Xl.Range rng = ExcelUtil.getActiveCellRange();
DoubleExponentialCalibration atmvol = OHRepository.Instance.getObject <DoubleExponentialCalibration>(ObjectId);
double scaler = 1.0;
if (bigT)
{
DoubleVector tv = new DoubleVector(); tv.Add(maturityT);
DoubleVector vv = new DoubleVector(); vv.Add(TQuoteVol);
scaler = atmvol.k(tv, vv)[0];
}
return(scaler * atmvol.value(tfrom, tto, maturityT));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqInstCommodityFuture(
[ExcelArgument(Description = "id of instrument ")] string ObjectId,
[ExcelArgument(Description = "name of instrument ")] string name, // given by user, could be the same as objectid
[ExcelArgument(Description = "buy/sell (1/-1) ")] int buysell,
[ExcelArgument(Description = "trade price ")] double tradePrice,
[ExcelArgument(Description = "trade quantity ")] double quantity,
[ExcelArgument(Description = "start date ")] DateTime startdate,
[ExcelArgument(Description = "end date ")] DateTime enddate,
[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
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
CommodityIndexExt idx = OHRepository.Instance.getObject <CommodityIndexExt>(indexid);
YieldTermStructureHandle discountcurve = OHRepository.Instance.getObject <YieldTermStructureHandle>(discountId);
Date refDate = discountcurve.referenceDate();
EliteQuant.Date sd = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(startdate);
EliteQuant.Date ed = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(enddate);
PricingPeriodExt pp = new PricingPeriodExt(sd, ed, sd, quantity); // pay at start date
EnergyFutureExt ef = new EnergyFutureExt(buysell, pp, tradePrice, idx, name, discountcurve);
// Store the futures and return its id
string id = "Fut@" + ObjectId;
OHRepository.Instance.storeObject(id, ef, 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 eqInstSaveIRSwapToDisk(
[ExcelArgument(Description = "id of IR Swap ")] string tradeid,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
string genswaptplid_ = tradeid;
if (!genswaptplid_.Contains('@'))
{
genswaptplid_ = "SWP@" + genswaptplid_;
}
if (!genswaptplid_.Contains("_TPL"))
{
genswaptplid_ = genswaptplid_ + "_TPL";
}
EliteQuant.Instruments.InterestRateGenericSwap genswaptpl = OHRepository.Instance.getObject <EliteQuant.Instruments.InterestRateGenericSwap>(genswaptplid_);
string path = EliteQuant.ConfigManager.Instance.IRRootDir + @"Trades\";
EliteQuant.Instruments.InterestRateGenericSwap.Serialize(genswaptpl,
path + tradeid + ".xml");
return(tradeid);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
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!");
}
}
public static object eqIRCurveLoadCurveFromDisk(
[ExcelArgument(Description = "asofdate ")] DateTime asofdate,
[ExcelArgument(Description = "Interpolation Method (Linear, LogLinear) ")] string interp,
[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;
EliteQuant.IborIndex idx = new EliteQuant.USDLibor(new EliteQuant.Period(3, EliteQuant.TimeUnit.Months));
foreach (var s in curves)
{
string targetcurve;
if (s.Contains("@"))
{
targetcurve = s;
}
else
{
targetcurve = "CRV@" + s;
}
string interpmethod;
if (ExcelUtil.isNull(interp))
{
interpmethod = "LOGLINEAR";
}
else
{
interpmethod = interp.ToUpper();
}
path = EliteQuant.ConfigManager.Instance.IRRootDir + @"Curves\"
+ EliteQuant.EQConverter.DateTimeToString(asofdate) + "\\";
string[] crv = System.IO.File.ReadAllLines(path + s + ".csv");
EliteQuant.DateVector dtv = new EliteQuant.DateVector();
EliteQuant.DoubleVector discv = new EliteQuant.DoubleVector();
foreach (var c in crv)
{
string[] cc = c.Split(',');
Date dt = new Date(Convert.ToInt32(cc[0]));
dtv.Add(dt);
discv.Add(Convert.ToDouble(cc[1]));
}
YieldTermStructure yth = null;
if (interpmethod == "LINEAR")
{
yth = new EliteQuant.LinearDiscountCurve(dtv, discv, idx.dayCounter(), idx.fixingCalendar());
}
else
{
yth = new EliteQuant.DiscountCurve(dtv, discv, idx.dayCounter(), idx.fixingCalendar());
}
string targetcrvid = "CRV@" + s;
OHRepository.Instance.storeObject(targetcrvid, yth, callerAddress); // callerAddress or null ?
}
return(asofdate);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
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 static object eqInstGetOptionGreeks(
[ExcelArgument(Description = "id of option ")] string ObjectId,
[ExcelArgument(Description = "Greek type ")] string gtype,
[ExcelArgument(Description = "Option type (VANILLA or MULTIASSET)")] string otype,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
if (ExcelUtil.isNull(gtype))
{
gtype = "NPV";
}
if (ExcelUtil.isNull(otype))
{
otype = "VANILLA";
}
if (otype == "VANILLA")
{
VanillaOption option = OHRepository.Instance.getObject <VanillaOption>(ObjectId);
switch (gtype.ToUpper())
{
case "NPV":
return(option.NPV());
case "DELTA":
return(option.delta());
case "GAMMA":
return(option.gamma());
case "VEGA":
return(option.vega());
case "THETA":
return(option.theta());
case "RHO":
return(option.rho());
default:
return(0);
}
}
else if (otype == "MULTIASSET")
{
BasketOption option = OHRepository.Instance.getObject <BasketOption>(ObjectId);
switch (gtype.ToUpper())
{
case "NPV":
return(option.NPV());
case "DELTA":
return(option.delta());
case "GAMMA":
return(option.gamma());
case "VEGA":
return(option.vega());
case "THETA":
return(option.theta());
case "RHO":
return(option.rho());
default:
return(0);
}
}
else
{
return("Unknown option type");
}
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
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!");
}
}
public static object eqInstLoadIRSwapFromDisk(
[ExcelArgument(Description = "id of IR Swap ")] string tradeid, // should not include @ and _TPL
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
string genswaptplid_ = tradeid;
if (!genswaptplid_.Contains('@'))
{
genswaptplid_ = "SWP@" + genswaptplid_;
}
if (!genswaptplid_.Contains("_TPL"))
{
genswaptplid_ = genswaptplid_ + "_TPL";
}
string path = EliteQuant.ConfigManager.Instance.IRRootDir + @"Trades\";
EliteQuant.Instruments.InterestRateGenericSwap genswaptpl =
EliteQuant.Instruments.InterestRateGenericSwap.Deserialize(path + tradeid + ".xml");
// preserve same order as excel
List <object> ret = new List <object>();
ret.Add(genswaptpl.ContractId);
ret.Add(genswaptpl.Entity);
ret.Add(genswaptpl.EntityID);
ret.Add(genswaptpl.Counterparty);
ret.Add(genswaptpl.CounterpartyID);
ret.Add(genswaptpl.SwapType);
ret.Add(genswaptpl.FixingDays.ToString());
ret.Add(string.IsNullOrEmpty(genswaptpl.TradeDate) ? "" : (object)EliteQuant.EQConverter.StringToDateTime(genswaptpl.TradeDate));
ret.Add(string.IsNullOrEmpty(genswaptpl.SettlementDate) ? "" : (object)EliteQuant.EQConverter.StringToDateTime(genswaptpl.SettlementDate));
ret.Add(string.IsNullOrEmpty(genswaptpl.MaturityDate) ? "" : (object)EliteQuant.EQConverter.StringToDateTime(genswaptpl.MaturityDate));
ret.Add(genswaptpl.Tenor);
if ((genswaptpl.FirstLegNotionals.Count > 1) || (genswaptpl.SecondLegNotionals.Count > 1))
{
ret.Add("TRUE");
}
else
{
ret.Add(genswaptpl.IsScheduleGiven.ToString()); // always false for now
}
ret.Add(genswaptpl.FirstLegIndex);
ret.Add(genswaptpl.FirstLegFrequency);
ret.Add(genswaptpl.FirstLegConvention);
ret.Add(genswaptpl.FirstLegCalendar);
ret.Add(genswaptpl.FirstLegDayCounter);
ret.Add(genswaptpl.FirstLegDateGenerationRule);
ret.Add(genswaptpl.FirstLegEOM.ToString());
ret.Add(genswaptpl.FirstLegSpread.ToString());
if (genswaptpl.FirstLegNotionals.Count > 1)
{
ret.Add("Collection...");
}
else
{
ret.Add(genswaptpl.FirstLegNotionals[0].ToString());
}
ret.Add("");
ret.Add(genswaptpl.SecondLegIndex);
ret.Add(genswaptpl.SecondLegFrequency);
ret.Add(genswaptpl.SecondLegConvention);
ret.Add(genswaptpl.SecondLegCalendar);
ret.Add(genswaptpl.SecondLegDayCounter);
ret.Add(genswaptpl.SecondLegDateGenerationRule);
ret.Add(genswaptpl.SecondLegEOM.ToString());
ret.Add(genswaptpl.SecondLegSpread.ToString());
if (genswaptpl.SecondLegNotionals.Count > 1)
{
ret.Add("Collection...");
}
else
{
ret.Add(genswaptpl.SecondLegNotionals[0].ToString());
}
ret.Add("");
return(ret.ToArray());
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqInstGetInstrumentNPV(
[ExcelArgument(Description = "id of instrument ")] string ObjectId,
[ExcelArgument(Description = "Greek type ")] string gtype,
[ExcelArgument(Description = "is genericswap ")] bool isgenswap,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
bool isgenswap_ = false;
if (ExcelUtil.isNull(isgenswap))
{
isgenswap_ = false;
}
else
{
isgenswap_ = (bool)isgenswap;
}
Instrument inst = null;
if (isgenswap_)
{
EliteQuant.Instruments.InterestRateGenericSwap genswap = OHRepository.Instance.getObject <EliteQuant.Instruments.InterestRateGenericSwap>(ObjectId);
inst = genswap.eqswap_;
}
else
{
inst = OHRepository.Instance.getObject <Instrument>(ObjectId);
}
double ret = inst.NPV();
Type type = inst.GetType();
if (type == typeof(VanillaSwap))
{
if (gtype.ToUpper() == "FAIRRATE")
{
ret = (inst as VanillaSwap).fairRate();
}
}
else if (type == typeof(OvernightIndexedSwap))
{
if (gtype.ToUpper() == "FAIRRATE")
{
ret = (inst as OvernightIndexedSwap).fairRate();
}
}
else if (type == typeof(EliteQuant.Instruments.InterestRateGenericSwap))
{
if (gtype.ToUpper() == "FAIRRATE")
{
ret = (inst as GenericSwap).fairRate();
}
else if (gtype.ToUpper() == "FAIRSPREAD")
{
ret = (inst as GenericSwap).fairSpread();
}
else if (gtype.ToUpper() == "FIRSTLEGBPS")
{
ret = (inst as GenericSwap).firstLegBPS();
}
else if (gtype.ToUpper() == "SECONDLEGBPS")
{
ret = (inst as GenericSwap).secondLegBPS();
}
}
return(ret);
}
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 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 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 string eqIRCurveLinearZero(
[ExcelArgument(Description = "(String) id of curve (USDOIS, USDLIB3M) ")] string ObjectId,
[ExcelArgument(Description = "array of rate helpers ")] object[] ratehelpers,
[ExcelArgument(Description = "Interpolation Method (default LogLinear) ")] string interp,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
Xl.Range rng = ExcelUtil.getActiveCellRange();
try
{
string interpmethod;
if (ExcelUtil.isNull(interp))
{
interpmethod = "LOGLINEAR";
}
else
{
interpmethod = interp.ToUpper();
}
EliteQuant.RateHelperVector rhv = new EliteQuant.RateHelperVector();
EliteQuant.Date today = EliteQuant.Settings.instance().getEvaluationDate();
List <EliteQuant.Date> dates = new List <EliteQuant.Date>();
dates.Add(today); // today has discount 1
foreach (var rid in ratehelpers)
{
if (ExcelUtil.isNull(rid))
{
continue;
}
try
{
EliteQuant.RateHelper rh = OHRepository.Instance.getObject <EliteQuant.RateHelper>((string)rid);
rhv.Add(rh);
dates.Add(rh.latestDate());
}
catch (Exception)
{
// skip null instruments
}
}
// set reference date to today. or discount to 1
EliteQuant.YieldTermStructure yth = new EliteQuant.PiecewiseLogLinearDiscount(today, rhv, dc_act_360);
EliteQuant.DateVector dtv = new EliteQuant.DateVector();
EliteQuant.DoubleVector discv = new EliteQuant.DoubleVector();
foreach (var dt in dates)
{
double disc = yth.discount(dt);
dtv.Add(dt);
discv.Add(disc);
}
// reconstruct the discount curve
// note that discount curve is LogLinear
EliteQuant.YieldTermStructure yth2 = null;
yth2 = new EliteQuant.DiscountCurve(dtv, discv, dc_act_360, ObjectId.Contains("OIS") ? cal_usd : cal_usd_gbp);
if (!ObjectId.Contains('@'))
{
ObjectId = "CRV@" + ObjectId;
}
//string id = "IRCRV@" + ObjectId;
string id = ObjectId;
OHRepository.Instance.storeObject(id, yth2, callerAddress);
return(id + "#" + DateTime.Now.ToString("HH:mm:ss"));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqInstIRGenericSwap(
// trade info
/*[ExcelArgument(Description = "trade id ")] string tradeid,
* [ExcelArgument(Description = "Entity ")] string entity,
* [ExcelArgument(Description = "Entity ID ")] string entityid,
* [ExcelArgument(Description = "Counterparty ")] string counterparty,
* [ExcelArgument(Description = "Counterparty ID ")] string counterpartyid,
* [ExcelArgument(Description = "swap type ")] string swaptype,
* [ExcelArgument(Description = "Fixing Days ")] object fixingdays, // use object to catch missing
* [ExcelArgument(Description = "Trade Date ")] object tradedate,
* [ExcelArgument(Description = "Start date ")] object startdate,
* [ExcelArgument(Description = "Maturity date ")] object maturitydate,
* [ExcelArgument(Description = "Tenor ")] string Tenor,
* [ExcelArgument(Description = "is notional schedule given ")] bool isschedulegiven,*/
[ExcelArgument(Description = "swap type ")] object[] tradeinfo,
// first leg
/*[ExcelArgument(Description = "id of first leg index ")] string firstlegindex,
* [ExcelArgument(Description = "first leg frequency ")] string firstlegfreq,
* [ExcelArgument(Description = "first leg convention ")] string firstlegconv,
* [ExcelArgument(Description = "first leg calendar ")] string firstlegcalendar,
* [ExcelArgument(Description = "first leg day counter ")] string firstlegdc,
* [ExcelArgument(Description = "first leg date generation rule ")] string firstlegdgrule,
* [ExcelArgument(Description = "first leg end of month ")] bool firstlegeom,
* [ExcelArgument(Description = "first leg fixed rate ")] double firstlegrate,*/
[ExcelArgument(Description = "first leg info ")] object[] firstleginfo,
[ExcelArgument(Description = "first leg notional(s) ")] object[] firstlegnotionals, // only object[] works
[ExcelArgument(Description = "first leg schedule(s) ")] object[,] firstlegschedule,
// second leg
/*[ExcelArgument(Description = "id of second leg index ")] string secondlegindex,
* [ExcelArgument(Description = "second leg frequency ")] string secondlegfreq,
* [ExcelArgument(Description = "second leg convention ")] string secondlegconv,
* [ExcelArgument(Description = "second leg calendar ")] string secondlegcalendar,
* [ExcelArgument(Description = "second leg day counter ")] string secondlegdc,
* [ExcelArgument(Description = "second leg date generation rule ")] string secondlegdgrule,
* [ExcelArgument(Description = "second leg end of month ")] bool secondlegeom,
* [ExcelArgument(Description = "second leg spread ")] double secondlegspread,*/
[ExcelArgument(Description = "second leg info ")] object[] secondleginfo,
[ExcelArgument(Description = "second leg notional(s) ")] object[] secondlegnotionals,
[ExcelArgument(Description = "second leg schedule(s) ")] object[,] secondlegschedule,
[ExcelArgument(Description = "id of discount curve ")] string discountId
)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
EliteQuant.Instruments.InterestRateGenericSwap genswap = new EliteQuant.Instruments.InterestRateGenericSwap();
#region parameters
if (ExcelUtil.isNull(tradeinfo[0]))
{
return("#EQ_ERR!");
}
else
{
genswap.ContractId = (string)tradeinfo[0];
}
if (ExcelUtil.isNull(tradeinfo[1]))
{
genswap.Entity = "NA";
}
else
{
genswap.Entity = (string)tradeinfo[1];
}
if (ExcelUtil.isNull(tradeinfo[2]))
{
genswap.EntityID = "NA";
}
else
{
genswap.EntityID = (string)tradeinfo[2];
}
if (ExcelUtil.isNull(tradeinfo[3]))
{
genswap.Counterparty = "NA";
}
else
{
genswap.Counterparty = (string)tradeinfo[3];
}
if (ExcelUtil.isNull(tradeinfo[4]))
{
genswap.CounterpartyID = "NA";
}
else
{
genswap.CounterpartyID = (string)tradeinfo[4];
}
if (ExcelUtil.isNull(tradeinfo[5]))
{
genswap.SwapType = "Payer";
}
else
{
genswap.SwapType = (string)tradeinfo[5];
}
if (ExcelUtil.isNull(tradeinfo[6]))
{
genswap.FixingDays = 2;
}
else
{
genswap.FixingDays = (int)(double)tradeinfo[6];
}
if (ExcelUtil.isNull(tradeinfo[7]))
{
genswap.TradeDate = EliteQuant.EQConverter.DateTimeToString(DateTime.Today);
}
else
{
genswap.TradeDate = EliteQuant.EQConverter.DateTimeToString(DateTime.FromOADate((double)tradeinfo[7]));
}
// set it temporarily to ""
if (ExcelUtil.isNull(tradeinfo[8]))
{
genswap.SettlementDate = string.Empty;
}
else
{
genswap.SettlementDate = EliteQuant.EQConverter.DateTimeToString(DateTime.FromOADate((double)tradeinfo[8]));
}
// set it temporarily to today
if (ExcelUtil.isNull(tradeinfo[9]))
{
genswap.MaturityDate = string.Empty;
}
else
{
genswap.MaturityDate = EliteQuant.EQConverter.DateTimeToString(DateTime.FromOADate((double)tradeinfo[9]));
}
// set it temporarily to blank
if (ExcelUtil.isNull(tradeinfo[10]))
{
genswap.Tenor = string.Empty;
}
else
{
genswap.Tenor = (string)tradeinfo[10];
}
if (ExcelUtil.isNull(tradeinfo[11]))
{
genswap.IsScheduleGiven = false;
}
else
{
//genswap.IsScheduleGiven = Convert.ToBoolean((string)tradeinfo[11]);
genswap.IsScheduleGiven = (bool)tradeinfo[11];
}
genswap.IsScheduleGiven = false; // set to false always, amortization currently not supported
//*************** First Leg *************************//
if (ExcelUtil.isNull(firstleginfo[0]))
{
genswap.FirstLegIndex = "FIXED";
}
else
{
genswap.FirstLegIndex = (string)firstleginfo[0];
}
if (ExcelUtil.isNull(firstleginfo[1]))
{
genswap.FirstLegFrequency = "SEMIANNUAL";
}
else
{
genswap.FirstLegFrequency = (string)firstleginfo[1];
}
if (ExcelUtil.isNull(firstleginfo[2]))
{
genswap.FirstLegConvention = "MODIFIEDFOLLOWING";
}
else
{
genswap.FirstLegConvention = (string)firstleginfo[2];
}
if (ExcelUtil.isNull(firstleginfo[3]))
{
genswap.FirstLegCalendar = "NYC|LON";
}
else
{
genswap.FirstLegCalendar = (string)firstleginfo[3];
}
if (ExcelUtil.isNull(firstleginfo[4]))
{
genswap.FirstLegDayCounter = "ACTUAL360";
}
else
{
genswap.FirstLegDayCounter = (string)firstleginfo[4];
}
if (ExcelUtil.isNull(firstleginfo[5]))
{
genswap.FirstLegDateGenerationRule = "BACKWARD";
}
else
{
genswap.FirstLegDateGenerationRule = (string)firstleginfo[5];
}
if (ExcelUtil.isNull(firstleginfo[6]))
{
genswap.FirstLegEOM = true;
}
else
{
genswap.FirstLegEOM = (bool)firstleginfo[6];
}
if (ExcelUtil.isNull(firstleginfo[7]))
{
genswap.FirstLegSpread = 0.0;
}
else
{
genswap.FirstLegSpread = (double)firstleginfo[7];
}
if (ExcelUtil.isNull(firstlegnotionals))
{
genswap.FirstLegNotionals.Clear();
genswap.FirstLegNotionals.Add(0); // size = 1
}
else
{
genswap.FirstLegNotionals.Clear();
foreach (var nl in firstlegnotionals)
{
if (ExcelUtil.isNull(nl))
{
continue;
}
genswap.FirstLegNotionals.Add((double)nl);
}
}
if (ExcelUtil.isNull(firstlegschedule) || (!genswap.IsScheduleGiven))
{
genswap.FirstLegSchedules.Clear();
genswap.FirstLegSchedules.Add(genswap.SettlementDate);
genswap.FirstLegSchedules.Add(genswap.MaturityDate);
}
else
{
genswap.FirstLegSchedules.Clear();
for (int a = 0; a < firstlegschedule.GetLength(0); a++)
{
DateTime d;
if (ExcelUtil.isNull(firstlegschedule[a, 0]))
{
// add one more date
d = DateTime.FromOADate((double)firstlegschedule[a - 1, 1]);
genswap.FirstLegSchedules.Add(EliteQuant.EQConverter.DateTimeToString(d));
break;
}
d = DateTime.FromOADate((double)firstlegschedule[a, 0]);
genswap.FirstLegSchedules.Add(EliteQuant.EQConverter.DateTimeToString(d));
}
}
//*************** Second Leg *************************//
if (ExcelUtil.isNull(secondleginfo[0]))
{
genswap.SecondLegIndex = "USDLIB3M";
}
else
{
genswap.SecondLegIndex = (string)secondleginfo[0];
}
if (ExcelUtil.isNull(secondleginfo[1]))
{
genswap.SecondLegFrequency = "QUARTERLY";
}
else
{
genswap.SecondLegFrequency = (string)secondleginfo[1];
}
if (ExcelUtil.isNull(secondleginfo[2]))
{
genswap.SecondLegConvention = "MODIFIEDFOLLOWING";
}
else
{
genswap.SecondLegConvention = (string)secondleginfo[2];
}
if (ExcelUtil.isNull(secondleginfo[3]))
{
genswap.SecondLegCalendar = "NYC|LON"; // nor NYC|LON
}
else
{
genswap.SecondLegCalendar = (string)secondleginfo[3];
}
if (ExcelUtil.isNull(secondleginfo[4]))
{
genswap.SecondLegDayCounter = "ACTUAL360";
}
else
{
genswap.SecondLegDayCounter = (string)secondleginfo[4];
}
if (ExcelUtil.isNull(secondleginfo[5]))
{
genswap.SecondLegDateGenerationRule = "BACKWARD";
}
else
{
genswap.SecondLegDateGenerationRule = (string)secondleginfo[5];
}
if (ExcelUtil.isNull(secondleginfo[6]))
{
genswap.SecondLegEOM = true;
}
else
{
genswap.SecondLegEOM = (bool)secondleginfo[6];
}
if (ExcelUtil.isNull(secondleginfo[7]))
{
genswap.SecondLegSpread = 0.0;
}
else
{
genswap.SecondLegSpread = (double)secondleginfo[7];
}
if (ExcelUtil.isNull(secondlegnotionals))
{
genswap.SecondLegNotionals.Clear();
genswap.SecondLegNotionals.Add(0);
}
else
{
genswap.SecondLegNotionals.Clear();
foreach (var nl in secondlegnotionals)
{
if (ExcelUtil.isNull(nl))
{
continue;
}
genswap.SecondLegNotionals.Add((double)nl);
}
}
if (ExcelUtil.isNull(secondlegschedule) || (!genswap.IsScheduleGiven))
{
genswap.SecondLegSchedules.Clear();
genswap.SecondLegSchedules.Add(genswap.SettlementDate);
genswap.SecondLegSchedules.Add(genswap.MaturityDate);
}
else
{
genswap.SecondLegSchedules.Clear();
for (int a = 0; a < secondlegschedule.GetLength(0); a++)
{
DateTime d;
if (ExcelUtil.isNull(secondlegschedule[a, 0]))
{
// add one more date
d = DateTime.FromOADate((double)secondlegschedule[a - 1, 1]);
genswap.SecondLegSchedules.Add(EliteQuant.EQConverter.DateTimeToString(d));
break;
}
d = DateTime.FromOADate((double)secondlegschedule[a, 0]);
genswap.SecondLegSchedules.Add(EliteQuant.EQConverter.DateTimeToString(d));
}
}
#endregion
#region convert Interest rate generic swap to swap obj
string firstidx = genswap.FirstLegIndex, secondidx = genswap.SecondLegIndex;
string firstidx_id = "IDX@" + firstidx;
string secondidx_id = "IDX@" + secondidx;
EliteQuant.IborIndex firstidx_obj = null;
if (!firstidx.Contains("FIXED"))
{
firstidx_obj = OHRepository.Instance.getObject <EliteQuant.IborIndex>(firstidx_id);
}
EliteQuant.IborIndex secondidx_obj = OHRepository.Instance.getObject <EliteQuant.IborIndex>(secondidx_id);
genswap.ConstructSwap(firstidx_obj, secondidx_obj);
if (!discountId.Contains('@'))
{
discountId = "CRV@" + discountId;
}
YieldTermStructure discountcurve = OHRepository.Instance.getObject <YieldTermStructure>(discountId);
YieldTermStructureHandle dch = new YieldTermStructureHandle(discountcurve);
DiscountingSwapEngine engine = new DiscountingSwapEngine(dch);
genswap.eqswap_.setPricingEngine(engine);
#endregion
string id = "SWP@" + genswap.ContractId;
OHRepository.Instance.storeObject(id, genswap, 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!");
}
}