public static object _CreateEquityModel(string objectName,
object[,] discountCurve,
object[,] shares,
object[,] spotPrices,
object[,] volatilities,
object[,] divYields,
object[,] correlations,
object[,] rateForecastCurves)
{
try
{
IDiscountingSource _discountCurve = XU.GetObject0D <IDiscountingSource>(discountCurve, "discountCurve");
Share[] _shares = XU.GetShare1D(shares, "shares");
Double[] _spotPrices = XU.GetDouble1D(spotPrices, "spotPrices");
Double[] _volatilities = XU.GetDouble1D(volatilities, "volatilities");
Double[] _divYields = XU.GetDouble1D(divYields, "divYields");
Double[,] _correlations = XU.GetDouble2D(correlations, "correlations");
IFloatingRateSource[] _rateForecastCurves = XU.GetObject1D <IFloatingRateSource>(rateForecastCurves, "rateForecastCurves");
NumeraireSimulator _result = XLEquities.CreateEquityModel(_discountCurve, _shares, _spotPrices, _volatilities, _divYields, _correlations, _rateForecastCurves);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateMultiHWAndFXToy(string objectName,
object[,] anchorDate,
object[,] numeraireCcy,
object[,] rateSimulators,
object[,] currencies,
object[,] spots,
object[,] vols,
object[,] correlations)
{
try
{
Date _anchorDate = XU.GetDate0D(anchorDate, "anchorDate");
Currency _numeraireCcy = XU.GetCurrency0D(numeraireCcy, "numeraireCcy");
HullWhite1F[] _rateSimulators = XU.GetObject1D <HullWhite1F>(rateSimulators, "rateSimulators");
Currency[] _currencies = XU.GetCurrency1D(currencies, "currencies");
Double[] _spots = XU.GetDouble1D(spots, "spots");
Double[] _vols = XU.GetDouble1D(vols, "vols");
Double[,] _correlations = XU.GetDouble2D(correlations, "correlations");
NumeraireSimulator _result = XLFX.CreateMultiHWAndFXToy(_anchorDate, _numeraireCcy, _rateSimulators, _currencies, _spots, _vols, _correlations);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static double[] EPE([ExcelArgument(Description = "A list of products.")] Product[] products,
[ExcelArgument(Description = "The value date.")] Date valueDate,
[ExcelArgument(Description = "The dates at which the expected positive exposure is required.")] Date[] forwardValueDates,
[ExcelArgument(Description = "A model able to handle all the market observables required to calculate the cashflows in the portfolio.")] NumeraireSimulator model,
[ExcelArgument(Description = "The number of simulations required.")] int nSims)
{
Coordinator coordinator = new Coordinator(model, new List <Simulator>(), nSims);
return(coordinator.EPE(products, valueDate, forwardValueDates));
}
public static double[,] PFE([ExcelArgument(Description = "A list of products.")] Product[] products,
[ExcelArgument(Description = "The value date.")] Date valueDate,
[ExcelArgument(Description = "The dates at which the expected positive exposure is required.")] Date[] forwardValueDates,
[ExcelArgument(Description = "The required percentiles. 95th percentile should be entered as 0.95. Can be a list of percentiles and the PFE will be calculated at each of the provided levels.")] double[] requiredPecentiles,
[ExcelArgument(Description = "A model able to handle all the market observables required to calculate the cashflows in the portfolio.")] NumeraireSimulator model,
[ExcelArgument(Description = "The number of simulations required.")] int nSims)
{
Coordinator coordinator = new Coordinator(model, new List <Simulator>(), nSims);
return(coordinator.PFE(products, valueDate, forwardValueDates, requiredPecentiles));
}
public static ResultStore Value([ExcelArgument(Description = "A list of products.")] Product[] products,
[QuantSAExcelArgument(Description = "The value date.")] Date valueDate,
[QuantSAExcelArgument(Description = "A model able to handle all the market observables required to calculate the cashflows in the portfolio.")] NumeraireSimulator model,
[QuantSAExcelArgument(Description = "Optional. The number of simulations required if the model requires simulation. If left blank will use a default value depending on the model.", Default = "1")] int nSims)
{
//int N = (nSims[0, 0] is ExcelMissing) ? 1 : XU.GetInt0D(nSims, "nSims");
Coordinator coordinator = new Coordinator(model, new List <Simulator>(), nSims);
double value = coordinator.Value(products, valueDate);
ResultStore result = new ResultStore();
result.Add("value", value);
return(result);
}
public static object _CreateCurveModel(string objectName,
object[,] discountCurve,
object[,] rateForecastCurves,
object[,] fxForecastCurves)
{
try
{
IDiscountingSource _discountCurve = XU.GetObject0D <IDiscountingSource>(discountCurve, "discountCurve");
IFloatingRateSource[] _rateForecastCurves = XU.GetObject1D <IFloatingRateSource>(rateForecastCurves, "rateForecastCurves");
IFXSource[] _fxForecastCurves = XU.GetObject1D <IFXSource>(fxForecastCurves, "fxForecastCurves");
NumeraireSimulator _result = XLValuation.CreateCurveModel(_discountCurve, _rateForecastCurves, _fxForecastCurves);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _Value(string objectName,
object[,] products,
object[,] valueDate,
object[,] model,
object[,] nSims)
{
try
{
Product[] _products = XU.GetObject1D <Product>(products, "products");
Date _valueDate = XU.GetDate0D(valueDate, "valueDate");
NumeraireSimulator _model = XU.GetObject0D <NumeraireSimulator>(model, "model");
Int32 _nSims = XU.GetInt320D(nSims, "nSims", 1);
ResultStore _result = XLValuation.Value(_products, _valueDate, _model, _nSims);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object[,] _EPE(object[,] products,
object[,] valueDate,
object[,] forwardValueDates,
object[,] model,
object[,] nSims)
{
try
{
Product[] _products = XU.GetObject1D <Product>(products, "products");
Date _valueDate = XU.GetDate0D(valueDate, "valueDate");
Date[] _forwardValueDates = XU.GetDate1D(forwardValueDates, "forwardValueDates");
NumeraireSimulator _model = XU.GetObject0D <NumeraireSimulator>(model, "model");
Int32 _nSims = XU.GetInt320D(nSims, "nSims");
Double[] _result = XLValuation.EPE(_products, _valueDate, _forwardValueDates, _model, _nSims);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error2D(e));
}
}