// Risk of a vanilla swap with respect discounting and forwarding curves (it works only for multi-curve)
object IRate.SwapRisk(string idCode, double Rate, string SwapTenor, bool PayOrRec, double Nominal, double shift, int caseSwitch)
{
// Get Fwd Start Swap according to underlying rate floating tenor used in building carve (es 3m or 6m,..)
if (m_xlApp != null)
{
m_xlApp.Volatile(true);
}
try
{
IMultiRateCurve MultiCurve = null; // initialise a multi curve
if (MCDictionary.TryGetValue(idCode, out MultiCurve)) // is the idCode in dictionary?
{
object OutPut = null;
VanillaSwap swap = new VanillaSwap(MultiCurve, Rate, SwapTenor, PayOrRec, Nominal);
switch (caseSwitch)
{
case 1:
OutPut = (double[])swap.BPVShiftedDCurve(shift);
break;
case 2:
OutPut = (double)swap.BPVParallelShiftDCurve(shift);
break;
case 3:
OutPut = (double[])swap.BPVShiftedFwdCurve(shift);
break;
case 4:
OutPut = (double)swap.BPVParallelShiftFwdCurve(shift);
break;
default:
return(0);
// break;
}
return(OutPut);
}
else
{
return("Curve not found"); // curve not found
}
}
catch (Exception e)
{
return((string)e.ToString());
}
}
