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!");
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(EnergyBasisSwapExt obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
