public static object _CreatePCACurveSimulator(string objectName,
object[,] anchorDate,
object[,] initialRates,
object[,] tenors,
object[,] components,
object[,] vols,
object[,] multiplier,
object[,] useRelative,
object[,] floorAtZero)
{
try
{
Date _anchorDate = XU.GetDate0D(anchorDate, "anchorDate");
Double[] _initialRates = XU.GetDouble1D(initialRates, "initialRates");
Tenor[] _tenors = XU.GetTenor1D(tenors, "tenors");
Double[,] _components = XU.GetDouble2D(components, "components");
Double[] _vols = XU.GetDouble1D(vols, "vols");
Double _multiplier = XU.GetDouble0D(multiplier, "multiplier");
Boolean _useRelative = XU.GetBoolean0D(useRelative, "useRelative");
Boolean _floorAtZero = XU.GetBoolean0D(floorAtZero, "floorAtZero");
Object _result = XLCurves.CreatePCACurveSimulator(_anchorDate, _initialRates, _tenors, _components, _vols, _multiplier, _useRelative, _floorAtZero);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateZARBermudanSwaption(string objectName,
object[,] exerciseDates,
object[,] longOptionality,
object[,] startDate,
object[,] tenor,
object[,] rate,
object[,] payFixed,
object[,] notional)
{
try
{
var _exerciseDates = XU.GetDate1D(exerciseDates, "exerciseDates");
var _longOptionality = XU.GetBoolean0D(longOptionality, "longOptionality");
var _startDate = XU.GetDate0D(startDate, "startDate");
var _tenor = XU.GetSpecialType0D <Tenor>(tenor, "tenor");
var _rate = XU.GetDouble0D(rate, "rate");
var _payFixed = XU.GetBoolean0D(payFixed, "payFixed");
var _notional = XU.GetDouble0D(notional, "notional");
var _result = XLRates.CreateZARBermudanSwaption(_exerciseDates, _longOptionality, _startDate, _tenor,
_rate, _payFixed, _notional);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateModelDeterministicCreditWithFXJump(string objectName,
object[,] survivalProbSource,
object[,] otherCurrency,
object[,] fxSource,
object[,] valueCurrencyDiscount,
object[,] fxVol,
object[,] relJumpSizeInDefault,
object[,] expectedRecoveryRate)
{
try
{
var _survivalProbSource =
XU.GetObject0D <ISurvivalProbabilitySource>(survivalProbSource, "survivalProbSource");
var _otherCurrency = XU.GetSpecialType0D <Currency>(otherCurrency, "otherCurrency");
var _fxSource = XU.GetObject0D <IFXSource>(fxSource, "fxSource");
var _valueCurrencyDiscount =
XU.GetObject0D <IDiscountingSource>(valueCurrencyDiscount, "valueCurrencyDiscount");
var _fxVol = XU.GetDouble0D(fxVol, "fxVol");
var _relJumpSizeInDefault = XU.GetDouble0D(relJumpSizeInDefault, "relJumpSizeInDefault");
var _expectedRecoveryRate = XU.GetDouble0D(expectedRecoveryRate, "expectedRecoveryRate");
var _result = XLCredit.CreateModelDeterministicCreditWithFXJump(_survivalProbSource, _otherCurrency,
_fxSource, _valueCurrencyDiscount, _fxVol, _relJumpSizeInDefault, _expectedRecoveryRate);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateFXForecastCurve(string objectName,
object[,] baseCurrency,
object[,] counterCurrency,
object[,] fxRateAtAnchorDate,
object[,] baseCurrencyFXBasisCurve,
object[,] counterCurrencyFXBasisCurve)
{
try
{
var _baseCurrency = XU.GetSpecialType0D <Currency>(baseCurrency, "baseCurrency");
var _counterCurrency = XU.GetSpecialType0D <Currency>(counterCurrency, "counterCurrency");
var _fxRateAtAnchorDate = XU.GetDouble0D(fxRateAtAnchorDate, "fxRateAtAnchorDate");
var _baseCurrencyFXBasisCurve =
XU.GetObject0D <IDiscountingSource>(baseCurrencyFXBasisCurve, "baseCurrencyFXBasisCurve");
var _counterCurrencyFXBasisCurve =
XU.GetObject0D <IDiscountingSource>(counterCurrencyFXBasisCurve, "counterCurrencyFXBasisCurve");
var _result = XLFX.CreateFXForecastCurve(_baseCurrency, _counterCurrency, _fxRateAtAnchorDate,
_baseCurrencyFXBasisCurve, _counterCurrencyFXBasisCurve);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object FormulaBlackScholes([ExcelArgument(Description = "Strike")]
object[,] strike,
[ExcelArgument(Description = "The value date as and Excel date.")]
object[,] valueDate,
[ExcelArgument(Description = "The exercise date of the option. Must be greater than the value date.")]
object[,] exerciseDate,
[ExcelArgument(Description = "The spot proce of the underlying at the value date.")]
object[,] spotPrice,
[ExcelArgument(Description = "Annualized volatility.")]
object[,] vol,
[ExcelArgument(Description = "Continuously compounded risk free rate.")]
object[,] riskfreeRate,
[ExcelArgument(Description = "Continuously compounded dividend yield.")]
object[,] divYield)
{
try
{
return(BlackEtc.BlackScholes(PutOrCall.Call, XU.GetDouble0D(strike, "strike"),
(XU.GetDate0D(exerciseDate, "exerciseDate") - XU.GetDate0D(valueDate, "valueDate")) / 365.0,
XU.GetDouble0D(spotPrice, "spotPrice"), XU.GetDouble0D(vol, "vol"),
XU.GetDouble0D(riskfreeRate, "riskfreeRate"), XU.GetDouble0D(divYield, "divYield")));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _DFFromRate(object[,] rate,
object[,] compounding,
object[,] yearFraction)
{
try
{
var _rate = XU.GetDouble0D(rate, "rate");
var _compounding = XU.GetSpecialType0D <CompoundingConvention>(compounding, "compounding");
var _yearFraction = XU.GetDouble0D(yearFraction, "yearFraction");
var _result = XLConventions.DFFromRate(_rate, _compounding, _yearFraction);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateEquityCall(string objectName,
object[,] share,
object[,] exerciseDate,
object[,] strike)
{
try
{
var _share = XU.GetSpecialType0D <Share>(share, "share");
var _exerciseDate = XU.GetDate0D(exerciseDate, "exerciseDate");
var _strike = XU.GetDouble0D(strike, "strike");
var _result = XLEquities.CreateEquityCall(_share, _exerciseDate, _strike);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _RateConvert(object[,] rate,
object[,] compoundingFrom,
object[,] compoundingTo,
object[,] yearFraction)
{
try
{
var _rate = XU.GetDouble0D(rate, "rate");
var _compoundingFrom = XU.GetSpecialType0D <CompoundingConvention>(compoundingFrom, "compoundingFrom");
var _compoundingTo = XU.GetSpecialType0D <CompoundingConvention>(compoundingTo, "compoundingTo");
var _yearFraction = XU.GetDouble0D(yearFraction, "yearFraction", double.NaN);
var _result = XLConventions.RateConvert(_rate, _compoundingFrom, _compoundingTo, _yearFraction);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateHWModelDemo(string objectName,
object[,] meanReversion,
object[,] flatVol,
object[,] baseCurve,
object[,] forecastIndices)
{
try
{
var _meanReversion = XU.GetDouble0D(meanReversion, "meanReversion");
var _flatVol = XU.GetDouble0D(flatVol, "flatVol");
var _baseCurve = XU.GetObject0D <IDiscountingSource>(baseCurve, "baseCurve");
var _forecastIndices = XU.GetSpecialType0D <FloatingIndex>(forecastIndices, "forecastIndices");
var _result = XLRates.CreateHWModelDemo(_meanReversion, _flatVol, _baseCurve, _forecastIndices);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateLoanFixedRate(string objectName,
object[,] currency,
object[,] balanceDates,
object[,] balanceAmounts,
object[,] fixedRate)
{
try
{
var _currency = XU.GetSpecialType0D <Currency>(currency, "currency");
var _balanceDates = XU.GetDate1D(balanceDates, "balanceDates");
var _balanceAmounts = XU.GetDouble1D(balanceAmounts, "balanceAmounts");
var _fixedRate = XU.GetDouble0D(fixedRate, "fixedRate");
var _result = XLRates.CreateLoanFixedRate(_currency, _balanceDates, _balanceAmounts, _fixedRate);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateZARFRA(string objectName,
object[,] tradeDate,
object[,] notional,
object[,] rate,
object[,] fraCode,
object[,] payFixed)
{
try
{
var _tradeDate = XU.GetDate0D(tradeDate, "tradeDate");
var _notional = XU.GetDouble0D(notional, "notional");
var _rate = XU.GetDouble0D(rate, "rate");
var _fraCode = XU.GetSpecialType0D <string>(fraCode, "fraCode");
var _payFixed = XU.GetBoolean0D(payFixed, "payFixed");
var _result = XLRates.CreateZARFRA(_tradeDate, _notional, _rate, _fraCode, _payFixed);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateZARSwap(string objectName,
object[,] startDate,
object[,] tenor,
object[,] rate,
object[,] payFixed,
object[,] notional)
{
try
{
var _startDate = XU.GetDate0D(startDate, "startDate");
var _tenor = XU.GetSpecialType0D <Tenor>(tenor, "tenor");
var _rate = XU.GetDouble0D(rate, "rate");
var _payFixed = XU.GetBoolean0D(payFixed, "payFixed");
var _notional = XU.GetDouble0D(notional, "notional");
var _result = XLRates.CreateZARSwap(_startDate, _tenor, _rate, _payFixed, _notional);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateLoanFloatingRate(string objectName,
object[,] currency,
object[,] balanceDates,
object[,] balanceAmounts,
object[,] floatingIndex,
object[,] floatingSpread)
{
try
{
Currency _currency = XU.GetCurrency0D(currency, "currency");
Date[] _balanceDates = XU.GetDate1D(balanceDates, "balanceDates");
Double[] _balanceAmounts = XU.GetDouble1D(balanceAmounts, "balanceAmounts");
FloatingIndex _floatingIndex = XU.GetFloatingIndex0D(floatingIndex, "floatingIndex");
Double _floatingSpread = XU.GetDouble0D(floatingSpread, "floatingSpread");
LoanFloatingRate _result = XLRates.CreateLoanFloatingRate(_currency, _balanceDates, _balanceAmounts, _floatingIndex, _floatingSpread);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateLoanFloatingRate(string objectName,
object[,] currency,
object[,] balanceDates,
object[,] balanceAmounts,
object[,] floatingIndex,
object[,] floatingSpread)
{
try
{
var _currency = XU.GetSpecialType0D <Currency>(currency, "currency");
var _balanceDates = XU.GetDate1D(balanceDates, "balanceDates");
var _balanceAmounts = XU.GetDouble1D(balanceAmounts, "balanceAmounts");
var _floatingIndex = XU.GetSpecialType0D <FloatingIndex>(floatingIndex, "floatingIndex");
var _floatingSpread = XU.GetDouble0D(floatingSpread, "floatingSpread");
var _result = XLRates.CreateLoanFloatingRate(_currency, _balanceDates, _balanceAmounts, _floatingIndex,
_floatingSpread);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}