public static void RunRisk()
{
dynamic xlApp;
xlApp = ExcelDnaUtil.Application;
// read loan data
double Balance = (double)(xlApp.Range["Balance"].Value2);
double Rate = (double)(xlApp.Range["Rate"].Value2);
double Spread = (double)(xlApp.Range["Spread"].Value2);
int Maturity = (int)(xlApp.Range["Maturity"].Value2);
int Resetting = (int)(xlApp.Range["ReSetting"].Value2);
string FixedOrARM = (string)(xlApp.Range["LoanType"].Value2);
string PIOrIO = (string)(xlApp.Range["RepaymentType"].Value2);
Debug.Assert(Maturity <= GlobalVar.GlobalMaxMortgageLoanMaturity, "Mortgage Loan Maturity should not be greater than " + GlobalVar.GlobalMaxMortgageLoanMaturity);
// Libor Curve
double[] Libor_Curve = ExcelCasting.myArray <double>(xlApp.Range["LiborCurve"].Value2);
int len = Libor_Curve.Length;
Debug.Assert(len <= GlobalVar.GlobalMaxMortgageLoanMaturity, "Libor Curve should be EXACTLY of 360 data points" + GlobalVar.GlobalMaxMortgageLoanMaturity);
LiborRates libor_rates = new LiborRates(Libor_Curve);
// Build the loan
IRepayment rmPI = RepaymentFactory.GetRep(PIOrIO);
IMortgageLoan loan = MortgageLoanFactory.GetLoan(FixedOrARM, Balance, Maturity, Rate, Resetting, Spread, libor_rates, rmPI);
loan.CashFlows();
// Write into excel
xlApp = ExcelDnaUtil.Application;
try
{
dynamic range = xlApp.Range["BegBalanceOutput"];
range.Value = ExcelCasting.toColumnVect(loan.Write(loan.ReturnBegBalance()));
range = xlApp.Range["InterestOutput"];
range.Value = ExcelCasting.toColumnVect(loan.Write(loan.ReturnInterest()));
range = xlApp.Range["PrincipalOutput"];
range.Value = ExcelCasting.toColumnVect(loan.Write(loan.ReturnPrincipal()));
range = xlApp.Range["CashCollectionsOutput"];
range.Value = ExcelCasting.toColumnVect(loan.Write(loan.ReturnCashCollections()));
range = xlApp.Range["EndBalanceOutput"];
range.Value = ExcelCasting.toColumnVect(loan.Write(loan.ReturnEndBalance()));
}
catch (Exception e)
{
MessageBox.Show("Error: " + e.ToString());
}
}
public static object[,] LoanAmortisation(
[ExcelArgument(Description = @"Balance Notional")] double Balance,
[ExcelArgument(Description = @"Loan Rate")] double Rate,
[ExcelArgument(Description = @"Loan Spread, Zero if It is a Fixed Rate Loan")] double Spread,
[ExcelArgument(Description = @"Maturity Period")] int Maturity,
[ExcelArgument(Description = @"Rate Resetting Period, the same as Maturity if it is a Fixed Rate Loan")] int Resetting,
[ExcelArgument(Description = @"Fixed (Fixed) or ARM (ARM)")] string FixedOrARM,
[ExcelArgument(Description = @"Principal and Interest (PI) or Interest Only (IO)")] string PIOrIO,
[ExcelArgument(Description = @"Libor Curve as an array")] double[] Libor_Curve)
{
// check Loan Maturity
Debug.Assert(Maturity <= GlobalVar.GlobalMaxMortgageLoanMaturity, "Mortgage Loan Maturity should not be greater than " + GlobalVar.GlobalMaxMortgageLoanMaturity);
// Libor Curve
LiborRates libor_rates = new LiborRates(Libor_Curve);
int len = Libor_Curve.Length;
Debug.Assert(len <= GlobalVar.GlobalMaxMortgageLoanMaturity, "Libor Curve should be EXACTLY of 360 data points" + GlobalVar.GlobalMaxMortgageLoanMaturity);
// Build the loan
IRepayment rmPI = RepaymentFactory.GetRep(PIOrIO);
IMortgageLoan loan = MortgageLoanFactory.GetLoan(FixedOrARM, Balance, Maturity, Rate, Resetting, Spread, libor_rates, rmPI);
loan.CashFlows();
double[] BegBal = loan.Write(loan.ReturnBegBalance());
double[] Interest = loan.Write(loan.ReturnInterest());
double[] Principal = loan.Write(loan.ReturnPrincipal());
double[] Collections = loan.Write(loan.ReturnCashCollections());
double[] EndBal = loan.Write(loan.ReturnEndBalance());
object[,] a = new object[MBSExcelDNA.Global.GlobalVar.GlobalMaxMortgageLoanMaturity, 5];
for (int i = 0; i < (int)MBSExcelDNA.Global.GlobalVar.GlobalMaxMortgageLoanMaturity; i++)
{
a[i, 0] = BegBal[i];
a[i, 1] = Interest[i];
a[i, 2] = Principal[i];
a[i, 3] = Collections[i];
a[i, 4] = EndBal[i];
}
return(a);
}
private static IMortgageLoan construct_loan(double Balance, double Rate, double Spread, int Maturity, int Resetting, string FixedOrARM, string PIOrIO, string Libor_Name)
{
LiborRates LiborRate;
GlobalCache.TryGetObject <LiborRates>(Libor_Name, out LiborRate);
IMortgageLoan loan = null;
try
{
// Build the loan
IRepayment rmPI = RepaymentFactory.GetRep(PIOrIO);
loan = MortgageLoanFactory.GetLoan(FixedOrARM, Balance, Maturity, Rate, Resetting, Spread, LiborRate, rmPI);
}
catch (Exception ex)
{
lock (m_sync)
{
LogDisplay.WriteLine("Error: " + ex.ToString());
}
}
return(loan);
}