public static object _CreateCDS(string objectName,
object[,] refEntity,
object[,] ccy,
object[,] paymentDates,
object[,] notionals,
object[,] rates,
object[,] accrualFractions,
object[,] boughtProtection)
{
try
{
var _refEntity = XU.GetSpecialType0D <ReferenceEntity>(refEntity, "refEntity");
var _ccy = XU.GetSpecialType0D <Currency>(ccy, "ccy");
var _paymentDates = XU.GetDate1D(paymentDates, "paymentDates");
var _notionals = XU.GetDouble1D(notionals, "notionals");
var _rates = XU.GetDouble1D(rates, "rates");
var _accrualFractions = XU.GetDouble1D(accrualFractions, "accrualFractions");
var _boughtProtection = XU.GetBoolean0D(boughtProtection, "boughtProtection");
var _result = XLCredit.CreateCDS(_refEntity, _ccy, _paymentDates, _notionals, _rates, _accrualFractions,
_boughtProtection);
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 _GetSurvivalProb(object[,] survivalProbabilitySource,
object[,] date1,
object[,] date2)
{
try
{
ISurvivalProbabilitySource _survivalProbabilitySource = XU.GetObject0D <ISurvivalProbabilitySource>(survivalProbabilitySource, "survivalProbabilitySource");
Date _date1 = XU.GetDate0D(date1, "date1");
Date _date2 = XU.GetDate0D(date2, "date2", null);
Double _result = XLCredit.GetSurvivalProb(_survivalProbabilitySource, _date1, _date2);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateHazardCurve(string objectName,
object[,] referenceEntity,
object[,] anchorDate,
object[,] dates,
object[,] hazardRates)
{
try
{
var _referenceEntity = XU.GetSpecialType0D <ReferenceEntity>(referenceEntity, "referenceEntity");
var _anchorDate = XU.GetDate0D(anchorDate, "anchorDate");
var _dates = XU.GetDate1D(dates, "dates");
var _hazardRates = XU.GetDouble1D(hazardRates, "hazardRates");
var _result = XLCredit.CreateHazardCurve(_referenceEntity, _anchorDate, _dates, _hazardRates);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
