public static object _CreateCurveModel(string objectName,
object[,] discountCurve,
object[,] rateForecastCurves,
object[,] fxForecastCurves)
{
try
{
IDiscountingSource _discountCurve = XU.GetObject0D <IDiscountingSource>(discountCurve, "discountCurve");
IFloatingRateSource[] _rateForecastCurves = XU.GetObject1D <IFloatingRateSource>(rateForecastCurves, "rateForecastCurves");
IFXSource[] _fxForecastCurves = XU.GetObject1D <IFXSource>(fxForecastCurves, "fxForecastCurves");
NumeraireSimulator _result = XLValuation.CreateCurveModel(_discountCurve, _rateForecastCurves, _fxForecastCurves);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _Value(string objectName,
object[,] products,
object[,] valueDate,
object[,] model,
object[,] nSims)
{
try
{
Product[] _products = XU.GetObject1D <Product>(products, "products");
Date _valueDate = XU.GetDate0D(valueDate, "valueDate");
NumeraireSimulator _model = XU.GetObject0D <NumeraireSimulator>(model, "model");
Int32 _nSims = XU.GetInt320D(nSims, "nSims", 1);
ResultStore _result = XLValuation.Value(_products, _valueDate, _model, _nSims);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object[,] _EPE(object[,] products,
object[,] valueDate,
object[,] forwardValueDates,
object[,] model,
object[,] nSims)
{
try
{
Product[] _products = XU.GetObject1D <Product>(products, "products");
Date _valueDate = XU.GetDate0D(valueDate, "valueDate");
Date[] _forwardValueDates = XU.GetDate1D(forwardValueDates, "forwardValueDates");
NumeraireSimulator _model = XU.GetObject0D <NumeraireSimulator>(model, "model");
Int32 _nSims = XU.GetInt320D(nSims, "nSims");
Double[] _result = XLValuation.EPE(_products, _valueDate, _forwardValueDates, _model, _nSims);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error2D(e));
}
}
public static object[,] _PFE(object[,] products,
object[,] valueDate,
object[,] forwardValueDates,
object[,] requiredPecentiles,
object[,] model,
object[,] nSims)
{
try
{
var _products = XU.GetObject1D <Product>(products, "products");
var _valueDate = XU.GetDate0D(valueDate, "valueDate");
var _forwardValueDates = XU.GetDate1D(forwardValueDates, "forwardValueDates");
var _requiredPecentiles = XU.GetDouble1D(requiredPecentiles, "requiredPecentiles");
var _model = XU.GetObject0D <NumeraireSimulator>(model, "model");
var _nSims = XU.GetInt320D(nSims, "nSims");
var _result = XLValuation.PFE(_products, _valueDate, _forwardValueDates, _requiredPecentiles, _model,
_nSims);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error2D(e));
}
}
