public static object eqInstIRBasisSwap(
[ExcelArgument(Description = "trade id ")] string tradeid,
[ExcelArgument(Description = "payer/receiver (1/0) ")] bool ispayer,
[ExcelArgument(Description = "notional ")] double notional,
[ExcelArgument(Description = "start date ")] DateTime startdate,
[ExcelArgument(Description = " (String) forward start month, e.g. 7D, 3M, 7Y ")] string Tenor,
[ExcelArgument(Description = "id of base index ")] string baseindexid,
[ExcelArgument(Description = "id of basis index ")] string basisindexid,
[ExcelArgument(Description = "basis leg spread ")] double spread,
[ExcelArgument(Description = "id of discount curve ")] string discountId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
// by default
// endOfMonth_(1*Months<=swapTenor && swapTenor<=2*Years ? true : false),
bool end_of_month = true;
EliteQuant.DayCounter fixeddc = new EliteQuant.Actual360();
if (!baseindexid.Contains('@'))
{
baseindexid = "IDX@" + baseindexid;
}
IborIndex baseidx = OHRepository.Instance.getObject <IborIndex>(baseindexid);
if (!basisindexid.Contains('@'))
{
basisindexid = "IDX@" + basisindexid;
}
IborIndex basisidx = OHRepository.Instance.getObject <IborIndex>(basisindexid);
if (!discountId.Contains('@'))
{
discountId = "CRV@" + discountId;
}
YieldTermStructure discountcurve = OHRepository.Instance.getObject <YieldTermStructure>(discountId);
YieldTermStructureHandle dch = new YieldTermStructureHandle(discountcurve);
EliteQuant.Period tenor_ = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(Tenor);
EliteQuant.Date sdate = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(startdate);
EliteQuant.Date fdate = baseidx.fixingDate(sdate);
EliteQuant.Date tdate = baseidx.fixingCalendar().advance(sdate, tenor_);
// fixed leg 1 yr. Forward?
Schedule basesch = new Schedule(sdate, tdate, baseidx.tenor(),
baseidx.fixingCalendar(), baseidx.businessDayConvention(), baseidx.businessDayConvention(),
DateGeneration.Rule.Backward, end_of_month);
Schedule basissch = new Schedule(sdate, tdate, basisidx.tenor(),
basisidx.fixingCalendar(), basisidx.businessDayConvention(), basisidx.businessDayConvention(),
DateGeneration.Rule.Backward, end_of_month);
//GenericSwap swap = new GenericSwap((ispayer ? _GenericSwap.Type.Payer : _GenericSwap.Type.Receiver), notional,
// basesch, baseidx, baseidx.dayCounter(), basissch, basisidx, basisidx.dayCounter(), spread);
//DiscountingSwapEngine engine = new DiscountingSwapEngine(dch);
//swap.setPricingEngine(engine);
//Date refDate = discountcurve.referenceDate();
// Store the futures and return its id
//string id = "SWP@" + tradeid;
//OHRepository.Instance.storeObject(id, swap, callerAddress);
//id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss");
//return id;
return(0);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqInstIRVanillaSwap(
[ExcelArgument(Description = "trade id ")] string tradeid,
[ExcelArgument(Description = "payer/receiver (1/0) ")] bool ispayer,
[ExcelArgument(Description = "notional ")] double notional,
[ExcelArgument(Description = "fixed rate ")] double fixedRate,
[ExcelArgument(Description = "start date ")] DateTime startdate,
[ExcelArgument(Description = " (String) forward start month, e.g. 7D, 3M, 7Y ")] string Tenor,
[ExcelArgument(Description = "id of libor index ")] string indexid,
[ExcelArgument(Description = "floating leg spread ")] double spread,
[ExcelArgument(Description = "id of discount curve ")] string discountId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
// by default
bool end_of_month = true;
EliteQuant.DayCounter fixeddc = new EliteQuant.Thirty360();
EliteQuant.Period tenor_ = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(Tenor);
if (!indexid.Contains('@'))
{
indexid = "IDX@" + indexid;
}
IborIndex idx = OHRepository.Instance.getObject <IborIndex>(indexid);
if (!discountId.Contains('@'))
{
discountId = "CRV@" + discountId;
}
YieldTermStructure discountcurve = OHRepository.Instance.getObject <YieldTermStructure>(discountId);
YieldTermStructureHandle dch = new YieldTermStructureHandle(discountcurve);
EliteQuant.Date sdate = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(startdate);
EliteQuant.Date fdate = idx.fixingDate(sdate);
EliteQuant.Date tdate = idx.fixingCalendar().advance(sdate, tenor_);
Schedule fixedsch = new Schedule(sdate, tdate, new Period(6, TimeUnit.Months),
idx.fixingCalendar(), idx.businessDayConvention(), idx.businessDayConvention(),
DateGeneration.Rule.Backward, end_of_month);
Schedule floatingsch = new Schedule(sdate, tdate, idx.tenor(), idx.fixingCalendar(),
idx.businessDayConvention(), idx.businessDayConvention(),
DateGeneration.Rule.Backward, end_of_month);
VanillaSwap swap = new VanillaSwap(ispayer ? _VanillaSwap.Type.Payer : _VanillaSwap.Type.Receiver,
notional, fixedsch, fixedRate, fixeddc, floatingsch, idx, spread, idx.dayCounter());
DiscountingSwapEngine engine = new DiscountingSwapEngine(dch);
swap.setPricingEngine(engine);
Date refDate = discountcurve.referenceDate();
// Store the futures and return its id
string id = "SWP@" + tradeid;
OHRepository.Instance.storeObject(id, swap, 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!");
}
}
