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)); } }