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 _CreateEquityModel(string objectName,
object[,] discountCurve,
object[,] shares,
object[,] spotPrices,
object[,] volatilities,
object[,] divYields,
object[,] correlations,
object[,] rateForecastCurves)
{
try
{
var _discountCurve = XU.GetObject0D <IDiscountingSource>(discountCurve, "discountCurve");
var _shares = XU.GetSpecialType1D <Share>(shares, "shares");
var _spotPrices = XU.GetDouble1D(spotPrices, "spotPrices");
var _volatilities = XU.GetDouble1D(volatilities, "volatilities");
var _divYields = XU.GetDouble1D(divYields, "divYields");
var _correlations = XU.GetDouble2D(correlations, "correlations");
var _rateForecastCurves = XU.GetObject1D <IFloatingRateSource>(rateForecastCurves, "rateForecastCurves");
var _result = XLEquities.CreateEquityModel(_discountCurve, _shares, _spotPrices, _volatilities,
_divYields, _correlations, _rateForecastCurves);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateMultiHWAndFXToy(string objectName,
object[,] anchorDate,
object[,] numeraireCcy,
object[,] rateSimulators,
object[,] currencies,
object[,] spots,
object[,] vols,
object[,] correlations)
{
try
{
var _anchorDate = XU.GetDate0D(anchorDate, "anchorDate");
var _numeraireCcy = XU.GetSpecialType0D <Currency>(numeraireCcy, "numeraireCcy");
var _rateSimulators = XU.GetObject1D <HullWhite1F>(rateSimulators, "rateSimulators");
var _currencies = XU.GetSpecialType1D <Currency>(currencies, "currencies");
var _spots = XU.GetDouble1D(spots, "spots");
var _vols = XU.GetDouble1D(vols, "vols");
var _correlations = XU.GetDouble2D(correlations, "correlations");
var _result = XLFX.CreateMultiHWAndFXToy(_anchorDate, _numeraireCcy, _rateSimulators, _currencies,
_spots, _vols, _correlations);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
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 _CreateFloatLeg(string objectName,
object[,] currency,
object[,] floatingIndex,
object[,] resetDates,
object[,] paymentDates,
object[,] notionals,
object[,] spreads,
object[,] accrualFractions)
{
try
{
var _currency = XU.GetSpecialType0D <Currency>(currency, "currency");
var _floatingIndex = XU.GetSpecialType0D <FloatingIndex>(floatingIndex, "floatingIndex");
var _resetDates = XU.GetDate1D(resetDates, "resetDates");
var _paymentDates = XU.GetDate1D(paymentDates, "paymentDates");
var _notionals = XU.GetDouble1D(notionals, "notionals");
var _spreads = XU.GetDouble1D(spreads, "spreads");
var _accrualFractions = XU.GetDouble1D(accrualFractions, "accrualFractions");
var _result = XLRates.CreateFloatLeg(_currency, _floatingIndex, _resetDates, _paymentDates, _notionals,
_spreads, _accrualFractions);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateFloatLeg(string objectName,
object[,] currency,
object[,] floatingIndex,
object[,] resetDates,
object[,] paymentDates,
object[,] notionals,
object[,] spreads,
object[,] accrualFractions)
{
try
{
Currency _currency = XU.GetCurrency0D(currency, "currency");
FloatingIndex _floatingIndex = XU.GetFloatingIndex0D(floatingIndex, "floatingIndex");
Date[] _resetDates = XU.GetDate1D(resetDates, "resetDates");
Date[] _paymentDates = XU.GetDate1D(paymentDates, "paymentDates");
Double[] _notionals = XU.GetDouble1D(notionals, "notionals");
Double[] _spreads = XU.GetDouble1D(spreads, "spreads");
Double[] _accrualFractions = XU.GetDouble1D(accrualFractions, "accrualFractions");
FloatLeg _result = XLRates.CreateFloatLeg(_currency, _floatingIndex, _resetDates, _paymentDates, _notionals, _spreads, _accrualFractions);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _FitCurveNelsonSiegel(string objectName,
object[,] anchorDate,
object[,] dates,
object[,] rates)
{
try
{
Date _anchorDate = XU.GetDate0D(anchorDate, "anchorDate");
Date[] _dates = XU.GetDate1D(dates, "dates");
Double[] _rates = XU.GetDouble1D(rates, "rates");
ICurve _result = XLCurves.FitCurveNelsonSiegel(_anchorDate, _dates, _rates);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateDatesAndRatesCurve(string objectName,
object[,] dates,
object[,] rates,
object[,] currency)
{
try
{
Date[] _dates = XU.GetDate1D(dates, "dates");
Double[] _rates = XU.GetDouble1D(rates, "rates");
Currency _currency = XU.GetCurrency0D(currency, "currency", Currency.ANY);
IDiscountingSource _result = XLCurves.CreateDatesAndRatesCurve(_dates, _rates, _currency);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateCashLeg(string objectName,
object[,] paymentDates,
object[,] amounts,
object[,] currencies)
{
try
{
var _paymentDates = XU.GetDate1D(paymentDates, "paymentDates");
var _amounts = XU.GetDouble1D(amounts, "amounts");
var _currencies = XU.GetSpecialType1D <Currency>(currencies, "currencies");
var _result = XLRates.CreateCashLeg(_paymentDates, _amounts, _currencies);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateDatesAndRatesCurve(string objectName,
object[,] dates,
object[,] rates,
object[,] currency)
{
try
{
var _dates = XU.GetDate1D(dates, "dates");
var _rates = XU.GetDouble1D(rates, "rates");
var _currency = XU.GetSpecialType0D(currency, "currency", Currency.ANY);
var _result = XLCurves.CreateDatesAndRatesCurve(_dates, _rates, _currency);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateCashLeg(string objectName,
object[,] paymentDates,
object[,] amounts,
object[,] currencies)
{
try
{
Date[] _paymentDates = XU.GetDate1D(paymentDates, "paymentDates");
Double[] _amounts = XU.GetDouble1D(amounts, "amounts");
Currency[] _currencies = XU.GetCurrency1D(currencies, "currencies");
CashLeg _result = XLRates.CreateCashLeg(_paymentDates, _amounts, _currencies);
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 _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));
}
}
public static object _CreateFixedLeg(string objectName,
object[,] currency,
object[,] paymentDates,
object[,] notionals,
object[,] rates,
object[,] accrualFractions)
{
try
{
var _currency = XU.GetSpecialType0D <Currency>(currency, "currency");
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 _result = XLRates.CreateFixedLeg(_currency, _paymentDates, _notionals, _rates, _accrualFractions);
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));
}
}
public static object[,] _PFE(object[,] products,
object[,] valueDate,
object[,] forwardValueDates,
object[,] requiredPecentiles,
object[,] model,
object[,] nSims)
{
try
{
Product[] _products = XU.GetObject1D <Product>(products, "products");
Date _valueDate = XU.GetDate0D(valueDate, "valueDate");
Date[] _forwardValueDates = XU.GetDate1D(forwardValueDates, "forwardValueDates");
Double[] _requiredPecentiles = XU.GetDouble1D(requiredPecentiles, "requiredPecentiles");
NumeraireSimulator _model = XU.GetObject0D <NumeraireSimulator>(model, "model");
Int32 _nSims = XU.GetInt320D(nSims, "nSims");
Double[,] _result = XLValuation.PFE(_products, _valueDate, _forwardValueDates, _requiredPecentiles, _model, _nSims);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error2D(e));
}
}