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 _CreateRateForecastCurveFromDiscount(string objectName, object[,] floatingRateIndex, object[,] discountCurve, object[,] fixingCurve) { try { FloatingIndex _floatingRateIndex = XU.GetFloatingIndex0D(floatingRateIndex, "floatingRateIndex"); IDiscountingSource _discountCurve = XU.GetObject0D <IDiscountingSource>(discountCurve, "discountCurve"); IFloatingRateSource _fixingCurve = XU.GetObject0D <IFloatingRateSource>(fixingCurve, "fixingCurve", null); IFloatingRateSource _result = XLRates.CreateRateForecastCurveFromDiscount(_floatingRateIndex, _discountCurve, _fixingCurve); return(XU.AddObject(objectName, _result)); } catch (Exception e) { return(XU.Error0D(e)); } }
public static object _CreateHWModelDemo(string objectName, object[,] meanReversion, object[,] flatVol, object[,] baseCurve, object[,] forecastIndices) { try { Double _meanReversion = XU.GetDouble0D(meanReversion, "meanReversion"); Double _flatVol = XU.GetDouble0D(flatVol, "flatVol"); IDiscountingSource _baseCurve = XU.GetObject0D <IDiscountingSource>(baseCurve, "baseCurve"); FloatingIndex _forecastIndices = XU.GetFloatingIndex0D(forecastIndices, "forecastIndices"); HullWhite1F _result = XLRates.CreateHWModelDemo(_meanReversion, _flatVol, _baseCurve, _forecastIndices); 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)); } }