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 _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 _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 _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
{
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));
}
}