public static object _ValueZARSwap1Curve(object[,] swap, object[,] valueDate, object[,] curve) { try { IRSwap _swap = XU.GetObject0D <IRSwap>(swap, "swap"); Date _valueDate = XU.GetDate0D(valueDate, "valueDate"); IDiscountingSource _curve = XU.GetObject0D <IDiscountingSource>(curve, "curve"); Double _result = XLRates.ValueZARSwap1Curve(_swap, _valueDate, _curve); return(XU.ConvertToObjects(_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 _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 _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 { 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 { 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)); } }