public static object eqCurveIRGetDiscountFactor(
[ExcelArgument(Description = "curve id ")] string ObjectId,
[ExcelArgument(Description = "tenors ")] DateTime dt,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
if (!ObjectId.Contains('@'))
{
ObjectId = "CRV@" + ObjectId;
}
YieldTermStructureHandle curve = OHRepository.Instance.getObject <YieldTermStructureHandle>(ObjectId);
Date refDate = curve.referenceDate();
Date dt2 = EliteQuant.EQConverter.ConvertObject <Date>(dt);
double discount = curve.discount(dt2);
return(discount);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqInstCommodityFuture(
[ExcelArgument(Description = "id of instrument ")] string ObjectId,
[ExcelArgument(Description = "name of instrument ")] string name, // given by user, could be the same as objectid
[ExcelArgument(Description = "buy/sell (1/-1) ")] int buysell,
[ExcelArgument(Description = "trade price ")] double tradePrice,
[ExcelArgument(Description = "trade quantity ")] double quantity,
[ExcelArgument(Description = "start date ")] DateTime startdate,
[ExcelArgument(Description = "end date ")] DateTime enddate,
[ExcelArgument(Description = "id of commodity index ")] string indexid,
[ExcelArgument(Description = "id of discount curve ")] string discountId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
CommodityIndexExt idx = OHRepository.Instance.getObject <CommodityIndexExt>(indexid);
YieldTermStructureHandle discountcurve = OHRepository.Instance.getObject <YieldTermStructureHandle>(discountId);
Date refDate = discountcurve.referenceDate();
EliteQuant.Date sd = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(startdate);
EliteQuant.Date ed = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(enddate);
PricingPeriodExt pp = new PricingPeriodExt(sd, ed, sd, quantity); // pay at start date
EnergyFutureExt ef = new EnergyFutureExt(buysell, pp, tradePrice, idx, name, discountcurve);
// Store the futures and return its id
string id = "Fut@" + ObjectId;
OHRepository.Instance.storeObject(id, ef, callerAddress);
id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss");
return(id);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqInstCommodityVanillaSwap(
[ExcelArgument(Description = "id of instrument ")] string ObjectId,
[ExcelArgument(Description = "name of instrument ")] string name,
[ExcelArgument(Description = "payer/receiver (1/0) ")] bool payer,
[ExcelArgument(Description = "trade price ")] double fixedPrice,
[ExcelArgument(Description = "trade quantity ")] double[] quantities,
[ExcelArgument(Description = "start date ")] object[] startdates,
[ExcelArgument(Description = "end date ")] object[] enddates,
[ExcelArgument(Description = "id of commodity index ")] string indexid,
[ExcelArgument(Description = "id of discount curve ")] string discountId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
//bool ispayer = string.Compare(payer.ToUpper(), "PAYER") == 0 ? true : false;
bool ispayer = payer;
if (startdates.Length != enddates.Length)
{
return("size mismatch");
}
Xl.Range rng = ExcelUtil.getActiveCellRange();
CommodityIndexExt idx = OHRepository.Instance.getObject <CommodityIndexExt>(indexid);
YieldTermStructureHandle discountcurve = OHRepository.Instance.getObject <YieldTermStructureHandle>(discountId);
Date refDate = discountcurve.referenceDate();
PricingPeriodExts pps = new PricingPeriodExts(startdates.Length);
for (int i = 0; i < startdates.Length; i++)
{
if (ExcelUtil.isNull(startdates[i]))
{
continue;
}
//EliteQuant.Date sd = Conversion.ConvertObject<EliteQuant.Date>((DateTime)startdates[i], "date");
//EliteQuant.Date ed = Conversion.ConvertObject<EliteQuant.Date>((DateTime)enddates[i], "date");
Date sd = new Date(Convert.ToInt32(startdates[i]));
Date ed = new Date(Convert.ToInt32(enddates[i]));
PricingPeriodExt pp = new PricingPeriodExt(sd, ed, sd, quantities[i]);
pps.Add(pp);
}
EnergyVanillaSwapExt evs = new EnergyVanillaSwapExt(ispayer, fixedPrice, idx, pps, name, discountcurve, discountcurve,
Frequency.Monthly, new NullCalendar());
// Store the futures and return its id
string id = "Swp@" + ObjectId;
OHRepository.Instance.storeObject(id, evs, callerAddress);
id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss");
return(id);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqInstCommodityBasisSwap(
[ExcelArgument(Description = "id of instrument ")] string ObjectId,
[ExcelArgument(Description = "name of instrument ")] string name,
[ExcelArgument(Description = "trade quantity ")] double[] quantities,
[ExcelArgument(Description = "start date ")] object[] startdates,
[ExcelArgument(Description = "end date ")] object[] enddates,
[ExcelArgument(Description = "payCoeff ")] double[] payCoeff,
[ExcelArgument(Description = "recCoeff ")] double[] recCoeff,
[ExcelArgument(Description = "paySpread ")] double[] paySprd,
[ExcelArgument(Description = "recSpread ")] double[] recSprd,
[ExcelArgument(Description = "id of pay leg index ")] string payeridxid,
[ExcelArgument(Description = "id of rec leg index ")] string recidxid,
[ExcelArgument(Description = "id of pay leg discount curve ")] string paydiscountId,
[ExcelArgument(Description = "id of rec leg discount curve ")] string recdiscountId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (startdates.Length != enddates.Length)
{
return("size mismatch");
}
Xl.Range rng = ExcelUtil.getActiveCellRange();
CommodityIndexExt payeridx = OHRepository.Instance.getObject <CommodityIndexExt>(payeridxid);
CommodityIndexExt recidx = OHRepository.Instance.getObject <CommodityIndexExt>(recidxid);
YieldTermStructureHandle paydiscountcurve = OHRepository.Instance.getObject <YieldTermStructureHandle>(paydiscountId);
YieldTermStructureHandle recdiscountcurve = OHRepository.Instance.getObject <YieldTermStructureHandle>(recdiscountId);
Date refDate = paydiscountcurve.referenceDate();
PricingPeriodExts pps = new PricingPeriodExts(startdates.Length);
for (int i = 0; i < startdates.Length; i++)
{
//EliteQuant.Date sd = Conversion.ConvertObject<EliteQuant.Date>((DateTime)startdates[i], "date");
//EliteQuant.Date ed = Conversion.ConvertObject<EliteQuant.Date>((DateTime)enddates[i], "date");
Date sd = new Date(Convert.ToInt32(startdates[i]));
Date ed = new Date(Convert.ToInt32(enddates[i]));
PricingPeriodExt pp = new PricingPeriodExt(sd, ed, sd, quantities[i], payCoeff[i], recCoeff[i], paySprd[i], recSprd[i]);
pps.Add(pp);
}
EnergyBasisSwapExt ebs = new EnergyBasisSwapExt(payeridx, recidx, pps, name, paydiscountcurve, recdiscountcurve, Frequency.Monthly, new NullCalendar());
// Store the futures and return its id
string id = "Swp@" + ObjectId;
OHRepository.Instance.storeObject(id, ebs, callerAddress);
id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss");
return(id);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}