public static object eqTimeNextIMMDate(
[ExcelArgument(Description = "Date ")] DateTime date,
[ExcelArgument(Description = "is main cycle ? ")] bool maincycle)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
OHRepository.Instance.removeErrorMessage(callerAddress);
try
{
if (date == DateTime.MinValue)
{
throw new Exception("Date must not be empty. ");
}
EliteQuant.Date d = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(date);
EliteQuant.Date immdate = EliteQuant.IMM.nextDate(d, maincycle);
return(immdate.serialNumber());
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqTimeAdjustDate(
[ExcelArgument(Description = "Date ")] DateTime date,
[ExcelArgument(Description = "Calendar (default NYC) ")] string calendar,
[ExcelArgument(Description = "BusinessDayConvention (default ModifiedFollowing) ")] string bdc)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
OHRepository.Instance.removeErrorMessage(callerAddress);
try
{
if (date == DateTime.MinValue)
{
throw new Exception("Date must not be empty. ");
}
EliteQuant.Date d = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(date);
if (string.IsNullOrEmpty(calendar))
{
calendar = "NYC";
}
EliteQuant.Calendar can = EliteQuant.EQConverter.ConvertObject <EliteQuant.Calendar>(calendar);
if (string.IsNullOrEmpty(bdc))
{
bdc = "MF";
}
BusinessDayConvention bdc2 = EliteQuant.EQConverter.ConvertObject <BusinessDayConvention>(bdc);
Date newday = can.adjust(d, bdc2);
return(newday.serialNumber());
}
catch (TypeInitializationException e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
object[,] ret = new object[5, 1];
ret[0, 1] = e.ToString();
ret[1, 1] = e.Message;
ret[2, 1] = e.StackTrace;
ret[3, 3] = e.Source;
ret[4, 1] = e.InnerException.Message;
return(ret);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqTimeAdvanceDate(
[ExcelArgument(Description = "Date ")] DateTime date,
[ExcelArgument(Description = "Calendar (default NYC) ")] string calendar,
[ExcelArgument(Description = "Tenor (e.g. '3D' or '2Y') ")] string tenor,
[ExcelArgument(Description = "BusinessDayConvention (default ModifiedFollowing) ")] string bdc,
[ExcelArgument(Description = "is endofmonth ")] bool eom)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
OHRepository.Instance.removeErrorMessage(callerAddress);
try
{
if (date == DateTime.MinValue)
{
throw new Exception("Date must not be empty. ");
}
EliteQuant.Date d = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(date);
if (string.IsNullOrEmpty(calendar))
{
calendar = "NYC";
}
EliteQuant.Calendar can = EliteQuant.EQConverter.ConvertObject <EliteQuant.Calendar>(calendar);
if (string.IsNullOrEmpty(tenor))
{
tenor = "1D";
}
EliteQuant.Period period = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(tenor);
if (string.IsNullOrEmpty(bdc))
{
bdc = "MF";
}
BusinessDayConvention bdc2 = EliteQuant.EQConverter.ConvertObject <BusinessDayConvention>(bdc);
Date newday = can.advance(d, period, bdc2, eom);
return(newday.serialNumber());
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
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 bool eqTimeIsBusinessDay(
[ExcelArgument(Description = "Date ")] DateTime date,
[ExcelArgument(Description = "Calendar (default NYC) ")] string calendar)
{
if (ExcelUtil.CallFromWizard())
{
return(false);
}
string callerAddress = "";
try
{
callerAddress = ExcelUtil.getActiveCellAddress();
OHRepository.Instance.removeErrorMessage(callerAddress);
}
catch (Exception)
{
}
try
{
if (date == DateTime.MinValue)
{
throw new Exception("Date must not be empty. ");
}
EliteQuant.Date d = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(date);
if (string.IsNullOrEmpty(calendar))
{
calendar = "NYC";
}
EliteQuant.Calendar can = EliteQuant.EQConverter.ConvertObject <EliteQuant.Calendar>(calendar);
return(can.isBusinessDay(d));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(false);
}
}
public static string eqInstSpreadOptionMonteCarlo(
[ExcelArgument(Description = "id of option to be constructed ")] string ObjectId,
[ExcelArgument(Description = "Option type (Call/Put) ")] string optype,
[ExcelArgument(Description = "Spot price leg 1")] double spot1,
[ExcelArgument(Description = "Spot price leg 2")] double spot2,
[ExcelArgument(Description = "Strike price ")] double stirkeprice,
[ExcelArgument(Description = "Expiry Date ")] DateTime exdate,
[ExcelArgument(Description = "Risk free rate ")] double riskfreerate,
[ExcelArgument(Description = "Black-Scholes Vol for leg 1 ")] double vol1,
[ExcelArgument(Description = "Black-Scholes Vol for leg 2 ")] double vol2,
[ExcelArgument(Description = "correlation between leg 1 and leg 2 ")] double corr,
[ExcelArgument(Description = "DayCounter ")] string daycounter,
[ExcelArgument(Description = "Calendar ")] string calendar,
[ExcelArgument(Description = "Pseudorandom (pr) or lowdiscrepancy (ld) ")] string traits,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (exdate == DateTime.MinValue)
{
throw new Exception("Date must not be empty. ");
}
if (ExcelUtil.isNull(daycounter))
{
daycounter = "ACTUAL365";
}
if (ExcelUtil.isNull(calendar))
{
calendar = "NYC";
}
if (ExcelUtil.isNull(traits))
{
traits = "pr";
}
Option.Type optiontype;
if (optype.ToUpper() == "CALL")
{
optiontype = Option.Type.Call;
}
else if (optype.ToUpper() == "PUT")
{
optiontype = Option.Type.Put;
}
else
{
throw new Exception("Unknow option type");
}
EliteQuant.Calendar cal = EliteQuant.EQConverter.ConvertObject <EliteQuant.Calendar>(calendar);
EliteQuant.DayCounter dc = EliteQuant.EQConverter.ConvertObject <EliteQuant.DayCounter>(daycounter);
EliteQuant.Date maturitydate = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(exdate);
EliteQuant.Date today = EliteQuant.Settings.instance().getEvaluationDate();
EliteQuant.Date settlementdate = today; // T+2
if (maturitydate.serialNumber() <= today.serialNumber())
{
throw new Exception("Option already expired.");
}
YieldTermStructureHandle rTSH = new YieldTermStructureHandle(
new FlatForward(settlementdate, riskfreerate, dc));
BlackVolTermStructureHandle flatVolTSH1 = new BlackVolTermStructureHandle(
new BlackConstantVol(settlementdate, cal, vol1, dc));
BlackVolTermStructureHandle flatVolTSH2 = new BlackVolTermStructureHandle(
new BlackConstantVol(settlementdate, cal, vol2, dc));
Quote qh1 = new SimpleQuote(spot1);
Quote qh2 = new SimpleQuote(spot2);
QuoteHandle s1 = new QuoteHandle(qh1);
QuoteHandle s2 = new QuoteHandle(qh2);
BlackProcess p1 = new BlackProcess(s1, rTSH, flatVolTSH1);
BlackProcess p2 = new BlackProcess(s2, rTSH, flatVolTSH2);
StochasticProcessVector spv = new StochasticProcessVector(2);
spv.Add(p1);
spv.Add(p2);
Matrix corrmtrx = new Matrix(2, 2);
corrmtrx.set(0, 0, 1.0); corrmtrx.set(1, 1, 1.0);
corrmtrx.set(0, 1, corr); corrmtrx.set(1, 0, corr);
StochasticProcessArray spa = new StochasticProcessArray(spv, corrmtrx);
PricingEngine engine = new MCEuropeanBasketEngine(spa, traits, 100, 1, false, true, 5000, 1e-6);
Payoff payoff1 = new PlainVanillaPayoff(optiontype, stirkeprice);
Payoff payoff2 = new SpreadBasketPayoff(payoff1);
Exercise exercise = new EuropeanExercise(maturitydate);
BasketOption bo = new BasketOption(payoff2, exercise);
bo.setPricingEngine(engine);
// Store the option and return its id
string id = "OPTION@" + ObjectId;
OHRepository.Instance.storeObject(id, bo, 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 string eqInstAmericanOptionBaroneAdesiWhaley(
[ExcelArgument(Description = "id of option to be constructed ")] string ObjectId,
[ExcelArgument(Description = "Option type ")] string optype,
[ExcelArgument(Description = "Spot price ")] double underlyingprice,
[ExcelArgument(Description = "Strike price ")] double stirkeprice,
[ExcelArgument(Description = "Expiry Date ")] DateTime date,
[ExcelArgument(Description = "Risk free rate ")] double riskfreerate,
[ExcelArgument(Description = "dividend/convenience rate ")] double dividendrate,
[ExcelArgument(Description = "Black-Scholes Vol ")] double volatility,
[ExcelArgument(Description = "DayCounter ")] string daycounter,
[ExcelArgument(Description = "Calendar ")] string calendar,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (date == DateTime.MinValue)
{
throw new Exception("Date must not be empty. ");
}
if (ExcelUtil.isNull(daycounter))
{
daycounter = "ACTUAL365";
}
if (ExcelUtil.isNull(calendar))
{
calendar = "NYC";
}
Option.Type optiontype;
if (optype.ToUpper() == "CALL")
{
optiontype = Option.Type.Call;
}
else if (optype.ToUpper() == "PUT")
{
optiontype = Option.Type.Put;
}
else
{
throw new Exception("Unknow option type");
}
EliteQuant.Calendar cal = EliteQuant.EQConverter.ConvertObject <EliteQuant.Calendar>(calendar);
EliteQuant.DayCounter dc = EliteQuant.EQConverter.ConvertObject <EliteQuant.DayCounter>(daycounter);
EliteQuant.Date maturitydate = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(date);
EliteQuant.Date today = EliteQuant.Settings.instance().getEvaluationDate();
EliteQuant.Date settlementdate = today; // T+2
if (maturitydate.serialNumber() <= today.serialNumber())
{
throw new Exception("Option already expired.");
}
AmericanExercise americanExercise = new AmericanExercise(today, maturitydate);
QuoteHandle underlyingQuoteH = new QuoteHandle(new EliteQuant.SimpleQuote(underlyingprice));
YieldTermStructureHandle flatRateTSH = new YieldTermStructureHandle(
new FlatForward(settlementdate, riskfreerate, dc));
YieldTermStructureHandle flatDividendTSH = new YieldTermStructureHandle(
new FlatForward(settlementdate, dividendrate, dc));
BlackVolTermStructureHandle flatVolTSH = new BlackVolTermStructureHandle(
new BlackConstantVol(settlementdate, cal, volatility, dc));
BlackScholesMertonProcess stochasticProcess = new BlackScholesMertonProcess(underlyingQuoteH,
flatDividendTSH, flatRateTSH, flatVolTSH);
PlainVanillaPayoff payoff = new PlainVanillaPayoff(optiontype, stirkeprice);
VanillaOption europeanOption = new VanillaOption(payoff, americanExercise);
europeanOption.setPricingEngine(new BaroneAdesiWhaleyEngine(stochasticProcess));
// Store the option and return its id
string id = "OPTION@" + ObjectId;
OHRepository.Instance.storeObject(id, europeanOption, 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 eqInstIROISSwap(
[ExcelArgument(Description = "trade id ")] string tradeid,
[ExcelArgument(Description = "payer/receiver (1/0) ")] bool ispayer,
[ExcelArgument(Description = "notional ")] double notional,
[ExcelArgument(Description = "fixed rate ")] double fixedRate,
[ExcelArgument(Description = "start date ")] DateTime startdate,
[ExcelArgument(Description = " (String) forward start month, e.g. 7D, 3M, 7Y ")] string Tenor,
[ExcelArgument(Description = "id of overnight index ")] string indexid,
[ExcelArgument(Description = "floating leg spread ")] double spread,
[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();
// by default
// endOfMonth_(1*Months<=swapTenor && swapTenor<=2*Years ? true : false),
bool end_of_month = true;
EliteQuant.DayCounter fixeddc = new EliteQuant.Actual360();
if (!indexid.Contains('@'))
{
indexid = "IDX@" + indexid;
}
OvernightIndex idx = OHRepository.Instance.getObject <OvernightIndex>(indexid);
if (!discountId.Contains('@'))
{
discountId = "CRV@" + discountId;
}
YieldTermStructure discountcurve = OHRepository.Instance.getObject <YieldTermStructure>(discountId);
YieldTermStructureHandle dch = new YieldTermStructureHandle(discountcurve);
EliteQuant.Period tenor_ = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(Tenor);
EliteQuant.Date sdate = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(startdate);
EliteQuant.Date fdate = idx.fixingDate(sdate);
EliteQuant.Date tdate = idx.fixingCalendar().advance(sdate, tenor_);
// fixed leg 1 yr. Forward?
Schedule fixedsch = new Schedule(sdate, tdate, new Period(1, TimeUnit.Years),
idx.fixingCalendar(), idx.businessDayConvention(), idx.businessDayConvention(),
DateGeneration.Rule.Forward, end_of_month);
OvernightIndexedSwap swap = new OvernightIndexedSwap(ispayer ? _OvernightIndexedSwap.Type.Payer : _OvernightIndexedSwap.Type.Receiver,
notional, fixedsch, fixedRate, fixeddc, idx, spread);
DiscountingSwapEngine engine = new DiscountingSwapEngine(dch);
swap.setPricingEngine(engine);
Date refDate = discountcurve.referenceDate();
// Store the futures and return its id
string id = "SWP@" + tradeid;
OHRepository.Instance.storeObject(id, swap, 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!");
}
}
