public static object eqInstGetOptionGreeks(
[ExcelArgument(Description = "id of option ")] string ObjectId,
[ExcelArgument(Description = "Greek type ")] string gtype,
[ExcelArgument(Description = "Option type (VANILLA or MULTIASSET)")] string otype,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
if (ExcelUtil.isNull(gtype))
{
gtype = "NPV";
}
if (ExcelUtil.isNull(otype))
{
otype = "VANILLA";
}
if (otype == "VANILLA")
{
VanillaOption option = OHRepository.Instance.getObject <VanillaOption>(ObjectId);
switch (gtype.ToUpper())
{
case "NPV":
return(option.NPV());
case "DELTA":
return(option.delta());
case "GAMMA":
return(option.gamma());
case "VEGA":
return(option.vega());
case "THETA":
return(option.theta());
case "RHO":
return(option.rho());
default:
return(0);
}
}
else if (otype == "MULTIASSET")
{
BasketOption option = OHRepository.Instance.getObject <BasketOption>(ObjectId);
switch (gtype.ToUpper())
{
case "NPV":
return(option.NPV());
case "DELTA":
return(option.delta());
case "GAMMA":
return(option.gamma());
case "VEGA":
return(option.vega());
case "THETA":
return(option.theta());
case "RHO":
return(option.rho());
default:
return(0);
}
}
else
{
return("Unknown option type");
}
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
