public static EliteQuant.DoubleVector VectorToEQVector(double[] v)
{
int row = v.Count();
EliteQuant.DoubleVector vec = new EliteQuant.DoubleVector(row);
for (int i = 0; i < row; i++)
vec[i] = v[i];
return vec;
}
public static double[] EQVectorToVector(EliteQuant.DoubleVector v)
{
int row = v.Count();
double[] vec = new double[row];
for (int i = 0; i < row; i++)
vec[i] = v[i];
return vec;
}
public static string eqIRCurveLinearZero(
[ExcelArgument(Description = "(String) id of curve (USDOIS, USDLIB3M) ")] string ObjectId,
[ExcelArgument(Description = "array of rate helpers ")] object[] ratehelpers,
[ExcelArgument(Description = "Interpolation Method (default LogLinear) ")] string interp,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
Xl.Range rng = ExcelUtil.getActiveCellRange();
try
{
string interpmethod;
if (ExcelUtil.isNull(interp))
{
interpmethod = "LOGLINEAR";
}
else
{
interpmethod = interp.ToUpper();
}
EliteQuant.RateHelperVector rhv = new EliteQuant.RateHelperVector();
EliteQuant.Date today = EliteQuant.Settings.instance().getEvaluationDate();
List <EliteQuant.Date> dates = new List <EliteQuant.Date>();
dates.Add(today); // today has discount 1
foreach (var rid in ratehelpers)
{
if (ExcelUtil.isNull(rid))
{
continue;
}
try
{
EliteQuant.RateHelper rh = OHRepository.Instance.getObject <EliteQuant.RateHelper>((string)rid);
rhv.Add(rh);
dates.Add(rh.latestDate());
}
catch (Exception)
{
// skip null instruments
}
}
// set reference date to today. or discount to 1
EliteQuant.YieldTermStructure yth = new EliteQuant.PiecewiseLogLinearDiscount(today, rhv, dc_act_360);
EliteQuant.DateVector dtv = new EliteQuant.DateVector();
EliteQuant.DoubleVector discv = new EliteQuant.DoubleVector();
foreach (var dt in dates)
{
double disc = yth.discount(dt);
dtv.Add(dt);
discv.Add(disc);
}
// reconstruct the discount curve
// note that discount curve is LogLinear
EliteQuant.YieldTermStructure yth2 = null;
yth2 = new EliteQuant.DiscountCurve(dtv, discv, dc_act_360, ObjectId.Contains("OIS") ? cal_usd : cal_usd_gbp);
if (!ObjectId.Contains('@'))
{
ObjectId = "CRV@" + ObjectId;
}
//string id = "IRCRV@" + ObjectId;
string id = ObjectId;
OHRepository.Instance.storeObject(id, yth2, callerAddress);
return(id + "#" + DateTime.Now.ToString("HH:mm:ss"));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
