public static double LinearRateModel_OisRateComplex(string modelName, string oisSwapName)
{
LinearRateModel model = ObjectMap.LinearRateModels[modelName];
OisSwap swap = (OisSwap)ObjectMap.LinearRateInstruments[oisSwapName];
return(model.DiscCurve.OisRate(swap, InterpMethod.Hermite));
}
public static void RiskJacobian_Make(string baseHandle, string linearRateModelHandle, DateTime asOf, string[] calibSetsHandles, string[] curveTenors, bool useAd = false)
{
LinearRateModel model = ObjectMap.LinearRateModels[linearRateModelHandle];
RiskJacobian jacobian = new RiskJacobian(model, asOf);
if (calibSetsHandles.Length != curveTenors.Length)
{
throw new InvalidOperationException("CurveTenor and Calibration set handles must have same dimension.");
}
for (int i = 0; i < calibSetsHandles.Length; i++)
{
jacobian.AddInstruments(ObjectMap.CalibrationInstrumentSets[calibSetsHandles[i]], StrToEnum.CurveTenorConvert(curveTenors[i]));
}
// Using this procedure, the instruments are actually sorted.
jacobian.Initialize();
if (useAd)
{
// Construct using AD
jacobian.ConstructUsingAD();
}
else
{
jacobian.ConstructUsingBumpAndRun();
}
ObjectMap.RiskJacobians[baseHandle] = jacobian;
}
public static double LinearRateModel_BasisSwapValue(string baseName, string swapName)
{
LinearRateModel model = ObjectMap.LinearRateModels[baseName];
TenorBasisSwap swap = (TenorBasisSwap)ObjectMap.LinearRateInstruments[swapName];
return(model.BasisSwapNpv(swap));
}
public static double LinearRateModel_BasisParSpread(string modelName, string basisSwapName)
{
LinearRateModel model = ObjectMap.LinearRateModels[modelName];
TenorBasisSwap swap = (TenorBasisSwap)ObjectMap.LinearRateInstruments[basisSwapName];
return(model.ParBasisSpread(swap));
}
public static double LinearRateModel_FloatLegValue(string baseName, string floatLegName)
{
LinearRateModel model = ObjectMap.LinearRateModels[baseName];
FloatLeg fixedLeg = ObjectMap.FloatLegs[floatLegName];
return(model.ValueFloatLeg(fixedLeg));
}
public static double LinearRateModel_SwapParRate(string baseName, string swapName)
{
LinearRateModel model = ObjectMap.LinearRateModels[baseName];
IrSwap swap = (IrSwap)ObjectMap.LinearRateInstruments[swapName];
return(model.IrParSwapRate(swap));
}
public static double LinearRateModel_Value(string linearRateModelHandle, string productHandle)
{
LinearRateInstrument product = ObjectMap.LinearRateInstruments[productHandle];
LinearRateModel model = ObjectMap.LinearRateModels[linearRateModelHandle];
return(model.ValueLinearRateProduct(product));
}
public static object[,] ZcbRiskAD(string linearRateModelHandle, string productHandle)
{
LinearRateModel model = ObjectMap.LinearRateModels[linearRateModelHandle];
LinearRateInstrument product = ObjectMap.LinearRateInstruments[productHandle];
return(model.CreateTestOutputAD(product));
}
public static void InstrumentFactory_UpdateAllInstrumentsToPar(string baseName, string modelHandle)
{
LinearRateModel model = ObjectMap.LinearRateModels[modelHandle];
InstrumentFactory factory = ObjectMap.InstrumentFactories[baseName];
factory.UpdateAllInstrumentsToParGivenModel(model);
}
public static void LinearRateModel_Make(string baseName, string fwdCurveCollectionName, string discCurveName, InterpMethod interpolation)
{
FwdCurveContainer fwdCurves = ObjectMap.FwdCurveCollections[fwdCurveCollectionName];
Curve discCurve = ObjectMap.DiscCurves[discCurveName];
LinearRateModel model = new LinearRateModel(discCurve, fwdCurves, interpolation);
ObjectMap.LinearRateModels[baseName] = model;
}
public static void RiskEngineNew_Make(string baseHandle, string portfolioHandle, string riskJacobianHandle, bool useAd)
{
RiskJacobian jacobian = ObjectMap.RiskJacobians[riskJacobianHandle];
double determinant = jacobian.Jacobian.Determinant();
LinearRateModel model = jacobian.Model;
Portfolio portfolio = ObjectMap.Portfolios[portfolioHandle];
ObjectMap.RiskEngines[baseHandle] = new RiskEngine(model, portfolio, jacobian, useAd);
}
