public static object _CreateFXForecastCurve(string objectName,
object[,] baseCurrency,
object[,] counterCurrency,
object[,] fxRateAtAnchorDate,
object[,] baseCurrencyFXBasisCurve,
object[,] counterCurrencyFXBasisCurve)
{
try
{
var _baseCurrency = XU.GetSpecialType0D <Currency>(baseCurrency, "baseCurrency");
var _counterCurrency = XU.GetSpecialType0D <Currency>(counterCurrency, "counterCurrency");
var _fxRateAtAnchorDate = XU.GetDouble0D(fxRateAtAnchorDate, "fxRateAtAnchorDate");
var _baseCurrencyFXBasisCurve =
XU.GetObject0D <IDiscountingSource>(baseCurrencyFXBasisCurve, "baseCurrencyFXBasisCurve");
var _counterCurrencyFXBasisCurve =
XU.GetObject0D <IDiscountingSource>(counterCurrencyFXBasisCurve, "counterCurrencyFXBasisCurve");
var _result = XLFX.CreateFXForecastCurve(_baseCurrency, _counterCurrency, _fxRateAtAnchorDate,
_baseCurrencyFXBasisCurve, _counterCurrencyFXBasisCurve);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreatePCACurveSimulator(string objectName,
object[,] anchorDate,
object[,] initialRates,
object[,] tenors,
object[,] components,
object[,] vols,
object[,] multiplier,
object[,] useRelative,
object[,] floorAtZero)
{
try
{
Date _anchorDate = XU.GetDate0D(anchorDate, "anchorDate");
Double[] _initialRates = XU.GetDouble1D(initialRates, "initialRates");
Tenor[] _tenors = XU.GetTenor1D(tenors, "tenors");
Double[,] _components = XU.GetDouble2D(components, "components");
Double[] _vols = XU.GetDouble1D(vols, "vols");
Double _multiplier = XU.GetDouble0D(multiplier, "multiplier");
Boolean _useRelative = XU.GetBoolean0D(useRelative, "useRelative");
Boolean _floorAtZero = XU.GetBoolean0D(floorAtZero, "floorAtZero");
Object _result = XLCurves.CreatePCACurveSimulator(_anchorDate, _initialRates, _tenors, _components, _vols, _multiplier, _useRelative, _floorAtZero);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateFloatLeg(string objectName,
object[,] currency,
object[,] floatingIndex,
object[,] resetDates,
object[,] paymentDates,
object[,] notionals,
object[,] spreads,
object[,] accrualFractions)
{
try
{
var _currency = XU.GetSpecialType0D <Currency>(currency, "currency");
var _floatingIndex = XU.GetSpecialType0D <FloatingIndex>(floatingIndex, "floatingIndex");
var _resetDates = XU.GetDate1D(resetDates, "resetDates");
var _paymentDates = XU.GetDate1D(paymentDates, "paymentDates");
var _notionals = XU.GetDouble1D(notionals, "notionals");
var _spreads = XU.GetDouble1D(spreads, "spreads");
var _accrualFractions = XU.GetDouble1D(accrualFractions, "accrualFractions");
var _result = XLRates.CreateFloatLeg(_currency, _floatingIndex, _resetDates, _paymentDates, _notionals,
_spreads, _accrualFractions);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateMultiHWAndFXToy(string objectName,
object[,] anchorDate,
object[,] numeraireCcy,
object[,] rateSimulators,
object[,] currencies,
object[,] spots,
object[,] vols,
object[,] correlations)
{
try
{
var _anchorDate = XU.GetDate0D(anchorDate, "anchorDate");
var _numeraireCcy = XU.GetSpecialType0D <Currency>(numeraireCcy, "numeraireCcy");
var _rateSimulators = XU.GetObject1D <HullWhite1F>(rateSimulators, "rateSimulators");
var _currencies = XU.GetSpecialType1D <Currency>(currencies, "currencies");
var _spots = XU.GetDouble1D(spots, "spots");
var _vols = XU.GetDouble1D(vols, "vols");
var _correlations = XU.GetDouble2D(correlations, "correlations");
var _result = XLFX.CreateMultiHWAndFXToy(_anchorDate, _numeraireCcy, _rateSimulators, _currencies,
_spots, _vols, _correlations);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateZARBermudanSwaption(string objectName,
object[,] exerciseDates,
object[,] longOptionality,
object[,] startDate,
object[,] tenor,
object[,] rate,
object[,] payFixed,
object[,] notional)
{
try
{
var _exerciseDates = XU.GetDate1D(exerciseDates, "exerciseDates");
var _longOptionality = XU.GetBoolean0D(longOptionality, "longOptionality");
var _startDate = XU.GetDate0D(startDate, "startDate");
var _tenor = XU.GetSpecialType0D <Tenor>(tenor, "tenor");
var _rate = XU.GetDouble0D(rate, "rate");
var _payFixed = XU.GetBoolean0D(payFixed, "payFixed");
var _notional = XU.GetDouble0D(notional, "notional");
var _result = XLRates.CreateZARBermudanSwaption(_exerciseDates, _longOptionality, _startDate, _tenor,
_rate, _payFixed, _notional);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object FormulaBlackScholes([ExcelArgument(Description = "Strike")]
object[,] strike,
[ExcelArgument(Description = "The value date as and Excel date.")]
object[,] valueDate,
[ExcelArgument(Description = "The exercise date of the option. Must be greater than the value date.")]
object[,] exerciseDate,
[ExcelArgument(Description = "The spot proce of the underlying at the value date.")]
object[,] spotPrice,
[ExcelArgument(Description = "Annualized volatility.")]
object[,] vol,
[ExcelArgument(Description = "Continuously compounded risk free rate.")]
object[,] riskfreeRate,
[ExcelArgument(Description = "Continuously compounded dividend yield.")]
object[,] divYield)
{
try
{
return(BlackEtc.BlackScholes(PutOrCall.Call, XU.GetDouble0D(strike, "strike"),
(XU.GetDate0D(exerciseDate, "exerciseDate") - XU.GetDate0D(valueDate, "valueDate")) / 365.0,
XU.GetDouble0D(spotPrice, "spotPrice"), XU.GetDouble0D(vol, "vol"),
XU.GetDouble0D(riskfreeRate, "riskfreeRate"), XU.GetDouble0D(divYield, "divYield")));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateEquityModel(string objectName,
object[,] discountCurve,
object[,] shares,
object[,] spotPrices,
object[,] volatilities,
object[,] divYields,
object[,] correlations,
object[,] rateForecastCurves)
{
try
{
var _discountCurve = XU.GetObject0D <IDiscountingSource>(discountCurve, "discountCurve");
var _shares = XU.GetSpecialType1D <Share>(shares, "shares");
var _spotPrices = XU.GetDouble1D(spotPrices, "spotPrices");
var _volatilities = XU.GetDouble1D(volatilities, "volatilities");
var _divYields = XU.GetDouble1D(divYields, "divYields");
var _correlations = XU.GetDouble2D(correlations, "correlations");
var _rateForecastCurves = XU.GetObject1D <IFloatingRateSource>(rateForecastCurves, "rateForecastCurves");
var _result = XLEquities.CreateEquityModel(_discountCurve, _shares, _spotPrices, _volatilities,
_divYields, _correlations, _rateForecastCurves);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateCDS(string objectName,
object[,] refEntity,
object[,] ccy,
object[,] paymentDates,
object[,] notionals,
object[,] rates,
object[,] accrualFractions,
object[,] boughtProtection)
{
try
{
var _refEntity = XU.GetSpecialType0D <ReferenceEntity>(refEntity, "refEntity");
var _ccy = XU.GetSpecialType0D <Currency>(ccy, "ccy");
var _paymentDates = XU.GetDate1D(paymentDates, "paymentDates");
var _notionals = XU.GetDouble1D(notionals, "notionals");
var _rates = XU.GetDouble1D(rates, "rates");
var _accrualFractions = XU.GetDouble1D(accrualFractions, "accrualFractions");
var _boughtProtection = XU.GetBoolean0D(boughtProtection, "boughtProtection");
var _result = XLCredit.CreateCDS(_refEntity, _ccy, _paymentDates, _notionals, _rates, _accrualFractions,
_boughtProtection);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateModelDeterministicCreditWithFXJump(string objectName,
object[,] survivalProbSource,
object[,] otherCurrency,
object[,] fxSource,
object[,] valueCurrencyDiscount,
object[,] fxVol,
object[,] relJumpSizeInDefault,
object[,] expectedRecoveryRate)
{
try
{
var _survivalProbSource =
XU.GetObject0D <ISurvivalProbabilitySource>(survivalProbSource, "survivalProbSource");
var _otherCurrency = XU.GetSpecialType0D <Currency>(otherCurrency, "otherCurrency");
var _fxSource = XU.GetObject0D <IFXSource>(fxSource, "fxSource");
var _valueCurrencyDiscount =
XU.GetObject0D <IDiscountingSource>(valueCurrencyDiscount, "valueCurrencyDiscount");
var _fxVol = XU.GetDouble0D(fxVol, "fxVol");
var _relJumpSizeInDefault = XU.GetDouble0D(relJumpSizeInDefault, "relJumpSizeInDefault");
var _expectedRecoveryRate = XU.GetDouble0D(expectedRecoveryRate, "expectedRecoveryRate");
var _result = XLCredit.CreateModelDeterministicCreditWithFXJump(_survivalProbSource, _otherCurrency,
_fxSource, _valueCurrencyDiscount, _fxVol, _relJumpSizeInDefault, _expectedRecoveryRate);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateFloatLeg(string objectName,
object[,] currency,
object[,] floatingIndex,
object[,] resetDates,
object[,] paymentDates,
object[,] notionals,
object[,] spreads,
object[,] accrualFractions)
{
try
{
Currency _currency = XU.GetCurrency0D(currency, "currency");
FloatingIndex _floatingIndex = XU.GetFloatingIndex0D(floatingIndex, "floatingIndex");
Date[] _resetDates = XU.GetDate1D(resetDates, "resetDates");
Date[] _paymentDates = XU.GetDate1D(paymentDates, "paymentDates");
Double[] _notionals = XU.GetDouble1D(notionals, "notionals");
Double[] _spreads = XU.GetDouble1D(spreads, "spreads");
Double[] _accrualFractions = XU.GetDouble1D(accrualFractions, "accrualFractions");
FloatLeg _result = XLRates.CreateFloatLeg(_currency, _floatingIndex, _resetDates, _paymentDates, _notionals, _spreads, _accrualFractions);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object CreateProductFromFile([ExcelArgument(Description = "Name of product")] string name,
[ExcelArgument(Description = "Full path to the file.")] string filename)
{
try
{
Product runtimeProduct = RuntimeProduct.CreateFromScript(filename);
return(XU.AddObject(name, runtimeProduct));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateBusiness252DayCount(string objectName,
object[,] calendar)
{
try
{
var _calendar = XU.GetSpecialType0D <Calendar>(calendar, "calendar");
var _result = XLConventions.CreateBusiness252DayCount(_calendar);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _IsHoliday(object[,] date,
object[,] calendar)
{
try
{
var _date = XU.GetDate0D(date, "date");
var _calendar = XU.GetSpecialType0D <Calendar>(calendar, "calendar");
var _result = XLConventions.IsHoliday(_date, _calendar);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _GetFXRate(object[,] fxCurve,
object[,] date)
{
try
{
var _fxCurve = XU.GetObject0D <IFXSource>(fxCurve, "fxCurve");
var _date = XU.GetDate0D(date, "date");
var _result = XLFX.GetFXRate(_fxCurve, _date);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _GetDF(object[,] curve,
object[,] date)
{
try
{
var _curve = XU.GetObject0D <IDiscountingSource>(curve, "curve");
var _date = XU.GetDate0D(date, "date");
var _result = XLRates.GetDF(_curve, _date);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _DFFromRate(object[,] rate,
object[,] compounding,
object[,] yearFraction)
{
try
{
var _rate = XU.GetDouble0D(rate, "rate");
var _compounding = XU.GetSpecialType0D <CompoundingConvention>(compounding, "compounding");
var _yearFraction = XU.GetDouble0D(yearFraction, "yearFraction");
var _result = XLConventions.DFFromRate(_rate, _compounding, _yearFraction);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _GetYearFraction(object[,] date1,
object[,] date2,
object[,] convention)
{
try
{
var _date1 = XU.GetDate0D(date1, "date1");
var _date2 = XU.GetDate0D(date2, "date2");
var _convention = XU.GetSpecialType0D <DayCountConvention>(convention, "convention");
var _result = XLConventions.GetYearFraction(_date1, _date2, _convention);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _GetSurvivalProb(object[,] survivalProbabilitySource,
object[,] date1,
object[,] date2)
{
try
{
ISurvivalProbabilitySource _survivalProbabilitySource = XU.GetObject0D <ISurvivalProbabilitySource>(survivalProbabilitySource, "survivalProbabilitySource");
Date _date1 = XU.GetDate0D(date1, "date1");
Date _date2 = XU.GetDate0D(date2, "date2", null);
Double _result = XLCredit.GetSurvivalProb(_survivalProbabilitySource, _date1, _date2);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _ValueZARSwap1Curve(object[,] swap,
object[,] valueDate,
object[,] curve)
{
try
{
var _swap = XU.GetObject0D <IRSwap>(swap, "swap");
var _valueDate = XU.GetDate0D(valueDate, "valueDate");
var _curve = XU.GetObject0D <IDiscountingSource>(curve, "curve");
var _result = XLRates.ValueZARSwap1Curve(_swap, _valueDate, _curve);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _ApplyBusinessDayAdjustment(object[,] date,
object[,] convention,
object[,] calendar)
{
try
{
var _date = XU.GetDate0D(date, "date");
var _convention = XU.GetSpecialType0D <BusinessDayConvention>(convention, "convention");
var _calendar = XU.GetSpecialType0D <Calendar>(calendar, "calendar");
var _result = XLConventions.ApplyBusinessDayAdjustment(_date, _convention, _calendar);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _FitCurveNelsonSiegel(string objectName,
object[,] anchorDate,
object[,] dates,
object[,] rates)
{
try
{
Date _anchorDate = XU.GetDate0D(anchorDate, "anchorDate");
Date[] _dates = XU.GetDate1D(dates, "dates");
Double[] _rates = XU.GetDouble1D(rates, "rates");
ICurve _result = XLCurves.FitCurveNelsonSiegel(_anchorDate, _dates, _rates);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateDatesAndRatesCurve(string objectName,
object[,] dates,
object[,] rates,
object[,] currency)
{
try
{
Date[] _dates = XU.GetDate1D(dates, "dates");
Double[] _rates = XU.GetDouble1D(rates, "rates");
Currency _currency = XU.GetCurrency0D(currency, "currency", Currency.ANY);
IDiscountingSource _result = XLCurves.CreateDatesAndRatesCurve(_dates, _rates, _currency);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateEquityCall(string objectName,
object[,] share,
object[,] exerciseDate,
object[,] strike)
{
try
{
var _share = XU.GetSpecialType0D <Share>(share, "share");
var _exerciseDate = XU.GetDate0D(exerciseDate, "exerciseDate");
var _strike = XU.GetDouble0D(strike, "strike");
var _result = XLEquities.CreateEquityCall(_share, _exerciseDate, _strike);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateDatesAndRatesCurve(string objectName,
object[,] dates,
object[,] rates,
object[,] currency)
{
try
{
var _dates = XU.GetDate1D(dates, "dates");
var _rates = XU.GetDouble1D(rates, "rates");
var _currency = XU.GetSpecialType0D(currency, "currency", Currency.ANY);
var _result = XLCurves.CreateDatesAndRatesCurve(_dates, _rates, _currency);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateCashLeg(string objectName,
object[,] paymentDates,
object[,] amounts,
object[,] currencies)
{
try
{
var _paymentDates = XU.GetDate1D(paymentDates, "paymentDates");
var _amounts = XU.GetDouble1D(amounts, "amounts");
var _currencies = XU.GetSpecialType1D <Currency>(currencies, "currencies");
var _result = XLRates.CreateCashLeg(_paymentDates, _amounts, _currencies);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateCurveModel(string objectName,
object[,] discountCurve,
object[,] rateForecastCurves,
object[,] fxForecastCurves)
{
try
{
IDiscountingSource _discountCurve = XU.GetObject0D <IDiscountingSource>(discountCurve, "discountCurve");
IFloatingRateSource[] _rateForecastCurves = XU.GetObject1D <IFloatingRateSource>(rateForecastCurves, "rateForecastCurves");
IFXSource[] _fxForecastCurves = XU.GetObject1D <IFXSource>(fxForecastCurves, "fxForecastCurves");
NumeraireSimulator _result = XLValuation.CreateCurveModel(_discountCurve, _rateForecastCurves, _fxForecastCurves);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateRateForecastCurveFromDiscount(string objectName,
object[,] floatingRateIndex,
object[,] discountCurve,
object[,] fixingCurve)
{
try
{
FloatingIndex _floatingRateIndex = XU.GetFloatingIndex0D(floatingRateIndex, "floatingRateIndex");
IDiscountingSource _discountCurve = XU.GetObject0D <IDiscountingSource>(discountCurve, "discountCurve");
IFloatingRateSource _fixingCurve = XU.GetObject0D <IFloatingRateSource>(fixingCurve, "fixingCurve", null);
IFloatingRateSource _result = XLRates.CreateRateForecastCurveFromDiscount(_floatingRateIndex, _discountCurve, _fixingCurve);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateCashLeg(string objectName,
object[,] paymentDates,
object[,] amounts,
object[,] currencies)
{
try
{
Date[] _paymentDates = XU.GetDate1D(paymentDates, "paymentDates");
Double[] _amounts = XU.GetDouble1D(amounts, "amounts");
Currency[] _currencies = XU.GetCurrency1D(currencies, "currencies");
CashLeg _result = XLRates.CreateCashLeg(_paymentDates, _amounts, _currencies);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _RateConvert(object[,] rate,
object[,] compoundingFrom,
object[,] compoundingTo,
object[,] yearFraction)
{
try
{
var _rate = XU.GetDouble0D(rate, "rate");
var _compoundingFrom = XU.GetSpecialType0D <CompoundingConvention>(compoundingFrom, "compoundingFrom");
var _compoundingTo = XU.GetSpecialType0D <CompoundingConvention>(compoundingTo, "compoundingTo");
var _yearFraction = XU.GetDouble0D(yearFraction, "yearFraction", double.NaN);
var _result = XLConventions.RateConvert(_rate, _compoundingFrom, _compoundingTo, _yearFraction);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateHazardCurve(string objectName,
object[,] referenceEntity,
object[,] anchorDate,
object[,] dates,
object[,] hazardRates)
{
try
{
var _referenceEntity = XU.GetSpecialType0D <ReferenceEntity>(referenceEntity, "referenceEntity");
var _anchorDate = XU.GetDate0D(anchorDate, "anchorDate");
var _dates = XU.GetDate1D(dates, "dates");
var _hazardRates = XU.GetDouble1D(hazardRates, "hazardRates");
var _result = XLCredit.CreateHazardCurve(_referenceEntity, _anchorDate, _dates, _hazardRates);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}