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 _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 _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));
}
}
