public static object eqIRCurveLoadCurveFromDisk(
[ExcelArgument(Description = "asofdate ")] DateTime asofdate,
[ExcelArgument(Description = "Interpolation Method (Linear, LogLinear) ")] string interp,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
if (ExcelUtil.isNull(asofdate))
{
asofdate = DateTime.Today;
}
string[] curves = new string[] { "USDOIS", "USDLIB3M", "USDLIB1M", "USDLIB6M", "USDLIB12M" };
string path;
EliteQuant.IborIndex idx = new EliteQuant.USDLibor(new EliteQuant.Period(3, EliteQuant.TimeUnit.Months));
foreach (var s in curves)
{
string targetcurve;
if (s.Contains("@"))
{
targetcurve = s;
}
else
{
targetcurve = "CRV@" + s;
}
string interpmethod;
if (ExcelUtil.isNull(interp))
{
interpmethod = "LOGLINEAR";
}
else
{
interpmethod = interp.ToUpper();
}
path = EliteQuant.ConfigManager.Instance.IRRootDir + @"Curves\"
+ EliteQuant.EQConverter.DateTimeToString(asofdate) + "\\";
string[] crv = System.IO.File.ReadAllLines(path + s + ".csv");
EliteQuant.DateVector dtv = new EliteQuant.DateVector();
EliteQuant.DoubleVector discv = new EliteQuant.DoubleVector();
foreach (var c in crv)
{
string[] cc = c.Split(',');
Date dt = new Date(Convert.ToInt32(cc[0]));
dtv.Add(dt);
discv.Add(Convert.ToDouble(cc[1]));
}
YieldTermStructure yth = null;
if (interpmethod == "LINEAR")
{
yth = new EliteQuant.LinearDiscountCurve(dtv, discv, idx.dayCounter(), idx.fixingCalendar());
}
else
{
yth = new EliteQuant.DiscountCurve(dtv, discv, idx.dayCounter(), idx.fixingCalendar());
}
string targetcrvid = "CRV@" + s;
OHRepository.Instance.storeObject(targetcrvid, yth, callerAddress); // callerAddress or null ?
}
return(asofdate);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
