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 _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 _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[,] _PCAFromCurves(object[,] curves,
object[,] useRelative)
{
try
{
Double[,] _curves = XU.GetDouble2D(curves, "curves");
Boolean _useRelative = XU.GetBoolean0D(useRelative, "useRelative");
Double[,] _result = XLCurves.PCAFromCurves(_curves, _useRelative);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error2D(e));
}
}
public static object _CreateZARFRA(string objectName,
object[,] tradeDate,
object[,] notional,
object[,] rate,
object[,] fraCode,
object[,] payFixed)
{
try
{
var _tradeDate = XU.GetDate0D(tradeDate, "tradeDate");
var _notional = XU.GetDouble0D(notional, "notional");
var _rate = XU.GetDouble0D(rate, "rate");
var _fraCode = XU.GetSpecialType0D <string>(fraCode, "fraCode");
var _payFixed = XU.GetBoolean0D(payFixed, "payFixed");
var _result = XLRates.CreateZARFRA(_tradeDate, _notional, _rate, _fraCode, _payFixed);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateZARSwap(string objectName,
object[,] startDate,
object[,] tenor,
object[,] rate,
object[,] payFixed,
object[,] notional)
{
try
{
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.CreateZARSwap(_startDate, _tenor, _rate, _payFixed, _notional);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}