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 _CreateModelDeterministicCreditWithFXJump(string objectName,
object[,] survivalProbSource,
object[,] otherCurrency,
object[,] fxSource,
object[,] valueCurrencyDiscount,
object[,] fxVol,
object[,] relJumpSizeInDefault,
object[,] expectedRecoveryRate)
{
try
{
ISurvivalProbabilitySource _survivalProbSource = XU.GetObject0D <ISurvivalProbabilitySource>(survivalProbSource, "survivalProbSource");
Currency _otherCurrency = XU.GetCurrency0D(otherCurrency, "otherCurrency");
IFXSource _fxSource = XU.GetObject0D <IFXSource>(fxSource, "fxSource");
IDiscountingSource _valueCurrencyDiscount = XU.GetObject0D <IDiscountingSource>(valueCurrencyDiscount, "valueCurrencyDiscount");
Double _fxVol = XU.GetDouble0D(fxVol, "fxVol");
Double _relJumpSizeInDefault = XU.GetDouble0D(relJumpSizeInDefault, "relJumpSizeInDefault");
Double _expectedRecoveryRate = XU.GetDouble0D(expectedRecoveryRate, "expectedRecoveryRate");
DeterministicCreditWithFXJump _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 _CreateCDS(string objectName,
object[,] refEntity,
object[,] ccy,
object[,] paymentDates,
object[,] notionals,
object[,] rates,
object[,] accrualFractions,
object[,] boughtProtection)
{
try
{
ReferenceEntity _refEntity = XU.GetReferenceEntity0D(refEntity, "refEntity");
Currency _ccy = XU.GetCurrency0D(ccy, "ccy");
Date[] _paymentDates = XU.GetDate1D(paymentDates, "paymentDates");
Double[] _notionals = XU.GetDouble1D(notionals, "notionals");
Double[] _rates = XU.GetDouble1D(rates, "rates");
Double[] _accrualFractions = XU.GetDouble1D(accrualFractions, "accrualFractions");
Boolean _boughtProtection = XU.GetBoolean0D(boughtProtection, "boughtProtection");
CDS _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 _CreateMultiHWAndFXToy(string objectName,
object[,] anchorDate,
object[,] numeraireCcy,
object[,] rateSimulators,
object[,] currencies,
object[,] spots,
object[,] vols,
object[,] correlations)
{
try
{
Date _anchorDate = XU.GetDate0D(anchorDate, "anchorDate");
Currency _numeraireCcy = XU.GetCurrency0D(numeraireCcy, "numeraireCcy");
HullWhite1F[] _rateSimulators = XU.GetObject1D <HullWhite1F>(rateSimulators, "rateSimulators");
Currency[] _currencies = XU.GetCurrency1D(currencies, "currencies");
Double[] _spots = XU.GetDouble1D(spots, "spots");
Double[] _vols = XU.GetDouble1D(vols, "vols");
Double[,] _correlations = XU.GetDouble2D(correlations, "correlations");
NumeraireSimulator _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 _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 _CreateLoanFixedRate(string objectName,
object[,] currency,
object[,] balanceDates,
object[,] balanceAmounts,
object[,] fixedRate)
{
try
{
Currency _currency = XU.GetCurrency0D(currency, "currency");
Date[] _balanceDates = XU.GetDate1D(balanceDates, "balanceDates");
Double[] _balanceAmounts = XU.GetDouble1D(balanceAmounts, "balanceAmounts");
Double _fixedRate = XU.GetDouble0D(fixedRate, "fixedRate");
LoanFixedRate _result = XLRates.CreateLoanFixedRate(_currency, _balanceDates, _balanceAmounts, _fixedRate);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateLoanFloatingRate(string objectName,
object[,] currency,
object[,] balanceDates,
object[,] balanceAmounts,
object[,] floatingIndex,
object[,] floatingSpread)
{
try
{
Currency _currency = XU.GetCurrency0D(currency, "currency");
Date[] _balanceDates = XU.GetDate1D(balanceDates, "balanceDates");
Double[] _balanceAmounts = XU.GetDouble1D(balanceAmounts, "balanceAmounts");
FloatingIndex _floatingIndex = XU.GetFloatingIndex0D(floatingIndex, "floatingIndex");
Double _floatingSpread = XU.GetDouble0D(floatingSpread, "floatingSpread");
LoanFloatingRate _result = XLRates.CreateLoanFloatingRate(_currency, _balanceDates, _balanceAmounts, _floatingIndex, _floatingSpread);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateFixedLeg(string objectName,
object[,] currency,
object[,] paymentDates,
object[,] notionals,
object[,] rates,
object[,] accrualFractions)
{
try
{
Currency _currency = XU.GetCurrency0D(currency, "currency");
Date[] _paymentDates = XU.GetDate1D(paymentDates, "paymentDates");
Double[] _notionals = XU.GetDouble1D(notionals, "notionals");
Double[] _rates = XU.GetDouble1D(rates, "rates");
Double[] _accrualFractions = XU.GetDouble1D(accrualFractions, "accrualFractions");
FixedLeg _result = XLRates.CreateFixedLeg(_currency, _paymentDates, _notionals, _rates, _accrualFractions);
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
{
Currency _baseCurrency = XU.GetCurrency0D(baseCurrency, "baseCurrency");
Currency _counterCurrency = XU.GetCurrency0D(counterCurrency, "counterCurrency");
Double _fxRateAtAnchorDate = XU.GetDouble0D(fxRateAtAnchorDate, "fxRateAtAnchorDate");
IDiscountingSource _baseCurrencyFXBasisCurve = XU.GetObject0D <IDiscountingSource>(baseCurrencyFXBasisCurve, "baseCurrencyFXBasisCurve");
IDiscountingSource _counterCurrencyFXBasisCurve = XU.GetObject0D <IDiscountingSource>(counterCurrencyFXBasisCurve, "counterCurrencyFXBasisCurve");
Object _result = XLFX.CreateFXForecastCurve(_baseCurrency, _counterCurrency, _fxRateAtAnchorDate, _baseCurrencyFXBasisCurve, _counterCurrencyFXBasisCurve);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}