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 _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 _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 _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[,] _PCACurveSimulatorGetRates(object[,] simulator, object[,] simulationDates, object[,] requiredTenors) { try { PCACurveSimulator _simulator = XU.GetObject0D <PCACurveSimulator>(simulator, "simulator"); Date[] _simulationDates = XU.GetDate1D(simulationDates, "simulationDates"); Tenor[] _requiredTenors = XU.GetTenor1D(requiredTenors, "requiredTenors"); Double[,] _result = XLCurves.PCACurveSimulatorGetRates(_simulator, _simulationDates, _requiredTenors); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error2D(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 _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 _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 { 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 _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 _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)); } }
public static object _CreateLoanFixedRate(string objectName, object[,] currency, object[,] balanceDates, object[,] balanceAmounts, object[,] fixedRate) { try { var _currency = XU.GetSpecialType0D <Currency>(currency, "currency"); var _balanceDates = XU.GetDate1D(balanceDates, "balanceDates"); var _balanceAmounts = XU.GetDouble1D(balanceAmounts, "balanceAmounts"); var _fixedRate = XU.GetDouble0D(fixedRate, "fixedRate"); var _result = XLRates.CreateLoanFixedRate(_currency, _balanceDates, _balanceAmounts, _fixedRate); return(XU.AddObject(objectName, _result)); } catch (Exception e) { return(XU.Error0D(e)); } }
public static object[,] _EPE(object[,] products, object[,] valueDate, object[,] forwardValueDates, object[,] model, object[,] nSims) { try { Product[] _products = XU.GetObject1D <Product>(products, "products"); Date _valueDate = XU.GetDate0D(valueDate, "valueDate"); Date[] _forwardValueDates = XU.GetDate1D(forwardValueDates, "forwardValueDates"); NumeraireSimulator _model = XU.GetObject0D <NumeraireSimulator>(model, "model"); Int32 _nSims = XU.GetInt320D(nSims, "nSims"); Double[] _result = XLValuation.EPE(_products, _valueDate, _forwardValueDates, _model, _nSims); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error2D(e)); } }
public static object _CreateFixedLeg(string objectName, object[,] currency, object[,] paymentDates, object[,] notionals, object[,] rates, object[,] accrualFractions) { try { var _currency = XU.GetSpecialType0D <Currency>(currency, "currency"); 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 _result = XLRates.CreateFixedLeg(_currency, _paymentDates, _notionals, _rates, _accrualFractions); 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 _CreateLoanFloatingRate(string objectName, object[,] currency, object[,] balanceDates, object[,] balanceAmounts, object[,] floatingIndex, object[,] floatingSpread) { try { var _currency = XU.GetSpecialType0D <Currency>(currency, "currency"); var _balanceDates = XU.GetDate1D(balanceDates, "balanceDates"); var _balanceAmounts = XU.GetDouble1D(balanceAmounts, "balanceAmounts"); var _floatingIndex = XU.GetSpecialType0D <FloatingIndex>(floatingIndex, "floatingIndex"); var _floatingSpread = XU.GetDouble0D(floatingSpread, "floatingSpread"); var _result = XLRates.CreateLoanFloatingRate(_currency, _balanceDates, _balanceAmounts, _floatingIndex, _floatingSpread); return(XU.AddObject(objectName, _result)); } catch (Exception e) { return(XU.Error0D(e)); } }
public static object[,] _PFE(object[,] products, object[,] valueDate, object[,] forwardValueDates, object[,] requiredPecentiles, object[,] model, object[,] nSims) { try { var _products = XU.GetObject1D <Product>(products, "products"); var _valueDate = XU.GetDate0D(valueDate, "valueDate"); var _forwardValueDates = XU.GetDate1D(forwardValueDates, "forwardValueDates"); var _requiredPecentiles = XU.GetDouble1D(requiredPecentiles, "requiredPecentiles"); var _model = XU.GetObject0D <NumeraireSimulator>(model, "model"); var _nSims = XU.GetInt320D(nSims, "nSims"); var _result = XLValuation.PFE(_products, _valueDate, _forwardValueDates, _requiredPecentiles, _model, _nSims); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error2D(e)); } }