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 _CreateRateForecastCurveFromDiscount(string objectName,
object[,] floatingRateIndex,
object[,] discountCurve,
object[,] fixingCurve)
{
try
{
FloatingIndex _floatingRateIndex = XU.GetFloatingIndex0D(floatingRateIndex, "floatingRateIndex");
IDiscountingSource _discountCurve = XU.GetObject0D <IDiscountingSource>(discountCurve, "discountCurve");
IFloatingRateSource _fixingCurve = XU.GetObject0D <IFloatingRateSource>(fixingCurve, "fixingCurve", null);
IFloatingRateSource _result = XLRates.CreateRateForecastCurveFromDiscount(_floatingRateIndex, _discountCurve, _fixingCurve);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _CreateHWModelDemo(string objectName,
object[,] meanReversion,
object[,] flatVol,
object[,] baseCurve,
object[,] forecastIndices)
{
try
{
Double _meanReversion = XU.GetDouble0D(meanReversion, "meanReversion");
Double _flatVol = XU.GetDouble0D(flatVol, "flatVol");
IDiscountingSource _baseCurve = XU.GetObject0D <IDiscountingSource>(baseCurve, "baseCurve");
FloatingIndex _forecastIndices = XU.GetFloatingIndex0D(forecastIndices, "forecastIndices");
HullWhite1F _result = XLRates.CreateHWModelDemo(_meanReversion, _flatVol, _baseCurve, _forecastIndices);
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));
}
}