public static string eqOpRootPath(
[ExcelArgument(Description = "Method 1 or 2 ")] double method)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
OHRepository.Instance.removeErrorMessage(callerAddress);
try
{
if (method == 1.0)
{
return(getXllPath());
}
else
{
return(EliteQuant.ConfigManager.Instance.RootDir);
}
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("");
}
}
public static string eqCurveCommodIndex(
[ExcelArgument(Description = "index id ")] string ObjectId,
[ExcelArgument(Description = "index name ")] string indexname,
[ExcelArgument(Description = "curve id ")] string curveId,
[ExcelArgument(Description = "calendar")] string calendar,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
calendar = "NULL";
CommodityCurveExt curve = OHRepository.Instance.getObject <CommodityCurveExt>(curveId);
CommodityIndexExt idx = new CommodityIndexExt(indexname, curve, new NullCalendar());
// Store the index and return its id
string id = "IDX@" + ObjectId;
OHRepository.Instance.storeObject(id, idx, callerAddress);
id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss");
return(id);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqRatesDiscountFactor(
[ExcelArgument(Description = "interest rate ")] double r,
[ExcelArgument(Description = "time in years ")] double t,
[ExcelArgument(Description = "DayCounter (default Actual365) ")] string dc,
[ExcelArgument(Description = "Compounding (default Continuous) ")] string comp,
[ExcelArgument(Description = "Frequency (default Actual365) ")] string freq,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
DayCounter daycounter = EliteQuant.EQConverter.ConvertObject <DayCounter>(dc);
Compounding compounding = EliteQuant.EQConverter.ConvertObject <Compounding>(comp);
Frequency frequency = EliteQuant.EQConverter.ConvertObject <Frequency>(freq);
InterestRate ir = new InterestRate(r, daycounter, compounding, frequency);
return(ir.discountFactor(t));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqModelGetDoubleExponentialCalibratedParameters(
[ExcelArgument(Description = "id of double exponential ATM model ")] string ObjectId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
DoubleExponentialCalibration atmvol = OHRepository.Instance.getObject <DoubleExponentialCalibration>(ObjectId);
object[,] ret = new object[6, 2];
ret[0, 0] = "sigma:"; ret[0, 1] = atmvol.sigma();
ret[1, 0] = "b1:"; ret[1, 1] = atmvol.b1();
ret[2, 0] = "b2:"; ret[2, 1] = atmvol.b2();
ret[3, 0] = "lambda:"; ret[3, 1] = atmvol.lambda();
ret[4, 0] = "error:"; ret[4, 1] = atmvol.error();
ret[5, 0] = "maxerror:"; ret[5, 1] = atmvol.maxError();
return(ret);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqCurveIRGetDiscountFactor(
[ExcelArgument(Description = "curve id ")] string ObjectId,
[ExcelArgument(Description = "tenors ")] DateTime dt,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
if (!ObjectId.Contains('@'))
{
ObjectId = "CRV@" + ObjectId;
}
YieldTermStructureHandle curve = OHRepository.Instance.getObject <YieldTermStructureHandle>(ObjectId);
Date refDate = curve.referenceDate();
Date dt2 = EliteQuant.EQConverter.ConvertObject <Date>(dt);
double discount = curve.discount(dt2);
return(discount);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqCurveCommodForwardPrice(
[ExcelArgument(Description = "index id ")] string ObjectId,
[ExcelArgument(Description = "forward date ")] DateTime date,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (!ObjectId.Contains('@'))
{
ObjectId = "IDX@" + ObjectId;
}
CommodityIndexExt idx = OHRepository.Instance.getObject <CommodityIndexExt>(ObjectId);
Date dt = EliteQuant.EQConverter.ConvertObject <Date>(date);
// double price = idx.price(dt);
double price = idx.forwardPrice(dt);
return(price);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqTimeNextIMMDate(
[ExcelArgument(Description = "Date ")] DateTime date,
[ExcelArgument(Description = "is main cycle ? ")] bool maincycle)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
OHRepository.Instance.removeErrorMessage(callerAddress);
try
{
if (date == DateTime.MinValue)
{
throw new Exception("Date must not be empty. ");
}
EliteQuant.Date d = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(date);
EliteQuant.Date immdate = EliteQuant.IMM.nextDate(d, maincycle);
return(immdate.serialNumber());
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqTimeSetEvaluationDate(
[ExcelArgument(Description = "Evaluation Date ")] DateTime date)
{
if (ExcelUtil.CallFromWizard())
{
return(false);
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
EliteQuant.Date todaysDate;
try
{
if (date == DateTime.MinValue)
{
todaysDate = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(DateTime.Today);
}
else
{
todaysDate = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(date);
}
EliteQuant.Settings.instance().setEvaluationDate(todaysDate);
return(EliteQuant.EQConverter.ConvertObject <DateTime>(todaysDate));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(false);
}
}
public static object eqTimeYearFraction(
[ExcelArgument(Description = "Start Date ")] DateTime date1,
[ExcelArgument(Description = "End Date ")] DateTime date2,
[ExcelArgument(Description = "Day Counter (default ActualActual) ")] string dc = "ActualActual")
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
OHRepository.Instance.removeErrorMessage(callerAddress);
try
{
if ((date1 == DateTime.MinValue) || (date2 == DateTime.MinValue))
{
throw new Exception("Date must not be empty. ");
}
Date start = EliteQuant.EQConverter.ConvertObject <Date>(date1);
Date end = EliteQuant.EQConverter.ConvertObject <Date>(date2);
DayCounter daycounter = EliteQuant.EQConverter.ConvertObject <DayCounter>(dc);
return(daycounter.yearFraction(start, end));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("");
}
}
public static object eqModelGetSVIInterpolatedValue(
[ExcelArgument(Description = "id of SVI model ")] string ObjectId,
[ExcelArgument(Description = "strik value ")] double x)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
SVIInterpolation option = OHRepository.Instance.getObject <SVIInterpolation>(ObjectId);
return(option.call(x));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static string eqIRCurveOISRateHelper(
[ExcelArgument(Description = "(String) id of rate helper object ")] String ObjectId,
[ExcelArgument(Description = "(double) quote of swap rate ")] double quote,
[ExcelArgument(Description = "(String) forward start month, e.g. 7D, 3M ")] String Tenor,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
// "us settlement"; "Actual/360"; "fixingDays = 0", "F", "eom = true"
EliteQuant.FedFunds idx_ff = new EliteQuant.FedFunds();
EliteQuant.QuoteHandle rate_ = new EliteQuant.QuoteHandle(new EliteQuant.SimpleQuote(quote));
EliteQuant.Period tenor_ = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(Tenor);
// USSO
EliteQuant.RateHelper rh = new EliteQuant.OISRateHelper((uint)fixingDays_usd, tenor_, rate_, idx_ff);
string id = "RHOIS@" + ObjectId;
OHRepository.Instance.storeObject(id, rh, callerAddress);
return(id + "#" + DateTime.Now.ToString("HH:mm:ss"));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static string eqIndexesClearHistory(
[ExcelArgument(Description = "index name ")] String name,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (!name.Contains('@'))
{
name = "IDX@" + name;
}
string name2 = EliteQuant.Curves.IndexMapping.ExtIndexName2EQName(name);
IndexManager.instance().clearHistory(name2);
return(name);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqModelGetSABRCalibratedParameters(
[ExcelArgument(Description = "id of SABR model ")] string ObjectId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
SABRInterpolation option = OHRepository.Instance.getObject <SABRInterpolation>(ObjectId);
object[,] ret = new object[6, 2];
ret[0, 0] = "alpha:"; ret[0, 1] = option.alpha();
ret[1, 0] = "beta:"; ret[1, 1] = option.beta();
ret[2, 0] = "nu:"; ret[2, 1] = option.nu();
ret[3, 0] = "rho:"; ret[3, 1] = option.rho();
ret[4, 0] = "rmsError:"; ret[4, 1] = option.rmsError();
ret[5, 0] = "maxError:"; ret[5, 1] = option.maxError();
return(ret);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqIRCurveDisplayDiscountCurve(
[ExcelArgument(Description = "id of discount curve ")] string ObjectId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
if (!ObjectId.Contains('@'))
{
ObjectId = "CRV@" + ObjectId;
}
EliteQuant.YieldTermStructure curve = OHRepository.Instance.getObject <EliteQuant.YieldTermStructure>(ObjectId);
if (curve.GetType() == typeof(EliteQuant.DiscountCurve))
{
object[,] ret = new object[(curve as DiscountCurve).dates().Count, 2];
for (int i = 0; i < (curve as DiscountCurve).dates().Count; i++)
{
ret[i, 0] = (curve as DiscountCurve).dates()[i].serialNumber();
ret[i, 1] = (curve as DiscountCurve).discounts()[i].ToString();
}
return(ret);
}
else if (curve.GetType() == typeof(EliteQuant.LinearDiscountCurve))
{
object[,] ret = new object[(curve as LinearDiscountCurve).dates().Count, 2];
for (int i = 0; i < (curve as LinearDiscountCurve).dates().Count; i++)
{
ret[i, 0] = (curve as LinearDiscountCurve).dates()[i].serialNumber();
ret[i, 1] = (curve as LinearDiscountCurve).discounts()[i].ToString();
}
return(ret);
}
else
{
return(0);
}
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static string eqCurveCommodForwardsCurve(
[ExcelArgument(Description = "curve id ")] string ObjectId,
[ExcelArgument(Description = "curve name (eg. commod ng exchange) ")] string curvename,
[ExcelArgument(Description = "tenors ")] object[] dates,
[ExcelArgument(Description = "quotes ")] double[] quotes,
[ExcelArgument(Description = "calendar ")] string calendar,
[ExcelArgument(Description = "day counter ")] string daycounter,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
calendar = "NULL";
daycounter = "Actual365Fixed";
if (dates.Length != quotes.Length)
{
return("size mismatch");
}
DateVector datesvector = new DateVector(dates.Length);
DoubleVector quotesvector = new DoubleVector(dates.Length);
for (int i = 0; i < dates.Length; i++)
{
if ((ExcelUtil.isNull(dates[i])) || (quotes[i] == 0))
{
continue;
}
//datesvector.Add(Conversion.ConvertObject<Date>((DateTime)dates[i], "NA"));
datesvector.Add(new Date(Convert.ToInt32(dates[i])));
quotesvector.Add(quotes[i]);
}
CommodityCurveExt curve =
new CommodityCurveExt(curvename, datesvector, quotesvector, new NullCalendar(), new Actual365Fixed());
// Store the curve and return its id
string id = "CRV@" + ObjectId;
OHRepository.Instance.storeObject(id, curve, callerAddress);
id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss");
return(id);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqTimeAdjustDate(
[ExcelArgument(Description = "Date ")] DateTime date,
[ExcelArgument(Description = "Calendar (default NYC) ")] string calendar,
[ExcelArgument(Description = "BusinessDayConvention (default ModifiedFollowing) ")] string bdc)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
OHRepository.Instance.removeErrorMessage(callerAddress);
try
{
if (date == DateTime.MinValue)
{
throw new Exception("Date must not be empty. ");
}
EliteQuant.Date d = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(date);
if (string.IsNullOrEmpty(calendar))
{
calendar = "NYC";
}
EliteQuant.Calendar can = EliteQuant.EQConverter.ConvertObject <EliteQuant.Calendar>(calendar);
if (string.IsNullOrEmpty(bdc))
{
bdc = "MF";
}
BusinessDayConvention bdc2 = EliteQuant.EQConverter.ConvertObject <BusinessDayConvention>(bdc);
Date newday = can.adjust(d, bdc2);
return(newday.serialNumber());
}
catch (TypeInitializationException e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
object[,] ret = new object[5, 1];
ret[0, 1] = e.ToString();
ret[1, 1] = e.Message;
ret[2, 1] = e.StackTrace;
ret[3, 3] = e.Source;
ret[4, 1] = e.InnerException.Message;
return(ret);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqIndexesLoadFixingFromFile(
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
DateTime asofdate = DateTime.Today;
string[] curves = new string[] { "USDOIS", "USDLIB3M", "USDLIB1M", "USDLIB6M", "USDLIB12M" };
string path = EliteQuant.ConfigManager.Instance.IRRootDir + @"Curves\";
string name;
foreach (var s in curves)
{
string[] data = System.IO.File.ReadAllLines(path + s + "_Fixing.csv");
DateVector dt = new DateVector(data.Length);
DoubleVector qs = new DoubleVector(data.Length);
foreach (var fixing in data)
{
if (fixing == "")
{
continue;
}
string[] ff = fixing.Split(',');
dt.Add(EliteQuant.EQConverter.DateTimeToDate(EliteQuant.EQConverter.StringToDateTime(ff[0])));
qs.Add(Convert.ToDouble(ff[1]));
}
name = s;
if (!s.Contains("@"))
{
name = "IDX@" + s;
}
string name2 = EliteQuant.Curves.IndexMapping.ExtIndexName2EQName(name);
RealTimeSeries fixings = new RealTimeSeries(dt, qs);
IndexManager.instance().setHistory(name2, fixings);
}
return(asofdate);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqTimeAdvanceDate(
[ExcelArgument(Description = "Date ")] DateTime date,
[ExcelArgument(Description = "Calendar (default NYC) ")] string calendar,
[ExcelArgument(Description = "Tenor (e.g. '3D' or '2Y') ")] string tenor,
[ExcelArgument(Description = "BusinessDayConvention (default ModifiedFollowing) ")] string bdc,
[ExcelArgument(Description = "is endofmonth ")] bool eom)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
OHRepository.Instance.removeErrorMessage(callerAddress);
try
{
if (date == DateTime.MinValue)
{
throw new Exception("Date must not be empty. ");
}
EliteQuant.Date d = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(date);
if (string.IsNullOrEmpty(calendar))
{
calendar = "NYC";
}
EliteQuant.Calendar can = EliteQuant.EQConverter.ConvertObject <EliteQuant.Calendar>(calendar);
if (string.IsNullOrEmpty(tenor))
{
tenor = "1D";
}
EliteQuant.Period period = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(tenor);
if (string.IsNullOrEmpty(bdc))
{
bdc = "MF";
}
BusinessDayConvention bdc2 = EliteQuant.EQConverter.ConvertObject <BusinessDayConvention>(bdc);
Date newday = can.advance(d, period, bdc2, eom);
return(newday.serialNumber());
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqModelGetDoubleExponentialTermVol(
[ExcelArgument(Description = "id of double exponential atm model ")] string ObjectId,
[ExcelArgument(Description = "from t ")] double tfrom,
[ExcelArgument(Description = "to t ")] double tto, // 0 to t
[ExcelArgument(Description = "T value ")] double maturityT,
[ExcelArgument(Description = "T Vol ")] double TQuoteVol) // for T
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (ExcelUtil.isNull(tfrom))
{
tfrom = 0.0;
}
bool bigT = true;
if (ExcelUtil.isNull(TQuoteVol) || (TQuoteVol == 0.0))
{
bigT = false;
}
Xl.Range rng = ExcelUtil.getActiveCellRange();
DoubleExponentialCalibration atmvol = OHRepository.Instance.getObject <DoubleExponentialCalibration>(ObjectId);
double scaler = 1.0;
if (bigT)
{
DoubleVector tv = new DoubleVector(); tv.Add(maturityT);
DoubleVector vv = new DoubleVector(); vv.Add(TQuoteVol);
scaler = atmvol.k(tv, vv)[0];
}
return(scaler * atmvol.value(tfrom, tto, maturityT));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static string eqIndexesSetHistory(
[ExcelArgument(Description = "index name (USDOIS, USDLIB3M) ")] string name,
[ExcelArgument(Description = "historical dates ")] object[] dates,
[ExcelArgument(Description = "historical fixings ")] double[] quotes,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (dates.Length != quotes.Length)
{
return("size mismatch");
}
DateVector dt = new DateVector(dates.Length);
DoubleVector qs = new DoubleVector(dates.Length);
for (int i = 0; i < dates.Length; i++)
{
dt.Add(new Date(Convert.ToInt32(dates[i])));
qs.Add(quotes[i]);
}
if (!name.Contains('@'))
{
name = "IDX@" + name;
}
string name2 = EliteQuant.Curves.IndexMapping.ExtIndexName2EQName(name);
RealTimeSeries fixings = new RealTimeSeries(dt, qs);
IndexManager.instance().setHistory(name2, fixings);
return(name);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqInstCommodityFuture(
[ExcelArgument(Description = "id of instrument ")] string ObjectId,
[ExcelArgument(Description = "name of instrument ")] string name, // given by user, could be the same as objectid
[ExcelArgument(Description = "buy/sell (1/-1) ")] int buysell,
[ExcelArgument(Description = "trade price ")] double tradePrice,
[ExcelArgument(Description = "trade quantity ")] double quantity,
[ExcelArgument(Description = "start date ")] DateTime startdate,
[ExcelArgument(Description = "end date ")] DateTime enddate,
[ExcelArgument(Description = "id of commodity index ")] string indexid,
[ExcelArgument(Description = "id of discount curve ")] string discountId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
CommodityIndexExt idx = OHRepository.Instance.getObject <CommodityIndexExt>(indexid);
YieldTermStructureHandle discountcurve = OHRepository.Instance.getObject <YieldTermStructureHandle>(discountId);
Date refDate = discountcurve.referenceDate();
EliteQuant.Date sd = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(startdate);
EliteQuant.Date ed = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(enddate);
PricingPeriodExt pp = new PricingPeriodExt(sd, ed, sd, quantity); // pay at start date
EnergyFutureExt ef = new EnergyFutureExt(buysell, pp, tradePrice, idx, name, discountcurve);
// Store the futures and return its id
string id = "Fut@" + ObjectId;
OHRepository.Instance.storeObject(id, ef, callerAddress);
id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss");
return(id);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static string eqIRCurveFuturesRateHelper(
[ExcelArgument(Description = "(String) id of rate helper object ")] String ObjectId,
[ExcelArgument(Description = "(double) quote of ED futures e.g. 99.5 ")] double price,
[ExcelArgument(Description = "(double) convexity adjustment default 0 ")] double convadj,
[ExcelArgument(Description = "order of ED futures start from 1 ")] int order,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
// use default value
EliteQuant.IborIndex idx = new EliteQuant.USDLibor(new EliteQuant.Period(3, EliteQuant.TimeUnit.Months));
EliteQuant.Date today = EliteQuant.Settings.instance().getEvaluationDate();
EliteQuant.Date settlementdate = idx.fixingCalendar().advance(today, (int)idx.fixingDays(), EliteQuant.TimeUnit.Days);
EliteQuant.QuoteHandle quote_ = new EliteQuant.QuoteHandle(new EliteQuant.SimpleQuote(price));
EliteQuant.QuoteHandle conv_ = new EliteQuant.QuoteHandle(new EliteQuant.SimpleQuote(convadj));
EliteQuant.Date imm_startdate = EliteQuant.IMM.nextDate(settlementdate, false);
for (int i = 0; i < order - 1; i++)
{
imm_startdate = EliteQuant.IMM.nextDate(cal_usd_gbp.advance(imm_startdate, 1, EliteQuant.TimeUnit.Days), false);
}
EliteQuant.Date enddate = imm_startdate + 90;
EliteQuant.RateHelper rh = new EliteQuant.FuturesRateHelper(quote_, imm_startdate, enddate, dc_act_360, conv_);
string id = "RHED@" + ObjectId;
OHRepository.Instance.storeObject(id, rh, callerAddress);
return(id + "#" + DateTime.Now.ToString("HH:mm:ss"));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static bool eqTimeIsBusinessDay(
[ExcelArgument(Description = "Date ")] DateTime date,
[ExcelArgument(Description = "Calendar (default NYC) ")] string calendar)
{
if (ExcelUtil.CallFromWizard())
{
return(false);
}
string callerAddress = "";
try
{
callerAddress = ExcelUtil.getActiveCellAddress();
OHRepository.Instance.removeErrorMessage(callerAddress);
}
catch (Exception)
{
}
try
{
if (date == DateTime.MinValue)
{
throw new Exception("Date must not be empty. ");
}
EliteQuant.Date d = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(date);
if (string.IsNullOrEmpty(calendar))
{
calendar = "NYC";
}
EliteQuant.Calendar can = EliteQuant.EQConverter.ConvertObject <EliteQuant.Calendar>(calendar);
return(can.isBusinessDay(d));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(false);
}
}
public static object eqInstSaveIRSwapToDisk(
[ExcelArgument(Description = "id of IR Swap ")] string tradeid,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
string genswaptplid_ = tradeid;
if (!genswaptplid_.Contains('@'))
{
genswaptplid_ = "SWP@" + genswaptplid_;
}
if (!genswaptplid_.Contains("_TPL"))
{
genswaptplid_ = genswaptplid_ + "_TPL";
}
EliteQuant.Instruments.InterestRateGenericSwap genswaptpl = OHRepository.Instance.getObject <EliteQuant.Instruments.InterestRateGenericSwap>(genswaptplid_);
string path = EliteQuant.ConfigManager.Instance.IRRootDir + @"Trades\";
EliteQuant.Instruments.InterestRateGenericSwap.Serialize(genswaptpl,
path + tradeid + ".xml");
return(tradeid);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static string eqIRCurveDepositRateHelper(
[ExcelArgument(Description = "(String) id of rate helper object ")] String ObjectId,
[ExcelArgument(Description = "(double) quote of deposit rate ")] double Quote,
[ExcelArgument(Description = "(String) forward start month, e.g. 7D, 3M ")] String Tenor,
[ExcelArgument(Description = "int fixingDays ")] int fixingDays,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
// use default value
// // "london stock exchange"; "Actual/360"; "fixingDays = 2", "MF", "eom = true"
EliteQuant.IborIndex idx_usdlibor = new EliteQuant.USDLibor(new EliteQuant.Period(3, EliteQuant.TimeUnit.Months));
if (ExcelUtil.isNull(fixingDays))
{
fixingDays = (int)idx_usdlibor.fixingDays();
}
EliteQuant.QuoteHandle quote_ = new EliteQuant.QuoteHandle(new EliteQuant.SimpleQuote(Quote));
EliteQuant.Period tenor_ = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(Tenor);
EliteQuant.RateHelper rh = new EliteQuant.DepositRateHelper(quote_, tenor_, (uint)fixingDays, cal_usd,
bdc_usd, eom_usd, dc_act_360);
string id = "RHDEP@" + ObjectId;
OHRepository.Instance.storeObject(id, rh, callerAddress);
return(id + "#" + DateTime.Now.ToString("HH:mm:ss"));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static string eqIRCurveOISFFBasisSwapHelper(
[ExcelArgument(Description = "(String) id of rate helper object ")] String ObjectId,
[ExcelArgument(Description = "(double) quote of swap rate ")] double quote,
[ExcelArgument(Description = "(double) basis spread ")] double basisspread,
[ExcelArgument(Description = "(String) forward start month, e.g. 7D, 3M ")] String Tenor,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
// use default value. Eonia and ois has same convention
EliteQuant.OvernightIndex idx = new EliteQuant.Eonia();
EliteQuant.QuoteHandle rate_ = new EliteQuant.QuoteHandle(new EliteQuant.SimpleQuote(quote));
EliteQuant.QuoteHandle spread_ = new EliteQuant.QuoteHandle(new EliteQuant.SimpleQuote(basisspread));
EliteQuant.Period tenor_ = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(Tenor);
EliteQuant.DayCounter dc = new EliteQuant.Actual360();
// arithmetic average, not compounded. USBG
EliteQuant.RateHelper rh = new EliteQuant.FixedOISBasisRateHelper(2, tenor_, spread_, rate_,
EliteQuant.Frequency.Quarterly, EliteQuant.BusinessDayConvention.ModifiedFollowing,
dc, idx, EliteQuant.Frequency.Quarterly);
string id = "RHFFB@" + ObjectId;
OHRepository.Instance.storeObject(id, rh, callerAddress);
return(id + "#" + DateTime.Now.ToString("HH:mm:ss"));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static string eqOpVersion()
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
OHRepository.Instance.removeErrorMessage(callerAddress);
try
{
return(getVerStr());
}
catch (Exception exception_)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), exception_.Message);
return("");
}
}
public static object eqTimeGetEvaluationDate()
{
if (ExcelUtil.CallFromWizard())
{
return(false);
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Date dt = EliteQuant.Settings.instance().getEvaluationDate();
return(EliteQuant.EQConverter.ConvertObject <DateTime>(dt));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqIndexeGetHistory(
[ExcelArgument(Description = "index name (USDOIS, USDLIB3M) ")] String name,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (!name.Contains('@'))
{
name = "IDX@" + name;
}
string name2;
name2 = EliteQuant.Curves.IndexMapping.ExtIndexName2EQName(name);
RealTimeSeries fixings = IndexManager.instance().getHistory(name2);
double[,] ret = new double[fixings.size(), 2];
for (int i = 0; i < ret.GetLength(0); i++)
{
ret[i, 0] = fixings.dates()[i].serialNumber();
ret[i, 1] = fixings.values()[i];
}
return(ret);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqTimeBusinessDaysBetween(
[ExcelArgument(Description = "Start Date ")] DateTime date1,
[ExcelArgument(Description = "End Date ")] DateTime date2,
[ExcelArgument(Description = "Calendar (default NYC) ")] string calendar)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
OHRepository.Instance.removeErrorMessage(callerAddress);
try
{
if ((date1 == DateTime.MinValue) || (date2 == DateTime.MinValue))
{
throw new Exception("Date must not be empty. ");
}
Date start = EliteQuant.EQConverter.ConvertObject <Date>(date1);
Date end = EliteQuant.EQConverter.ConvertObject <Date>(date2);
if (string.IsNullOrEmpty(calendar))
{
calendar = "NYC";
}
EliteQuant.Calendar can = EliteQuant.EQConverter.ConvertObject <EliteQuant.Calendar>(calendar);
return(can.businessDaysBetween(start, end, false, false));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("");
}
}
