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 object eqInstGetInstrumentNPV(
[ExcelArgument(Description = "id of instrument ")] string ObjectId,
[ExcelArgument(Description = "Greek type ")] string gtype,
[ExcelArgument(Description = "is genericswap ")] bool isgenswap,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
bool isgenswap_ = false;
if (ExcelUtil.isNull(isgenswap))
{
isgenswap_ = false;
}
else
{
isgenswap_ = (bool)isgenswap;
}
Instrument inst = null;
if (isgenswap_)
{
EliteQuant.Instruments.InterestRateGenericSwap genswap = OHRepository.Instance.getObject <EliteQuant.Instruments.InterestRateGenericSwap>(ObjectId);
inst = genswap.eqswap_;
}
else
{
inst = OHRepository.Instance.getObject <Instrument>(ObjectId);
}
double ret = inst.NPV();
Type type = inst.GetType();
if (type == typeof(VanillaSwap))
{
if (gtype.ToUpper() == "FAIRRATE")
{
ret = (inst as VanillaSwap).fairRate();
}
}
else if (type == typeof(OvernightIndexedSwap))
{
if (gtype.ToUpper() == "FAIRRATE")
{
ret = (inst as OvernightIndexedSwap).fairRate();
}
}
else if (type == typeof(EliteQuant.Instruments.InterestRateGenericSwap))
{
if (gtype.ToUpper() == "FAIRRATE")
{
ret = (inst as GenericSwap).fairRate();
}
else if (gtype.ToUpper() == "FAIRSPREAD")
{
ret = (inst as GenericSwap).fairSpread();
}
else if (gtype.ToUpper() == "FIRSTLEGBPS")
{
ret = (inst as GenericSwap).firstLegBPS();
}
else if (gtype.ToUpper() == "SECONDLEGBPS")
{
ret = (inst as GenericSwap).secondLegBPS();
}
}
return(ret);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqInstLoadIRSwapFromDisk(
[ExcelArgument(Description = "id of IR Swap ")] string tradeid, // should not include @ and _TPL
[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";
}
string path = EliteQuant.ConfigManager.Instance.IRRootDir + @"Trades\";
EliteQuant.Instruments.InterestRateGenericSwap genswaptpl =
EliteQuant.Instruments.InterestRateGenericSwap.Deserialize(path + tradeid + ".xml");
// preserve same order as excel
List <object> ret = new List <object>();
ret.Add(genswaptpl.ContractId);
ret.Add(genswaptpl.Entity);
ret.Add(genswaptpl.EntityID);
ret.Add(genswaptpl.Counterparty);
ret.Add(genswaptpl.CounterpartyID);
ret.Add(genswaptpl.SwapType);
ret.Add(genswaptpl.FixingDays.ToString());
ret.Add(string.IsNullOrEmpty(genswaptpl.TradeDate) ? "" : (object)EliteQuant.EQConverter.StringToDateTime(genswaptpl.TradeDate));
ret.Add(string.IsNullOrEmpty(genswaptpl.SettlementDate) ? "" : (object)EliteQuant.EQConverter.StringToDateTime(genswaptpl.SettlementDate));
ret.Add(string.IsNullOrEmpty(genswaptpl.MaturityDate) ? "" : (object)EliteQuant.EQConverter.StringToDateTime(genswaptpl.MaturityDate));
ret.Add(genswaptpl.Tenor);
if ((genswaptpl.FirstLegNotionals.Count > 1) || (genswaptpl.SecondLegNotionals.Count > 1))
{
ret.Add("TRUE");
}
else
{
ret.Add(genswaptpl.IsScheduleGiven.ToString()); // always false for now
}
ret.Add(genswaptpl.FirstLegIndex);
ret.Add(genswaptpl.FirstLegFrequency);
ret.Add(genswaptpl.FirstLegConvention);
ret.Add(genswaptpl.FirstLegCalendar);
ret.Add(genswaptpl.FirstLegDayCounter);
ret.Add(genswaptpl.FirstLegDateGenerationRule);
ret.Add(genswaptpl.FirstLegEOM.ToString());
ret.Add(genswaptpl.FirstLegSpread.ToString());
if (genswaptpl.FirstLegNotionals.Count > 1)
{
ret.Add("Collection...");
}
else
{
ret.Add(genswaptpl.FirstLegNotionals[0].ToString());
}
ret.Add("");
ret.Add(genswaptpl.SecondLegIndex);
ret.Add(genswaptpl.SecondLegFrequency);
ret.Add(genswaptpl.SecondLegConvention);
ret.Add(genswaptpl.SecondLegCalendar);
ret.Add(genswaptpl.SecondLegDayCounter);
ret.Add(genswaptpl.SecondLegDateGenerationRule);
ret.Add(genswaptpl.SecondLegEOM.ToString());
ret.Add(genswaptpl.SecondLegSpread.ToString());
if (genswaptpl.SecondLegNotionals.Count > 1)
{
ret.Add("Collection...");
}
else
{
ret.Add(genswaptpl.SecondLegNotionals[0].ToString());
}
ret.Add("");
return(ret.ToArray());
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqInstIRGenericSwap(
// trade info
/*[ExcelArgument(Description = "trade id ")] string tradeid,
* [ExcelArgument(Description = "Entity ")] string entity,
* [ExcelArgument(Description = "Entity ID ")] string entityid,
* [ExcelArgument(Description = "Counterparty ")] string counterparty,
* [ExcelArgument(Description = "Counterparty ID ")] string counterpartyid,
* [ExcelArgument(Description = "swap type ")] string swaptype,
* [ExcelArgument(Description = "Fixing Days ")] object fixingdays, // use object to catch missing
* [ExcelArgument(Description = "Trade Date ")] object tradedate,
* [ExcelArgument(Description = "Start date ")] object startdate,
* [ExcelArgument(Description = "Maturity date ")] object maturitydate,
* [ExcelArgument(Description = "Tenor ")] string Tenor,
* [ExcelArgument(Description = "is notional schedule given ")] bool isschedulegiven,*/
[ExcelArgument(Description = "swap type ")] object[] tradeinfo,
// first leg
/*[ExcelArgument(Description = "id of first leg index ")] string firstlegindex,
* [ExcelArgument(Description = "first leg frequency ")] string firstlegfreq,
* [ExcelArgument(Description = "first leg convention ")] string firstlegconv,
* [ExcelArgument(Description = "first leg calendar ")] string firstlegcalendar,
* [ExcelArgument(Description = "first leg day counter ")] string firstlegdc,
* [ExcelArgument(Description = "first leg date generation rule ")] string firstlegdgrule,
* [ExcelArgument(Description = "first leg end of month ")] bool firstlegeom,
* [ExcelArgument(Description = "first leg fixed rate ")] double firstlegrate,*/
[ExcelArgument(Description = "first leg info ")] object[] firstleginfo,
[ExcelArgument(Description = "first leg notional(s) ")] object[] firstlegnotionals, // only object[] works
[ExcelArgument(Description = "first leg schedule(s) ")] object[,] firstlegschedule,
// second leg
/*[ExcelArgument(Description = "id of second leg index ")] string secondlegindex,
* [ExcelArgument(Description = "second leg frequency ")] string secondlegfreq,
* [ExcelArgument(Description = "second leg convention ")] string secondlegconv,
* [ExcelArgument(Description = "second leg calendar ")] string secondlegcalendar,
* [ExcelArgument(Description = "second leg day counter ")] string secondlegdc,
* [ExcelArgument(Description = "second leg date generation rule ")] string secondlegdgrule,
* [ExcelArgument(Description = "second leg end of month ")] bool secondlegeom,
* [ExcelArgument(Description = "second leg spread ")] double secondlegspread,*/
[ExcelArgument(Description = "second leg info ")] object[] secondleginfo,
[ExcelArgument(Description = "second leg notional(s) ")] object[] secondlegnotionals,
[ExcelArgument(Description = "second leg schedule(s) ")] object[,] secondlegschedule,
[ExcelArgument(Description = "id of discount curve ")] string discountId
)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
EliteQuant.Instruments.InterestRateGenericSwap genswap = new EliteQuant.Instruments.InterestRateGenericSwap();
#region parameters
if (ExcelUtil.isNull(tradeinfo[0]))
{
return("#EQ_ERR!");
}
else
{
genswap.ContractId = (string)tradeinfo[0];
}
if (ExcelUtil.isNull(tradeinfo[1]))
{
genswap.Entity = "NA";
}
else
{
genswap.Entity = (string)tradeinfo[1];
}
if (ExcelUtil.isNull(tradeinfo[2]))
{
genswap.EntityID = "NA";
}
else
{
genswap.EntityID = (string)tradeinfo[2];
}
if (ExcelUtil.isNull(tradeinfo[3]))
{
genswap.Counterparty = "NA";
}
else
{
genswap.Counterparty = (string)tradeinfo[3];
}
if (ExcelUtil.isNull(tradeinfo[4]))
{
genswap.CounterpartyID = "NA";
}
else
{
genswap.CounterpartyID = (string)tradeinfo[4];
}
if (ExcelUtil.isNull(tradeinfo[5]))
{
genswap.SwapType = "Payer";
}
else
{
genswap.SwapType = (string)tradeinfo[5];
}
if (ExcelUtil.isNull(tradeinfo[6]))
{
genswap.FixingDays = 2;
}
else
{
genswap.FixingDays = (int)(double)tradeinfo[6];
}
if (ExcelUtil.isNull(tradeinfo[7]))
{
genswap.TradeDate = EliteQuant.EQConverter.DateTimeToString(DateTime.Today);
}
else
{
genswap.TradeDate = EliteQuant.EQConverter.DateTimeToString(DateTime.FromOADate((double)tradeinfo[7]));
}
// set it temporarily to ""
if (ExcelUtil.isNull(tradeinfo[8]))
{
genswap.SettlementDate = string.Empty;
}
else
{
genswap.SettlementDate = EliteQuant.EQConverter.DateTimeToString(DateTime.FromOADate((double)tradeinfo[8]));
}
// set it temporarily to today
if (ExcelUtil.isNull(tradeinfo[9]))
{
genswap.MaturityDate = string.Empty;
}
else
{
genswap.MaturityDate = EliteQuant.EQConverter.DateTimeToString(DateTime.FromOADate((double)tradeinfo[9]));
}
// set it temporarily to blank
if (ExcelUtil.isNull(tradeinfo[10]))
{
genswap.Tenor = string.Empty;
}
else
{
genswap.Tenor = (string)tradeinfo[10];
}
if (ExcelUtil.isNull(tradeinfo[11]))
{
genswap.IsScheduleGiven = false;
}
else
{
//genswap.IsScheduleGiven = Convert.ToBoolean((string)tradeinfo[11]);
genswap.IsScheduleGiven = (bool)tradeinfo[11];
}
genswap.IsScheduleGiven = false; // set to false always, amortization currently not supported
//*************** First Leg *************************//
if (ExcelUtil.isNull(firstleginfo[0]))
{
genswap.FirstLegIndex = "FIXED";
}
else
{
genswap.FirstLegIndex = (string)firstleginfo[0];
}
if (ExcelUtil.isNull(firstleginfo[1]))
{
genswap.FirstLegFrequency = "SEMIANNUAL";
}
else
{
genswap.FirstLegFrequency = (string)firstleginfo[1];
}
if (ExcelUtil.isNull(firstleginfo[2]))
{
genswap.FirstLegConvention = "MODIFIEDFOLLOWING";
}
else
{
genswap.FirstLegConvention = (string)firstleginfo[2];
}
if (ExcelUtil.isNull(firstleginfo[3]))
{
genswap.FirstLegCalendar = "NYC|LON";
}
else
{
genswap.FirstLegCalendar = (string)firstleginfo[3];
}
if (ExcelUtil.isNull(firstleginfo[4]))
{
genswap.FirstLegDayCounter = "ACTUAL360";
}
else
{
genswap.FirstLegDayCounter = (string)firstleginfo[4];
}
if (ExcelUtil.isNull(firstleginfo[5]))
{
genswap.FirstLegDateGenerationRule = "BACKWARD";
}
else
{
genswap.FirstLegDateGenerationRule = (string)firstleginfo[5];
}
if (ExcelUtil.isNull(firstleginfo[6]))
{
genswap.FirstLegEOM = true;
}
else
{
genswap.FirstLegEOM = (bool)firstleginfo[6];
}
if (ExcelUtil.isNull(firstleginfo[7]))
{
genswap.FirstLegSpread = 0.0;
}
else
{
genswap.FirstLegSpread = (double)firstleginfo[7];
}
if (ExcelUtil.isNull(firstlegnotionals))
{
genswap.FirstLegNotionals.Clear();
genswap.FirstLegNotionals.Add(0); // size = 1
}
else
{
genswap.FirstLegNotionals.Clear();
foreach (var nl in firstlegnotionals)
{
if (ExcelUtil.isNull(nl))
{
continue;
}
genswap.FirstLegNotionals.Add((double)nl);
}
}
if (ExcelUtil.isNull(firstlegschedule) || (!genswap.IsScheduleGiven))
{
genswap.FirstLegSchedules.Clear();
genswap.FirstLegSchedules.Add(genswap.SettlementDate);
genswap.FirstLegSchedules.Add(genswap.MaturityDate);
}
else
{
genswap.FirstLegSchedules.Clear();
for (int a = 0; a < firstlegschedule.GetLength(0); a++)
{
DateTime d;
if (ExcelUtil.isNull(firstlegschedule[a, 0]))
{
// add one more date
d = DateTime.FromOADate((double)firstlegschedule[a - 1, 1]);
genswap.FirstLegSchedules.Add(EliteQuant.EQConverter.DateTimeToString(d));
break;
}
d = DateTime.FromOADate((double)firstlegschedule[a, 0]);
genswap.FirstLegSchedules.Add(EliteQuant.EQConverter.DateTimeToString(d));
}
}
//*************** Second Leg *************************//
if (ExcelUtil.isNull(secondleginfo[0]))
{
genswap.SecondLegIndex = "USDLIB3M";
}
else
{
genswap.SecondLegIndex = (string)secondleginfo[0];
}
if (ExcelUtil.isNull(secondleginfo[1]))
{
genswap.SecondLegFrequency = "QUARTERLY";
}
else
{
genswap.SecondLegFrequency = (string)secondleginfo[1];
}
if (ExcelUtil.isNull(secondleginfo[2]))
{
genswap.SecondLegConvention = "MODIFIEDFOLLOWING";
}
else
{
genswap.SecondLegConvention = (string)secondleginfo[2];
}
if (ExcelUtil.isNull(secondleginfo[3]))
{
genswap.SecondLegCalendar = "NYC|LON"; // nor NYC|LON
}
else
{
genswap.SecondLegCalendar = (string)secondleginfo[3];
}
if (ExcelUtil.isNull(secondleginfo[4]))
{
genswap.SecondLegDayCounter = "ACTUAL360";
}
else
{
genswap.SecondLegDayCounter = (string)secondleginfo[4];
}
if (ExcelUtil.isNull(secondleginfo[5]))
{
genswap.SecondLegDateGenerationRule = "BACKWARD";
}
else
{
genswap.SecondLegDateGenerationRule = (string)secondleginfo[5];
}
if (ExcelUtil.isNull(secondleginfo[6]))
{
genswap.SecondLegEOM = true;
}
else
{
genswap.SecondLegEOM = (bool)secondleginfo[6];
}
if (ExcelUtil.isNull(secondleginfo[7]))
{
genswap.SecondLegSpread = 0.0;
}
else
{
genswap.SecondLegSpread = (double)secondleginfo[7];
}
if (ExcelUtil.isNull(secondlegnotionals))
{
genswap.SecondLegNotionals.Clear();
genswap.SecondLegNotionals.Add(0);
}
else
{
genswap.SecondLegNotionals.Clear();
foreach (var nl in secondlegnotionals)
{
if (ExcelUtil.isNull(nl))
{
continue;
}
genswap.SecondLegNotionals.Add((double)nl);
}
}
if (ExcelUtil.isNull(secondlegschedule) || (!genswap.IsScheduleGiven))
{
genswap.SecondLegSchedules.Clear();
genswap.SecondLegSchedules.Add(genswap.SettlementDate);
genswap.SecondLegSchedules.Add(genswap.MaturityDate);
}
else
{
genswap.SecondLegSchedules.Clear();
for (int a = 0; a < secondlegschedule.GetLength(0); a++)
{
DateTime d;
if (ExcelUtil.isNull(secondlegschedule[a, 0]))
{
// add one more date
d = DateTime.FromOADate((double)secondlegschedule[a - 1, 1]);
genswap.SecondLegSchedules.Add(EliteQuant.EQConverter.DateTimeToString(d));
break;
}
d = DateTime.FromOADate((double)secondlegschedule[a, 0]);
genswap.SecondLegSchedules.Add(EliteQuant.EQConverter.DateTimeToString(d));
}
}
#endregion
#region convert Interest rate generic swap to swap obj
string firstidx = genswap.FirstLegIndex, secondidx = genswap.SecondLegIndex;
string firstidx_id = "IDX@" + firstidx;
string secondidx_id = "IDX@" + secondidx;
EliteQuant.IborIndex firstidx_obj = null;
if (!firstidx.Contains("FIXED"))
{
firstidx_obj = OHRepository.Instance.getObject <EliteQuant.IborIndex>(firstidx_id);
}
EliteQuant.IborIndex secondidx_obj = OHRepository.Instance.getObject <EliteQuant.IborIndex>(secondidx_id);
genswap.ConstructSwap(firstidx_obj, secondidx_obj);
if (!discountId.Contains('@'))
{
discountId = "CRV@" + discountId;
}
YieldTermStructure discountcurve = OHRepository.Instance.getObject <YieldTermStructure>(discountId);
YieldTermStructureHandle dch = new YieldTermStructureHandle(discountcurve);
DiscountingSwapEngine engine = new DiscountingSwapEngine(dch);
genswap.eqswap_.setPricingEngine(engine);
#endregion
string id = "SWP@" + genswap.ContractId;
OHRepository.Instance.storeObject(id, genswap, 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!");
}
}
