public static string eqIRCurveLiborBasisSwapHelper(
[ExcelArgument(Description = "(String) id of rate helper object ")] String ObjectId,
[ExcelArgument(Description = "(String) base leg (usually USDLIB3M) ")] String baseLeg,
[ExcelArgument(Description = "(String) basis leg (USDLIB1M, USDLIB6M, etc) ")] String basisLeg,
[ExcelArgument(Description = "(double) basis spread ")] double basis,
[ExcelArgument(Description = "(String) basis swap tenor (1Y, 2Y, etc) ")] String tenor,
[ExcelArgument(Description = "Discount Curve (USDLIB3M or USDOIS) ")] String discount,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
// use default value. Eonia and ois has same convention
if (!baseLeg.Contains('@'))
{
baseLeg = "IDX" + baseLeg;
}
EliteQuant.IborIndex baseidx = OHRepository.Instance.getObject <EliteQuant.IborIndex>(baseLeg);
EliteQuant.IborIndex basisidx = null;
switch (basisLeg.ToUpper())
{
case "USDLIB1M":
basisidx = new EliteQuant.USDLibor(new EliteQuant.Period(1, EliteQuant.TimeUnit.Months));
break;
case "USDLIB6M":
basisidx = new EliteQuant.USDLibor(new EliteQuant.Period(6, EliteQuant.TimeUnit.Months));
break;
case "USDLIB12M":
basisidx = new EliteQuant.USDLibor(new EliteQuant.Period(12, EliteQuant.TimeUnit.Months));
break;
default:
break;
}
EliteQuant.YieldTermStructure curve = null;
EliteQuant.YieldTermStructureHandle yth = null;
if (!discount.Contains('@'))
{
discount = "CRV@" + discount;
}
if (!ExcelUtil.isNull(discount))
{
curve = OHRepository.Instance.getObject <EliteQuant.YieldTermStructure>(discount);
yth = new EliteQuant.YieldTermStructureHandle(curve);
}
EliteQuant.QuoteHandle basis_ = new EliteQuant.QuoteHandle(new EliteQuant.SimpleQuote(basis));
EliteQuant.Period tenor_ = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(tenor);
// arithmetic average, not compounded. USBG
EliteQuant.RateHelper rh = new EliteQuant.IBORBasisRateHelper(2, tenor_, basis_, baseidx, basisidx, yth);
string id = "RHBAS@" + 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 eqIRCurveLinearZero(
[ExcelArgument(Description = "(String) id of curve (USDOIS, USDLIB3M) ")] string ObjectId,
[ExcelArgument(Description = "array of rate helpers ")] object[] ratehelpers,
[ExcelArgument(Description = "Interpolation Method (default LogLinear) ")] string interp,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
Xl.Range rng = ExcelUtil.getActiveCellRange();
try
{
string interpmethod;
if (ExcelUtil.isNull(interp))
{
interpmethod = "LOGLINEAR";
}
else
{
interpmethod = interp.ToUpper();
}
EliteQuant.RateHelperVector rhv = new EliteQuant.RateHelperVector();
EliteQuant.Date today = EliteQuant.Settings.instance().getEvaluationDate();
List <EliteQuant.Date> dates = new List <EliteQuant.Date>();
dates.Add(today); // today has discount 1
foreach (var rid in ratehelpers)
{
if (ExcelUtil.isNull(rid))
{
continue;
}
try
{
EliteQuant.RateHelper rh = OHRepository.Instance.getObject <EliteQuant.RateHelper>((string)rid);
rhv.Add(rh);
dates.Add(rh.latestDate());
}
catch (Exception)
{
// skip null instruments
}
}
// set reference date to today. or discount to 1
EliteQuant.YieldTermStructure yth = new EliteQuant.PiecewiseLogLinearDiscount(today, rhv, dc_act_360);
EliteQuant.DateVector dtv = new EliteQuant.DateVector();
EliteQuant.DoubleVector discv = new EliteQuant.DoubleVector();
foreach (var dt in dates)
{
double disc = yth.discount(dt);
dtv.Add(dt);
discv.Add(disc);
}
// reconstruct the discount curve
// note that discount curve is LogLinear
EliteQuant.YieldTermStructure yth2 = null;
yth2 = new EliteQuant.DiscountCurve(dtv, discv, dc_act_360, ObjectId.Contains("OIS") ? cal_usd : cal_usd_gbp);
if (!ObjectId.Contains('@'))
{
ObjectId = "CRV@" + ObjectId;
}
//string id = "IRCRV@" + ObjectId;
string id = ObjectId;
OHRepository.Instance.storeObject(id, yth2, 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 eqIRCurveSwapRateHelper(
[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 = " spread ")] double spread,
[ExcelArgument(Description = " name of swap curve(USDLIB3M, USDLIB1M, USDLIB6M, USDLIB12M) ")] string idx,
[ExcelArgument(Description = " id of discount curve (USDOIS) ")] string discount,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
// use default value
EliteQuant.IborIndex idx_usdlibor = null;
EliteQuant.QuoteHandle rate_ = new EliteQuant.QuoteHandle(new EliteQuant.SimpleQuote(quote));
EliteQuant.Period tenor_ = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(Tenor);
if (ExcelUtil.isNull(spread))
{
spread = 0.0;
}
EliteQuant.QuoteHandle spread_ = new EliteQuant.QuoteHandle(new EliteQuant.SimpleQuote(spread));
EliteQuant.RateHelper rh = null;
if (ExcelUtil.isNull(idx))
{
idx_usdlibor = new EliteQuant.USDLibor(new EliteQuant.Period(3, EliteQuant.TimeUnit.Months));
}
else
{
switch (idx)
{
case "USDLIB1M":
idx_usdlibor = new EliteQuant.USDLibor(new EliteQuant.Period(1, EliteQuant.TimeUnit.Months));
break;
case "USDLIB6M":
idx_usdlibor = new EliteQuant.USDLibor(new EliteQuant.Period(6, EliteQuant.TimeUnit.Months));
break;
case "USDLIB12M":
idx_usdlibor = new EliteQuant.USDLibor(new EliteQuant.Period(12, EliteQuant.TimeUnit.Months));
break;
default:
idx_usdlibor = new EliteQuant.USDLibor(new EliteQuant.Period(3, EliteQuant.TimeUnit.Months));
break;
}
}
if (ExcelUtil.isNull(discount))
{
rh = new EliteQuant.SwapRateHelper(rate_, tenor_,
cal_usd_gbp, EliteQuant.Frequency.Semiannual, bdc_usd, dc_30_360, idx_usdlibor);
}
else
{
if (!discount.Contains('@'))
{
discount = "CRV@" + discount;
}
EliteQuant.YieldTermStructure curve = OHRepository.Instance.getObject <EliteQuant.YieldTermStructure>(discount);
EliteQuant.YieldTermStructureHandle yth = new EliteQuant.YieldTermStructureHandle(curve);
rh = new EliteQuant.SwapRateHelper(rate_, tenor_,
cal_usd_gbp, EliteQuant.Frequency.Semiannual, bdc_usd, dc_30_360,
idx_usdlibor, spread_, new EliteQuant.Period(0, EliteQuant.TimeUnit.Days), yth);
}
string id = "RHSWP@" + 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!");
}
}
