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 _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 _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 _GetSurvivalProb(object[,] survivalProbabilitySource, object[,] date1, object[,] date2) { try { var _survivalProbabilitySource = XU.GetObject0D <ISurvivalProbabilitySource>(survivalProbabilitySource, "survivalProbabilitySource"); var _date1 = XU.GetDate0D(date1, "date1"); var _date2 = XU.GetDate0D(date2, "date2", null); var _result = XLCredit.GetSurvivalProb(_survivalProbabilitySource, _date1, _date2); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error0D(e)); } }
public static object _CreateEquityCall(string objectName, object[,] share, object[,] exerciseDate, object[,] strike) { try { var _share = XU.GetSpecialType0D <Share>(share, "share"); var _exerciseDate = XU.GetDate0D(exerciseDate, "exerciseDate"); var _strike = XU.GetDouble0D(strike, "strike"); var _result = XLEquities.CreateEquityCall(_share, _exerciseDate, _strike); return(XU.AddObject(objectName, _result)); } catch (Exception e) { return(XU.Error0D(e)); } }
public static object _CreateCurveModel(string objectName, object[,] discountCurve, object[,] rateForecastCurves, object[,] fxForecastCurves) { try { IDiscountingSource _discountCurve = XU.GetObject0D <IDiscountingSource>(discountCurve, "discountCurve"); IFloatingRateSource[] _rateForecastCurves = XU.GetObject1D <IFloatingRateSource>(rateForecastCurves, "rateForecastCurves"); IFXSource[] _fxForecastCurves = XU.GetObject1D <IFXSource>(fxForecastCurves, "fxForecastCurves"); NumeraireSimulator _result = XLValuation.CreateCurveModel(_discountCurve, _rateForecastCurves, _fxForecastCurves); 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 { var _anchorDate = XU.GetDate0D(anchorDate, "anchorDate"); var _dates = XU.GetDate1D(dates, "dates"); var _rates = XU.GetDouble1D(rates, "rates"); var _result = XLCurves.FitCurveNelsonSiegel(_anchorDate, _dates, _rates); 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 FormulaBlackScholes([ExcelArgument(Description = "Strike")] object[,] strike, [ExcelArgument(Description = "The value date as and Excel date.")] object[,] valueDate, [ExcelArgument(Description = "The exercise date of the option. Must be greater than the value date.")] object[,] exerciseDate, [ExcelArgument(Description = "The spot proce of the underlying at the value date.")] object[,] spotPrice, [ExcelArgument(Description = "Annualized volatility.")] object[,] vol, [ExcelArgument(Description = "Continuously compounded risk free rate.")] object[,] riskfreeRate, [ExcelArgument(Description = "Continuously compounded dividend yield.")] object[,] divYield) { try { return(Formulae.BlackScholes(PutOrCall.Call, XU.GetDouble0D(strike, "strike"), (XU.GetDate0D(exerciseDate, "exerciseDate") - XU.GetDate0D(valueDate, "valueDate")) / 365.0, XU.GetDouble0D(spotPrice, "spotPrice"), XU.GetDouble0D(vol, "vol"), XU.GetDouble0D(riskfreeRate, "riskfreeRate"), XU.GetDouble0D(divYield, "divYield"))); } 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 _RateConvert(object[,] rate, object[,] compoundingFrom, object[,] compoundingTo, object[,] yearFraction) { try { var _rate = XU.GetDouble0D(rate, "rate"); var _compoundingFrom = XU.GetSpecialType0D <CompoundingConvention>(compoundingFrom, "compoundingFrom"); var _compoundingTo = XU.GetSpecialType0D <CompoundingConvention>(compoundingTo, "compoundingTo"); var _yearFraction = XU.GetDouble0D(yearFraction, "yearFraction", double.NaN); var _result = XLConventions.RateConvert(_rate, _compoundingFrom, _compoundingTo, _yearFraction); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error0D(e)); } }
public static object _Value(string objectName, object[,] products, object[,] valueDate, object[,] model, object[,] nSims) { try { Product[] _products = XU.GetObject1D <Product>(products, "products"); Date _valueDate = XU.GetDate0D(valueDate, "valueDate"); NumeraireSimulator _model = XU.GetObject0D <NumeraireSimulator>(model, "model"); Int32 _nSims = XU.GetInt320D(nSims, "nSims", 1); ResultStore _result = XLValuation.Value(_products, _valueDate, _model, _nSims); 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 { var _meanReversion = XU.GetDouble0D(meanReversion, "meanReversion"); var _flatVol = XU.GetDouble0D(flatVol, "flatVol"); var _baseCurve = XU.GetObject0D <IDiscountingSource>(baseCurve, "baseCurve"); var _forecastIndices = XU.GetSpecialType0D <FloatingIndex>(forecastIndices, "forecastIndices"); var _result = XLRates.CreateHWModelDemo(_meanReversion, _flatVol, _baseCurve, _forecastIndices); 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 _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[,] _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 _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 _CreateZARFRA(string objectName, object[,] tradeDate, object[,] notional, object[,] rate, object[,] fraCode, object[,] payFixed) { try { var _tradeDate = XU.GetDate0D(tradeDate, "tradeDate"); var _notional = XU.GetDouble0D(notional, "notional"); var _rate = XU.GetDouble0D(rate, "rate"); var _fraCode = XU.GetSpecialType0D <string>(fraCode, "fraCode"); var _payFixed = XU.GetBoolean0D(payFixed, "payFixed"); var _result = XLRates.CreateZARFRA(_tradeDate, _notional, _rate, _fraCode, _payFixed); return(XU.AddObject(objectName, _result)); } catch (Exception e) { return(XU.Error0D(e)); } }
public static object _CreateZARSwap(string objectName, object[,] startDate, object[,] tenor, object[,] rate, object[,] payFixed, object[,] notional) { try { 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.CreateZARSwap(_startDate, _tenor, _rate, _payFixed, _notional); return(XU.AddObject(objectName, _result)); } catch (Exception e) { return(XU.Error0D(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 _CreateFXForecastCurve(string objectName, object[,] baseCurrency, object[,] counterCurrency, object[,] fxRateAtAnchorDate, object[,] baseCurrencyFXBasisCurve, object[,] counterCurrencyFXBasisCurve) { try { Currency _baseCurrency = XU.GetCurrency0D(baseCurrency, "baseCurrency"); Currency _counterCurrency = XU.GetCurrency0D(counterCurrency, "counterCurrency"); Double _fxRateAtAnchorDate = XU.GetDouble0D(fxRateAtAnchorDate, "fxRateAtAnchorDate"); IDiscountingSource _baseCurrencyFXBasisCurve = XU.GetObject0D <IDiscountingSource>(baseCurrencyFXBasisCurve, "baseCurrencyFXBasisCurve"); IDiscountingSource _counterCurrencyFXBasisCurve = XU.GetObject0D <IDiscountingSource>(counterCurrencyFXBasisCurve, "counterCurrencyFXBasisCurve"); Object _result = XLFX.CreateFXForecastCurve(_baseCurrency, _counterCurrency, _fxRateAtAnchorDate, _baseCurrencyFXBasisCurve, _counterCurrencyFXBasisCurve); 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)); } }