public static object _CreatePCACurveSimulator(string objectName,
object[,] anchorDate,
object[,] initialRates,
object[,] tenors,
object[,] components,
object[,] vols,
object[,] multiplier,
object[,] useRelative,
object[,] floorAtZero)
{
try
{
Date _anchorDate = XU.GetDate0D(anchorDate, "anchorDate");
Double[] _initialRates = XU.GetDouble1D(initialRates, "initialRates");
Tenor[] _tenors = XU.GetTenor1D(tenors, "tenors");
Double[,] _components = XU.GetDouble2D(components, "components");
Double[] _vols = XU.GetDouble1D(vols, "vols");
Double _multiplier = XU.GetDouble0D(multiplier, "multiplier");
Boolean _useRelative = XU.GetBoolean0D(useRelative, "useRelative");
Boolean _floorAtZero = XU.GetBoolean0D(floorAtZero, "floorAtZero");
Object _result = XLCurves.CreatePCACurveSimulator(_anchorDate, _initialRates, _tenors, _components, _vols, _multiplier, _useRelative, _floorAtZero);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object[,] _CovarianceFromCurves(object[,] curves)
{
try
{
Double[,] _curves = XU.GetDouble2D(curves, "curves");
Double[,] _result = XLCurves.CovarianceFromCurves(_curves);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error2D(e));
}
}
public static object[,] _CurveInterp(object[,] curve,
object[,] dates)
{
try
{
ICurve _curve = XU.GetObject0D <ICurve>(curve, "curve");
Date[,] _dates = XU.GetDate2D(dates, "dates");
Double[,] _result = XLCurves.CurveInterp(_curve, _dates);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error2D(e));
}
}
public static object[,] _PCAFromCurves(object[,] curves,
object[,] useRelative)
{
try
{
Double[,] _curves = XU.GetDouble2D(curves, "curves");
Boolean _useRelative = XU.GetBoolean0D(useRelative, "useRelative");
Double[,] _result = XLCurves.PCAFromCurves(_curves, _useRelative);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error2D(e));
}
}
public static object[,] _PCACurveSimulatorGetRates(object[,] simulator,
object[,] simulationDates,
object[,] requiredTenors)
{
try
{
PCACurveSimulator _simulator = XU.GetObject0D <PCACurveSimulator>(simulator, "simulator");
Date[] _simulationDates = XU.GetDate1D(simulationDates, "simulationDates");
Tenor[] _requiredTenors = XU.GetTenor1D(requiredTenors, "requiredTenors");
Double[,] _result = XLCurves.PCACurveSimulatorGetRates(_simulator, _simulationDates, _requiredTenors);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error2D(e));
}
}
public static object _FitCurveNelsonSiegel(string objectName,
object[,] anchorDate,
object[,] dates,
object[,] rates)
{
try
{
Date _anchorDate = XU.GetDate0D(anchorDate, "anchorDate");
Date[] _dates = XU.GetDate1D(dates, "dates");
Double[] _rates = XU.GetDouble1D(rates, "rates");
ICurve _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
{
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 _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));
}
}