public static string eqRiskPortfolio(
[ExcelArgument(Description = "Portfolio Id ")] string ObjectId,
[ExcelArgument(Description = "Instruments in portfolio ")] object[] instids,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
List <EnergyCommodityExt> port_ = new List <EnergyCommodityExt>();
foreach (string sid in instids)
{
EnergyCommodityExt inst = OHRepository.Instance.getObject <EnergyCommodityExt>(sid);
port_.Add(inst);
}
string id = "Port@" + ObjectId;
OHRepository.Instance.storeObject(id, port_, 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(e.Message);
}
}
public static object eqRiskSimTwoBaseCurves(
[ExcelArgument(Description = "as of date ")] DateTime asofdate,
[ExcelArgument(Description = "curve 1 name ")] string curve1,
[ExcelArgument(Description = "curve 2 name ")] string curve2,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
return(asofdate);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqOpListFolders(
[ExcelArgument(Description = "path ")] string path)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
//path = @"S:\All\Risk\Simulation\Pds\" + asofdate.ToString("yyyyMMdd");
string[] dirs = System.IO.Directory.GetDirectories(path).OrderByDescending(x => x).ToArray();
object[,] ret = new object[dirs.Count(), 1];
int i = 0;
foreach (var s in dirs)
{
ret[i++, 0] = (new System.IO.DirectoryInfo(s)).Name;
}
return(ret);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqOpGetRPath()
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Microsoft.Win32.RegistryKey registryKey = Microsoft.Win32.Registry.LocalMachine.OpenSubKey(@"SOFTWARE\R-core\R");
string rPath = (string)registryKey.GetValue("InstallPath");
string rVersion = (string)registryKey.GetValue("Current Version");
registryKey.Dispose();
object[,] ret = new object[2, 2];
ret[0, 0] = "R Version"; ret[0, 1] = rVersion;
ret[1, 0] = "R Path"; ret[1, 1] = rPath;
return(ret);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqMathGet2DInterpolation(
[ExcelArgument(Description = "interpolation obj id")] string objId,
[ExcelArgument(Description = "row variable x ")] double x,
[ExcelArgument(Description = "col variable y ")] double y)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
BilinearInterpolation interp = OHRepository.Instance.getObject <BilinearInterpolation>(objId);
double ret = interp.call(x, y);
return(ret);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqRiskCalibrateCurveATMVol(
[ExcelArgument(Description = "as of date ")] DateTime asofdate,
[ExcelArgument(Description = "curve 1 ")] string curve1,
[ExcelArgument(Description = "(optional) curve 2 ")] string curve2,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
List <string> curves = new List <string>();
curves.Add(curve1.ToUpper());
if (!ExcelUtil.isNull(curve2) && (!string.IsNullOrEmpty(curve2)))
{
curves.Add(curve2.ToUpper());
}
return(asofdate);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqMathGenThreefryGaussianRng(
[ExcelArgument(Description = "seed of the rng (can't be zero)")] int seed,
[ExcelArgument(Description = "skip (jump forward) ")] int skip)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
Xl.Range range = ExcelUtil.getActiveCellRange();
int c = range.Count; // range should be one column
try
{
double[,] ret = new double[c, 1];
double[] ret0 = new double[c];
EliteQuant.NQuantLibc.normalthreefry(seed, skip, ret0, c);
for (int i = 0; i < c; i++)
{
ret[i, 0] = ret0[i];
}
return(ret);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static DateTime eqOpObjectUpdateTime(
[ExcelArgument(Description = "id of object ")] string objID)
{
if (ExcelUtil.CallFromWizard())
{
return(DateTime.MinValue);
}
return(OHRepository.Instance.getObjectUpdateTime(objID));
}
public static string eqOpObjectCallerAddress(
[ExcelArgument(Description = "id of object ")] string objID)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
return(OHRepository.Instance.getCallerAddress(objID));
}
public static string eqOpObjectClassName(
[ExcelArgument(Description = "id of object ")] string objID)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
return(OHRepository.Instance.getObjectType(objID).Name);
}
public static string eqMathBiLinearInterpolation(
[ExcelArgument(Description = "interpolation obj id")] string objId,
[ExcelArgument(Description = "row variable x ")] double[] x,
[ExcelArgument(Description = "col variable y ")] double[] y,
[ExcelArgument(Description = "variable z ")] double[,] z)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if ((x.Length != z.GetLength(0)) || (y.Length != z.GetLength(1)))
{
return("size mismatch");
}
QlArray xa = new QlArray((uint)x.Length);
QlArray ya = new QlArray((uint)y.Length);
for (uint i = 0; i < x.Length; i++)
{
xa.set(i, x[i]);
ya.set(i, y[i]);
}
Matrix ma = new Matrix((uint)x.Length, (uint)y.Length);
for (uint i = 0; i < x.Length; i++)
{
for (uint j = 0; j < y.Length; j++)
{
ma.set(i, j, z[i, j]);
}
}
BilinearInterpolation interp = new BilinearInterpolation(xa, ya, ma);
// Store the futures and return its id
string id = "Int@" + objId;
OHRepository.Instance.storeObject(id, interp, 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(e.Message);
}
}
public static object eqOpListEnvironmentVariable(
[ExcelArgument(Description = "environment variable (e.g. Path or PythonPath)")] string evar)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (string.IsNullOrEmpty(evar))
{
int env_count = Environment.GetEnvironmentVariables().Count;
object[,] ret = new object[env_count, 3];
int i = 0;
foreach (System.Collections.DictionaryEntry env in Environment.GetEnvironmentVariables())
{
ret[i, 0] = (i + 1).ToString() + "/" + env_count.ToString();
ret[i, 1] = (string)env.Key;
ret[i, 2] = (string)env.Value;
i++;
}
return(ret);
}
else
{
var path = System.Environment.GetEnvironmentVariable(evar);
var path_array = path.Split(';');
object[,] ret = new object[path_array.Count(), 2];
for (int i = 0; i < path_array.Count(); i++)
{
ret[i, 0] = (i + 1).ToString() + "/" + path_array.Count();
ret[i, 1] = path_array[i];
}
return(ret);
}
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqOpListObjects(
[ExcelArgument(Description = "pattern ")] string pattern)
{
if (ExcelUtil.CallFromWizard())
{
return(new string[0, 0]);
}
List <String> objids = OHRepository.Instance.listObjects(pattern);
object[,] ret = new object[objids.Count, 1];
int i = 0;
foreach (string str in objids)
{
ret[i++, 0] = str;
}
return(ret);
}
public static object eqMathGet1DInterpolation(
[ExcelArgument(Description = "interpolation obj id")] string objId,
[ExcelArgument(Description = "variable x ")] double x,
[ExcelArgument(Description = "Linear/LogLinear ")] string type)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (type.ToUpper() == "LINEAR")
{
LinearInterpolation interp = OHRepository.Instance.getObject <LinearInterpolation>(objId);
double ret = interp.call(x, true);
return(ret);
}
else if (type.ToUpper() == "LOGLINEAR")
{
LogLinearInterpolation interp = OHRepository.Instance.getObject <LogLinearInterpolation>(objId);
double ret = interp.call(x, true);
return(ret);
}
else
{
return("Unknown interpolation type");
}
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqOpListFiles(
[ExcelArgument(Description = "path ")] string path,
[ExcelArgument(Description = "with file extensions ")] bool withext)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
string[] files = System.IO.Directory.GetFiles(path);
object[,] ret = new object[files.Count(), 1];
int i = 0;
foreach (var f in files)
{
if (withext)
{
ret[i++, 0] = System.IO.Path.GetFileName(f);
}
else
{
ret[i++, 0] = System.IO.Path.GetFileNameWithoutExtension(f);
}
}
return(ret);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static string eqRiskGetTradePFE(
[ExcelArgument(Description = "as of date ")] DateTime asofdate,
[ExcelArgument(Description = "trade id ")] string tradeid,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
return(tradeid);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqOpGetEnumerationList(
[ExcelArgument(Description = "Enum Class Name (Daycounter, Calendar, BusinessDayConvention)")] string enumclassname)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
// by default ExcelDna is horizontal; make vertical
object[,] ret = new object[10, 1];
for (int i = 0; i < 10; i++)
{
ret[i, 0] = "";
}
switch (enumclassname.ToUpper())
{
case "DAYCOUNTER":
ret[0, 0] = "ACTUAL360";
ret[1, 0] = "ACTUAL365";
ret[2, 0] = "ACTUALACTUAL";
break;
case "CALENDAR":
ret[0, 0] = "NYC";
ret[1, 0] = "LON";
ret[2, 0] = "NYC|LON";
break;
case "BUSINESSDAYCONVENTION":
ret[0, 0] = "F";
ret[1, 0] = "MF";
ret[2, 0] = "P";
ret[3, 0] = "MP";
ret[4, 0] = "NONE";
break;
case "DGRULE": // Date Generation Rule
ret[0, 0] = "Backward";
ret[1, 0] = "Forward";
ret[2, 0] = "Zero";
ret[3, 0] = "ThirdWednesday";
ret[4, 0] = "Twentieth";
ret[5, 0] = "TwentiethIMM";
ret[6, 0] = "CDS";
break;
default:
ret[0, 0] = "unkown enum type";
break;
}
return(ret);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}