public static object _CreateMultiHWAndFXToy(string objectName,
object[,] anchorDate,
object[,] numeraireCcy,
object[,] rateSimulators,
object[,] currencies,
object[,] spots,
object[,] vols,
object[,] correlations)
{
try
{
var _anchorDate = XU.GetDate0D(anchorDate, "anchorDate");
var _numeraireCcy = XU.GetSpecialType0D <Currency>(numeraireCcy, "numeraireCcy");
var _rateSimulators = XU.GetObject1D <HullWhite1F>(rateSimulators, "rateSimulators");
var _currencies = XU.GetSpecialType1D <Currency>(currencies, "currencies");
var _spots = XU.GetDouble1D(spots, "spots");
var _vols = XU.GetDouble1D(vols, "vols");
var _correlations = XU.GetDouble2D(correlations, "correlations");
var _result = XLFX.CreateMultiHWAndFXToy(_anchorDate, _numeraireCcy, _rateSimulators, _currencies,
_spots, _vols, _correlations);
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(BlackEtc.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 _CreateZARBermudanSwaption(string objectName,
object[,] exerciseDates,
object[,] longOptionality,
object[,] startDate,
object[,] tenor,
object[,] rate,
object[,] payFixed,
object[,] notional)
{
try
{
var _exerciseDates = XU.GetDate1D(exerciseDates, "exerciseDates");
var _longOptionality = XU.GetBoolean0D(longOptionality, "longOptionality");
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.CreateZARBermudanSwaption(_exerciseDates, _longOptionality, _startDate, _tenor,
_rate, _payFixed, _notional);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
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 _GetFXRate(object[,] fxCurve,
object[,] date)
{
try
{
var _fxCurve = XU.GetObject0D <IFXSource>(fxCurve, "fxCurve");
var _date = XU.GetDate0D(date, "date");
var _result = XLFX.GetFXRate(_fxCurve, _date);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _GetDF(object[,] curve,
object[,] date)
{
try
{
var _curve = XU.GetObject0D <IDiscountingSource>(curve, "curve");
var _date = XU.GetDate0D(date, "date");
var _result = XLRates.GetDF(_curve, _date);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _IsHoliday(object[,] date,
object[,] calendar)
{
try
{
var _date = XU.GetDate0D(date, "date");
var _calendar = XU.GetSpecialType0D <Calendar>(calendar, "calendar");
var _result = XLConventions.IsHoliday(_date, _calendar);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _ApplyBusinessDayAdjustment(object[,] date,
object[,] convention,
object[,] calendar)
{
try
{
var _date = XU.GetDate0D(date, "date");
var _convention = XU.GetSpecialType0D <BusinessDayConvention>(convention, "convention");
var _calendar = XU.GetSpecialType0D <Calendar>(calendar, "calendar");
var _result = XLConventions.ApplyBusinessDayAdjustment(_date, _convention, _calendar);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _GetYearFraction(object[,] date1,
object[,] date2,
object[,] convention)
{
try
{
var _date1 = XU.GetDate0D(date1, "date1");
var _date2 = XU.GetDate0D(date2, "date2");
var _convention = XU.GetSpecialType0D <DayCountConvention>(convention, "convention");
var _result = XLConventions.GetYearFraction(_date1, _date2, _convention);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _ValueZARSwap1Curve(object[,] swap,
object[,] valueDate,
object[,] curve)
{
try
{
var _swap = XU.GetObject0D <IRSwap>(swap, "swap");
var _valueDate = XU.GetDate0D(valueDate, "valueDate");
var _curve = XU.GetObject0D <IDiscountingSource>(curve, "curve");
var _result = XLRates.ValueZARSwap1Curve(_swap, _valueDate, _curve);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static object _GetSurvivalProb(object[,] survivalProbabilitySource,
object[,] date1,
object[,] date2)
{
try
{
ISurvivalProbabilitySource _survivalProbabilitySource = XU.GetObject0D <ISurvivalProbabilitySource>(survivalProbabilitySource, "survivalProbabilitySource");
Date _date1 = XU.GetDate0D(date1, "date1");
Date _date2 = XU.GetDate0D(date2, "date2", null);
Double _result = XLCredit.GetSurvivalProb(_survivalProbabilitySource, _date1, _date2);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error0D(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 _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 _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 _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[,] _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 _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[,] _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));
}
}