public static string LinearRate_LinearRateModel_Make(string baseHandle, string fwdCurveCollectionHandle, string discCurveHandle, string interpolation)
{
InterpMethod interpMethod = StrToEnum.InterpolationConvert(interpolation);
LinearRateFunctions.LinearRateModel_Make(baseHandle, fwdCurveCollectionHandle, discCurveHandle, interpMethod);
return(baseHandle);
}
public static string LinearRate_FwdCurve_StoreFromCollection(string baseHandle, string fwdCurveCollectionHandle, string tenor)
{
CurveTenor tenorActual = StrToEnum.CurveTenorConvert(tenor);
LinearRateFunctions.FwdCurve_StoreFromCollection(baseHandle, fwdCurveCollectionHandle, tenorActual);
return(baseHandle);
}
public static double LinearRate_Curve_GetValue(string baseHandle, DateTime asOf, DateTime date, string dayCountStr, string interpolationStr)
{
InterpMethod interpolation = StrToEnum.InterpolationConvert(interpolationStr);
DayCount dayCount = StrToEnum.DayCountConvert(dayCountStr);
return(LinearRateFunctions.Curve_GetDiscFactor(baseHandle, asOf, date, dayCount, interpolation));
}
public static double LinearRate_Curve_GetValue(string baseHandle, double date, string interpolationMethod)
{
DateTime dateTime = DateTime.FromOADate(date);
InterpMethod interpolation = StrToEnum.InterpolationConvert(interpolationMethod);
return(LinearRateFunctions.Curve_GetValue(baseHandle, dateTime, interpolation));
}
public static double LinearRate_Curve_GetFwdRate(string curveHandle, DateTime asOf, DateTime startDate, string tenorStr, string dayCountStr, string dayRuleStr, string interpolationStr)
{
CurveTenor tenor = StrToEnum.CurveTenorFromSimpleTenor(tenorStr);
InterpMethod interpolation = StrToEnum.InterpolationConvert(interpolationStr);
DayCount dayCount = StrToEnum.DayCountConvert(dayCountStr);
DayRule dayRule = StrToEnum.DayRuleConvert(dayRuleStr);
return(LinearRateFunctions.Curve_GetFwdRate(curveHandle, asOf, startDate, tenor, dayCount, dayRule, interpolation));
}
public static string LinearRate_FixedLeg_Make(string baseHandle, DateTime asOf, DateTime startDate, DateTime endDate, double fixedRate,
string frequency, string dayCount, string dayRule, double notional)
{
CurveTenor tenorEnum = StrToEnum.CurveTenorConvert(frequency);
DayCount dayCountEnum = StrToEnum.DayCountConvert(dayCount);
DayRule dayRuleEnum = StrToEnum.DayRuleConvert(dayRule);
LinearRateFunctions.FixedLeg_Make(baseHandle, asOf, startDate, endDate, fixedRate, tenorEnum, dayCountEnum, dayRuleEnum, notional);
return(baseHandle);
}
public static string LinearRate_OisSwap_Make(string baseHandle, DateTime asOf, string startTenor, string endTenor, string settlementLag, string dayCountFixedStr,
string dayCountFloatStr, string dayRuleStr, double notional, double fixedRate, int tradeSign)
{
DayCount dayCountFloat = StrToEnum.DayCountConvert(dayCountFloatStr);
DayCount dayCountFixed = StrToEnum.DayCountConvert(dayCountFixedStr);
DayRule dayRule = StrToEnum.DayRuleConvert(dayRuleStr);
LinearRateFunctions.OisSwap_Make(baseHandle, asOf, startTenor, endTenor, settlementLag, dayCountFixed, dayCountFloat, dayRule, notional, fixedRate, tradeSign);
return(baseHandle);
}
public static void CalibrationInstrumentSet_Make(string baseHandle, string[] linearRateProductHandles, string curveTenor)
{
CurveTenor tenor = StrToEnum.CurveTenorConvert(curveTenor);
List <CalibrationInstrument> calibrationInstruments = new List <CalibrationInstrument>();
for (int i = 0; i < linearRateProductHandles.Length; i++)
{
LinearRateInstrument product = ObjectMap.LinearRateInstruments[linearRateProductHandles[i]];
calibrationInstruments.Add(new CalibrationInstrument(linearRateProductHandles[i], product, tenor));
}
ObjectMap.CalibrationInstrumentSets[baseHandle] = calibrationInstruments;
}
public static void RiskOutput_StoreFromRiskOutputContainer(string baseHandle, string riskOutputContainerHandle, string tenor)
{
CurveTenor tenorEnum = StrToEnum.CurveTenorConvert(tenor);
if (tenorEnum == CurveTenor.DiscOis)
{
ObjectMap.ZcbRiskOutputs[baseHandle] = ObjectMap.ZcbRiskOutputContainers[riskOutputContainerHandle].DiscRisk;
}
else
{
ObjectMap.ZcbRiskOutputs[baseHandle] = ObjectMap.ZcbRiskOutputContainers[riskOutputContainerHandle].FwdRiskCollection[tenorEnum];
}
}
public static string LinearRate_FwdCurveCollection_Make(string baseHandle, object[] fwdCurveHandles, object[] tenorNames)
{
CurveTenor[] tenorEnums = new CurveTenor[tenorNames.Length];
var fwdCurveNamesString = fwdCurveHandles.Cast <string>().ToArray();
for (int i = 0; i < tenorEnums.Length; i++)
{
tenorEnums[i] = StrToEnum.CurveTenorConvert((string)tenorNames[i]);
}
string output = LinearRateFunctions.FwdCurveCollection_Make(baseHandle, fwdCurveNamesString, tenorEnums);
return(output);
}
public static string Calibration_FwdCurveCalibrationProblem_Make(string baseHandle, string discCurveHandle, object[] curveCalibHandles, object[] fwdCurveTenors, string calibSpecHandle)
{
string[] problemNamesString = curveCalibHandles.Cast <string>().ToArray();
string[] tenorsString = fwdCurveTenors.Cast <string>().ToArray();
CurveTenor[] tenorsActual = new CurveTenor[tenorsString.Length];
for (int i = 0; i < tenorsString.Length; i++)
{
tenorsActual[i] = StrToEnum.CurveTenorConvert(tenorsString[i]);
}
CalibrationFunctions.FwdCurveCalibrationProblem_Make(baseHandle, discCurveHandle, problemNamesString, tenorsActual, calibSpecHandle);
return(baseHandle);
}
public static string Calibration_CalibrationSettings_Make(string baseHandle, double precision, double scaling, double diffStep, string interpolation, int maxIterations, double startingValues, int bfgs_m, bool useAd, bool inheritDiscSize, double stepSizeOfInheritance, object[] calibrationOrder = null)
{
InterpMethod interp = StrToEnum.InterpolationConvert(interpolation);
if (calibrationOrder[0] is ExcelMissing)
{
calibrationOrder = null;
CalibrationFunctions.CalibrationSpec_Make(baseHandle, precision, scaling, diffStep, interp, maxIterations, startingValues, bfgs_m, useAd, inheritDiscSize, stepSizeOfInheritance);
}
else
{
// Need to do this, since object[] cannot be cast to int[]...
int[] intCalibrationOrder = new int[calibrationOrder.Length];
for (int i = 0; i < calibrationOrder.Length; i++)
{
intCalibrationOrder[i] = Convert.ToInt32(calibrationOrder[i]);
}
CalibrationFunctions.CalibrationSpec_Make(baseHandle, precision, scaling, diffStep, interp, maxIterations, startingValues, bfgs_m, useAd, inheritDiscSize, stepSizeOfInheritance, intCalibrationOrder);
}
return(baseHandle);
}
public static DateTime Helpers_AdjustDate(DateTime startDate, string dayRule)
{
DayRule dayRuleEnum = StrToEnum.DayRuleConvert(dayRule);
return(DateHandling.AdjustDate(startDate, dayRuleEnum));
}
public static DateTime Helpers_AddTenorAdjust(DateTime date, string Tenor, string dayRule)
{
DayRule dayRuleEnum = StrToEnum.DayRuleConvert(dayRule);
return(DateHandling.AddTenorAdjust(date, Tenor, dayRuleEnum));
}
public static void RiskJacobian_Make(string baseHandle, string linearRateModelHandle, DateTime asOf, string[] calibSetsHandles, string[] curveTenors, bool useAd = false)
{
LinearRateModel model = ObjectMap.LinearRateModels[linearRateModelHandle];
RiskJacobian jacobian = new RiskJacobian(model, asOf);
if (calibSetsHandles.Length != curveTenors.Length)
{
throw new InvalidOperationException("CurveTenor and Calibration set handles must have same dimension.");
}
for (int i = 0; i < calibSetsHandles.Length; i++)
{
jacobian.AddInstruments(ObjectMap.CalibrationInstrumentSets[calibSetsHandles[i]], StrToEnum.CurveTenorConvert(curveTenors[i]));
}
// Using this procedure, the instruments are actually sorted.
jacobian.Initialize();
if (useAd)
{
// Construct using AD
jacobian.ConstructUsingAD();
}
else
{
jacobian.ConstructUsingBumpAndRun();
}
ObjectMap.RiskJacobians[baseHandle] = jacobian;
}
public static object[,] LinearRate_FwdCurve_GetFromCollection(string fwdCurveCollectionHandle, string fwdCurveTenor)
{
CurveTenor tenorEnum = StrToEnum.CurveTenorConvert(fwdCurveTenor);
return(LinearRateFunctions.FwdCurve_GetFromCollection(fwdCurveCollectionHandle, tenorEnum));
}
