public static string Calibration_FwdCurveCollection_MakeFromCalibrationProblem(string baseHandle, string fwdCurveConstructorHandle, bool useAd)
{
if (ExcelDnaUtil.IsInFunctionWizard())
{
return("No calulation in wizard.");
}
CalibrationFunctions.FwdCurveCollection_MakeFromCalibrationProblem(baseHandle, fwdCurveConstructorHandle, useAd);
return(baseHandle);
}
public static string Calibration_DiscCurve_MakeFromCalibrationProblem(string baseHandle, string curveCalibProblemHandle, string calibSpecHandle, bool useAd)
{
if (ExcelDnaUtil.IsInFunctionWizard())
{
return("No calulation in wizard.");
}
CalibrationFunctions.DiscCurve_MakeFromCalibrationProblem(baseHandle, curveCalibProblemHandle, calibSpecHandle, useAd);
return(baseHandle);
}
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 string Calibration_CurveCalibrationProblem_Make(string baseHandle, string instrumentFactoryHandle, object[] quoteIdentifiers, object[] quoteValues)
{
CalibrationFunctions.CurveCalibrationProblem_Make(baseHandle, instrumentFactoryHandle, quoteIdentifiers.Cast <string>().ToArray(), quoteValues.Cast <double>().ToArray());
return(baseHandle);
}
