/// <summary>
///
/// </summary>
/// <param name="valueDate"></param>
/// <param name="datesAsArray"></param>
/// <param name="amountsAsArray"></param>
/// <param name="interpType"></param>
/// <returns></returns>
public double InterpolateOnDates(DateTime valueDate, Excel.Range datesAsArray, Excel.Range amountsAsArray, string interpType)
{
//At this stage only linear interpolation is supported
var dates = DataRangeHelper.StripDateTimeRange(datesAsArray);
var amounts = DataRangeHelper.StripDoubleRange(amountsAsArray);
return(EquitiesLibrary.InterpolateOnDates(valueDate, dates.ToArray(), amounts.ToArray(), interpType));
}
/// <summary>
/// Adds the period to an array of dates.
/// </summary>
/// <param name="dateArray">The dates as an array.</param>
/// <param name="dayType">The day type.</param>
/// <param name="periodInterval">The period interval.</param>
/// <param name="businessDayConvention">The business day convention.</param>
/// <param name="location">The calendar. </param>
/// <returns>A range of dates.</returns>
public object[,] AddPeriods1(Excel.Range dateArray, string dayType, string periodInterval, string businessDayConvention, string location)
{
List <DateTime> dateVals = DataRangeHelper.StripDateTimeRange(dateArray);
List <DateTime> periods = CalendarService.AddPeriods(dateVals.ToArray(), dayType, periodInterval, businessDayConvention, new[] { location });
var resVals = RangeHelper.ConvertArrayToRange(periods);
return(resVals);
}
/// <summary>
///
/// </summary>
/// <param name="spot"></param>
/// <param name="strike"></param>
/// <param name="vol"></param>
/// <param name="paystyle"></param>
/// <param name="today"></param>
/// <param name="expiry"></param>
/// <param name="zeroDatesAsArray"></param>
/// <param name="zeroRatesAsArray"></param>
/// <param name="q"></param>
/// <returns></returns>
public double BlackScholesPricerContDiv(double spot, double strike, double vol, string paystyle, DateTime today,
DateTime expiry, Excel.Range zeroDatesAsArray, Excel.Range zeroRatesAsArray, double q)
{
var zeroDates = DataRangeHelper.StripDateTimeRange(zeroDatesAsArray);
var zeroRates = DataRangeHelper.StripDoubleRange(zeroRatesAsArray);
double pr = EquitiesLibrary.BlackScholesPricerContDiv(spot, strike, vol, paystyle, today, expiry, zeroDates.ToArray(), zeroRates.ToArray(), q);
return(pr);
}
/// <summary>
/// Returns the PV (as at the valueDate) of the payment stream.
/// Only payments occuring on or between valueDate and finalDate are included in the sum.
/// All other payments are ignored.
/// </summary>
/// <param name="valueDate">The date at which the PV is taken.</param>
/// <param name="paymentDatesAsArray">The dates on which payments are made, in ascending order.</param>
/// <param name="paymentAmountsAsArray">The amounds of payments.</param>
/// <param name="zeroDatesAsArray">The dates corresponding to the ZCB discount curve, in ascending order.</param>
/// <param name="zeroRatesAsArray">The rates corresponding to the ZCB discount curve.</param>
/// <param name="finalDate">The final date on which payments are to be included.</param>
/// <returns>A double representing the PV.</returns>
public double PVofPaymentStream(DateTime valueDate, DateTime finalDate, Excel.Range paymentDatesAsArray, Excel.Range paymentAmountsAsArray,
Excel.Range zeroDatesAsArray, Excel.Range zeroRatesAsArray)
{
var paymentDates = DataRangeHelper.StripDateTimeRange(paymentDatesAsArray);
var paymentAmounts = DataRangeHelper.StripDoubleRange(paymentAmountsAsArray);
var zeroDates = DataRangeHelper.StripDateTimeRange(zeroDatesAsArray);
var zeroRates = DataRangeHelper.StripDoubleRange(zeroRatesAsArray);
return(EquitiesLibrary.PVofPaymentStream(valueDate, finalDate, paymentDates.ToArray(), paymentAmounts.ToArray(), zeroDates.ToArray(), zeroRates.ToArray()));
}
/// <summary>
/// Gets the ATM forward.
/// </summary>
/// <param name="spot"></param>
/// <param name="zeroDatesAsArray"></param>
/// <param name="zeroRatesAsArray">The zero curve.</param>
/// <param name="divDatesAsArray"></param>
/// <param name="divAmsAsArray">The div curve.</param>
/// <param name="today"></param>
/// <param name="expiry"></param>
/// <returns></returns>
public double GetForward(DateTime today, DateTime expiry, double spot, Excel.Range zeroDatesAsArray, Excel.Range zeroRatesAsArray,
Excel.Range divDatesAsArray, Excel.Range divAmsAsArray)
{
var zeroDates = DataRangeHelper.StripDateTimeRange(zeroDatesAsArray);
var zeroRates = DataRangeHelper.StripDoubleRange(zeroRatesAsArray);
var divDates = DataRangeHelper.StripDateTimeRange(divDatesAsArray);
var divAms = DataRangeHelper.StripDoubleRange(divAmsAsArray);
return(EquitiesLibrary.GetForward(today, expiry, spot, zeroDates.ToArray(), zeroRates.ToArray(), divDates.ToArray(), divAms.ToArray()));
}
/// <summary>
/// Pricers the specified style.
/// </summary>
/// <param name="style">The style.</param>
/// <param name="spot">The spot.</param>
/// <param name="strike">The strike.</param>
/// <param name="vol">The vol.</param>
/// <param name="today"></param>
/// <param name="expiry"></param>
/// <param name="paystyle">The paystyle.</param>
/// <param name="zeroDatesAsArray"></param>
/// <param name="zeroRatesAsArray">The zero curve.</param>
/// <param name="divDatesAsArray"></param>
/// <param name="divAmsAsArray">The div curve.</param>
/// <param name="gridsteps">The gridsteps.</param>
/// <param name="smoo">The smoo.</param>
/// <param name="flatFlag">if set to <c>true</c> [flat flag].</param>
/// <returns></returns>
public double BinomialRelativePricer(string style, double spot, double strike, double vol, DateTime today, DateTime expiry,
string paystyle, Excel.Range zeroDatesAsArray, Excel.Range zeroRatesAsArray, Excel.Range divDatesAsArray, Excel.Range divAmsAsArray, double gridsteps, string smoo, bool flatFlag)
{
var divDates = DataRangeHelper.StripDateTimeRange(divDatesAsArray);
var divAms = DataRangeHelper.StripDoubleRange(divAmsAsArray);
var zeroDates = DataRangeHelper.StripDateTimeRange(zeroDatesAsArray);
var zeroRates = DataRangeHelper.StripDoubleRange(zeroRatesAsArray);
double pr = EquitiesLibrary.BinomialRelativePricer(style, spot, strike, vol, today, expiry, paystyle, zeroDates.ToArray(), zeroRates.ToArray(), divDates.ToArray(), divAms.ToArray(), gridsteps, smoo, flatFlag);
return(pr);
}
/// <summary>
/// Gets the greeks.
/// </summary>
/// <param name="style">The style.</param>
/// <param name="spot">The spot.</param>
/// <param name="strike">The strike.</param>
/// <param name="vol">The vol.</param>
/// <param name="expiry"></param>
/// <param name="paystyle">The paystyle.</param>
/// <param name="zeroDatesAsArray"></param>
/// <param name="zeroRatesAsArray">The zero curve.</param>
/// <param name="divDatesAsArray"></param>
/// <param name="divAmsAsArray">The div curve.</param>
/// <param name="gridsteps">The gridsteps.</param>
/// <param name="smoo">The smoo.</param>
/// <param name="flatFlag">if set to <c>true</c> [flat flag].</param>
/// <param name="today"></param>
/// <returns></returns>
public object[,] BinomialRelativeGetGreeks(string style, double spot, double strike, double vol, DateTime today, DateTime expiry,
string paystyle, Excel.Range zeroDatesAsArray, Excel.Range zeroRatesAsArray, Excel.Range divDatesAsArray, Excel.Range divAmsAsArray, double gridsteps, string smoo, bool flatFlag)
{
var zeroDates = DataRangeHelper.StripDateTimeRange(zeroDatesAsArray);
var zeroRates = DataRangeHelper.StripDoubleRange(zeroRatesAsArray);
var divDates = DataRangeHelper.StripDateTimeRange(divDatesAsArray);
var divAms = DataRangeHelper.StripDoubleRange(divAmsAsArray);
var retArray = EquitiesLibrary.BinomialRelativeGetGreeks(style, spot, strike, vol, today, expiry, paystyle, zeroDates.ToArray(), zeroRates.ToArray(), divDates.ToArray(), divAms.ToArray(), gridsteps, smoo, flatFlag);
var result = RangeHelper.ConvertArrayToRange(retArray);
return(result);
}
/// <summary>
/// Advances the specified date using the underlying calendar locations.
/// </summary>
/// <param name="locationsAsArray">The locations range as an array.</param>
/// <param name="dateRange">The date.</param>
/// <param name="dayType">The day type: cakendat or business.</param>
/// <param name="periodInteval">The period inteval.</param>
/// <param name="businessDayConvention">The business day convention.</param>
/// <returns>The vertical range of adjusted dates.</returns>
public object[,] AdvanceDateRange(Excel.Range locationsAsArray, Excel.Range dateRange, string dayType, string periodInteval, string businessDayConvention)
{
List <string> unqVals = DataRangeHelper.StripRange(locationsAsArray);
List <DateTime> unqDates = DataRangeHelper.StripDateTimeRange(dateRange);
List <DateTime> result = unqDates.Select(element => CalendarService.Advance(unqVals.ToArray(), element, dayType, periodInteval, businessDayConvention)).ToList();
var resVals = new object[result.Count, 1];
for (int idx = 0; idx < resVals.Length; ++idx)
{
resVals[idx, 0] = result[idx];
}
return(resVals);
}
public string CreateCalendar(Excel.Range propertiesRange, Excel.Range dateArray)
{
var properties = propertiesRange.Value[System.Reflection.Missing.Value] as object[, ];
properties = (object[, ])DataRangeHelper.TrimNulls(properties);
var namedValueSet = properties.ToNamedValueSet();
var dates = DataRangeHelper.StripDateTimeRange(dateArray);
var identifier = namedValueSet.GetValue <string>("UniqueIdentifier", true);
var calendar = BusinessCalendarHelper.CreateCalendar(namedValueSet, dates);
Engine.Cache.SaveObject(calendar, NameSpace + "." + identifier, namedValueSet);
Engine.Logger.LogDebug("Loaded business center holiday dates: {0}", identifier);
return(identifier);
}
/// <summary>
///
/// </summary>
/// <param name="baseAmount"></param>
/// <param name="valueDate"></param>
/// <param name="finalDatesAsArray"></param>
/// <param name="paymentDatesAsArray"></param>
/// <param name="paymentAmountsAsArray"></param>
/// <param name="zeroDatesAsArray"></param>
/// <param name="zeroRatesAsArray"></param>
/// <returns></returns>
public object[,] DivYield(double baseAmount, DateTime valueDate, Excel.Range finalDatesAsArray, Excel.Range paymentDatesAsArray,
Excel.Range paymentAmountsAsArray, Excel.Range zeroDatesAsArray,
Excel.Range zeroRatesAsArray)
{
var finalDates = DataRangeHelper.StripDateTimeRange(finalDatesAsArray);
var paymentDates = DataRangeHelper.StripDateTimeRange(paymentDatesAsArray);
var paymentAmounts = DataRangeHelper.StripDoubleRange(paymentAmountsAsArray);
var zeroDates = DataRangeHelper.StripDateTimeRange(zeroDatesAsArray);
var zeroRates = DataRangeHelper.StripDoubleRange(zeroRatesAsArray);
var retArray = EquitiesLibrary.DivYield(baseAmount, valueDate, finalDates.ToArray(), paymentDates.ToArray(), paymentAmounts.ToArray(), zeroDates.ToArray(), zeroRates.ToArray());
var result = RangeHelper.ConvertArrayToRange(retArray);
return(result);
}
/// <summary>
/// Returns the calculated year fraction for the dates provided.
/// </summary>
/// <param name="startDateArray">The start date array.</param>
/// <param name="endDateArray">The end date arrray.</param>
/// <param name="dayCountType">The day count fraction type, eg Actual/365.</param>
/// <returns>The year fractions as a range of decimals.</returns>
public object[,] YearFractions(Excel.Range startDateArray, Excel.Range endDateArray, string dayCountType)
{
var unqStartDateVals = DataRangeHelper.StripDateTimeRange(startDateArray);
var unqEndDateVals = DataRangeHelper.StripDateTimeRange(endDateArray);
int count = unqStartDateVals.Count;
if (count != unqEndDateVals.Count)
{
throw new ArgumentException("Size of startDates and endDates arrays must match");
}
IDayCounter dayCounter = DayCounterHelper.Parse(dayCountType);
var yearFractions = new List <double>();
for (int i = 0; i < count; i++)
{
yearFractions.Add(dayCounter.YearFraction(unqStartDateVals[i], unqEndDateVals[i]));
}
return(RangeHelper.ConvertArrayToRange(yearFractions));
}
/// <summary>
///
/// </summary>
/// <param name="today"></param>
/// <param name="spot"></param>
/// <param name="strike"></param>
/// <param name="sig"></param>
/// <param name="dexp"></param>
/// <param name="sPay"></param>
/// <param name="sStyle"></param>
/// <param name="nGrid"></param>
/// <param name="tStep"></param>
/// <param name="iNum"></param>
/// <param name="divamsAsArray"></param>
/// <param name="divdatesAsArray"></param>
/// <param name="zeramsAsArray"></param>
/// <param name="zerdatesAsArray"></param>
/// <returns></returns>
public double GetEquityGreeks(DateTime today,
double spot,
double strike,
double sig,
DateTime dexp,
string sPay,
string sStyle,
int nGrid,
double tStep,
int iNum,
Excel.Range divamsAsArray,
Excel.Range divdatesAsArray,
Excel.Range zeramsAsArray,
Excel.Range zerdatesAsArray
)
{
//Map the ranges
var divams = DataRangeHelper.StripDoubleRange(divamsAsArray);
var divdates = DataRangeHelper.StripDateTimeRange(divamsAsArray);
var zerams = DataRangeHelper.StripDoubleRange(zeramsAsArray);
var zerdates = DataRangeHelper.StripDateTimeRange(zerdatesAsArray);
//set up the DivList
int nd = divdates.Count; //GetUpperBound(0) + 1;
var myDiv = new DivList {
Divpoints = nd
};
myDiv.MakeArrays();
for (int idx = 0; idx != nd; idx++)
{
double r = divams[idx];
DateTime dp = divdates[idx];
TimeSpan ts = dp - today;
myDiv.SetD(idx, r, ts.Days / 365.0);
}
//set up the zero
int nz = zerdates.Count;//GetUpperBound(0) + 1;
var myZero = new ZeroCurve {
Ratepoints = nz
};
myZero.MakeArrays();
for (int idx = 0; idx != nz; idx++)
{
double r = zerams[idx];
DateTime dp = zerdates[idx];
TimeSpan ts = dp - today;
myZero.SetR(idx, r, ts.Days / 365.0);
}
//compute the discounted dividends to expiry and work out continuous
TimeSpan tsE = dexp - today;
double texp = tsE.Days / 365.0;
for (int idx = 0; idx != nd; idx++)
{
if (myDiv.GetT(idx) <= texp)
{
double d = myDiv.GetD(idx) * Math.Exp(-myDiv.GetT(idx) * myZero.LinInterp(myDiv.GetT(idx)));
}
}
//double qc = -Math.Log((spot - sum) / spot) / texp;
//double rc = myZero.linInterp(texp);
var myG = new Grid
{
XL = Math.Log(spot) - 8.0 * sig * Math.Sqrt(texp),
Xu = Math.Log(spot) + 8.0 * sig * Math.Sqrt(texp),
Steps = nGrid,
Strike = strike,
Spot = spot,
SPay = sPay,
SStyle = sStyle,
T = texp
};
myG.NTsteps = Convert.ToInt32(myG.T / tStep);
myG.Sig = sig;
var greeks = new double[4];
double price = myG.Pricer(myZero, myDiv, ref greeks, true);
myG.Sig += 0.01;
double priceUp = myG.Pricer(myZero, myDiv, ref greeks, false);
greeks[3] = priceUp - price;
return(greeks[iNum]);
}
