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="underlying"></param>
/// <param name="spot"></param>
/// <param name="callStrike"></param>
/// <param name="style"></param>
/// <param name="tradeDate"></param>
/// <param name="expiryDate"></param>
/// <param name="zeroRange"></param>
/// <param name="divRange"></param>
/// <param name="orcParamsRange"></param>
/// <returns></returns>
public double CallCollarPricer(string underlying, double spot, double callStrike,
string style, DateTime tradeDate, DateTime expiryDate,
Excel.Range zeroRange,
Excel.Range divRange, Excel.Range orcParamsRange)
{
var values = orcParamsRange.Value[System.Reflection.Missing.Value] as object[, ];
values = (object[, ])DataRangeHelper.TrimNulls(values);
var orcParams = RangeHelper.Convert2DArrayToClass <WingParamsRange>(ArrayHelper.RangeToMatrix(values));
var zeroArray = zeroRange.Value[System.Reflection.Missing.Value] as object[, ];
var zeroes = ObjectToArrayOfPropertiesConverter.CreateListFromHorizontalArrayRange <ZeroCurveRange>(zeroArray);
var divArray = zeroRange.Value[System.Reflection.Missing.Value] as object[, ];
var divs = ObjectToArrayOfPropertiesConverter.CreateListFromHorizontalArrayRange <DividendRange>(divArray);
var result = Orion.EquityCollarPricer.Collar.CallCollarPricer(underlying, spot, callStrike,
style, tradeDate, expiryDate,
zeroes, divs, orcParams);
return(result);
}
