public static string eqCurveIRIndex(
[ExcelArgument(Description = "index id (USDOIS, USDLIB3M, USDLIB1M ")] string ObjectId,
[ExcelArgument(Description = "currency (USD, GBP, CAD, EUR, JPY ) ")] string Curncy,
[ExcelArgument(Description = "id or name of discount curve ")] string discountId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (!discountId.Contains('@'))
{
discountId = "CRV@" + discountId;
}
EliteQuant.YieldTermStructure curve = OHRepository.Instance.getObject <EliteQuant.YieldTermStructure>(discountId);
YieldTermStructureHandle h = new YieldTermStructureHandle(curve);
// market defaults
IborIndex idx_default;
if (ObjectId == "USDOIS") //
{
// Eonia and ois shares defaults
//idx_default = new Eonia(h);
//idx_default = new OvernightIndex("USDOIS", 0, new USDCurrency(), new TARGET(), new Actual360(), h);
idx_default = new FedFunds(h);
}
else
{
Period tenor = null;
switch (ObjectId)
{
case "USDLIB3M":
tenor = new Period(3, TimeUnit.Months);
break;
case "USDLIB1M":
tenor = new Period(1, TimeUnit.Months);
break;
case "USDLIB6M":
tenor = new Period(6, TimeUnit.Months);
break;
case "USDLIB12M":
tenor = new Period(12, TimeUnit.Months);
break;
}
idx_default = new USDLibor(tenor, h);
}
// Store the option and return its id
string id = "IDX@" + ObjectId;
OHRepository.Instance.storeObject(id, idx_default, callerAddress);
id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss");
return(id);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(FedFunds obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(FedFunds obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
