internal static global::System.Runtime.InteropServices.HandleRef getCPtr(MCEuropeanBasketEngine 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(MCEuropeanBasketEngine obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public static string eqInstSpreadOptionMonteCarlo(
[ExcelArgument(Description = "id of option to be constructed ")] string ObjectId,
[ExcelArgument(Description = "Option type (Call/Put) ")] string optype,
[ExcelArgument(Description = "Spot price leg 1")] double spot1,
[ExcelArgument(Description = "Spot price leg 2")] double spot2,
[ExcelArgument(Description = "Strike price ")] double stirkeprice,
[ExcelArgument(Description = "Expiry Date ")] DateTime exdate,
[ExcelArgument(Description = "Risk free rate ")] double riskfreerate,
[ExcelArgument(Description = "Black-Scholes Vol for leg 1 ")] double vol1,
[ExcelArgument(Description = "Black-Scholes Vol for leg 2 ")] double vol2,
[ExcelArgument(Description = "correlation between leg 1 and leg 2 ")] double corr,
[ExcelArgument(Description = "DayCounter ")] string daycounter,
[ExcelArgument(Description = "Calendar ")] string calendar,
[ExcelArgument(Description = "Pseudorandom (pr) or lowdiscrepancy (ld) ")] string traits,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (exdate == DateTime.MinValue)
{
throw new Exception("Date must not be empty. ");
}
if (ExcelUtil.isNull(daycounter))
{
daycounter = "ACTUAL365";
}
if (ExcelUtil.isNull(calendar))
{
calendar = "NYC";
}
if (ExcelUtil.isNull(traits))
{
traits = "pr";
}
Option.Type optiontype;
if (optype.ToUpper() == "CALL")
{
optiontype = Option.Type.Call;
}
else if (optype.ToUpper() == "PUT")
{
optiontype = Option.Type.Put;
}
else
{
throw new Exception("Unknow option type");
}
EliteQuant.Calendar cal = EliteQuant.EQConverter.ConvertObject <EliteQuant.Calendar>(calendar);
EliteQuant.DayCounter dc = EliteQuant.EQConverter.ConvertObject <EliteQuant.DayCounter>(daycounter);
EliteQuant.Date maturitydate = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(exdate);
EliteQuant.Date today = EliteQuant.Settings.instance().getEvaluationDate();
EliteQuant.Date settlementdate = today; // T+2
if (maturitydate.serialNumber() <= today.serialNumber())
{
throw new Exception("Option already expired.");
}
YieldTermStructureHandle rTSH = new YieldTermStructureHandle(
new FlatForward(settlementdate, riskfreerate, dc));
BlackVolTermStructureHandle flatVolTSH1 = new BlackVolTermStructureHandle(
new BlackConstantVol(settlementdate, cal, vol1, dc));
BlackVolTermStructureHandle flatVolTSH2 = new BlackVolTermStructureHandle(
new BlackConstantVol(settlementdate, cal, vol2, dc));
Quote qh1 = new SimpleQuote(spot1);
Quote qh2 = new SimpleQuote(spot2);
QuoteHandle s1 = new QuoteHandle(qh1);
QuoteHandle s2 = new QuoteHandle(qh2);
BlackProcess p1 = new BlackProcess(s1, rTSH, flatVolTSH1);
BlackProcess p2 = new BlackProcess(s2, rTSH, flatVolTSH2);
StochasticProcessVector spv = new StochasticProcessVector(2);
spv.Add(p1);
spv.Add(p2);
Matrix corrmtrx = new Matrix(2, 2);
corrmtrx.set(0, 0, 1.0); corrmtrx.set(1, 1, 1.0);
corrmtrx.set(0, 1, corr); corrmtrx.set(1, 0, corr);
StochasticProcessArray spa = new StochasticProcessArray(spv, corrmtrx);
PricingEngine engine = new MCEuropeanBasketEngine(spa, traits, 100, 1, false, true, 5000, 1e-6);
Payoff payoff1 = new PlainVanillaPayoff(optiontype, stirkeprice);
Payoff payoff2 = new SpreadBasketPayoff(payoff1);
Exercise exercise = new EuropeanExercise(maturitydate);
BasketOption bo = new BasketOption(payoff2, exercise);
bo.setPricingEngine(engine);
// Store the option and return its id
string id = "OPTION@" + ObjectId;
OHRepository.Instance.storeObject(id, bo, 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!");
}
}
