public static object[,] GetInstallPath() { try { return(XU.ConvertToObjects(AppDomain.CurrentDomain.BaseDirectory.ToString())); } catch (Exception e) { return(XU.Error2D(e)); } }
public static object[,] _CovarianceFromCurves(object[,] curves) { try { Double[,] _curves = XU.GetDouble2D(curves, "curves"); Double[,] _result = XLCurves.CovarianceFromCurves(_curves); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error2D(e)); } }
public static object[,] _CurveInterp(object[,] curve, object[,] dates) { try { ICurve _curve = XU.GetObject0D <ICurve>(curve, "curve"); Date[,] _dates = XU.GetDate2D(dates, "dates"); Double[,] _result = XLCurves.CurveInterp(_curve, _dates); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error2D(e)); } }
public static object[,] _PCAFromCurves(object[,] curves, object[,] useRelative) { try { Double[,] _curves = XU.GetDouble2D(curves, "curves"); Boolean _useRelative = XU.GetBoolean0D(useRelative, "useRelative"); Double[,] _result = XLCurves.PCAFromCurves(_curves, _useRelative); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error2D(e)); } }
public static object _IsHoliday(object[,] date, object[,] calendar) { try { var _date = XU.GetDate0D(date, "date"); var _calendar = XU.GetSpecialType0D <Calendar>(calendar, "calendar"); var _result = XLConventions.IsHoliday(_date, _calendar); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error0D(e)); } }
public static object _GetDF(object[,] curve, object[,] date) { try { var _curve = XU.GetObject0D <IDiscountingSource>(curve, "curve"); var _date = XU.GetDate0D(date, "date"); var _result = XLRates.GetDF(_curve, _date); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error0D(e)); } }
public static object _GetFXRate(object[,] fxCurve, object[,] date) { try { var _fxCurve = XU.GetObject0D <IFXSource>(fxCurve, "fxCurve"); var _date = XU.GetDate0D(date, "date"); var _result = XLFX.GetFXRate(_fxCurve, _date); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error0D(e)); } }
public static object[,] _PCACurveSimulatorGetRates(object[,] simulator, object[,] simulationDates, object[,] requiredTenors) { try { PCACurveSimulator _simulator = XU.GetObject0D <PCACurveSimulator>(simulator, "simulator"); Date[] _simulationDates = XU.GetDate1D(simulationDates, "simulationDates"); Tenor[] _requiredTenors = XU.GetTenor1D(requiredTenors, "requiredTenors"); Double[,] _result = XLCurves.PCACurveSimulatorGetRates(_simulator, _simulationDates, _requiredTenors); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error2D(e)); } }
public static object _ValueZARSwap1Curve(object[,] swap, object[,] valueDate, object[,] curve) { try { var _swap = XU.GetObject0D <IRSwap>(swap, "swap"); var _valueDate = XU.GetDate0D(valueDate, "valueDate"); var _curve = XU.GetObject0D <IDiscountingSource>(curve, "curve"); var _result = XLRates.ValueZARSwap1Curve(_swap, _valueDate, _curve); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error0D(e)); } }
public static object _GetSurvivalProb(object[,] survivalProbabilitySource, object[,] date1, object[,] date2) { try { ISurvivalProbabilitySource _survivalProbabilitySource = XU.GetObject0D <ISurvivalProbabilitySource>(survivalProbabilitySource, "survivalProbabilitySource"); Date _date1 = XU.GetDate0D(date1, "date1"); Date _date2 = XU.GetDate0D(date2, "date2", null); Double _result = XLCredit.GetSurvivalProb(_survivalProbabilitySource, _date1, _date2); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error0D(e)); } }
public static object _GetYearFraction(object[,] date1, object[,] date2, object[,] convention) { try { var _date1 = XU.GetDate0D(date1, "date1"); var _date2 = XU.GetDate0D(date2, "date2"); var _convention = XU.GetSpecialType0D <DayCountConvention>(convention, "convention"); var _result = XLConventions.GetYearFraction(_date1, _date2, _convention); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error0D(e)); } }
public static object _ApplyBusinessDayAdjustment(object[,] date, object[,] convention, object[,] calendar) { try { var _date = XU.GetDate0D(date, "date"); var _convention = XU.GetSpecialType0D <BusinessDayConvention>(convention, "convention"); var _calendar = XU.GetSpecialType0D <Calendar>(calendar, "calendar"); var _result = XLConventions.ApplyBusinessDayAdjustment(_date, _convention, _calendar); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error0D(e)); } }
public static object _DFFromRate(object[,] rate, object[,] compounding, object[,] yearFraction) { try { var _rate = XU.GetDouble0D(rate, "rate"); var _compounding = XU.GetSpecialType0D <CompoundingConvention>(compounding, "compounding"); var _yearFraction = XU.GetDouble0D(yearFraction, "yearFraction"); var _result = XLConventions.DFFromRate(_rate, _compounding, _yearFraction); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error0D(e)); } }
public static object _RateConvert(object[,] rate, object[,] compoundingFrom, object[,] compoundingTo, object[,] yearFraction) { try { var _rate = XU.GetDouble0D(rate, "rate"); var _compoundingFrom = XU.GetSpecialType0D <CompoundingConvention>(compoundingFrom, "compoundingFrom"); var _compoundingTo = XU.GetSpecialType0D <CompoundingConvention>(compoundingTo, "compoundingTo"); var _yearFraction = XU.GetDouble0D(yearFraction, "yearFraction", double.NaN); var _result = XLConventions.RateConvert(_rate, _compoundingFrom, _compoundingTo, _yearFraction); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error0D(e)); } }
public static object[,] _EPE(object[,] products, object[,] valueDate, object[,] forwardValueDates, object[,] model, object[,] nSims) { try { Product[] _products = XU.GetObject1D <Product>(products, "products"); Date _valueDate = XU.GetDate0D(valueDate, "valueDate"); Date[] _forwardValueDates = XU.GetDate1D(forwardValueDates, "forwardValueDates"); NumeraireSimulator _model = XU.GetObject0D <NumeraireSimulator>(model, "model"); Int32 _nSims = XU.GetInt320D(nSims, "nSims"); Double[] _result = XLValuation.EPE(_products, _valueDate, _forwardValueDates, _model, _nSims); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error2D(e)); } }
public static object[,] _PFE(object[,] products, object[,] valueDate, object[,] forwardValueDates, object[,] requiredPecentiles, object[,] model, object[,] nSims) { try { var _products = XU.GetObject1D <Product>(products, "products"); var _valueDate = XU.GetDate0D(valueDate, "valueDate"); var _forwardValueDates = XU.GetDate1D(forwardValueDates, "forwardValueDates"); var _requiredPecentiles = XU.GetDouble1D(requiredPecentiles, "requiredPecentiles"); var _model = XU.GetObject0D <NumeraireSimulator>(model, "model"); var _nSims = XU.GetInt320D(nSims, "nSims"); var _result = XLValuation.PFE(_products, _valueDate, _forwardValueDates, _requiredPecentiles, _model, _nSims); return(XU.ConvertToObjects(_result)); } catch (Exception e) { return(XU.Error2D(e)); } }