public static string eqCurveCommodForwardsCurve(
[ExcelArgument(Description = "curve id ")] string ObjectId,
[ExcelArgument(Description = "curve name (eg. commod ng exchange) ")] string curvename,
[ExcelArgument(Description = "tenors ")] object[] dates,
[ExcelArgument(Description = "quotes ")] double[] quotes,
[ExcelArgument(Description = "calendar ")] string calendar,
[ExcelArgument(Description = "day counter ")] string daycounter,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
calendar = "NULL";
daycounter = "Actual365Fixed";
if (dates.Length != quotes.Length)
{
return("size mismatch");
}
DateVector datesvector = new DateVector(dates.Length);
DoubleVector quotesvector = new DoubleVector(dates.Length);
for (int i = 0; i < dates.Length; i++)
{
if ((ExcelUtil.isNull(dates[i])) || (quotes[i] == 0))
{
continue;
}
//datesvector.Add(Conversion.ConvertObject<Date>((DateTime)dates[i], "NA"));
datesvector.Add(new Date(Convert.ToInt32(dates[i])));
quotesvector.Add(quotes[i]);
}
CommodityCurveExt curve =
new CommodityCurveExt(curvename, datesvector, quotesvector, new NullCalendar(), new Actual365Fixed());
// Store the curve and return its id
string id = "CRV@" + ObjectId;
OHRepository.Instance.storeObject(id, curve, 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!");
}
}
public static object eqModelGetDoubleExponentialTermVol(
[ExcelArgument(Description = "id of double exponential atm model ")] string ObjectId,
[ExcelArgument(Description = "from t ")] double tfrom,
[ExcelArgument(Description = "to t ")] double tto, // 0 to t
[ExcelArgument(Description = "T value ")] double maturityT,
[ExcelArgument(Description = "T Vol ")] double TQuoteVol) // for T
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (ExcelUtil.isNull(tfrom))
{
tfrom = 0.0;
}
bool bigT = true;
if (ExcelUtil.isNull(TQuoteVol) || (TQuoteVol == 0.0))
{
bigT = false;
}
Xl.Range rng = ExcelUtil.getActiveCellRange();
DoubleExponentialCalibration atmvol = OHRepository.Instance.getObject <DoubleExponentialCalibration>(ObjectId);
double scaler = 1.0;
if (bigT)
{
DoubleVector tv = new DoubleVector(); tv.Add(maturityT);
DoubleVector vv = new DoubleVector(); vv.Add(TQuoteVol);
scaler = atmvol.k(tv, vv)[0];
}
return(scaler * atmvol.value(tfrom, tto, maturityT));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static string eqIRCurveDepositRateHelper(
[ExcelArgument(Description = "(String) id of rate helper object ")] String ObjectId,
[ExcelArgument(Description = "(double) quote of deposit rate ")] double Quote,
[ExcelArgument(Description = "(String) forward start month, e.g. 7D, 3M ")] String Tenor,
[ExcelArgument(Description = "int fixingDays ")] int fixingDays,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
// use default value
// // "london stock exchange"; "Actual/360"; "fixingDays = 2", "MF", "eom = true"
EliteQuant.IborIndex idx_usdlibor = new EliteQuant.USDLibor(new EliteQuant.Period(3, EliteQuant.TimeUnit.Months));
if (ExcelUtil.isNull(fixingDays))
{
fixingDays = (int)idx_usdlibor.fixingDays();
}
EliteQuant.QuoteHandle quote_ = new EliteQuant.QuoteHandle(new EliteQuant.SimpleQuote(Quote));
EliteQuant.Period tenor_ = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(Tenor);
EliteQuant.RateHelper rh = new EliteQuant.DepositRateHelper(quote_, tenor_, (uint)fixingDays, cal_usd,
bdc_usd, eom_usd, dc_act_360);
string id = "RHDEP@" + ObjectId;
OHRepository.Instance.storeObject(id, rh, callerAddress);
return(id + "#" + DateTime.Now.ToString("HH:mm:ss"));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static T ConvertObject <T>(Object obj, Object defaultValue)
{
try
{
if (ExcelUtil.isNull(obj))
{
if (defaultValue != null)
{
return((T)defaultValue);
}
else
{
throw new Exception(" Conversion failed. " + typeof(T).FullName);
}
}
return(EliteQuant.EQConverter.ConvertObject <T>(obj, defaultValue));
// return default(T);
}
catch (System.Exception e)
{
throw new Exception(" Conversion failed: " + typeof(T).FullName + ", " + e.Message);
}
}
public static string eqIRCurveSwapRateHelper(
[ExcelArgument(Description = "(String) id of rate helper object ")] String ObjectId,
[ExcelArgument(Description = "(double) quote of swap rate ")] double quote,
[ExcelArgument(Description = "(String) forward start month, e.g. 7D, 3M ")] String Tenor,
[ExcelArgument(Description = " spread ")] double spread,
[ExcelArgument(Description = " name of swap curve(USDLIB3M, USDLIB1M, USDLIB6M, USDLIB12M) ")] string idx,
[ExcelArgument(Description = " id of discount curve (USDOIS) ")] string discount,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
// use default value
EliteQuant.IborIndex idx_usdlibor = null;
EliteQuant.QuoteHandle rate_ = new EliteQuant.QuoteHandle(new EliteQuant.SimpleQuote(quote));
EliteQuant.Period tenor_ = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(Tenor);
if (ExcelUtil.isNull(spread))
{
spread = 0.0;
}
EliteQuant.QuoteHandle spread_ = new EliteQuant.QuoteHandle(new EliteQuant.SimpleQuote(spread));
EliteQuant.RateHelper rh = null;
if (ExcelUtil.isNull(idx))
{
idx_usdlibor = new EliteQuant.USDLibor(new EliteQuant.Period(3, EliteQuant.TimeUnit.Months));
}
else
{
switch (idx)
{
case "USDLIB1M":
idx_usdlibor = new EliteQuant.USDLibor(new EliteQuant.Period(1, EliteQuant.TimeUnit.Months));
break;
case "USDLIB6M":
idx_usdlibor = new EliteQuant.USDLibor(new EliteQuant.Period(6, EliteQuant.TimeUnit.Months));
break;
case "USDLIB12M":
idx_usdlibor = new EliteQuant.USDLibor(new EliteQuant.Period(12, EliteQuant.TimeUnit.Months));
break;
default:
idx_usdlibor = new EliteQuant.USDLibor(new EliteQuant.Period(3, EliteQuant.TimeUnit.Months));
break;
}
}
if (ExcelUtil.isNull(discount))
{
rh = new EliteQuant.SwapRateHelper(rate_, tenor_,
cal_usd_gbp, EliteQuant.Frequency.Semiannual, bdc_usd, dc_30_360, idx_usdlibor);
}
else
{
if (!discount.Contains('@'))
{
discount = "CRV@" + discount;
}
EliteQuant.YieldTermStructure curve = OHRepository.Instance.getObject <EliteQuant.YieldTermStructure>(discount);
EliteQuant.YieldTermStructureHandle yth = new EliteQuant.YieldTermStructureHandle(curve);
rh = new EliteQuant.SwapRateHelper(rate_, tenor_,
cal_usd_gbp, EliteQuant.Frequency.Semiannual, bdc_usd, dc_30_360,
idx_usdlibor, spread_, new EliteQuant.Period(0, EliteQuant.TimeUnit.Days), yth);
}
string id = "RHSWP@" + ObjectId;
OHRepository.Instance.storeObject(id, rh, callerAddress);
return(id + "#" + DateTime.Now.ToString("HH:mm:ss"));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqIRCurveLoadCurveFromDisk(
[ExcelArgument(Description = "asofdate ")] DateTime asofdate,
[ExcelArgument(Description = "Interpolation Method (Linear, LogLinear) ")] string interp,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
if (ExcelUtil.isNull(asofdate))
{
asofdate = DateTime.Today;
}
string[] curves = new string[] { "USDOIS", "USDLIB3M", "USDLIB1M", "USDLIB6M", "USDLIB12M" };
string path;
EliteQuant.IborIndex idx = new EliteQuant.USDLibor(new EliteQuant.Period(3, EliteQuant.TimeUnit.Months));
foreach (var s in curves)
{
string targetcurve;
if (s.Contains("@"))
{
targetcurve = s;
}
else
{
targetcurve = "CRV@" + s;
}
string interpmethod;
if (ExcelUtil.isNull(interp))
{
interpmethod = "LOGLINEAR";
}
else
{
interpmethod = interp.ToUpper();
}
path = EliteQuant.ConfigManager.Instance.IRRootDir + @"Curves\"
+ EliteQuant.EQConverter.DateTimeToString(asofdate) + "\\";
string[] crv = System.IO.File.ReadAllLines(path + s + ".csv");
EliteQuant.DateVector dtv = new EliteQuant.DateVector();
EliteQuant.DoubleVector discv = new EliteQuant.DoubleVector();
foreach (var c in crv)
{
string[] cc = c.Split(',');
Date dt = new Date(Convert.ToInt32(cc[0]));
dtv.Add(dt);
discv.Add(Convert.ToDouble(cc[1]));
}
YieldTermStructure yth = null;
if (interpmethod == "LINEAR")
{
yth = new EliteQuant.LinearDiscountCurve(dtv, discv, idx.dayCounter(), idx.fixingCalendar());
}
else
{
yth = new EliteQuant.DiscountCurve(dtv, discv, idx.dayCounter(), idx.fixingCalendar());
}
string targetcrvid = "CRV@" + s;
OHRepository.Instance.storeObject(targetcrvid, yth, callerAddress); // callerAddress or null ?
}
return(asofdate);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqIRCurveSaveCurveToDisk(
[ExcelArgument(Description = "asofdate ")] DateTime asofdate,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
if (ExcelUtil.isNull(asofdate))
{
asofdate = DateTime.Today;
}
string[] curves = new string[] { "USDOIS", "USDLIB3M", "USDLIB1M", "USDLIB6M", "USDLIB12M" };
string path;
foreach (var s in curves)
{
string targetcurve;
if (s.Contains("@"))
{
targetcurve = s;
}
else
{
targetcurve = "CRV@" + s;
}
EliteQuant.YieldTermStructure curve = OHRepository.Instance.getObject <EliteQuant.YieldTermStructure>(targetcurve);
if (curve.GetType() == typeof(EliteQuant.DiscountCurve))
{
asofdate = EliteQuant.EQConverter.DateToDateTime((curve as DiscountCurve).dates()[0]);
string[] ret = new string[(curve as DiscountCurve).dates().Count];
for (int i = 0; i < (curve as DiscountCurve).dates().Count; i++)
{
ret[i] = (curve as DiscountCurve).dates()[i].serialNumber() + "," + (curve as DiscountCurve).discounts()[i].ToString();
}
path = EliteQuant.ConfigManager.Instance.IRRootDir + @"Curves\"
+ EliteQuant.EQConverter.DateTimeToString(EliteQuant.EQConverter.DateToDateTime((curve as DiscountCurve).dates()[0])) + "\\";
if (!System.IO.Directory.Exists(path))
{
System.IO.Directory.CreateDirectory(path);
}
System.IO.File.WriteAllLines(path + s + ".csv", ret);
}
else if (curve.GetType() == typeof(EliteQuant.LinearDiscountCurve))
{
asofdate = EliteQuant.EQConverter.DateToDateTime((curve as LinearDiscountCurve).dates()[0]);
string[] ret = new string[(curve as LinearDiscountCurve).dates().Count];
for (int i = 0; i < (curve as LinearDiscountCurve).dates().Count; i++)
{
ret[i] = (curve as LinearDiscountCurve).dates()[i].serialNumber() + "," + (curve as LinearDiscountCurve).discounts()[i].ToString();
}
path = EliteQuant.ConfigManager.Instance.IRRootDir + @"Curves\"
+ EliteQuant.EQConverter.DateTimeToString(EliteQuant.EQConverter.DateToDateTime((curve as LinearDiscountCurve).dates()[0])) + "\\";
if (!System.IO.Directory.Exists(path))
{
System.IO.Directory.CreateDirectory(path);
}
System.IO.File.WriteAllLines(path + s + ".csv", ret);
}
}
return(asofdate);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static string eqInstAmericanOptionBaroneAdesiWhaley(
[ExcelArgument(Description = "id of option to be constructed ")] string ObjectId,
[ExcelArgument(Description = "Option type ")] string optype,
[ExcelArgument(Description = "Spot price ")] double underlyingprice,
[ExcelArgument(Description = "Strike price ")] double stirkeprice,
[ExcelArgument(Description = "Expiry Date ")] DateTime date,
[ExcelArgument(Description = "Risk free rate ")] double riskfreerate,
[ExcelArgument(Description = "dividend/convenience rate ")] double dividendrate,
[ExcelArgument(Description = "Black-Scholes Vol ")] double volatility,
[ExcelArgument(Description = "DayCounter ")] string daycounter,
[ExcelArgument(Description = "Calendar ")] string calendar,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (date == DateTime.MinValue)
{
throw new Exception("Date must not be empty. ");
}
if (ExcelUtil.isNull(daycounter))
{
daycounter = "ACTUAL365";
}
if (ExcelUtil.isNull(calendar))
{
calendar = "NYC";
}
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>(date);
EliteQuant.Date today = EliteQuant.Settings.instance().getEvaluationDate();
EliteQuant.Date settlementdate = today; // T+2
if (maturitydate.serialNumber() <= today.serialNumber())
{
throw new Exception("Option already expired.");
}
AmericanExercise americanExercise = new AmericanExercise(today, maturitydate);
QuoteHandle underlyingQuoteH = new QuoteHandle(new EliteQuant.SimpleQuote(underlyingprice));
YieldTermStructureHandle flatRateTSH = new YieldTermStructureHandle(
new FlatForward(settlementdate, riskfreerate, dc));
YieldTermStructureHandle flatDividendTSH = new YieldTermStructureHandle(
new FlatForward(settlementdate, dividendrate, dc));
BlackVolTermStructureHandle flatVolTSH = new BlackVolTermStructureHandle(
new BlackConstantVol(settlementdate, cal, volatility, dc));
BlackScholesMertonProcess stochasticProcess = new BlackScholesMertonProcess(underlyingQuoteH,
flatDividendTSH, flatRateTSH, flatVolTSH);
PlainVanillaPayoff payoff = new PlainVanillaPayoff(optiontype, stirkeprice);
VanillaOption europeanOption = new VanillaOption(payoff, americanExercise);
europeanOption.setPricingEngine(new BaroneAdesiWhaleyEngine(stochasticProcess));
// Store the option and return its id
string id = "OPTION@" + ObjectId;
OHRepository.Instance.storeObject(id, europeanOption, 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!");
}
}
public static object eqInstCommodityVanillaSwap(
[ExcelArgument(Description = "id of instrument ")] string ObjectId,
[ExcelArgument(Description = "name of instrument ")] string name,
[ExcelArgument(Description = "payer/receiver (1/0) ")] bool payer,
[ExcelArgument(Description = "trade price ")] double fixedPrice,
[ExcelArgument(Description = "trade quantity ")] double[] quantities,
[ExcelArgument(Description = "start date ")] object[] startdates,
[ExcelArgument(Description = "end date ")] object[] enddates,
[ExcelArgument(Description = "id of commodity index ")] string indexid,
[ExcelArgument(Description = "id of discount curve ")] string discountId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
//bool ispayer = string.Compare(payer.ToUpper(), "PAYER") == 0 ? true : false;
bool ispayer = payer;
if (startdates.Length != enddates.Length)
{
return("size mismatch");
}
Xl.Range rng = ExcelUtil.getActiveCellRange();
CommodityIndexExt idx = OHRepository.Instance.getObject <CommodityIndexExt>(indexid);
YieldTermStructureHandle discountcurve = OHRepository.Instance.getObject <YieldTermStructureHandle>(discountId);
Date refDate = discountcurve.referenceDate();
PricingPeriodExts pps = new PricingPeriodExts(startdates.Length);
for (int i = 0; i < startdates.Length; i++)
{
if (ExcelUtil.isNull(startdates[i]))
{
continue;
}
//EliteQuant.Date sd = Conversion.ConvertObject<EliteQuant.Date>((DateTime)startdates[i], "date");
//EliteQuant.Date ed = Conversion.ConvertObject<EliteQuant.Date>((DateTime)enddates[i], "date");
Date sd = new Date(Convert.ToInt32(startdates[i]));
Date ed = new Date(Convert.ToInt32(enddates[i]));
PricingPeriodExt pp = new PricingPeriodExt(sd, ed, sd, quantities[i]);
pps.Add(pp);
}
EnergyVanillaSwapExt evs = new EnergyVanillaSwapExt(ispayer, fixedPrice, idx, pps, name, discountcurve, discountcurve,
Frequency.Monthly, new NullCalendar());
// Store the futures and return its id
string id = "Swp@" + ObjectId;
OHRepository.Instance.storeObject(id, evs, 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!");
}
}
public static string eqModelDoubleExponentialATM(
[ExcelArgument(Description = "id of option to be constructed ")] string ObjectId,
[ExcelArgument(Description = "expiry (years of fraction ")] double[] tenors,
[ExcelArgument(Description = "implied vols ")] double[] volatilities,
[ExcelArgument(Description = "initial parameters ")] double[] initials,
[ExcelArgument(Description = "calibrate or not ")] bool calibrate,
[ExcelArgument(Description = "parameter fixed? ")] bool issigmafixed,
[ExcelArgument(Description = "parameter fixed? ")] bool isb1fixed,
[ExcelArgument(Description = "parameter fixed? ")] bool isb2fixed,
[ExcelArgument(Description = "parameter fixed? ")] bool islambdafixed,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (tenors.Length != volatilities.Length)
{
throw new Exception("double exponential input lengths don't match.");
}
if (ExcelUtil.isNull(calibrate))
{
calibrate = true;
}
if (ExcelUtil.isNull(issigmafixed))
{
issigmafixed = false;
}
if (ExcelUtil.isNull(isb1fixed))
{
isb1fixed = false;
}
if (ExcelUtil.isNull(isb2fixed))
{
isb2fixed = false;
}
if (ExcelUtil.isNull(islambdafixed))
{
islambdafixed = false;
}
DoubleVector tt = new DoubleVector(tenors.Length);
DoubleVector vols = new DoubleVector(volatilities.Length);
for (uint i = 0; i < tenors.Length; i++)
{
if ((ExcelUtil.isNull(tenors[i])) || (tenors[i] == 0))
{
continue;
}
tt.Add(tenors[i]);
vols.Add(volatilities[i]);
}
DoubleExponentialCalibration atmvol;
if ((initials.Length == 4) && (initials != null))
{
atmvol = new DoubleExponentialCalibration(tt, vols, initials[0], initials[1], initials[2], initials[3],
issigmafixed, isb1fixed, isb2fixed, islambdafixed);
}
else
{
atmvol = new DoubleExponentialCalibration(tt, vols);
}
if (calibrate)
{
atmvol.compute();
}
// Store the option and return its id
string id = "MODEL@" + ObjectId;
OHRepository.Instance.storeObject(id, atmvol, 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(e.Message);
}
}
public static object eqInstGetInstrumentNPV(
[ExcelArgument(Description = "id of instrument ")] string ObjectId,
[ExcelArgument(Description = "Greek type ")] string gtype,
[ExcelArgument(Description = "is genericswap ")] bool isgenswap,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
bool isgenswap_ = false;
if (ExcelUtil.isNull(isgenswap))
{
isgenswap_ = false;
}
else
{
isgenswap_ = (bool)isgenswap;
}
Instrument inst = null;
if (isgenswap_)
{
EliteQuant.Instruments.InterestRateGenericSwap genswap = OHRepository.Instance.getObject <EliteQuant.Instruments.InterestRateGenericSwap>(ObjectId);
inst = genswap.eqswap_;
}
else
{
inst = OHRepository.Instance.getObject <Instrument>(ObjectId);
}
double ret = inst.NPV();
Type type = inst.GetType();
if (type == typeof(VanillaSwap))
{
if (gtype.ToUpper() == "FAIRRATE")
{
ret = (inst as VanillaSwap).fairRate();
}
}
else if (type == typeof(OvernightIndexedSwap))
{
if (gtype.ToUpper() == "FAIRRATE")
{
ret = (inst as OvernightIndexedSwap).fairRate();
}
}
else if (type == typeof(EliteQuant.Instruments.InterestRateGenericSwap))
{
if (gtype.ToUpper() == "FAIRRATE")
{
ret = (inst as GenericSwap).fairRate();
}
else if (gtype.ToUpper() == "FAIRSPREAD")
{
ret = (inst as GenericSwap).fairSpread();
}
else if (gtype.ToUpper() == "FIRSTLEGBPS")
{
ret = (inst as GenericSwap).firstLegBPS();
}
else if (gtype.ToUpper() == "SECONDLEGBPS")
{
ret = (inst as GenericSwap).secondLegBPS();
}
}
return(ret);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqInstGetOptionGreeks(
[ExcelArgument(Description = "id of option ")] string ObjectId,
[ExcelArgument(Description = "Greek type ")] string gtype,
[ExcelArgument(Description = "Option type (VANILLA or MULTIASSET)")] string otype,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
if (ExcelUtil.isNull(gtype))
{
gtype = "NPV";
}
if (ExcelUtil.isNull(otype))
{
otype = "VANILLA";
}
if (otype == "VANILLA")
{
VanillaOption option = OHRepository.Instance.getObject <VanillaOption>(ObjectId);
switch (gtype.ToUpper())
{
case "NPV":
return(option.NPV());
case "DELTA":
return(option.delta());
case "GAMMA":
return(option.gamma());
case "VEGA":
return(option.vega());
case "THETA":
return(option.theta());
case "RHO":
return(option.rho());
default:
return(0);
}
}
else if (otype == "MULTIASSET")
{
BasketOption option = OHRepository.Instance.getObject <BasketOption>(ObjectId);
switch (gtype.ToUpper())
{
case "NPV":
return(option.NPV());
case "DELTA":
return(option.delta());
case "GAMMA":
return(option.gamma());
case "VEGA":
return(option.vega());
case "THETA":
return(option.theta());
case "RHO":
return(option.rho());
default:
return(0);
}
}
else
{
return("Unknown option type");
}
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
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!");
}
}
public static string eqIRCurveLiborBasisSwapHelper(
[ExcelArgument(Description = "(String) id of rate helper object ")] String ObjectId,
[ExcelArgument(Description = "(String) base leg (usually USDLIB3M) ")] String baseLeg,
[ExcelArgument(Description = "(String) basis leg (USDLIB1M, USDLIB6M, etc) ")] String basisLeg,
[ExcelArgument(Description = "(double) basis spread ")] double basis,
[ExcelArgument(Description = "(String) basis swap tenor (1Y, 2Y, etc) ")] String tenor,
[ExcelArgument(Description = "Discount Curve (USDLIB3M or USDOIS) ")] String discount,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
// use default value. Eonia and ois has same convention
if (!baseLeg.Contains('@'))
{
baseLeg = "IDX" + baseLeg;
}
EliteQuant.IborIndex baseidx = OHRepository.Instance.getObject <EliteQuant.IborIndex>(baseLeg);
EliteQuant.IborIndex basisidx = null;
switch (basisLeg.ToUpper())
{
case "USDLIB1M":
basisidx = new EliteQuant.USDLibor(new EliteQuant.Period(1, EliteQuant.TimeUnit.Months));
break;
case "USDLIB6M":
basisidx = new EliteQuant.USDLibor(new EliteQuant.Period(6, EliteQuant.TimeUnit.Months));
break;
case "USDLIB12M":
basisidx = new EliteQuant.USDLibor(new EliteQuant.Period(12, EliteQuant.TimeUnit.Months));
break;
default:
break;
}
EliteQuant.YieldTermStructure curve = null;
EliteQuant.YieldTermStructureHandle yth = null;
if (!discount.Contains('@'))
{
discount = "CRV@" + discount;
}
if (!ExcelUtil.isNull(discount))
{
curve = OHRepository.Instance.getObject <EliteQuant.YieldTermStructure>(discount);
yth = new EliteQuant.YieldTermStructureHandle(curve);
}
EliteQuant.QuoteHandle basis_ = new EliteQuant.QuoteHandle(new EliteQuant.SimpleQuote(basis));
EliteQuant.Period tenor_ = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(tenor);
// arithmetic average, not compounded. USBG
EliteQuant.RateHelper rh = new EliteQuant.IBORBasisRateHelper(2, tenor_, basis_, baseidx, basisidx, yth);
string id = "RHBAS@" + ObjectId;
OHRepository.Instance.storeObject(id, rh, callerAddress);
return(id + "#" + DateTime.Now.ToString("HH:mm:ss"));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static string eqCurveIRIndex2(
[ExcelArgument(Description = "index id (USDOIS, USDLIB3M, USDLIB1M ")] string ObjectId,
[ExcelArgument(Description = "currency (USD, GBP, CAD, EUR, JPY ) ")] string Curncy,
[ExcelArgument(Description = "tenors ")] object[] dates,
[ExcelArgument(Description = "discounts ")] double[] discounts,
[ExcelArgument(Description = "calendar ")] string calendar,
[ExcelArgument(Description = "day counter ")] string daycounter,
[ExcelArgument(Description = "id of discount curve ")] string discountId,
[ExcelArgument(Description = "Interpolation Method (Linear, LogLinear) ")] string interp,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
try
{
calendar = "NULL";
daycounter = "Actual365Fixed";
if (dates.Length != discounts.Length)
{
return("size mismatch");
}
string interpmethod;
if (ExcelUtil.isNull(interp))
{
interpmethod = "LOGLINEAR";
}
else
{
interpmethod = interp.ToUpper();
}
DateVector datesvector = new DateVector(dates.Length);
DoubleVector discountsvector = new DoubleVector(dates.Length);
for (int i = 0; i < dates.Length; i++)
{
//datesvector.Add(Conversion.ConvertObject<Date>((DateTime)dates[i], "NA"));
datesvector.Add(new Date(Convert.ToInt32(dates[i])));
discountsvector.Add(discounts[i]);
}
YieldTermStructureHandle handle = null;
if (interpmethod == "LINEAR")
{
handle = new YieldTermStructureHandle(
new LinearDiscountCurve(datesvector, discountsvector, new Actual365Fixed(), new NullCalendar()));
}
else
{
handle = new YieldTermStructureHandle(
new DiscountCurve(datesvector, discountsvector, new Actual365Fixed(), new NullCalendar()));
}
// Store the option and return its id
string id = "CRV@" + ObjectId;
OHRepository.Instance.storeObject(id, handle, 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!");
}
}
public static string eqIRCurveLinearZero(
[ExcelArgument(Description = "(String) id of curve (USDOIS, USDLIB3M) ")] string ObjectId,
[ExcelArgument(Description = "array of rate helpers ")] object[] ratehelpers,
[ExcelArgument(Description = "Interpolation Method (default LogLinear) ")] string interp,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = ExcelUtil.getActiveCellAddress();
Xl.Range rng = ExcelUtil.getActiveCellRange();
try
{
string interpmethod;
if (ExcelUtil.isNull(interp))
{
interpmethod = "LOGLINEAR";
}
else
{
interpmethod = interp.ToUpper();
}
EliteQuant.RateHelperVector rhv = new EliteQuant.RateHelperVector();
EliteQuant.Date today = EliteQuant.Settings.instance().getEvaluationDate();
List <EliteQuant.Date> dates = new List <EliteQuant.Date>();
dates.Add(today); // today has discount 1
foreach (var rid in ratehelpers)
{
if (ExcelUtil.isNull(rid))
{
continue;
}
try
{
EliteQuant.RateHelper rh = OHRepository.Instance.getObject <EliteQuant.RateHelper>((string)rid);
rhv.Add(rh);
dates.Add(rh.latestDate());
}
catch (Exception)
{
// skip null instruments
}
}
// set reference date to today. or discount to 1
EliteQuant.YieldTermStructure yth = new EliteQuant.PiecewiseLogLinearDiscount(today, rhv, dc_act_360);
EliteQuant.DateVector dtv = new EliteQuant.DateVector();
EliteQuant.DoubleVector discv = new EliteQuant.DoubleVector();
foreach (var dt in dates)
{
double disc = yth.discount(dt);
dtv.Add(dt);
discv.Add(disc);
}
// reconstruct the discount curve
// note that discount curve is LogLinear
EliteQuant.YieldTermStructure yth2 = null;
yth2 = new EliteQuant.DiscountCurve(dtv, discv, dc_act_360, ObjectId.Contains("OIS") ? cal_usd : cal_usd_gbp);
if (!ObjectId.Contains('@'))
{
ObjectId = "CRV@" + ObjectId;
}
//string id = "IRCRV@" + ObjectId;
string id = ObjectId;
OHRepository.Instance.storeObject(id, yth2, callerAddress);
return(id + "#" + DateTime.Now.ToString("HH:mm:ss"));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqInstIRGenericSwap(
// trade info
/*[ExcelArgument(Description = "trade id ")] string tradeid,
* [ExcelArgument(Description = "Entity ")] string entity,
* [ExcelArgument(Description = "Entity ID ")] string entityid,
* [ExcelArgument(Description = "Counterparty ")] string counterparty,
* [ExcelArgument(Description = "Counterparty ID ")] string counterpartyid,
* [ExcelArgument(Description = "swap type ")] string swaptype,
* [ExcelArgument(Description = "Fixing Days ")] object fixingdays, // use object to catch missing
* [ExcelArgument(Description = "Trade Date ")] object tradedate,
* [ExcelArgument(Description = "Start date ")] object startdate,
* [ExcelArgument(Description = "Maturity date ")] object maturitydate,
* [ExcelArgument(Description = "Tenor ")] string Tenor,
* [ExcelArgument(Description = "is notional schedule given ")] bool isschedulegiven,*/
[ExcelArgument(Description = "swap type ")] object[] tradeinfo,
// first leg
/*[ExcelArgument(Description = "id of first leg index ")] string firstlegindex,
* [ExcelArgument(Description = "first leg frequency ")] string firstlegfreq,
* [ExcelArgument(Description = "first leg convention ")] string firstlegconv,
* [ExcelArgument(Description = "first leg calendar ")] string firstlegcalendar,
* [ExcelArgument(Description = "first leg day counter ")] string firstlegdc,
* [ExcelArgument(Description = "first leg date generation rule ")] string firstlegdgrule,
* [ExcelArgument(Description = "first leg end of month ")] bool firstlegeom,
* [ExcelArgument(Description = "first leg fixed rate ")] double firstlegrate,*/
[ExcelArgument(Description = "first leg info ")] object[] firstleginfo,
[ExcelArgument(Description = "first leg notional(s) ")] object[] firstlegnotionals, // only object[] works
[ExcelArgument(Description = "first leg schedule(s) ")] object[,] firstlegschedule,
// second leg
/*[ExcelArgument(Description = "id of second leg index ")] string secondlegindex,
* [ExcelArgument(Description = "second leg frequency ")] string secondlegfreq,
* [ExcelArgument(Description = "second leg convention ")] string secondlegconv,
* [ExcelArgument(Description = "second leg calendar ")] string secondlegcalendar,
* [ExcelArgument(Description = "second leg day counter ")] string secondlegdc,
* [ExcelArgument(Description = "second leg date generation rule ")] string secondlegdgrule,
* [ExcelArgument(Description = "second leg end of month ")] bool secondlegeom,
* [ExcelArgument(Description = "second leg spread ")] double secondlegspread,*/
[ExcelArgument(Description = "second leg info ")] object[] secondleginfo,
[ExcelArgument(Description = "second leg notional(s) ")] object[] secondlegnotionals,
[ExcelArgument(Description = "second leg schedule(s) ")] object[,] secondlegschedule,
[ExcelArgument(Description = "id of discount curve ")] string discountId
)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
EliteQuant.Instruments.InterestRateGenericSwap genswap = new EliteQuant.Instruments.InterestRateGenericSwap();
#region parameters
if (ExcelUtil.isNull(tradeinfo[0]))
{
return("#EQ_ERR!");
}
else
{
genswap.ContractId = (string)tradeinfo[0];
}
if (ExcelUtil.isNull(tradeinfo[1]))
{
genswap.Entity = "NA";
}
else
{
genswap.Entity = (string)tradeinfo[1];
}
if (ExcelUtil.isNull(tradeinfo[2]))
{
genswap.EntityID = "NA";
}
else
{
genswap.EntityID = (string)tradeinfo[2];
}
if (ExcelUtil.isNull(tradeinfo[3]))
{
genswap.Counterparty = "NA";
}
else
{
genswap.Counterparty = (string)tradeinfo[3];
}
if (ExcelUtil.isNull(tradeinfo[4]))
{
genswap.CounterpartyID = "NA";
}
else
{
genswap.CounterpartyID = (string)tradeinfo[4];
}
if (ExcelUtil.isNull(tradeinfo[5]))
{
genswap.SwapType = "Payer";
}
else
{
genswap.SwapType = (string)tradeinfo[5];
}
if (ExcelUtil.isNull(tradeinfo[6]))
{
genswap.FixingDays = 2;
}
else
{
genswap.FixingDays = (int)(double)tradeinfo[6];
}
if (ExcelUtil.isNull(tradeinfo[7]))
{
genswap.TradeDate = EliteQuant.EQConverter.DateTimeToString(DateTime.Today);
}
else
{
genswap.TradeDate = EliteQuant.EQConverter.DateTimeToString(DateTime.FromOADate((double)tradeinfo[7]));
}
// set it temporarily to ""
if (ExcelUtil.isNull(tradeinfo[8]))
{
genswap.SettlementDate = string.Empty;
}
else
{
genswap.SettlementDate = EliteQuant.EQConverter.DateTimeToString(DateTime.FromOADate((double)tradeinfo[8]));
}
// set it temporarily to today
if (ExcelUtil.isNull(tradeinfo[9]))
{
genswap.MaturityDate = string.Empty;
}
else
{
genswap.MaturityDate = EliteQuant.EQConverter.DateTimeToString(DateTime.FromOADate((double)tradeinfo[9]));
}
// set it temporarily to blank
if (ExcelUtil.isNull(tradeinfo[10]))
{
genswap.Tenor = string.Empty;
}
else
{
genswap.Tenor = (string)tradeinfo[10];
}
if (ExcelUtil.isNull(tradeinfo[11]))
{
genswap.IsScheduleGiven = false;
}
else
{
//genswap.IsScheduleGiven = Convert.ToBoolean((string)tradeinfo[11]);
genswap.IsScheduleGiven = (bool)tradeinfo[11];
}
genswap.IsScheduleGiven = false; // set to false always, amortization currently not supported
//*************** First Leg *************************//
if (ExcelUtil.isNull(firstleginfo[0]))
{
genswap.FirstLegIndex = "FIXED";
}
else
{
genswap.FirstLegIndex = (string)firstleginfo[0];
}
if (ExcelUtil.isNull(firstleginfo[1]))
{
genswap.FirstLegFrequency = "SEMIANNUAL";
}
else
{
genswap.FirstLegFrequency = (string)firstleginfo[1];
}
if (ExcelUtil.isNull(firstleginfo[2]))
{
genswap.FirstLegConvention = "MODIFIEDFOLLOWING";
}
else
{
genswap.FirstLegConvention = (string)firstleginfo[2];
}
if (ExcelUtil.isNull(firstleginfo[3]))
{
genswap.FirstLegCalendar = "NYC|LON";
}
else
{
genswap.FirstLegCalendar = (string)firstleginfo[3];
}
if (ExcelUtil.isNull(firstleginfo[4]))
{
genswap.FirstLegDayCounter = "ACTUAL360";
}
else
{
genswap.FirstLegDayCounter = (string)firstleginfo[4];
}
if (ExcelUtil.isNull(firstleginfo[5]))
{
genswap.FirstLegDateGenerationRule = "BACKWARD";
}
else
{
genswap.FirstLegDateGenerationRule = (string)firstleginfo[5];
}
if (ExcelUtil.isNull(firstleginfo[6]))
{
genswap.FirstLegEOM = true;
}
else
{
genswap.FirstLegEOM = (bool)firstleginfo[6];
}
if (ExcelUtil.isNull(firstleginfo[7]))
{
genswap.FirstLegSpread = 0.0;
}
else
{
genswap.FirstLegSpread = (double)firstleginfo[7];
}
if (ExcelUtil.isNull(firstlegnotionals))
{
genswap.FirstLegNotionals.Clear();
genswap.FirstLegNotionals.Add(0); // size = 1
}
else
{
genswap.FirstLegNotionals.Clear();
foreach (var nl in firstlegnotionals)
{
if (ExcelUtil.isNull(nl))
{
continue;
}
genswap.FirstLegNotionals.Add((double)nl);
}
}
if (ExcelUtil.isNull(firstlegschedule) || (!genswap.IsScheduleGiven))
{
genswap.FirstLegSchedules.Clear();
genswap.FirstLegSchedules.Add(genswap.SettlementDate);
genswap.FirstLegSchedules.Add(genswap.MaturityDate);
}
else
{
genswap.FirstLegSchedules.Clear();
for (int a = 0; a < firstlegschedule.GetLength(0); a++)
{
DateTime d;
if (ExcelUtil.isNull(firstlegschedule[a, 0]))
{
// add one more date
d = DateTime.FromOADate((double)firstlegschedule[a - 1, 1]);
genswap.FirstLegSchedules.Add(EliteQuant.EQConverter.DateTimeToString(d));
break;
}
d = DateTime.FromOADate((double)firstlegschedule[a, 0]);
genswap.FirstLegSchedules.Add(EliteQuant.EQConverter.DateTimeToString(d));
}
}
//*************** Second Leg *************************//
if (ExcelUtil.isNull(secondleginfo[0]))
{
genswap.SecondLegIndex = "USDLIB3M";
}
else
{
genswap.SecondLegIndex = (string)secondleginfo[0];
}
if (ExcelUtil.isNull(secondleginfo[1]))
{
genswap.SecondLegFrequency = "QUARTERLY";
}
else
{
genswap.SecondLegFrequency = (string)secondleginfo[1];
}
if (ExcelUtil.isNull(secondleginfo[2]))
{
genswap.SecondLegConvention = "MODIFIEDFOLLOWING";
}
else
{
genswap.SecondLegConvention = (string)secondleginfo[2];
}
if (ExcelUtil.isNull(secondleginfo[3]))
{
genswap.SecondLegCalendar = "NYC|LON"; // nor NYC|LON
}
else
{
genswap.SecondLegCalendar = (string)secondleginfo[3];
}
if (ExcelUtil.isNull(secondleginfo[4]))
{
genswap.SecondLegDayCounter = "ACTUAL360";
}
else
{
genswap.SecondLegDayCounter = (string)secondleginfo[4];
}
if (ExcelUtil.isNull(secondleginfo[5]))
{
genswap.SecondLegDateGenerationRule = "BACKWARD";
}
else
{
genswap.SecondLegDateGenerationRule = (string)secondleginfo[5];
}
if (ExcelUtil.isNull(secondleginfo[6]))
{
genswap.SecondLegEOM = true;
}
else
{
genswap.SecondLegEOM = (bool)secondleginfo[6];
}
if (ExcelUtil.isNull(secondleginfo[7]))
{
genswap.SecondLegSpread = 0.0;
}
else
{
genswap.SecondLegSpread = (double)secondleginfo[7];
}
if (ExcelUtil.isNull(secondlegnotionals))
{
genswap.SecondLegNotionals.Clear();
genswap.SecondLegNotionals.Add(0);
}
else
{
genswap.SecondLegNotionals.Clear();
foreach (var nl in secondlegnotionals)
{
if (ExcelUtil.isNull(nl))
{
continue;
}
genswap.SecondLegNotionals.Add((double)nl);
}
}
if (ExcelUtil.isNull(secondlegschedule) || (!genswap.IsScheduleGiven))
{
genswap.SecondLegSchedules.Clear();
genswap.SecondLegSchedules.Add(genswap.SettlementDate);
genswap.SecondLegSchedules.Add(genswap.MaturityDate);
}
else
{
genswap.SecondLegSchedules.Clear();
for (int a = 0; a < secondlegschedule.GetLength(0); a++)
{
DateTime d;
if (ExcelUtil.isNull(secondlegschedule[a, 0]))
{
// add one more date
d = DateTime.FromOADate((double)secondlegschedule[a - 1, 1]);
genswap.SecondLegSchedules.Add(EliteQuant.EQConverter.DateTimeToString(d));
break;
}
d = DateTime.FromOADate((double)secondlegschedule[a, 0]);
genswap.SecondLegSchedules.Add(EliteQuant.EQConverter.DateTimeToString(d));
}
}
#endregion
#region convert Interest rate generic swap to swap obj
string firstidx = genswap.FirstLegIndex, secondidx = genswap.SecondLegIndex;
string firstidx_id = "IDX@" + firstidx;
string secondidx_id = "IDX@" + secondidx;
EliteQuant.IborIndex firstidx_obj = null;
if (!firstidx.Contains("FIXED"))
{
firstidx_obj = OHRepository.Instance.getObject <EliteQuant.IborIndex>(firstidx_id);
}
EliteQuant.IborIndex secondidx_obj = OHRepository.Instance.getObject <EliteQuant.IborIndex>(secondidx_id);
genswap.ConstructSwap(firstidx_obj, secondidx_obj);
if (!discountId.Contains('@'))
{
discountId = "CRV@" + discountId;
}
YieldTermStructure discountcurve = OHRepository.Instance.getObject <YieldTermStructure>(discountId);
YieldTermStructureHandle dch = new YieldTermStructureHandle(discountcurve);
DiscountingSwapEngine engine = new DiscountingSwapEngine(dch);
genswap.eqswap_.setPricingEngine(engine);
#endregion
string id = "SWP@" + genswap.ContractId;
OHRepository.Instance.storeObject(id, genswap, 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!");
}
}
