XLL_DEC OPER *qlMoneyMarketPlusMeasure(
char *EvolutionDescription,
OPER *Offset,
OPER *Trigger) {
// declare a shared pointer to the Function Call object
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall;
try {
// instantiate the Function Call object
functionCall = boost::shared_ptr<ObjectHandler::FunctionCall>(
new ObjectHandler::FunctionCall("qlMoneyMarketPlusMeasure"));
ObjectHandler::validateRange(Trigger, "Trigger");
// initialize the session ID (if enabled)
SET_SESSION_ID
// convert input datatypes to C++ datatypes
long OffsetCpp = ObjectHandler::convert2<long>(
ObjectHandler::ConvertOper(*Offset), "Offset", 1);
// convert input datatypes to QuantLib datatypes
QuantLib::Size OffsetLib = ObjectHandler::convert2<QuantLib::Size>(
ObjectHandler::ConvertOper(*Offset), "Offset", 1);
// convert object IDs into library objects
OH_GET_UNDERLYING(EvolutionDescriptionLibObj, EvolutionDescription,
QuantLibAddin::EvolutionDescription, QuantLib::EvolutionDescription)
// invoke the utility function
std::vector<QuantLib::Size> returnValue = QuantLib::moneyMarketPlusMeasure(
EvolutionDescriptionLibObj,
OffsetLib);
// convert and return the return value
std::vector<long> returnValVec =
QuantLibAddin::convertVector<QuantLib::Size, long>(returnValue);
static OPER xRet;
ObjectHandler::vectorToOper(returnValVec, xRet);
return &xRet;
} catch (const std::exception &e) {
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall);
return 0;
} catch (...) {
ObjectHandler::RepositoryXL::instance().logError("unkown error type", functionCall);
return 0;
}
}
std::string CALCapFloor(
const std::string &ObjectId,
const std::string &OptionType,
const std::string &LegID,
const std::vector<double>& Strikes,
const ObjectHandler::property_t &Permanent,
const ObjectHandler::property_t &Trigger,
const bool &Overwrite) {
try {
// convert input datatypes to C++ datatypes
bool PermanentCpp = ObjectHandler::convert2<bool>(
Permanent, "Permanent", false);
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::CapFloor::Type OptionTypeEnum =
ObjectHandler::Create<QuantLib::CapFloor::Type>()(OptionType);
// convert object IDs into library objects
OH_GET_UNDERLYING(LegIDLibObj, LegID,
QuantLibAddin::Leg, QuantLib::Leg)
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::CALCapFloor(
ObjectId,
OptionType,
LegID,
Strikes,
PermanentCpp));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::CapFloor(
valueObject,
OptionTypeEnum,
LegIDLibObj,
Strikes,
PermanentCpp));
// Store the Object in the Repository
std::string returnValue =
ObjectHandler::Repository::instance().storeObject(ObjectId, object, Overwrite);
// Convert and return the return value
return returnValue;
} catch (const std::exception &e) {
OH_FAIL("Error in function CALCapFloor : " << e.what());
}
}
boost::shared_ptr<ObjectHandler::Object> create_qlFlatVol(
const boost::shared_ptr<ObjectHandler::ValueObject> &valueObject) {
// convert input datatypes to C++ datatypes
std::vector<double> Volatilities =
ObjectHandler::vector::convert2<double>(valueObject->getProperty("Volatilities"), "Volatilities");
std::string Correlations =
ObjectHandler::convert2<std::string>(valueObject->getProperty("Correlations"));
std::string EvolutionDescription =
ObjectHandler::convert2<std::string>(valueObject->getProperty("EvolutionDescription"));
long Factors =
ObjectHandler::convert2<long>(valueObject->getProperty("Factors"));
std::vector<double> InitialRates =
ObjectHandler::vector::convert2<double>(valueObject->getProperty("InitialRates"), "InitialRates");
std::vector<double> Displacements =
ObjectHandler::vector::convert2<double>(valueObject->getProperty("Displacements"), "Displacements");
bool Permanent =
ObjectHandler::convert2<bool>(valueObject->getProperty("Permanent"));
// convert object IDs into library objects
OH_GET_REFERENCE(CorrelationsLibObjPtr, Correlations,
QuantLibAddin::PiecewiseConstantCorrelation, QuantLib::PiecewiseConstantCorrelation)
OH_GET_UNDERLYING(EvolutionDescriptionLibObj, EvolutionDescription,
QuantLibAddin::EvolutionDescription, QuantLib::EvolutionDescription)
// update value object precedent IDs (if any)
valueObject->processPrecedentID(Correlations);
valueObject->processPrecedentID(EvolutionDescription);
// construct and return the object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::FlatVol(
valueObject,
Volatilities,
CorrelationsLibObjPtr,
EvolutionDescriptionLibObj,
Factors,
InitialRates,
Displacements,
Permanent));
return object;
}
XLL_DEC OPER *qlSMMDriftCalculatorCompute(
char *ObjectId,
char *CurveState,
OPER *Trigger) {
// declare a shared pointer to the Function Call object
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall;
try {
// instantiate the Function Call object
functionCall = boost::shared_ptr<ObjectHandler::FunctionCall>(
new ObjectHandler::FunctionCall("qlSMMDriftCalculatorCompute"));
ObjectHandler::validateRange(Trigger, "Trigger");
// initialize the session ID (if enabled)
SET_SESSION_ID
// convert input datatypes to Object references
OH_GET_OBJECT(ObjectIdObjPtr, ObjectId, QuantLibAddin::SMMDriftCalculator)
// convert object IDs into library objects
OH_GET_UNDERLYING(CurveStateLibObj, CurveState,
QuantLibAddin::CoterminalSwapCurveState, QuantLib::CoterminalSwapCurveState)
// invoke the member function
std::vector<double> returnValue = ObjectIdObjPtr->compute(
CurveStateLibObj);
// convert and return the return value
static OPER xRet;
ObjectHandler::vectorToOper(returnValue, xRet);
return &xRet;
} catch (const std::exception &e) {
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall);
return 0;
} catch (...) {
ObjectHandler::RepositoryXL::instance().logError("unkown error type", functionCall);
return 0;
}
}
std::string qlEvolutionDescriptionFromProduct(
const std::string &ObjectId,
const std::string &Product,
const ObjectHandler::property_t &Permanent,
const ObjectHandler::property_t &Trigger,
const bool &Overwrite) {
try {
// convert input datatypes to C++ datatypes
bool PermanentCpp = ObjectHandler::convert2<bool>(
Permanent, "Permanent", false);
// convert object IDs into library objects
OH_GET_UNDERLYING(ProductLibObj, Product,
QuantLibAddin::MarketModelMultiProduct, QuantLib::MarketModelMultiProduct)
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlEvolutionDescriptionFromProduct(
ObjectId,
Product,
PermanentCpp));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::EvolutionDescription(
valueObject,
ProductLibObj,
PermanentCpp));
// Store the Object in the Repository
std::string returnValue =
ObjectHandler::Repository::instance().storeObject(ObjectId, object, Overwrite, valueObject);
// Convert and return the return value
return returnValue;
} catch (const std::exception &e) {
OH_FAIL("Error in function qlEvolutionDescriptionFromProduct : " << e.what());
}
}
boost::shared_ptr<ObjectHandler::Object> create_qlAccountingEngine(
const boost::shared_ptr<ObjectHandler::ValueObject> &valueObject) {
// convert input datatypes to C++ datatypes
std::string MarketModelEvolver =
ObjectHandler::convert2<std::string>(valueObject->getProperty("MarketModelEvolver"));
std::string Product =
ObjectHandler::convert2<std::string>(valueObject->getProperty("Product"));
double InitialNumeraireValue =
ObjectHandler::convert2<double>(valueObject->getProperty("InitialNumeraireValue"));
bool Permanent =
ObjectHandler::convert2<bool>(valueObject->getProperty("Permanent"));
// convert object IDs into library objects
OH_GET_REFERENCE(MarketModelEvolverLibObjPtr, MarketModelEvolver,
QuantLibAddin::MarketModelEvolver, QuantLib::MarketModelEvolver)
OH_GET_UNDERLYING(ProductLibObj, Product,
QuantLibAddin::MarketModelMultiProduct, QuantLib::MarketModelMultiProduct)
// update value object precedent IDs (if any)
valueObject->processPrecedentID(MarketModelEvolver);
valueObject->processPrecedentID(Product);
// construct and return the object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::AccountingEngine(
valueObject,
MarketModelEvolverLibObjPtr,
ProductLibObj,
InitialNumeraireValue,
Permanent));
return object;
}
/* Fonction de calcul du carry d'un bond */
DLLEXPORT xloper * xlInstrumentCarry (const char * instrumentId_,
const double * startAccruedDate_,
const double * endAccruedDate_,
const double * instrumentYield_,
const char * conventionId_,
xloper * trigger_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlInstrumentCarry")) ;
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), "") ;
double returnValue ;
// trigger pour provoquer le recalcul
ObjectHandler::validateRange(trigger_, "trigger") ;
// on récupère la convention
OH_GET_REFERENCE(conventionPtr,
conventionId_,
QuantLibAddin::interestRateConventionObject,
QuantLib::InterestRate)
// on récupère l'instrument
OH_GET_UNDERLYING(myBond,
instrumentId_,
QuantLibAddin::Bond,
QuantLib::Bond)
returnValue = myBond.cleanPrice(* instrumentYield_,
conventionPtr->dayCounter(),
conventionPtr->compounding(),
conventionPtr->frequency(),
conventionPtr->businessDayConvention(),
myBond.settlementDate(
QuantLib::Date(static_cast<QuantLib::BigInteger>(* endAccruedDate_)))) ;
returnValue -= myBond.cleanPrice(* instrumentYield_,
conventionPtr->dayCounter(),
conventionPtr->compounding(),
conventionPtr->frequency(),
conventionPtr->businessDayConvention(),
myBond.settlementDate(
QuantLib::Date(static_cast<QuantLib::BigInteger>(* startAccruedDate_)))) ;
// variable de retour
static XLOPER returnOper ;
ObjectHandler::scalarToOper(returnValue, returnOper) ;
return & returnOper ;
} catch (std::exception & e) {
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall);
static XLOPER returnOper;
returnOper.xltype = xltypeErr;
returnOper.val.err = xlerrValue;
return & returnOper;
}
}
/* Fonction de calcul du nombre de flux restant */
DLLEXPORT xloper * xlInstrumentFlowCount (const char * instrumentId_,
xloper * settlementDate_,
xloper * trigger_) {
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall(
new ObjectHandler::FunctionCall("xlInstrumentFlowCount")) ;
try {
QL_ENSURE(! functionCall->calledByFunctionWizard(), "") ;
/* recherche de code erreur */
ObjectHandler::validateRange(trigger_, "trigger") ;
ObjectHandler::validateRange(settlementDate_, "settlement Date") ;
/* on récupère l'instrument */
OH_GET_UNDERLYING(myBond,
instrumentId_,
QuantLibAddin::Bond,
QuantLib::Bond)
/* les XLOPER des date */
ObjectHandler::ConvertOper myOper(* settlementDate_) ;
QuantLib::Date settlementDate(
myOper.missing() ?
QuantLib::Date() :
QuantLib::Date(static_cast<QuantLib::BigInteger>(myOper))) ;
QuantLib::Natural returnValue = 0;
// increments
for (std::vector<boost::shared_ptr<QuantLib::CashFlow> >::const_reverse_iterator It = myBond.cashflows().crbegin();
It != myBond.cashflows().crend(); It++)
It->get()->date() > settlementDate ? returnValue++ : 0;
static XLOPER returnOper ;
ObjectHandler::scalarToOper(static_cast<double>(returnValue), returnOper) ;
return & returnOper ;
} catch (std::exception & e) {
#ifdef _DEBUG
OutputDebugString(e.what()) ;
#endif
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall) ;
static XLOPER returnOper ;
returnOper.xltype = xltypeErr ;
returnOper.val.err = xlerrValue ;
return & returnOper ;
}
} ;
std::string CALForwardRateIpc(
const std::string &ObjectId,
const std::string &MarketModel,
const std::string &BrownianGeneratorFactory,
const std::vector<long>& Numeraires,
const ObjectHandler::property_t &Permanent,
const ObjectHandler::property_t &Trigger,
const bool &Overwrite) {
try {
// convert input datatypes to C++ datatypes
bool PermanentCpp = ObjectHandler::convert2<bool>(
Permanent, "Permanent", false);
// convert input datatypes to QuantLib datatypes
std::vector<QuantLib::Size> NumerairesLib =
QuantLibAddin::convertVector<long, QuantLib::Size>(Numeraires);
// convert object IDs into library objects
OH_GET_REFERENCE(MarketModelLibObjPtr, MarketModel,
QuantLibAddin::MarketModel, QuantLib::MarketModel)
OH_GET_UNDERLYING(BrownianGeneratorFactoryLibObj, BrownianGeneratorFactory,
QuantLibAddin::BrownianGeneratorFactory, QuantLib::BrownianGeneratorFactory)
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::CALForwardRateIpc(
ObjectId,
MarketModel,
BrownianGeneratorFactory,
Numeraires,
PermanentCpp));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::LogNormalFwdRateIpc(
valueObject,
MarketModelLibObjPtr,
BrownianGeneratorFactoryLibObj,
NumerairesLib,
PermanentCpp));
// Store the Object in the Repository
std::string returnValue =
ObjectHandler::Repository::instance().storeObject(ObjectId, object, Overwrite);
// Convert and return the return value
return returnValue;
} catch (const std::exception &e) {
OH_FAIL("Error in function CALForwardRateIpc : " << e.what());
}
}
XLL_DEC char *qlRangeAccrualFloatersCouponFromLeg(
char *ObjectId,
char *RangeAccrualLeg,
long *Position,
OPER *Permanent,
OPER *Trigger,
bool *Overwrite) {
// declare a shared pointer to the Function Call object
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall;
try {
// instantiate the Function Call object
functionCall = boost::shared_ptr<ObjectHandler::FunctionCall>(
new ObjectHandler::FunctionCall("qlRangeAccrualFloatersCouponFromLeg"));
ObjectHandler::validateRange(Trigger, "Trigger");
// initialize the session ID (if enabled)
SET_SESSION_ID
// convert input datatypes to C++ datatypes
bool PermanentCpp = ObjectHandler::convert2<bool>(
ObjectHandler::ConvertOper(*Permanent), "Permanent", false);
// convert input datatypes to QuantLib datatypes
QuantLib::Size PositionLib;
QuantLibAddin::cppToLibrary(*Position, PositionLib);
// convert object IDs into library objects
OH_GET_UNDERLYING(RangeAccrualLegLibObj, RangeAccrualLeg,
QuantLibAddin::Leg, QuantLib::Leg)
// Strip the Excel cell update counter suffix from Object IDs
std::string ObjectIdStrip = ObjectHandler::CallingRange::getStub(ObjectId);
std::string RangeAccrualLegStrip = ObjectHandler::CallingRange::getStub(RangeAccrualLeg);
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlRangeAccrualFloatersCouponFromLeg(
ObjectIdStrip,
RangeAccrualLegStrip,
*Position,
PermanentCpp));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::RangeAccrualFloatersCoupon(
valueObject,
RangeAccrualLegLibObj,
PositionLib,
PermanentCpp));
// Store the Object in the Repository
std::string returnValue =
ObjectHandler::RepositoryXL::instance().storeObject(ObjectIdStrip, object, *Overwrite, valueObject);
// Convert and return the return value
static char ret[XL_MAX_STR_LEN];
ObjectHandler::stringToChar(returnValue, ret);
return ret;
} catch (const std::exception &e) {
ObjectHandler::RepositoryXL::instance().logError(e.what(), functionCall);
return 0;
} catch (...) {
ObjectHandler::RepositoryXL::instance().logError("unkown error type", functionCall);
return 0;
}
}
std::string qlBond(
const std::string &ObjectId,
const ObjectHandler::property_t &Description,
const ObjectHandler::property_t &Currency,
const ObjectHandler::property_t &SettlementDays,
const ObjectHandler::property_t &Calendar,
const ObjectHandler::property_t &FaceAmount,
const ObjectHandler::property_t &MaturityDate,
const ObjectHandler::property_t &IssueDate,
const std::string &LegID,
const ObjectHandler::property_t &Permanent,
const ObjectHandler::property_t &Trigger,
const bool &Overwrite) {
try {
// convert input datatypes to C++ datatypes
std::string DescriptionCpp = ObjectHandler::convert2<std::string>(
Description, "Description", std::string());
std::string CurrencyCpp = ObjectHandler::convert2<std::string>(
Currency, "Currency", "NullCurrency");
long SettlementDaysCpp = ObjectHandler::convert2<long>(
SettlementDays, "SettlementDays", 3);
std::string CalendarCpp = ObjectHandler::convert2<std::string>(
Calendar, "Calendar", "NullCalendar");
double FaceAmountCpp = ObjectHandler::convert2<double>(
FaceAmount, "FaceAmount", 100.0);
bool PermanentCpp = ObjectHandler::convert2<bool>(
Permanent, "Permanent", false);
// convert input datatypes to QuantLib datatypes
QuantLib::Size SettlementDaysLib = ObjectHandler::convert2<QuantLib::Size>(
SettlementDays, "SettlementDays", 3);
QuantLib::Real FaceAmountLib = ObjectHandler::convert2<QuantLib::Real>(
FaceAmount, "FaceAmount", 100.0);
QuantLib::Date MaturityDateLib = ObjectHandler::convert2<QuantLib::Date>(
MaturityDate, "MaturityDate", QuantLib::Date());
QuantLib::Date IssueDateLib = ObjectHandler::convert2<QuantLib::Date>(
IssueDate, "IssueDate", QuantLib::Date());
// convert input datatypes to QuantLib enumerated datatypes
QuantLib::Currency CurrencyEnum =
ObjectHandler::Create<QuantLib::Currency>()(CurrencyCpp);
QuantLib::Calendar CalendarEnum =
ObjectHandler::Create<QuantLib::Calendar>()(CalendarCpp);
// convert object IDs into library objects
OH_GET_UNDERLYING(LegIDLibObj, LegID,
QuantLibAddin::Leg, QuantLib::Leg)
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlBond(
ObjectId,
DescriptionCpp,
CurrencyCpp,
SettlementDaysCpp,
CalendarCpp,
FaceAmountCpp,
MaturityDate,
IssueDate,
LegID,
PermanentCpp));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::Bond(
valueObject,
DescriptionCpp,
CurrencyEnum,
SettlementDaysLib,
CalendarEnum,
FaceAmountLib,
MaturityDateLib,
IssueDateLib,
LegIDLibObj,
PermanentCpp));
// Store the Object in the Repository
std::string returnValue =
ObjectHandler::Repository::instance().storeObject(ObjectId, object, Overwrite, valueObject);
// Convert and return the return value
return returnValue;
} catch (const std::exception &e) {
OH_FAIL("Error in function qlBond : " << e.what());
}
}
SEQSEQ(ANY) SAL_CALL CalcAddins_impl::qlRangeAccrualFloatersCouponFromLeg(
const ANY &ObjectId,
const ANY &RangeAccrualLeg,
const ANY &Position,
const sal_Int32 Permanent,
const ANY &Trigger,
const sal_Int32 Overwrite) throw(RuntimeException) {
try {
// convert input datatypes to C++ datatypes
std::string ObjectIdCpp;
calcToScalar(ObjectIdCpp, ObjectId);
std::string RangeAccrualLegCpp;
calcToScalar(RangeAccrualLegCpp, RangeAccrualLeg);
long PositionCpp;
calcToScalar(PositionCpp, Position);
bool PermanentCpp;
calcToScalar(PermanentCpp, Permanent);
// convert input datatypes to QuantLib datatypes
QuantLib::Size PositionLib;
calcToScalar(PositionLib, Position);
// convert object IDs into library objects
OH_GET_UNDERLYING(RangeAccrualLegLibObj, RangeAccrualLegCpp,
QuantLibAddin::Leg, QuantLib::Leg)
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new QuantLibAddin::ValueObjects::qlRangeAccrualFloatersCouponFromLeg(
ObjectIdCpp,
RangeAccrualLegCpp,
PositionCpp,
PermanentCpp));
// Construct the Object
boost::shared_ptr<ObjectHandler::Object> object(
new QuantLibAddin::RangeAccrualFloatersCoupon(
valueObject,
RangeAccrualLegLibObj,
PositionLib,
PermanentCpp));
// Store the Object in the Repository
std::string returnValue =
ObjectHandler::Repository::instance().storeObject(ObjectIdCpp, object, Overwrite, valueObject);
// Convert and return the return value
ANY returnValueCalc;
scalarToCalc(returnValueCalc, returnValue);
SEQSEQ(ANY) retAnyArray;
retAnyArray.realloc(1);
SEQ(ANY) retAnyVector(1);
retAnyVector[0] = returnValueCalc;
retAnyArray[0] = retAnyVector;
return retAnyArray;
} catch (const std::exception &e) {
do {
std::ostringstream errorMsg;
errorMsg << "ERROR: qlRangeAccrualFloatersCouponFromLeg: " << e.what();
OH_LOG_MESSAGE(errorMsg.str());
SEQSEQ(ANY) retAnyArray;
retAnyArray.realloc(1);
SEQ(ANY) retAnyVector(1);
STRING s = STRFROMASCII( errorMsg.str().c_str() );
retAnyVector[0] = CSS::uno::makeAny( s );
retAnyArray[0] = retAnyVector;
return retAnyArray;
} while (false);
}
}
