MG_XLObjectPtr
VolatilityCurve_Create ( const MG_Date & aAsOf
, const CellMatrix& aMaturities
, const CellMatrix& aTenors
, const CellMatrix& aVolatilities
, const string& aCcy
, const string& aUnderIndex
, const CellMatrix& aInterpolMeths)
{
if (aVolatilities.Size() != aTenors.Size()*aMaturities.Size())
MG_THROW("Volatilities matrix size and (Maturities,Tenors) size are not consistent");
vector<double> vMaturities = FromCellMatrixToVectorDouble(aMaturities, 0);
vector<double> vTenors = FromCellMatrixToVectorDouble(aTenors, 0);
MG_Matrix vVols = FromCellMatrixToMGMatrix (aVolatilities);
vector<int> vInterpolMeths = vector<int>(2, LINEAR_INTERPOL);
if (!aInterpolMeths(0,0).IsEmpty())
vInterpolMeths = FromCellMatrixToInterpolVector(aInterpolMeths);
if (vInterpolMeths.size() == 1)
vInterpolMeths.push_back(vInterpolMeths[0]);
long vInterpolCode = MG_Interpolator::CreateInterpolCode(vInterpolMeths);
return MG_XLObjectPtr(new MG_IRVolatilityCurve(aAsOf, vMaturities, vTenors, vVols, aCcy, aUnderIndex, vInterpolCode));
}
MG_XLObjectPtr
DividendsTable_Create ( const MG_Date & aAsOf
, const CellMatrix & aExDivDates
, const CellMatrix & aPaymentDates
, const CellMatrix & aDividends
, const string & aCcy
, const string & aUnderIndex
, const MG_XLObjectPtr& aZC)
{
if (aExDivDates.Size() != aExDivDates.Size())
MG_THROW("Ex dividends dates and payments days should be equal");
vector<MG_Date> vExDivDates = FromCellMatrixToVectorDate(aExDivDates, 0);
vector<MG_Date> vPaymentDates = FromCellMatrixToVectorDate(aPaymentDates, 0);
vector<double> vDividends = FromCellMatrixToVectorDouble(aDividends, 0);
return MG_XLObjectPtr(new MG_DividendsTable(aAsOf, vExDivDates, vPaymentDates, vDividends, aCcy, aUnderIndex, aZC));
}
MG_XLObjectPtr
ZeroCurve_Create ( const MG_Date & aAsOf
, const CellMatrix& aMaturities
, const CellMatrix& aZeroRates
, const string & aCcy
, const string & aUnderIndex
, const string & aInterpolMeth)
{
if (aZeroRates.Size() != aMaturities.Size())
MG_THROW("Zero vector size and Maturities size are not consistent");
vector<double> vMaturities = FromCellMatrixToVectorDouble(aMaturities, 0);
vector<double> vZeroRates = FromCellMatrixToVectorDouble(aZeroRates, 0);
int vInterpolCode = InterpolMethodConvertor[aInterpolMeth];
return MG_XLObjectPtr(new MG_ZeroCurve(aAsOf, vMaturities, vZeroRates, aCcy, aUnderIndex, vInterpolCode));
}
/* converting a CellMatrix of interpolation types to a sid::vector<int> */
vector<int> FromCellMatrixToInterpolVector(const CellMatrix& aCM)
{
if (aCM.Size() > maxInterpoltypesNb)
{
ostringstream vOs;
vOs << "Maximum number of interpolations is " << maxInterpoltypesNb << ", please advise.";
MG_THROW(vOs.str());
}
vector<string> vInterpolTypesStr = FromCellMatrixToVectorStr(aCM);
size_t vSize(vInterpolTypesStr.size());
vector<int> vInterpolTypesInt(vSize);
for(size_t i=0; i<vSize; ++i)
vInterpolTypesInt[i] = InterpolMethodConvertor[vInterpolTypesStr[i]];
return vInterpolTypesInt;
}
