xll_fixed_income.cpp

// xll_fixed_income.cpp - Fixed Income instruments
#include "fms_fixed_income.h"
#include "fms_fixed_income_cash_deposit.h"
#include "fms_fixed_income_forward_rate_agreement.h"
#include "fms_fixed_income_swap.h"
#include "G5260.h"

using namespace fms;
using namespace xll;

#ifdef _DEBUG

xll::test xll_test_fixed_income_intrument([](){
    //_crtBreakAlloc = 3255;
    fixed_income::test_fms_fixed_income_instrument();
    fixed_income::test_fms_fixed_income_cash_deposit();
});
#endif // _DEBUG

#define PREFIX L"FIXED.INCOME."

static AddIn xai_fixed_income_instrument(
    Function(XLL_HANDLE, L"?xll_fixed_income_instrument", PREFIX L"INSTRUMENT")
    .Arg(XLL_FP, L"time", L"is and array of times.")
    .Arg(XLL_FP, L"cash", L"is an array of cash flows.")
    .Uncalced()
    .Category(CATEGORY)
    .FunctionHelp(L"Return a handle to a fixed income instrument.")
);
HANDLEX WINAPI xll_fixed_income_instrument(_FP12* pu, _FP12* pc)
{
#pragma XLLEXPORT
    handlex h;

    try {
        ensure (size(*pu) == size(*pc));
        xll::handle<fixed_income::instrument<>> h_(new fixed_income::instrument<>(size(*pu), pu->array, pc->array));
        h = h_.get();
    }
    catch(const std::exception& ex) {
        XLL_ERROR(ex.what());
    }

    return h;
}

static AddIn xai_fixed_income_instrument_size(
    Function(XLL_DOUBLE, L"?xll_fixed_income_instrument_size", PREFIX L"INSTRUMENT.SIZE")
    .Arg(XLL_HANDLE, L"handle", L"is a handle to an instrument.")
    .Category(CATEGORY)
    .FunctionHelp(L"Return the number of times/cash flows of a fixed income instrument.")
);
double WINAPI xll_fixed_income_instrument_size(HANDLEX h)
{
#pragma XLLEXPORT
    double size;

    try {
        xll::handle<fixed_income::instrument<>> h_(h);
        ensure (h_);
        size = static_cast<double>(h_->size());
    }
    catch (const std::exception& ex) {
        XLL_ERROR(ex.what());
        size = std::numeric_limits<double>::quiet_NaN();
    }

    return size;
}

static AddIn xai_fixed_income_instrument_time(
    Function(XLL_FP, L"?xll_fixed_income_instrument_time", PREFIX L"INSTRUMENT.TIME")
    .Arg(XLL_HANDLE, L"handle", L"is handle to an instrument.")
    .Category(CATEGORY)
    .FunctionHelp(L"Return a one row array of cash flow times of a fixed income instrument.")
);
_FP12* WINAPI xll_fixed_income_instrument_time(HANDLEX h)
{
#pragma XLLEXPORT
    static xll::FP12 t;

    try {
        xll::handle<fixed_income::instrument<>> h_(h);
        ensure (h_);
        t.resize(1, static_cast<COL>(h_->size()));
        std::copy(h_->time(), h_->time() + h_->size(), begin(t));
    }
    catch (const std::exception& ex) {
        XLL_ERROR(ex.what());
        
        return 0;
    }

    return t.get();
}

static AddIn xai_fixed_income_instrument_cash(
    Function(XLL_FP, L"?xll_fixed_income_instrument_cash", PREFIX L"INSTRUMENT.CASH")
    .Arg(XLL_HANDLE, L"handle", L"is handle to an instrument.")
    .Category(CATEGORY)
    .FunctionHelp(L"Return a one row array of cash flows of a fixed income instrument.")
);
_FP12* WINAPI xll_fixed_income_instrument_cash(HANDLEX h)
{
#pragma XLLEXPORT
    static xll::FP12 c;

    try {
        xll::handle<fixed_income::instrument<>> h_(h);
        ensure (h_);
        c.resize(1, static_cast<COL>(h_->size()));
        std::copy(h_->cash(), h_->cash() + h_->size(), begin(c));
    }
    catch (const std::exception& ex) {
        XLL_ERROR(ex.what());
        
        return 0;
    }

    return c.get();
}

static AddIn xai_fixed_income_cash_deposit(
	Function(XLL_HANDLE, L"?xll_fixed_income_cash_deposit", PREFIX L"CASH.DEPOSIT")
	.Arg(XLL_SHORT, L"settlement", L"is the number of days until the cash deposit settles.")
	.Arg(XLL_SHORT, L"tenor", L"is the number of months until maturity.")
    .Arg(XLL_LONG, L"dcb", L"is the day count basis.")
    .Arg(XLL_LONG, L"roll", L"is the business day roll convention.")
	.Uncalced()
	.Category(CATEGORY)
	.FunctionHelp(L"Return a handle to a cash deposit.")
);
HANDLEX WINAPI xll_fixed_income_cash_deposit(short settlement, short tenor,
    fms::date::DAY_COUNT_BASIS dcb, fms::date::BUSINESS_DAY_ROLL roll)
{
#pragma XLLEXPORT
	handlex h;

	try {
		xll::handle<fixed_income::instrument<>> h_(new fixed_income::cash_deposit<>(::date::days{ settlement }, ::date::months{ tenor }, dcb, roll));
		h = h_.get();
	}
	catch (const std::exception& ex) {
		XLL_ERROR(ex.what());
	}

	return h;
}

static AddIn xai_fixed_income_instrument_cash_deposit_fix(
	Function(XLL_DOUBLE, L"?xll_fixed_income_instrument_cash_deposit_fix", PREFIX L"CASH.DEPOSIT.FIX")
	.Arg(XLL_HANDLE, L"handle", L"is a handle to a cash deposit.")
	.Arg(XLL_DOUBLE, L"valuation", L"date at which rate is quoted.")
	.Arg(XLL_DOUBLE, L"rate", L"is the cash deposit rate on valuation date.")
	.Category(CATEGORY)
	.FunctionHelp(L"Fix times and cash flows of the cash deposit.")
);
HANDLEX WINAPI xll_fixed_income_instrument_cash_deposit_fix(HANDLEX h, double valuation, double rate)
{
#pragma XLLEXPORT
	try {
		xll::handle<fixed_income::instrument<>> h_(h);
		ensure(h_);
		h_->fix(fms::date::excel_date(valuation), rate);
	}
	catch (const std::exception& ex) {
		XLL_ERROR(ex.what());

        return handlex{};
	}

	return h;
}


static AddIn xai_fixed_income_forward_rate_agreement(
	Function(XLL_HANDLE, L"?xll_fixed_income_forward_rate_agreement", PREFIX L"FORWARD.RATE.AGREEMENT")
	.Arg(XLL_DOUBLE, L"effective", L"is the date of the first cash flow.")
	.Arg(XLL_SHORT, L"tenor", L"is the number of months until maturity.")
    .Arg(XLL_LONG, L"dcb", L"is the day count basis.")
    .Arg(XLL_LONG, L"roll", L"is the business day roll convention.")
	.Uncalced()
	.Category(CATEGORY)
	.FunctionHelp(L"Return a handle to a cash deposit.")
);
HANDLEX WINAPI xll_fixed_income_forward_rate_agreement(double effective, short tenor,
    fms::date::DAY_COUNT_BASIS dcb, fms::date::BUSINESS_DAY_ROLL roll)
{
#pragma XLLEXPORT
	handlex h;

	try {
		xll::handle<fixed_income::instrument<>> h_(new fixed_income::forward_rate_agreement<>(fms::date::excel_date(effective), ::date::months{ tenor }, dcb, roll));
		h = h_.get();
	}
	catch (const std::exception& ex) {
		XLL_ERROR(ex.what());
	}

	return h;
}

static AddIn xai_fixed_income_instrument_forward_rate_agreement_fix(
	Function(XLL_DOUBLE, L"?xll_fixed_income_instrument_forward_rate_agreement_fix", PREFIX L"FORWARD.RATE.AGREEMENT.FIX")
	.Arg(XLL_HANDLE, L"handle", L"is a handle to a forward rate agreement.")
	.Arg(XLL_DOUBLE, L"valuation", L"date at which rate is quoted.")
	.Arg(XLL_DOUBLE, L"rate", L"is the cash deposit rate on valuation date.")
	.Category(CATEGORY)
	.FunctionHelp(L"Fix times and cash flows of the cash deposit.")
);
HANDLEX WINAPI xll_fixed_income_instrument_forward_rate_agreement_fix(HANDLEX h, double valuation, double rate)
{
#pragma XLLEXPORT
	try {
		xll::handle<fixed_income::instrument<>> h_(h);
		ensure(h_);
		h_->fix(fms::date::excel_date(valuation), rate);
	}
	catch (const std::exception& ex) {
		XLL_ERROR(ex.what());

        return handlex{};
	}

	return h;
}

static AddIn xai_fixed_income_swap(
	Function(XLL_HANDLE, L"?xll_fixed_income_swap", PREFIX L"SWAP")
	.Arg(XLL_SHORT, L"settlement", L"is the number of days until the swap settles.")
	.Arg(XLL_SHORT, L"tenor", L"is the number of months until maturity.")
    .Arg(XLL_SHORT, L"freq", L"is the payment frequency of the fixed leg.")
    .Arg(XLL_SHORT, L"dcb", L"is the day count basis.")
    .Arg(XLL_SHORT, L"roll", L"is the business day roll convention.")
	.Uncalced()
	.Category(CATEGORY)
	.FunctionHelp(L"Return a handle to a swap.")
);
HANDLEX WINAPI xll_fixed_income_swap(short settlement, short tenor,
    fms::date::PAYMENT_FREQUENCY freq,
    fms::date::DAY_COUNT_BASIS dcb, fms::date::BUSINESS_DAY_ROLL roll)
{
#pragma XLLEXPORT
	handlex h;

	try {
		xll::handle<fixed_income::instrument<>> h_(new fixed_income::swap<>(::date::days(settlement), ::date::years{ tenor }, freq, dcb, roll));
		h = h_.get();
	}
	catch (const std::exception& ex) {
		XLL_ERROR(ex.what());
	}

	return h;
}

static AddIn xai_fixed_income_instrument_swap_fix(
	Function(XLL_DOUBLE, L"?xll_fixed_income_instrument_swap_fix", PREFIX L"SWAP.FIX")
	.Arg(XLL_HANDLE, L"handle", L"is a handle to a forward rate agreement.")
	.Arg(XLL_DOUBLE, L"valuation", L"date at which rate is quoted.")
	.Arg(XLL_DOUBLE, L"rate", L"is the cash deposit rate on valuation date.")
	.Category(CATEGORY)
	.FunctionHelp(L"Fix times and cash flows of the cash deposit.")
);
HANDLEX WINAPI xll_fixed_income_instrument_swap_fix(HANDLEX h, double valuation, double rate)
{
#pragma XLLEXPORT
	try {
		xll::handle<fixed_income::instrument<>> h_(h);
		ensure(h_);
		h_->fix(fms::date::excel_date(valuation), rate);
	}
	catch (const std::exception& ex) {
		XLL_ERROR(ex.what());

        return handlex{};
	}

	return h;
}