Qwack / Excel work on Inflation

.github/workflows/ExcelDeploy.yml

@@ -41,8 +41,8 @@ jobs:
         files: ./clients/Qwack.Excel.Next/bin/Release/net6.0-windows
         dest: QwackExcel.zip
 
-    - name: Create Artifact
-      uses: actions/upload-artifact@v2
+    - name: Upload Artifact
+      uses: actions/upload-artifact@v3
       with:
-        name: excelArtifact
+        name: QwackExcel.Next
         path: ./QwackExcel.zip

clients/Qwack.Excel.Next/Curves/IRCurveFunctions.cs

@@ -128,9 +128,9 @@ public static object CreateDiscountCurveFromDFs(
                 var ccy = ContainerStores.GlobalContainer.GetRequiredService<ICurrencyProvider>()[ccyStr];
 
                 var zeroRates = DiscountFactors
-                .Select((df, ix) => 
-                    DateTime.FromOADate(Pillars[ix])==BuildDate ? 0.0 
-                    : IrCurve.RateFromDF(BuildDate.CalculateYearFraction(DateTime.FromOADate(Pillars[ix]), DayCountBasis.ACT365F),df, rType))
+                .Select((df, ix) =>
+                    DateTime.FromOADate(Pillars[ix]) == BuildDate ? 0.0
+                    : IrCurve.RateFromDF(BuildDate.CalculateYearFraction(DateTime.FromOADate(Pillars[ix]), DayCountBasis.ACT365F), df, rType))
                 .ToArray();
 
                 if (DateTime.FromOADate(Pillars[0]) == BuildDate && zeroRates.Length > 1)
@@ -151,7 +151,7 @@ public static object GetDF(
             {
                 if (ContainerStores.GetObjectCache<IIrCurve>().TryGetObject(ObjectName, out var curve))
                 {
-                    return curve.Value.GetDf(StartDate,EndDate);
+                    return curve.Value.GetDf(StartDate, EndDate);
                 }
 
                 return $"IR curve {ObjectName} not found in cache";
@@ -253,7 +253,7 @@ public static object CreateFundingModel(
                 }
 
                 var model = new FundingModel(BuildDate, emptyCurves.Values.ToArray(), ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider);
-                
+
                 if (!(FxMatrix is ExcelMissing))
                     model.SetupFx(fxMatrix);
 
@@ -379,7 +379,7 @@ public static object MergeFundingModels(
             return ExcelHelper.Execute(_logger, () =>
             {
                 var modelCache = ContainerStores.GetObjectCache<IFundingModel>();
-                if(!modelCache.TryGetObject(FundingModelA,out var modelA))
+                if (!modelCache.TryGetObject(FundingModelA, out var modelA))
                 {
                     return $"Could not find funding model {FundingModelA}";
                 }
@@ -390,7 +390,7 @@ public static object MergeFundingModels(
 
                 var combinedCurves = modelA.Value.Curves.Values.Concat(modelB.Value.Curves.Values).ToArray();
 
-                if(combinedCurves.Length != combinedCurves.Select(x=>x.Name).Distinct().Count())
+                if (combinedCurves.Length != combinedCurves.Select(x => x.Name).Distinct().Count())
                 {
                     return $"Not all curves have unique names";
                 }
@@ -437,14 +437,14 @@ public static object ListCurvesInModel(
                 var modelCache = ContainerStores.GetObjectCache<IFundingModel>();
                 var model = modelCache.GetObject(FundingModelName).Value;
 
-                return model.Curves.Keys.Select(x=>x as string).ToArray().ReturnExcelRangeVector();
+                return model.Curves.Keys.Select(x => x as string).ToArray().ReturnExcelRangeVector();
             });
         }
 
         [ExcelFunction(Description = "Extracts a curve from a funding model", Category = CategoryNames.Curves, Name = CategoryNames.Curves + "_" + nameof(ExtractCurveFromModel), IsThreadSafe = false)]
         public static object ExtractCurveFromModel(
            [ExcelArgument(Description = "Funding model name")] string FundingModelName,
-           [ExcelArgument(Description = "Curve name")]  string CurveName,
+           [ExcelArgument(Description = "Curve name")] string CurveName,
            [ExcelArgument(Description = "Output curve object name")] string OutputName)
         {
             return ExcelHelper.Execute(_logger, () =>

clients/Qwack.Excel.Next/Curves/InflationCurveFunctions.cs

@@ -0,0 +1,74 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Threading.Tasks;
+using ExcelDna.Integration;
+using Qwack.Core.Curves;
+using Qwack.Excel.Services;
+using Qwack.Excel.Utils;
+using Microsoft.Extensions.Logging;
+using Microsoft.Extensions.DependencyInjection;
+using Qwack.Transport.BasicTypes;
+using Qwack.Core.Basic;
+using Qwack.Dates;
+using Qwack.Core.Models;
+using Qwack.Models.Calibrators;
+using Qwack.Core.Instruments.Funding;
+using Qwack.Models;
+
+namespace Qwack.Excel.Curves
+{
+
+    public class InflationCurveFunctions
+    {
+        private static readonly ILogger _logger = ContainerStores.GlobalContainer.GetService<ILoggerFactory>()?.CreateLogger<InflationCurveFunctions>();
+
+        [ExcelFunction(Description = "Creates a CPI curve from CPI forecasts", Category = CategoryNames.Curves, Name = CategoryNames.Curves + "_" + nameof(CreateCPICurveFromForecasts), IsThreadSafe = false)]
+        public static object CreateCPICurveFromForecasts(
+             [ExcelArgument(Description = "Object name")] string ObjectName,
+             [ExcelArgument(Description = "Curve name")] object CurveName,
+             [ExcelArgument(Description = "Build date")] DateTime BuildDate,
+             [ExcelArgument(Description = "Array of pillar dates")] double[] Pillars,
+             [ExcelArgument(Description = "Array of CPI forecasts")] double[] CPIForecasts,
+             [ExcelArgument(Description = "Type of interpolation")] object InterpolationType,
+             [ExcelArgument(Description = "Inflation Index")] string InfIndex,
+             [ExcelArgument(Description = "Fixing Dictionary")] string FixingDict,
+             [ExcelArgument(Description = "Collateral Spec - default LIBOR.3M")] object CollateralSpec)
+        {
+            return ExcelHelper.Execute(_logger, () =>
+            {
+                var curveName = CurveName.OptionalExcel(ObjectName);
+                var curveTypeStr = InterpolationType.OptionalExcel("Linear");
+                var colSpecStr = CollateralSpec.OptionalExcel("LIBOR.3M");
+
+                if (!Enum.TryParse(curveTypeStr, out Interpolator1DType iType))
+                {
+                    return $"Could not parse interpolator type - {curveTypeStr}";
+                }
+
+                if (!ContainerStores.GetObjectCache<InflationIndex>().TryGetObject(InfIndex, out var rIndex))
+                {
+                    _logger?.LogInformation("Rate index {index} not found in cache", InfIndex);
+                    return $"Rate index {InfIndex} not found in cache";
+                }
+
+                var fixings = new Dictionary<DateTime, double>();
+                if(ContainerStores.GetObjectCache<IFixingDictionary>().TryGetObject(FixingDict, out var fixDict))
+                {
+                    foreach(var kv in fixDict.Value)
+                        fixings.Add(kv.Key, kv.Value);
+                }
+
+                var pDates = Pillars.ToDateTimeArray();
+                var cObj = new CPICurve(BuildDate, pDates, CPIForecasts, rIndex.Value, fixings)
+                {
+                    Name = curveName,
+                };
+
+                var cache = ContainerStores.GetObjectCache<IIrCurve>();
+                cache.PutObject(ObjectName, new SessionItem<IIrCurve> { Name = ObjectName, Value = cObj });
+                return ObjectName + '¬' + cache.GetObject(ObjectName).Version;
+            });
+        }
+    }
+}

clients/Qwack.Excel.Next/Instruments/FundingInstrumentFunctions.cs

@@ -681,5 +681,102 @@ public static object CreateFxPair(
                 return ExcelHelper.PushToCache(pair, ObjectName);
             });
         }
+
+        #region Inflation
+
+        [ExcelFunction(Description = "Creates a standard inflation swap object following conventions for the given rate index",
+           Category = CategoryNames.Instruments, Name = CategoryNames.Instruments + "_" + nameof(CreateInflationBenchmarkSwap), IsThreadSafe = Parallel)]
+        public static object CreateInflationBenchmarkSwap(
+              [ExcelArgument(Description = "Object name")] string ObjectName,
+              [ExcelArgument(Description = "Value date")] DateTime ValDate,
+              [ExcelArgument(Description = "Tenor")] string SwapTenor,
+              [ExcelArgument(Description = "Inflation Index")] string InfIndex,
+              [ExcelArgument(Description = "Par Rate")] double ParRate,
+              [ExcelArgument(Description = "Notional")] double Notional,
+              [ExcelArgument(Description = "Forecast Curve (CPI)")] string ForecastCurve,
+              [ExcelArgument(Description = "Discount Curve")] string DiscountCurve,
+              [ExcelArgument(Description = "Pay / Receive")] object PayRec,
+              [ExcelArgument(Description = "Solve Curve name ")] object SolveCurve,
+              [ExcelArgument(Description = "Solve Pillar Date")] object SolvePillarDate)
+        {
+            return ExcelHelper.Execute(_logger, () =>
+            {
+                var payRec = PayRec.OptionalExcel("Pay");
+
+                if (!ContainerStores.GetObjectCache<InflationIndex>().TryGetObject(InfIndex, out var rIndex))
+                {
+                    _logger?.LogInformation("Rate index {index} not found in cache", InfIndex);
+                    return $"Rate index {InfIndex} not found in cache";
+                }
+
+                if (!Enum.TryParse(payRec, out SwapPayReceiveType pType))
+                {
+                    return $"Could not parse pay/rec - {payRec}";
+                }
+
+                var tenor = new Frequency(SwapTenor);
+
+                var product = new InflationPerformanceSwap(ValDate, tenor, rIndex.Value, ParRate, Notional, pType, ForecastCurve, DiscountCurve)
+                {
+                    TradeId = ObjectName,
+                    SolveCurve = SolveCurve.OptionalExcel(rIndex.Name),
+                    Notional = Notional
+                };
+                product.PillarDate = SolvePillarDate.OptionalExcel(product.EndDate);
+
+                return ExcelHelper.PushToCache(product, ObjectName);
+            });
+        }
+
+        [ExcelFunction(Description = "Creates a new inflation index object", Category = CategoryNames.Instruments,
+           Name = CategoryNames.Instruments + "_" + nameof(CreateInflationIndex), IsVolatile = true, IsThreadSafe = Parallel)]
+        public static object CreateInflationIndex(
+             [ExcelArgument(Description = "Index name")] string IndexName,
+             [ExcelArgument(Description = "Currency")] string Currency,
+             [ExcelArgument(Description = "Rate forecast tenor")] string FixingInterpolation,
+             [ExcelArgument(Description = "Day count basis, float leg")] string DaycountBasisFloat,
+             [ExcelArgument(Description = "Day count basis, fixed leg")] string DaycountBasisFixed,
+             [ExcelArgument(Description = "Reset Frequency")] string ResetFrequency,
+             [ExcelArgument(Description = "Holiday calendars")] string HolidayCalendars,
+             [ExcelArgument(Description = "Fixing offset, e.g. 2b")] string FixingOffset,
+             [ExcelArgument(Description = "Roll convention")] string RollConvention)
+        {
+            return ExcelHelper.Execute(_logger, () =>
+            {
+                if (!Enum.TryParse(DaycountBasisFixed, out DayCountBasis dFixed))
+                    return $"Could not parse fixed daycount - {DaycountBasisFixed}";
+                if (!Enum.TryParse(DaycountBasisFloat, out DayCountBasis dFloat))
+                    return $"Could not parse float daycount - {DaycountBasisFloat}";
+                if (!Enum.TryParse(RollConvention, out RollType rConv))
+                    return $"Could not parse roll convention - {RollConvention}";
+                if (!Enum.TryParse(FixingInterpolation, out Interpolator1DType iType))
+                    return $"Could not parse fixing interpolation - {FixingInterpolation}";
+
+                var resetFrequency = new Frequency(ResetFrequency);
+                var fixOffset = new Frequency(FixingOffset);
+
+                if (!ContainerStores.SessionContainer.GetService<ICalendarProvider>().Collection.TryGetCalendar(HolidayCalendars, out var cal))
+                {
+                    _logger?.LogInformation("Calendar {HolidayCalendars} not found in cache", HolidayCalendars);
+                    return $"Calendar {HolidayCalendars} not found in cache";
+                }
+
+                var infIndex = new InflationIndex
+                {
+                    Currency = ContainerStores.GlobalContainer.GetRequiredService<ICurrencyProvider>()[Currency],
+                    RollConvention = rConv,
+                    FixingInterpolation = iType,
+                    FixingLag = fixOffset,
+                    ResetFrequency = resetFrequency,
+                    HolidayCalendars = cal,
+                    DayCountBasis = dFloat,
+                    DayCountBasisFixed = dFixed
+                };
+
+                return ExcelHelper.PushToCache(infIndex, IndexName);
+            });
+        }
+
+        #endregion
     }
 }

clients/Qwack.Excel.Next/Qwack.Excel.Next.csproj

@@ -5,15 +5,15 @@
     <ImplicitUsings>enable</ImplicitUsings>
     <Nullable>enable</Nullable>
     <UseWindowsForms>true</UseWindowsForms>
-      <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
-      <ImportWindowsDesktopTargets>true</ImportWindowsDesktopTargets>
+    <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
+    <ImportWindowsDesktopTargets>true</ImportWindowsDesktopTargets>
   </PropertyGroup>
 
   <ItemGroup>
     <PackageReference Include="ExcelDna.AddIn" Version="1.6.0" />
     <PackageReference Include="Microsoft.Office.Interop.Excel" Version="15.0.4795.1001" />
-      <PackageReference Include="System.Resources.Extensions" Version="7.0.0" />
-      <PackageReference Include="Microsoft.Windows.Compatibility" Version="7.0.0" />
+      <PackageReference Include="System.Resources.Extensions" Version="6.0.0" />
+      <PackageReference Include="Microsoft.Windows.Compatibility" Version="6.0.0" />
       <PackageReference Include="Azure.Identity" Version="1.8.0" />
   </ItemGroup>
 

clients/Qwack.Excel.Next/QwackDna.dna

@@ -8,10 +8,10 @@
             <group id='Info' label='Info' visible='true'>
               <button id='About' label='About' size='large' imageMso='CustomActionsMenu' onAction='DisplayAbout' visible='true'/>
             </group >
-              <group id='Settings' label='Settings' visible='true'>
+            <group id='Settings' label='Settings' visible='true'>
                   <button id='ToggleThreading' label='Toggle MT' size='large' imageMso='CustomActionsMenu' onAction='ToggleThreadding' visible='true'/>
                   <button id='FlushCaches' label='Flush Caches' size='large' imageMso='CustomActionsMenu' onAction='FlushCaches' visible='true'/>
-              </group >
+            </group >
           </tab>
         </tabs>
       </ribbon>