FinPlusDNA

Note we have moved from QLProxy to QLNet this is currently out of date

Excel DNA add-in to build curves and price trades, wraps FinPlus and FinPlusUtility for excel use.

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Fin-Plus Structure/Admin

DNA functions for structure/admin/permissioning reside in assembly FinPlusStructure.

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Parsing/Info

Assembly

Function	Group	Description
FinPlysDNAAssmbly	Info	Assembly info, version etc.

Info

Function	Group	Description
FunctionLists	Info	List of functions.
FunctionFields	Info	Selectable fields for FinPlusQry.

Parsing

Function	Group	Description
StringFromArray2d	Utility	String from 2d array.
StringToArray2d	Utility	String to 2d array.
StringWithInfoToObject	Utility	String with info to object.

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Analytic functions

Date

Function	Group	Description
NextBizDate	Analytic	Next biz date.
NextImmDate	Analytic	Next imm date.

Market related

Function	Group	Description
MarketSet	Analytic	Sets market.
MarketValueTrade	Analytic	Value trade.
MarketValueTrades	Analytic	Value trades.

Pricing structures

Index

Function	Group	Description
Index	Analytic	Builds setting indexs.

Curves

Function	Group	Description
YieldCurve	Analytic	Builds piecewise curve.
FlatForwardCurve	Analytic	Builds flat forward curve.
DefaultCurve	Analytic	Builds default curve.
BondCurve	Analytic	Builds bond curve.
RepoCurve	Analytic	Using a FlatFowardCurve.

Vol Surf

Function	Group	Description
VolSurf	Analytic	Build vof surf.

Engines hidden at this stage

Engine
SwapEngine
BondEngine
DefaultEngine
SwaptionG2Engines
SwaptionHW1Engines
SwaptionHW2Engines
SwaptionBKEngines

Rates/Spreads quotes

Function	Group	Description
DepoRate	Analytic	Depo instrument/quote.
FraRate	Analytic	Forward rate agreement instrument/quote.
FutRate	Analytic	Interest rate future instrument/quote.
SwapRate	Analytic	Swap instrument/quote.
CdsSpread	Analytic	Credit default swap instrument/quote.

Pricing structures and trades

Futures are liquid instruments for pricing they will be no more than a simple quote at this stage, included to drive pricing of other products.

Bond

Function	Group	Description
FixedRateBond	Trade	Fixed rate bond.
FixedRateBondBuild	InstrumentBuild	see FixedRateBond.
FloatingRateBond	Trade	Floating rate bond.
FloatingRateBondBuild	InstrumentBuild	see FloatingRateBond.
ZeroCouponBond	Trade	Zero coupon bond.
ZeroCouponBondBuild	InstrumentBuild	see ZeroCouponBond.

Repo

Function	Group	Description
Repo	Analytic
basis concept of repo from QuantLib demo will revise at later date to obtain ReverseRepo, Repo, BuySellBack, SellBuyBack, BorrowSecurity and LoanSecturity.

Rate

Function	Group	Description
VanillaSwap	Analytic	Builds vanilla swap trade.
BasisSwap	Analytic	Builds basis swap trade.
FloatingLeg	Analytic	Builds floating leg.
FixedLeg	Analytic	Builds fixed leg.
ForwardRateAgreement	Analytic	Forward rate agreement.

Rate Options

Function	Group	Description
Swaption	Analytic	Builds swaption.
BermudanSwaption	Analytic	Builds bermudan swaption.

Credit

Function	Group	Description
CreditDefaultSwap	Analytic	Build IMM CDS, easy change to include spot.