Question

I have the following structure:

[StructLayout(LayoutKind.Sequential)]
public struct TCurve
{
    public int fNumItems;             /* Number of TRatePts in fArray */
    public IntPtr fArray;          /* Dates & rates */ // pointer to an array of TRatePt[]
    public long fBaseDate;            /* Discount date */
    public double fBasis;         //ZERO_CURVE_BASIS in capvoll.c which is #defined as ANNUAL_BASIS 1   /* Number compounding periods / year */
    public long fDayCountConv;   //ZERO_CURVE_DAY_COUNT_CONV in capvoll.c which is #defined as GTO_ACT_365F; = 2L /* How the year fraction is computed */
    public IntPtr     fClassHandle;  /* C++ class handle implementation */
};
[StructLayout(LayoutKind.Sequential)]
public struct TRatePt
{
    public long fDate;
    public double fRate;
};

The TRatePt is defined as follows:

[DllImport("alib.dll", EntryPoint = "GtoCapFloorAvgVol")]
    public static extern int CapFloorAvgVol(
        long capStartDate,                  /* (I)  */
        long capExpiryDate,                 /* (I) */
        double[] strikeRates,                /* (I) */
        int numStrikeRates,                  /* (I) */
        double[] principles,                 /* (I) */
        int numPrinciples,                   /* (I) */
        int moneymarketDen,                  /* (I) # days/year */
        ref TDateInterval resetPeriod,       /* (I) Time Between caplets */
        int optionType,                      /* (I) Cap or Floor */
        char stubPosition,                   /* (I) 2/16/94 GG 'F'ront or 'B'ack */
        [In] IntPtr zeroCurve,                /* (I) For discounting Pointer to TCurve*/
        double price,                        /* (I) Price */
        double avgVolGuess,                  /* (I) Average Volatility guess */
        out double avgVol);                  /* (O) Average Volatility */

The C declaration is:

GTO_EXPORT(int )  GtoCapFloorAvgVol(
TDate capStartDate,                  /* (I)  */
TDate capExpiryDate,                 /* (I) */
double *strikeRates,                 /* (I) */
int numStrikeRates,                  /* (I) */
double *principles,                  /* (I) */
int numPrinciples,                   /* (I) */
int moneymarketDen,                  /* (I) # days/year */
TDateInterval *resetPeriod,          /* (I) Time Between caplets */
int optionType,                      /* (I) Cap or Floor */
char stubPosition,                   /* (I) 2/16/94 GG 'F'ront or 'B'ack */
TCurve *zeroCurve,                   /* (I) For discounting */
double price,                        /* (I) Price */
double avgVolGuess,                  /* (I) Average Volatility guess */
double *avgVol)                      /* (O) Average Volatility */

Thanks in advance!

Ok so here are the C structs:

typedef struct _TCurve{
int       fNumItems;     /* Number of TRatePts in fArray */
TRatePt  *fArray;        /* Dates & rates */
TDate     fBaseDate;     /* Discount date */ 
double    fBasis;        /* Number compounding periods / year */
long      fDayCountConv; /* How the year fraction is computed */
void     *fClassHandle;  /* C++ class handle implementation */ } TCurve;

and :

typedef struct{
TDate  fDate;
double fRate;} TRatePt;

By the way if you know how to handle the void* help would be welcome…

PS: TDate is just a
typedef long int TDate;

And here is how I use it:

TCurve _zeroCurve = new TCurve()
                        {
                            fBaseDate = _tempValueDate,
                            fNumItems = _ratePoints.Length,
                            fBasis = 2L,
                            fDayCountConv = 1
                        };
        int _sizeOfTCurve = Marshal.SizeOf(typeof(TCurve));
        IntPtr p_zeroCurve = Marshal.AllocHGlobal(_sizeOfTCurve);
        Marshal.StructureToPtr(_zeroCurve, p_zeroCurve, false);

        int _status;
        _zeroCurve.fArray = Marshal.AllocHGlobal(_ratePoints.Length * Marshal.SizeOf(typeof(TRatePt)));
        try
        {
            IntPtr _ratePt = _zeroCurve.fArray;
            for (int _i = 0; _i < _ratePoints.Length; _i++)
            {
                Marshal.StructureToPtr(_ratePoints[_i], _ratePt, false);
                //_ratePt = new IntPtr(_ratePt.ToInt64() + Marshal.SizeOf(typeof(TRatePt)));
                IntPtr _nextRatePt = new IntPtr(_ratePt.ToInt64() + Marshal.SizeOf(typeof(TRatePt)));
                _ratePt = _nextRatePt;
                //_ratePt += Marshal.SizeOf(typeof(TRatePt));
            }
            _status = CapFloorAvgVol(_tempStartDate, _temPexpiryDate, strikeRates, strikeRates.Length, principles, principles.Length, moneymarketDen,
                                            ref _resetPeriod, optionType, stubPosition, p_zeroCurve, price, avgVolGuess, out avgVol);
        }
        finally
        {
            Marshal.FreeHGlobal(_zeroCurve.fArray);
        }

        Marshal.FreeHGlobal(p_zeroCurve);
        p_zeroCurve = IntPtr.Zero;

Answer 1

OK, here’s how to do what I think you mean, and I’m sorry it took me so long to work it out. You will need to use manual marshalling for the pointer to TCurve.

I’ve simplified your struct for convenience.

[StructLayout(LayoutKind.Sequential)]
public struct TCurve
{
    public int fNumItems;            
    public IntPtr fArray;//you need to marshal this manually
};
...
[DllImport("alib.dll", EntryPoint = "GtoCapFloorAvgVol")]
public static extern int CapFloorAvgVol(
    ...
    TCurve ref zeroCurve,
    ...
);
...
TCurve curve = new TCurve();
TRatePt[] items = new TRatePt[2];
//for example, but you'd have the items coming in as a parameter I guess

curve.fNumItems = items.Length;
curve.fArray = Marshal.AllocHGlobal(items.Length * Marshal.SizeOf(typeof(TRatePt)));
try
{
    IntPtr item = curve.fArray;
    for (int i = 0; i < items.Length; i++)
    {
        Marshal.StructureToPtr(items[i], item, false);
        item = new IntPtr(item.ToInt64() + Marshal.SizeOf(typeof(TRatePt))); 
    }
    //now call the function passing the curve struct
}
finally
{
    Marshal.FreeHGlobal(curve.fArray);
}

I doubt that the Pack = 1 is correct. It’s pretty rare to pack structs in C.

Another problem is that long is 64 bits in C# but long int, long, int are all 32 bits in C++ on Windows.

Finally, the void* parameter is an opaque pointer and you should declare it as IntPtr in your C# struct.