public void Parse_ValidInput_AsExpected()
{
const string expression = "1 + s + s*s + s*s**3 + x0 + x1**3 + s*x2**4";
BasisFunction[] basisFunctions = BasisFunctionsBuilder.Parse(expression);
Assert.Equal(7, basisFunctions.Length);
var spotPriceSims = new[] { 25.69, 21.88, 16.78 };
var markovFactors = new ReadOnlyMemory <double>[]
{
new[] { 0.56, 0.12, 1.55 },
new[] { 1.08, 2.088, 0.988 },
new[] { 2.808, 0.998, 5.84 }
};
// 1s
AssertBasisFunction(basisFunctions[0], spotPriceSims, markovFactors, new[] { 1.0, 1.0, 1.0 });
// Spot price
AssertBasisFunction(basisFunctions[1], spotPriceSims, markovFactors, spotPriceSims);
// Spot price squared
AssertBasisFunction(basisFunctions[2], spotPriceSims, markovFactors, spotPriceSims.Select(s => s * s));
// Spot price to power of 4
AssertBasisFunction(basisFunctions[3], spotPriceSims, markovFactors, spotPriceSims.Select(s => s * s * s * s));
// First factor
AssertBasisFunction(basisFunctions[4], spotPriceSims, markovFactors, markovFactors[0].ToArray());
// Second factor cubed
AssertBasisFunction(basisFunctions[5], spotPriceSims, markovFactors, markovFactors[1].ToArray().Select(x => x * x * x));
// Spot price times third factor to power of 4
double[] thirdFactor = markovFactors[2].ToArray();
AssertBasisFunction(basisFunctions[6], spotPriceSims, markovFactors,
spotPriceSims.Select((s, i) => s * Math.Pow(thirdFactor[i], 4)));
}
Category = AddIn.ExcelFunctionCategory, IsThreadSafe = false, IsVolatile = false, IsExceptionSafe = true)] // TODO turn IsThreadSafe to true and use ConcurrentDictionary?
public static object StorageValueThreeFactor(
[ExcelArgument(Name = "Name", Description = "Name of cached object to create.")] string name,
[ExcelArgument(Name = ExcelArg.StorageHandle.Name, Description = ExcelArg.StorageHandle.Description)] string storageHandle,
[ExcelArgument(Name = ExcelArg.ValDate.Name, Description = ExcelArg.ValDate.Description)] DateTime valuationDate,
[ExcelArgument(Name = ExcelArg.Inventory.Name, Description = ExcelArg.Inventory.Description)] double currentInventory,
[ExcelArgument(Name = ExcelArg.ForwardCurve.Name, Description = ExcelArg.ForwardCurve.Description)] object forwardCurve,
[ExcelArgument(Name = ExcelArg.InterestRateCurve.Name, Description = ExcelArg.InterestRateCurve.Description)] object interestRateCurve,
[ExcelArgument(Name = ExcelArg.SpotVol.Name, Description = ExcelArg.SpotVol.Description)] double spotVol,
[ExcelArgument(Name = ExcelArg.SpotMeanReversion.Name, Description = ExcelArg.SpotMeanReversion.Description)] double spotMeanReversion,
[ExcelArgument(Name = ExcelArg.LongTermVol.Name, Description = ExcelArg.LongTermVol.Description)] double longTermVol,
[ExcelArgument(Name = ExcelArg.SeasonalVol.Name, Description = ExcelArg.SeasonalVol.Description)] double seasonalVol,
[ExcelArgument(Name = ExcelArg.DiscountDeltas.Name, Description = ExcelArg.DiscountDeltas.Description)] bool discountDeltas,
[ExcelArgument(Name = ExcelArg.SettleDates.Name, Description = ExcelArg.SettleDates.Description)] object settleDatesIn,
[ExcelArgument(Name = ExcelArg.NumSims.Name, Description = ExcelArg.NumSims.Description)] int numSims,
[ExcelArgument(Name = ExcelArg.BasisFunctions.Name, Description = ExcelArg.BasisFunctions.Description)] string basisFunctionsIn,
[ExcelArgument(Name = ExcelArg.Seed.Name, Description = ExcelArg.Seed.Description)] object seedIn,
[ExcelArgument(Name = ExcelArg.ForwardSimSeed.Name, Description = ExcelArg.ForwardSimSeed.Description)] object fwdSimSeedIn,
[ExcelArgument(Name = ExcelArg.NumGridPoints.Name, Description = ExcelArg.NumGridPoints.Description)] object numGlobalGridPointsIn,
[ExcelArgument(Name = ExcelArg.NumericalTolerance.Name, Description = ExcelArg.NumericalTolerance.Description)] object numericalTolerance,
[ExcelArgument(Name = ExcelArg.ExtraDecisions.Name, Description = ExcelArg.ExtraDecisions.Description)] object extraDecisions)
{
return(StorageExcelHelper.ExecuteExcelFunction(() =>
{
_calcWrappers[name] = ExcelCalcWrapper.CreateCancellable((cancellationToken, onProgress) =>
{
// TODO provide alternative method for interpolating interest rates
Func <Day, double> interpolatedInterestRates =
StorageExcelHelper.CreateLinearInterpolatedInterestRateFunc(interestRateCurve, ExcelArg.InterestRateCurve.Name);
Func <Day, Day, double> discountFunc = StorageHelper.CreateAct65ContCompDiscounter(interpolatedInterestRates);
Day valDate = Day.FromDateTime(valuationDate);
Func <Day, Day> settleDateRule = StorageExcelHelper.CreateSettlementRule(settleDatesIn, ExcelArg.SettleDates.Name);
CmdtyStorage <Day> storage = _storageObjects[storageHandle];
int numGlobalGridPoints = StorageExcelHelper.DefaultIfExcelEmptyOrMissing(numGlobalGridPointsIn, ExcelArg.NumGridPoints.Default,
ExcelArg.NumGridPoints.Name);
string basisFunctionsText = basisFunctionsIn.Replace("x_st", "x0").Replace("x_lt", "x1").Replace("x_sw", "x2");
var lsmcParamsBuilder = new LsmcValuationParameters <Day> .Builder
{
Storage = storage,
CurrentPeriod = valDate,
Inventory = currentInventory,
ForwardCurve = StorageExcelHelper.CreateDoubleTimeSeries <Day>(forwardCurve, ExcelArg.ForwardCurve.Name),
DiscountFactors = discountFunc,
DiscountDeltas = discountDeltas,
BasisFunctions = BasisFunctionsBuilder.Parse(basisFunctionsText),
ExtraDecisions = StorageExcelHelper.DefaultIfExcelEmptyOrMissing(extraDecisions, 0, ExcelArg.ExtraDecisions.Name),
CancellationToken = cancellationToken,
OnProgressUpdate = onProgress,
GridCalc = FixedSpacingStateSpaceGridCalc.CreateForFixedNumberOfPointsOnGlobalInventoryRange(storage, numGlobalGridPoints),
NumericalTolerance = StorageExcelHelper.DefaultIfExcelEmptyOrMissing(numericalTolerance, LsmcValuationParameters <Day> .Builder.DefaultNumericalTolerance, ExcelArg.NumericalTolerance.Description),
SettleDateRule = settleDateRule
};
// TODO test that this works with expired storage
Day endDate = new[] { valDate, storage.EndPeriod }.Max();
var threeFactorParams =
MultiFactorParameters.For3FactorSeasonal(spotMeanReversion, spotVol, longTermVol, seasonalVol, valDate, endDate);
// TODO better error messages if seedIn and fwdSimSeedIn cannot be cast
int?seed = StorageExcelHelper.IsExcelEmptyOrMissing(seedIn) ? (int?)null : (int)(double)seedIn;
int?fwdSimSeed = StorageExcelHelper.IsExcelEmptyOrMissing(fwdSimSeedIn) ? (int?)null : (int)(double)fwdSimSeedIn;
lsmcParamsBuilder.SimulateWithMultiFactorModelAndMersenneTwister(threeFactorParams, numSims, seed, fwdSimSeed);
return LsmcStorageValuation.WithNoLogger.Calculate(lsmcParamsBuilder.Build());
});
return name;
}));
}