public void ContangoPriceCurveFact()
{
var pillars = new[] { DateTime.Today.AddDays(100), DateTime.Today.AddDays(200) };
var rates = new[] { 0.1, 0.2 };
var sut = new ContangoPriceCurve(DateTime.Today, 100.0, DateTime.Today, pillars, rates, TestProviderHelper.CurrencyProvider);
Assert.Equal(PriceCurveType.Linear, sut.CurveType);
Assert.False(sut.UnderlyingsAreForwards);
Assert.True(Enumerable.SequenceEqual(pillars, sut.PillarDates));
Assert.Equal(pillars.Length, sut.NumberOfPillars);
Assert.Equal(100.0 * (1.0 + 100.0 / 360.0 * 0.1), sut.GetPriceForDate(pillars[0]));
Assert.Equal(100.0 * (1.0 + 100.0 / 360.0 * 0.1), sut.GetPriceForFixingDate(pillars[0]));
Assert.Equal(100.0 * (1.0 + 100.0 / 360.0 * 0.1), sut.GetAveragePriceForDates(new[] { pillars[0] }));
Assert.Equal(100.0 * (1.0 + 150.0 / 360.0 * 0.15), sut.GetPriceForDate(DateTime.Today.AddDays(150)));
Assert.Equal(DateTime.Today, sut.PillarDatesForLabel("Spot"));
Assert.Equal(DateTime.Today.AddDays(100), sut.PillarDatesForLabel(DateTime.Today.AddDays(100).ToString("yyyy-MM-dd")));
var rb = sut.RebaseDate(DateTime.Today.AddDays(1));
Assert.Equal(DateTime.Today.AddDays(1), rb.BuildDate);
var ds = sut.GetDeltaScenarios(0.1, null);
Assert.Equal("Spot", ds.First().Key);
}
public static object CreateContangoPriceCurve(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Build date")] DateTime BuildDate,
[ExcelArgument(Description = "Spot date")] DateTime SpotDate,
[ExcelArgument(Description = "Spot price")] double SpotPrice,
[ExcelArgument(Description = "Array of pillar dates")] double[] Pillars,
[ExcelArgument(Description = "Array of contango values")] double[] ContangoRates,
[ExcelArgument(Description = "Array of pillar labels (optional)")] object PillarLabels,
[ExcelArgument(Description = "Spot lag (default 2b)")] object SpotLag,
[ExcelArgument(Description = "Spot calendar (default USD)")] object SpotCalendar)
{
return(ExcelHelper.Execute(_logger, () =>
{
var labels = (PillarLabels is ExcelMissing) ? null : ((object[, ])PillarLabels).ObjectRangeToVector <string>();
var pDates = Pillars.ToDateTimeArray();
ContainerStores.CalendarProvider.Collection.TryGetCalendar(SpotCalendar.OptionalExcel("Weekends"), out var spotCal);
var cObj = new ContangoPriceCurve(BuildDate, SpotPrice, SpotDate, pDates, ContangoRates, ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>(), DayCountBasis.Act360, labels)
{
Name = AssetId ?? ObjectName,
AssetId = AssetId ?? ObjectName,
SpotLag = new Frequency(SpotLag.OptionalExcel("2b")),
SpotCalendar = spotCal
};
return ExcelHelper.PushToCache <IPriceCurve>(cObj, ObjectName);
}));
}
