public void CreateQuarter3_AsExpected(int year)
{
var quarter = Quarter.CreateQuarter3(year);
var expected = new Quarter(year, 3);
Assert.AreEqual(expected, quarter);
}
public void Build_InputContractsAllEqualAndNoSeasonalAdjustments_ResultsInFlatCurve()
{
const double flatPrice = 84.54;
var curve = new MaxSmoothnessSplineCurveBuilder <Day>()
.AddContract(Month.CreateJanuary(2019), flatPrice)
.AddContract(Month.CreateFebruary(2019), flatPrice)
.AddContract(Month.CreateMarch(2019), flatPrice)
.AddContract(Quarter.CreateQuarter2(2019), flatPrice)
.AddContract(Quarter.CreateQuarter3(2019), flatPrice)
.AddContract(Season.CreateWinter(2019), flatPrice)
.BuildCurve();
foreach (double price in curve.Data)
{
Assert.AreEqual(flatPrice, price, 1E-12);
}
}
private static void ExtensionMethods()
{
#region extension_methods
var quarterStart = Quarter.CreateQuarter3(2020);
var quarterEnd = Quarter.CreateQuarter2(2021);
Console.WriteLine($"All the quarters from {quarterStart} to {quarterEnd}");
foreach (Quarter quarter in quarterStart.EnumerateTo(quarterEnd))
{
Console.WriteLine(quarter);
}
Console.WriteLine();
var dayStart = new Day(2019, 8, 30);
var dayEnd = new Day(2019, 9, 4);
Console.WriteLine($"All week days from {dayStart} to {dayEnd}");
foreach (Day weekday in dayStart.EnumerateWeekdays(dayEnd))
{
Console.WriteLine(weekday);
}
Console.WriteLine();
#endregion extension_methods
}
static void Main(string[] args)
{
// The following code shows how to use the spline to derive a smooth daily curve from
// monthly and quarterly granularity input contract prices. Also demonstrated is the
// optional seasonal adjustment factor, in this case used to apply day-of-week seasonality.
var dayOfWeekAdjustment = new Dictionary <DayOfWeek, double>
{
[DayOfWeek.Monday] = 0.95,
[DayOfWeek.Tuesday] = 0.99,
[DayOfWeek.Wednesday] = 1.05,
[DayOfWeek.Thursday] = 1.01,
[DayOfWeek.Friday] = 0.98,
[DayOfWeek.Saturday] = 0.92,
[DayOfWeek.Sunday] = 0.91
};
DoubleCurve <Day> curve = new MaxSmoothnessSplineCurveBuilder <Day>()
.AddContract(Month.CreateJuly(2019), 77.98)
.AddContract(Month.CreateAugust(2019), 76.01)
.AddContract(Month.CreateSeptember(2019), 78.74)
.AddContract(Quarter.CreateQuarter4(2019), 85.58)
.AddContract(Quarter.CreateQuarter1(2020), 87.01)
.WithMultiplySeasonalAdjustment(day => dayOfWeekAdjustment[day.DayOfWeek])
.BuildCurve();
Console.WriteLine(curve.FormatData("F5"));
Console.WriteLine();
Console.WriteLine();
//===============================================================================================
// APPLYING AN ALTERNATIVE WEIGHTING SCHEME
// By default, the spline calculations assume averages are weighted by the number of minutes in a contract period.
// This assumption is fine for instruments where the commodity is delivered at a constant rate, e.g. natural gas forwards.
// An alternative weighting scheme can be added by calling WithAverageWeighting and supplying a weighting scheme as a function.
// The below example makes use of the Weighting helper class to provide the weighting function as the count of business days.
// An example of when such a weighting scheme should be used is for oil swaps, based on an index which is only published on a business day
// to create a monthly curve from quarterly granularity inputs.
var holidays = new List <Day>()
{
new Day(2020, 1, 1)
};
Func <Month, double> busDayWeight = Weighting.BusinessDayCount <Month>(holidays);
var contracts = new List <Contract <Month> >()
{
Contract <Month> .Create(Quarter.CreateQuarter4(2019), 76.58),
Contract <Month> .Create(Quarter.CreateQuarter1(2020), 77.20),
Contract <Month> .Create(Quarter.CreateQuarter2(2020), 76.01),
Contract <Month> .Create(Quarter.CreateQuarter3(2020), 74.95),
Contract <Month> .Create(Quarter.CreateQuarter4(2020), 74.92),
};
DoubleCurve <Month> curveBusDayWeight = new MaxSmoothnessSplineCurveBuilder <Month>()
.AddContracts(contracts)
.WithWeighting(busDayWeight)
.BuildCurve();
Console.WriteLine("Derived smooth curve with business day weighting:");
Console.WriteLine(curveBusDayWeight.FormatData("F5", -1));
Console.ReadKey();
}