public JsonResult ForwardCurveSimulations(string curve, DateTime?date, int forwardSteps, string method,
int timeHorizon, int numberSimulations, string otherParams) //such as seasonalities... etc...
{
DateTime dt = date ?? new DateTime(DateTime.Now.Year - 1, DateTime.Now.Month, DateTime.Now.Day);
if (curve != "Natural-Gas-Futures-NYMEX")
{
throw new ArgumentException("Not valid cuve");
}
//data is re-fetched, so nothing big is actually posted...
var x = AppData.GasForwards()
.OrderBy(ts => ts.Maturity)
.ToList();
x = x.Where(t => dt < t.Maturity && t.Maturity <= dt.AddMonths(forwardSteps))
.ToList();
//x = x.Where(t => t.Prices.First().DateTime <= date && date <= t.Prices.Last().DateTime).ToList();
//do covariance on historical data...
var data = x.Select(ts => ts.Prices
.Select(p => p.Value != null ? (double)p.Value : 0) //0 for now, when interpolation is done... etc..
.ToArray())
.ToArray();
//eliminate nulls if any...
var fwdCurve = x
.Where(ts => ts.Prices.Count(tsValue => tsValue.DateTime == date) == 1)
.Select(ts => (double)ts.Prices.Single(p => p.DateTime == date).Value).ToArray();
var sims = Simulations.curveSimulationsHistorical(fwdCurve, data, numberSimulations, 1.0 / 360.0);
return(Json(sims, JsonRequestBehavior.AllowGet));
}
