public static object FuturesExpiryFromCode(
[ExcelArgument(Description = "Futures code, e.g. CLZ3")] string FuturesCode)
{
return(ExcelHelper.Execute(_logger, () =>
{
return FutureCode.GetExpiryFromCode(FuturesCode, ContainerStores.SessionContainer.GetService <IFutureSettingsProvider>());
}));
}
public void StripCrackedCurve()
{
var buildDate = new DateTime(2018, 07, 28);
string[] futures = { "COV8", "COX8", "COZ8", "COF9", "COG9" };
double[] futuresPrices = { 77, 78, 79, 79.5, 79.75 };
string[] periods = { "AUG18", "SEP18", "OCT18", "NOV18" };
double[] strikes = { -10, -11, -12, -13 };
var cal = TestProviderHelper.CalendarProvider.Collection["LON"];
var usd = TestProviderHelper.CurrencyProvider["USD"];
var bPillars = futures.Select(x => FutureCode.GetExpiryFromCode(x, TestProviderHelper.FutureSettingsProvider)).ToArray();
var brentCurve = new PriceCurve(buildDate, bPillars, futuresPrices, PriceCurveType.ICE, TestProviderHelper.CurrencyProvider, futures)
{
AssetId = "Brent"
};
var instruments = periods.Select((p, ix) =>
(IAssetInstrument)AssetProductFactory.CreateTermAsianBasisSwap(p, strikes[ix], "Brent", "Sing180", cal, cal, cal, 0.Bd(), usd, 0.Bd(), 0.Bd(), 1000, 1000 / 6.35))
.ToList();
var pillars = instruments.Select(x => ((AsianBasisSwap)x).RecSwaplets.Max(sq => sq.AverageEndDate)).ToList();
DateTime[] dPillars = { buildDate, buildDate.AddDays(1000) };
double[] dRates = { 0, 0 };
var discountCurve = new IrCurve(dPillars, dRates, buildDate, "zeroDiscount", Interpolator1DType.LinearFlatExtrap, usd);
var s = new Calibrators.NewtonRaphsonAssetBasisCurveSolver(TestProviderHelper.CurrencyProvider);
if (IsCoverageOnly)
{
s.Tollerance = 1.0;
}
var curve = s.SolveCurve(instruments, pillars, discountCurve, brentCurve, buildDate, PriceCurveType.ICE);
if (!IsCoverageOnly)
{
for (var i = 0; i < instruments.Count; i++)
{
var resultPV = Calibrators.NewtonRaphsonAssetBasisCurveSolver.BasisSwapPv(curve, instruments[i], discountCurve, brentCurve);
Assert.Equal(0, resultPV, 6);
}
}
}
private static IFundingInstrument ToQwackIns(this CMEFileRecord record, string qwackCode, IFutureSettingsProvider futureSettingsProvider, ICurrencyProvider currencyProvider, Dictionary <string, FloatRateIndex> indices, Dictionary <string, string> forecastCurves)
{
switch (qwackCode)
{
case "ED":
var edExp = FutureCode.GetExpiryFromCode(MmmYtoCode(record.MMY, qwackCode), futureSettingsProvider);
return(new STIRFuture
{
ContractSize = 1e6,
Currency = currencyProvider.GetCurrency("USD"),
DCF = 0.25,
ConvexityAdjustment = 0,
Price = record.SettlePrice.Value,
Index = indices["ED"],
Expiry = edExp,
PillarDate = edExp.AddMonths(3),
TradeId = qwackCode + record.MMY,
Position = 1,
SolveCurve = forecastCurves["ED"],
ForecastCurve = forecastCurves["ED"],
});
case "FF":
var ffEnd = FutureCode.GetExpiryFromCode(MmmYtoCode(record.MMY, qwackCode), futureSettingsProvider);
var ffStart = ffEnd.FirstDayOfMonth();
return(new OISFuture
{
ContractSize = 1e6,
Currency = currencyProvider.GetCurrency("USD"),
DCF = ffStart.CalculateYearFraction(ffEnd, DayCountBasis.ACT360),
Price = record.SettlePrice.Value,
Index = indices["FF"],
PillarDate = ffEnd,
TradeId = qwackCode + record.MMY,
Position = 1,
SolveCurve = forecastCurves["FF"],
ForecastCurve = forecastCurves["FF"],
AverageStartDate = ffStart,
AverageEndDate = ffEnd,
});
default:
throw new Exception($"No mapping found for code {qwackCode}");
}
}
public static BasicPriceCurve GetCurveForCode(string nymexSymbol, string nymexFutureFilename, string qwackCode, IFutureSettingsProvider provider, ICurrencyProvider currency)
{
var parsed = NYMEXFutureParser.Instance.Parse(nymexFutureFilename).Where(r => r.Symbol == nymexSymbol);
var q = parsed.Where(x => x.Settle.HasValue).ToDictionary(x => Year2to1(x.Contract.Replace(nymexSymbol, qwackCode)), x => x.Settle);
var datesDict = q.ToDictionary(x => FutureCode.GetExpiryFromCode(x.Key, provider), x => x.Key);
var datesVec = datesDict.Keys.OrderBy(x => x).ToArray();
var labelsVec = datesVec.Select(d => datesDict[d]).ToArray();
var pricesVec = labelsVec.Select(l => System.Math.Max(q[l].Value, MinPrice)).ToArray();
var origin = DateTime.ParseExact(parsed.First().TradeDate, "MM/dd/yyyy", CultureInfo.InvariantCulture);
var curve = new BasicPriceCurve(origin, datesVec, pricesVec, PriceCurveType.NYMEX, currency, labelsVec)
{
AssetId = qwackCode,
Name = qwackCode,
SpotLag = 0.Bd()
};
return(curve);
}
