public void CreateQuarter2_AsExpected(int year)
{
var quarter = Quarter.CreateQuarter2(year);
var expected = new Quarter(year, 2);
Assert.AreEqual(expected, quarter);
}
private static void Comparing()
{
#region comparing
var qu119 = new Quarter(2019, 1);
var qu219 = Quarter.CreateQuarter2(2019);
// IComparable<T>.CompareTo
Console.WriteLine(qu119.CompareTo(qu219));
Console.WriteLine();
// IEquatable<T>.Equals
Console.WriteLine(qu119.Equals(qu219));
Console.WriteLine();
// Comparison operators
Console.WriteLine(qu119 < qu219);
Console.WriteLine(qu119 <= qu219);
Console.WriteLine(qu119 == qu219);
Console.WriteLine(qu119 != qu219);
Console.WriteLine(qu119 > qu219);
Console.WriteLine(qu119 >= qu219);
Console.WriteLine();
#endregion
}
private static void Expanding()
{
#region expanding
var qu219 = Quarter.CreateQuarter2(2019);
IEnumerable <Month> allMonthsInQ119 = qu219.Expand <Month>();
Console.WriteLine("All the months in Q2-19:");
foreach (Month month in allMonthsInQ119)
{
Console.WriteLine(month);
}
Console.WriteLine();
#endregion expanding
}
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();
}
