public static object CreateBasisPriceCurve(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Base curve object")] string BaseCurve,
[ExcelArgument(Description = "Build date")] DateTime BuildDate,
[ExcelArgument(Description = "Array of pillar dates")] double[] Pillars,
[ExcelArgument(Description = "Array of swap objects")] object[,] Swaps,
[ExcelArgument(Description = "Discount curve name")] string DiscountCurveName,
[ExcelArgument(Description = "Type of curve, e.g. LME, ICE, NYMEX etc")] object CurveType,
[ExcelArgument(Description = "Currency")] string Currency,
[ExcelArgument(Description = "(Optional) Pillar labels")] object PillarLabels)
{
return(ExcelHelper.Execute(_logger, () =>
{
var curveTypeStr = CurveType.OptionalExcel <string>("Coal");
if (!Enum.TryParse(curveTypeStr, out PriceCurveType cType))
{
return $"Could not parse price curve type - {curveTypeStr}";
}
var irCache = ContainerStores.GetObjectCache <IIrCurve>();
if (!irCache.TryGetObject(DiscountCurveName, out var irCurveObj))
{
return $"Could not find ir curve with name {DiscountCurveName}";
}
var irCurve = irCurveObj.Value;
var curveCache = ContainerStores.GetObjectCache <IPriceCurve>();
if (!curveCache.TryGetObject(BaseCurve, out var bCurveObj))
{
return $"Could not find ir curve with name {DiscountCurveName}";
}
var baseCurve = bCurveObj.Value;
var pf = Instruments.InstrumentFunctions.GetPortfolio(Swaps);
var ccy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
var labels = PillarLabels is ExcelMissing ? null : ((object[, ])PillarLabels).ObjectRangeToVector <string>().ToList();
var pDates = Pillars.ToDateTimeArray().ToList();
var cObj = new BasisPriceCurve(pf.Instruments.Where(x => x is IAssetInstrument).Select(x => x as IAssetInstrument).ToList(), pDates, irCurve, baseCurve, BuildDate, cType, new Models.Calibrators.NewtonRaphsonAssetBasisCurveSolver(ContainerStores.CurrencyProvider), labels)
{
Name = ObjectName,
AssetId = AssetId,
Currency = ccy
};
curveCache.PutObject(ObjectName, new SessionItem <IPriceCurve> {
Name = ObjectName, Value = cObj
});
return ObjectName + '¬' + curveCache.GetObject(ObjectName).Version;
}));
}
public void StripCrackedCurveAsBasisCurve()
{
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 curve = new BasisPriceCurve(instruments, pillars, discountCurve, brentCurve, buildDate, PriceCurveType.NYMEX, TestProviderHelper.CurrencyProvider);
for (var i = 0; i < instruments.Count; i++)
{
var resultPV = Calibrators.NewtonRaphsonAssetBasisCurveSolver.BasisSwapPv(curve, instruments[i], discountCurve, brentCurve);
Assert.Equal(0, resultPV, 6);
}
var curve2 = curve.Clone();
for (var i = 0; i < instruments.Count; i++)
{
var resultPV = Calibrators.NewtonRaphsonAssetBasisCurveSolver.BasisSwapPv(curve2, instruments[i], discountCurve, brentCurve);
Assert.Equal(0, resultPV, 6);
}
}
