public LsmcBenchmarks()
{
var valDate = new Day(2019, 8, 29);
#region Set Up Simple Storage
var storageStart = new Day(2019, 12, 1);
var storageEnd = new Day(2020, 4, 1);
const double maxWithdrawalRate = 850.0;
const double maxInjectionRate = 625.0;
const double maxInventory = 52_500.0;
const double constantInjectionCost = 1.25;
const double constantWithdrawalCost = 0.93;
var simpleDailyStorage = CmdtyStorage <Day> .Builder
.WithActiveTimePeriod(storageStart, storageEnd)
.WithConstantInjectWithdrawRange(-maxWithdrawalRate, maxInjectionRate)
.WithZeroMinInventory()
.WithConstantMaxInventory(maxInventory)
.WithPerUnitInjectionCost(constantInjectionCost, injectionDate => injectionDate)
.WithNoCmdtyConsumedOnInject()
.WithPerUnitWithdrawalCost(constantWithdrawalCost, withdrawalDate => withdrawalDate)
.WithNoCmdtyConsumedOnWithdraw()
.WithNoCmdtyInventoryLoss()
.WithNoInventoryCost()
.MustBeEmptyAtEnd()
.Build();
#endregion Set Up Simple Storage
const double oneFactorMeanReversion = 12.5;
const double oneFactorSpotVol = 0.95;
var oneFDailyMultiFactorParams = MultiFactorParameters.For1Factor(oneFactorMeanReversion,
TimeSeriesFactory.ForConstantData(valDate, storageEnd, oneFactorSpotVol));
const double flatInterestRate = 0.055;
const int numInventorySpacePoints = 100;
const double baseForwardPrice = 53.5;
const double forwardSeasonalFactor = 24.6;
var forwardCurve = TimeSeriesFactory.FromMap(valDate, storageEnd, day =>
{
int daysForward = day.OffsetFrom(valDate);
return(baseForwardPrice + Math.Sin(2.0 * Math.PI / 365.0 * daysForward) * forwardSeasonalFactor);
});
_valuationParameters = new LsmcValuationParameters <Day> .Builder
{
BasisFunctions = BasisFunctionsBuilder.Ones +
BasisFunctionsBuilder.AllMarkovFactorAllPositiveIntegerPowersUpTo(RegressMaxDegree, 1),
CurrentPeriod = new Day(2019, 8, 29),
DiscountFactors = StorageHelper.CreateAct65ContCompDiscounter(flatInterestRate),
ForwardCurve = forwardCurve,
GridCalc = FixedSpacingStateSpaceGridCalc.CreateForFixedNumberOfPointsOnGlobalInventoryRange(simpleDailyStorage, numInventorySpacePoints),
Inventory = 5_685,
Storage = simpleDailyStorage,
SettleDateRule = deliveryDate => Month.FromDateTime(deliveryDate.Start).Offset(1).First <Day>() + 19, // Settlement on 20th of following month
}
public void GetGridPoints_StateSpaceLowerBoundHigherThanUpperBound_ThrowsArgumentException()
{
const double spacing = 15.0;
const double stateSpaceLowerBound = 121.2;
const double stateSpaceUpperBound = 121.19;
var gridCalc = new FixedSpacingStateSpaceGridCalc(spacing);
Assert.Throws <ArgumentException>(() =>
gridCalc.GetGridPoints(stateSpaceLowerBound, stateSpaceUpperBound).ToArray());
}
public void GetGridPoints_StateSpaceLessThanSpacing_ReturnsStateSpaceLowerAndUpperBounds()
{
const double spacing = 50.0;
const double stateSpaceLowerBound = 120.55;
const double stateSpaceUpperBound = 161.89;
var gridCalc = new FixedSpacingStateSpaceGridCalc(spacing);
var gridPoints = gridCalc.GetGridPoints(stateSpaceLowerBound, stateSpaceUpperBound);
var expectedGridPoints = new[] { stateSpaceLowerBound, stateSpaceUpperBound };
Assert.Equal(expectedGridPoints, gridPoints);
}
public void GetGridPoints_StateSpaceLowerBoundEqualToUpperBound_ReturnsSinglePoint()
{
const double spacing = 15.0;
const double stateSpaceLowerBound = 121.2;
const double stateSpaceUpperBound = stateSpaceLowerBound;
var gridCalc = new FixedSpacingStateSpaceGridCalc(spacing);
var gridPoints = gridCalc.GetGridPoints(stateSpaceLowerBound, stateSpaceUpperBound);
var expectedGridPoints = new[]
{
stateSpaceLowerBound
};
Assert.Equal(expectedGridPoints, gridPoints);
}
public void GetGridPoints_StateSpaceUpperEqualsLowerPlusSpacing_ReturnsStateSpaceLowerAndUpperBounds()
{
const double spacing = 15.0;
const double stateSpaceLowerBound = 121.2;
const double stateSpaceUpperBound = stateSpaceLowerBound + spacing;
var gridCalc = new FixedSpacingStateSpaceGridCalc(spacing);
var gridPoints = gridCalc.GetGridPoints(stateSpaceLowerBound, stateSpaceUpperBound);
var expectedGridPoints = new[]
{
stateSpaceLowerBound,
stateSpaceUpperBound
};
Assert.Equal(expectedGridPoints, gridPoints);
}
public void GetGridPoints_ReturnsStateSpaceLowerAndUpperBoundsSeparatedBySpacing()
{
const double spacing = 15.0;
const double stateSpaceLowerBound = 121.2;
const double stateSpaceUpperBound = 174.89;
var gridCalc = new FixedSpacingStateSpaceGridCalc(spacing);
var gridPoints = gridCalc.GetGridPoints(stateSpaceLowerBound, stateSpaceUpperBound);
var expectedGridPoints = new[]
{
stateSpaceLowerBound,
136.2,
151.2,
166.2,
stateSpaceUpperBound,
};
Assert.Equal(expectedGridPoints, gridPoints);
}
Category = AddIn.ExcelFunctionCategory, IsThreadSafe = false, IsVolatile = false, IsExceptionSafe = true)] // TODO turn IsThreadSafe to true and use ConcurrentDictionary?
public static object StorageValueThreeFactor(
[ExcelArgument(Name = "Name", Description = "Name of cached object to create.")] string name,
[ExcelArgument(Name = ExcelArg.StorageHandle.Name, Description = ExcelArg.StorageHandle.Description)] string storageHandle,
[ExcelArgument(Name = ExcelArg.ValDate.Name, Description = ExcelArg.ValDate.Description)] DateTime valuationDate,
[ExcelArgument(Name = ExcelArg.Inventory.Name, Description = ExcelArg.Inventory.Description)] double currentInventory,
[ExcelArgument(Name = ExcelArg.ForwardCurve.Name, Description = ExcelArg.ForwardCurve.Description)] object forwardCurve,
[ExcelArgument(Name = ExcelArg.InterestRateCurve.Name, Description = ExcelArg.InterestRateCurve.Description)] object interestRateCurve,
[ExcelArgument(Name = ExcelArg.SpotVol.Name, Description = ExcelArg.SpotVol.Description)] double spotVol,
[ExcelArgument(Name = ExcelArg.SpotMeanReversion.Name, Description = ExcelArg.SpotMeanReversion.Description)] double spotMeanReversion,
[ExcelArgument(Name = ExcelArg.LongTermVol.Name, Description = ExcelArg.LongTermVol.Description)] double longTermVol,
[ExcelArgument(Name = ExcelArg.SeasonalVol.Name, Description = ExcelArg.SeasonalVol.Description)] double seasonalVol,
[ExcelArgument(Name = ExcelArg.DiscountDeltas.Name, Description = ExcelArg.DiscountDeltas.Description)] bool discountDeltas,
[ExcelArgument(Name = ExcelArg.SettleDates.Name, Description = ExcelArg.SettleDates.Description)] object settleDatesIn,
[ExcelArgument(Name = ExcelArg.NumSims.Name, Description = ExcelArg.NumSims.Description)] int numSims,
[ExcelArgument(Name = ExcelArg.BasisFunctions.Name, Description = ExcelArg.BasisFunctions.Description)] string basisFunctionsIn,
[ExcelArgument(Name = ExcelArg.Seed.Name, Description = ExcelArg.Seed.Description)] object seedIn,
[ExcelArgument(Name = ExcelArg.ForwardSimSeed.Name, Description = ExcelArg.ForwardSimSeed.Description)] object fwdSimSeedIn,
[ExcelArgument(Name = ExcelArg.NumGridPoints.Name, Description = ExcelArg.NumGridPoints.Description)] object numGlobalGridPointsIn,
[ExcelArgument(Name = ExcelArg.NumericalTolerance.Name, Description = ExcelArg.NumericalTolerance.Description)] object numericalTolerance,
[ExcelArgument(Name = ExcelArg.ExtraDecisions.Name, Description = ExcelArg.ExtraDecisions.Description)] object extraDecisions)
{
return(StorageExcelHelper.ExecuteExcelFunction(() =>
{
_calcWrappers[name] = ExcelCalcWrapper.CreateCancellable((cancellationToken, onProgress) =>
{
// TODO provide alternative method for interpolating interest rates
Func <Day, double> interpolatedInterestRates =
StorageExcelHelper.CreateLinearInterpolatedInterestRateFunc(interestRateCurve, ExcelArg.InterestRateCurve.Name);
Func <Day, Day, double> discountFunc = StorageHelper.CreateAct65ContCompDiscounter(interpolatedInterestRates);
Day valDate = Day.FromDateTime(valuationDate);
Func <Day, Day> settleDateRule = StorageExcelHelper.CreateSettlementRule(settleDatesIn, ExcelArg.SettleDates.Name);
CmdtyStorage <Day> storage = _storageObjects[storageHandle];
int numGlobalGridPoints = StorageExcelHelper.DefaultIfExcelEmptyOrMissing(numGlobalGridPointsIn, ExcelArg.NumGridPoints.Default,
ExcelArg.NumGridPoints.Name);
string basisFunctionsText = basisFunctionsIn.Replace("x_st", "x0").Replace("x_lt", "x1").Replace("x_sw", "x2");
var lsmcParamsBuilder = new LsmcValuationParameters <Day> .Builder
{
Storage = storage,
CurrentPeriod = valDate,
Inventory = currentInventory,
ForwardCurve = StorageExcelHelper.CreateDoubleTimeSeries <Day>(forwardCurve, ExcelArg.ForwardCurve.Name),
DiscountFactors = discountFunc,
DiscountDeltas = discountDeltas,
BasisFunctions = BasisFunctionsBuilder.Parse(basisFunctionsText),
ExtraDecisions = StorageExcelHelper.DefaultIfExcelEmptyOrMissing(extraDecisions, 0, ExcelArg.ExtraDecisions.Name),
CancellationToken = cancellationToken,
OnProgressUpdate = onProgress,
GridCalc = FixedSpacingStateSpaceGridCalc.CreateForFixedNumberOfPointsOnGlobalInventoryRange(storage, numGlobalGridPoints),
NumericalTolerance = StorageExcelHelper.DefaultIfExcelEmptyOrMissing(numericalTolerance, LsmcValuationParameters <Day> .Builder.DefaultNumericalTolerance, ExcelArg.NumericalTolerance.Description),
SettleDateRule = settleDateRule
};
// TODO test that this works with expired storage
Day endDate = new[] { valDate, storage.EndPeriod }.Max();
var threeFactorParams =
MultiFactorParameters.For3FactorSeasonal(spotMeanReversion, spotVol, longTermVol, seasonalVol, valDate, endDate);
// TODO better error messages if seedIn and fwdSimSeedIn cannot be cast
int?seed = StorageExcelHelper.IsExcelEmptyOrMissing(seedIn) ? (int?)null : (int)(double)seedIn;
int?fwdSimSeed = StorageExcelHelper.IsExcelEmptyOrMissing(fwdSimSeedIn) ? (int?)null : (int)(double)fwdSimSeedIn;
lsmcParamsBuilder.SimulateWithMultiFactorModelAndMersenneTwister(threeFactorParams, numSims, seed, fwdSimSeed);
return LsmcStorageValuation.WithNoLogger.Calculate(lsmcParamsBuilder.Build());
});
return name;
}));
}
