public void SparsePriceCurveFact()
{
var origin = new DateTime(2019, 05, 28);
var pillars = new[] {
new DateTime(2019, 12, 31),
new DateTime(2020, 12, 31),
new DateTime(2021, 12, 31)
};
var prices = new[] { 100.0, 90.0, 85.0 };
var z = new SparsePriceCurve(origin, pillars, prices, SparsePriceCurveType.Coal, TestProviderHelper.CurrencyProvider, new[] { "A", "B", "C" });
Assert.Throws <NotImplementedException>(() => z.CurveType);
Assert.Same(pillars, z.PillarDates);
Assert.Equal(pillars.Length, z.NumberOfPillars);
Assert.True(z.UnderlyingsAreForwards);
Assert.Equal(100, z.GetPriceForDate(pillars[0].AddDays(-10)));
Assert.Equal(100, z.GetPriceForFixingDate(pillars[0].AddDays(-10)));
var ds = z.GetDeltaScenarios(0.1, null);
Assert.True(ds.ContainsKey("A"));
Assert.True(ds.ContainsKey("B"));
Assert.True(ds.ContainsKey("C"));
Assert.Equal(pillars[1], z.PillarDatesForLabel("B"));
var zr = z.RebaseDate(origin.AddDays(1));
Assert.Equal(100, zr.GetPriceForDate(pillars[0].AddDays(-10)));
zr = z.RebaseDate(pillars[0].AddDays(1));
Assert.Equal(90, zr.GetPriceForDate(pillars[0].AddDays(-10)));
}
public static object CreateSparsePriceCurve(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Build date")] DateTime BuildDate,
[ExcelArgument(Description = "Array of pillar dates")] double[] Pillars,
[ExcelArgument(Description = "Array of prices values")] double[] Prices,
[ExcelArgument(Description = "Type of curve, e.g. Coal etc")] object CurveType)
{
return(ExcelHelper.Execute(_logger, () =>
{
var curveTypeStr = CurveType.OptionalExcel <string>("Coal");
if (!Enum.TryParse(curveTypeStr, out SparsePriceCurveType cType))
{
return $"Could not parse price curve type - {curveTypeStr}";
}
var pDates = Pillars.ToDateTimeArray();
var cObj = new SparsePriceCurve(BuildDate, pDates, Prices, cType, ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>())
{
Name = AssetId ?? ObjectName,
AssetId = AssetId ?? ObjectName
};
return ExcelHelper.PushToCache <IPriceCurve>(cObj, ObjectName);
}));
}
