public static ExcelCalcWrapper CreateCancellable <TResult>(Func <CancellationToken, Action <double>, TResult> calculation)
{
var cancellationTokenSource = new CancellationTokenSource();
Type resultType = typeof(TResult);
var calcTaskWrapper = new ExcelCalcWrapper(null, resultType, cancellationTokenSource);
void OnProgress(double progress) => UpdateProgress(calcTaskWrapper, progress);
calcTaskWrapper.CalcTask = Task.Run(() => (object)calculation(cancellationTokenSource.Token, OnProgress), cancellationTokenSource.Token);
calcTaskWrapper.CalcTask.ContinueWith(task => calcTaskWrapper.UpdateStatus(task), cancellationTokenSource.Token);
return(calcTaskWrapper);
}
Category = AddIn.ExcelFunctionCategory, IsThreadSafe = false, IsVolatile = false, IsExceptionSafe = true)] // TODO turn IsThreadSafe to true and use ConcurrentDictionary?
public static object SubscribeResultProperty(string objectHandle, string propertyName, object returnedWhilstWaiting)
{
return(StorageExcelHelper.ExecuteExcelFunction(() =>
{
const string functionName = nameof(SubscribeResultProperty);
return ExcelAsyncUtil.Observe(functionName, new [] { objectHandle, propertyName, returnedWhilstWaiting }, () =>
{
ExcelCalcWrapper wrapper = _calcWrappers[objectHandle];
var excelObservable = new CalcWrapperResultPropertyObservable(wrapper, propertyName, returnedWhilstWaiting);
return excelObservable;
});
}));
}
Category = AddIn.ExcelFunctionCategory, IsThreadSafe = false, IsVolatile = false, IsExceptionSafe = true)] // TODO turn IsThreadSafe to true and use ConcurrentDictionary?
public static object SubscribeStatus(string name)
{
return(StorageExcelHelper.ExecuteExcelFunction(() =>
{
const string functionName = nameof(SubscribeStatus);
return ExcelAsyncUtil.Observe(functionName, name, () =>
{
ExcelCalcWrapper wrapper = _calcWrappers[name];
var excelObserver = new CalcWrapperStatusObservable(wrapper);
return excelObserver;
});
}));
}
protected CalcWrapperObservableBase(ExcelCalcWrapper calcWrapper)
{
_calcWrapper = calcWrapper;
_calcWrapper.CalcTask.ContinueWith(task =>
{
if (task.IsFaulted) // TODO what about cancelled
{
_observer?.OnError(task.Exception.InnerException);
}
else
{
_observer?.OnCompleted();
}
});
}
public CalcWrapperResultPropertyObservable(ExcelCalcWrapper calcWrapper, string resultPropertyName, object returnedWhilstWaiting) : base(calcWrapper)
{
PropertyInfo[] properties = calcWrapper.ResultType.GetProperties(BindingFlags.Instance | BindingFlags.Public | BindingFlags.GetProperty);
PropertyInfo propertyInfo = properties.FirstOrDefault(info => info.Name.Equals(resultPropertyName, StringComparison.OrdinalIgnoreCase));
if (propertyInfo == null)
{
throw new ArgumentException($"Result type {calcWrapper.ResultType.Name} has not public instance property called {resultPropertyName}."); // TODO test and maybe rework
}
_propertyGetter = propertyInfo.GetMethod;
_returnedWhilstWaiting = returnedWhilstWaiting;
calcWrapper.CalcTask.ContinueWith(task =>
{
if (task.Status == TaskStatus.RanToCompletion)
{
PropertyValueUpdate();
}
});
}
public CalcWrapperProgressObservable(ExcelCalcWrapper calcWrapper) : base(calcWrapper)
=> _calcWrapper.OnProgressUpdate += ProgressUpdate;
public CalcWrapperStatusObservable(ExcelCalcWrapper calcWrapper) : base(calcWrapper)
=> calcWrapper.CalcTask.ContinueWith(task => TaskStatusUpdate(_calcWrapper.Status));
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;
}));
}
private static void UpdateProgress(ExcelCalcWrapper calcWrapper, double progress) => calcWrapper.UpdateProgress(progress);
