private static TreeStorageValuationResults <T> TrinomialStorageValuation <T>(
DateTime valuationDateTime,
DateTime storageStartDateTime,
DateTime storageEndDateTime,
object ratchets,
string injectWithdrawInterpolation,
double injectionCostRate,
double cmdtyConsumedOnInjection,
double withdrawalCostRate,
double cmdtyConsumedOnWithdrawal,
double currentInventory,
object forwardCurveIn,
object spotVolatilityCurveIn,
double meanReversion,
object interestRateCurve,
object numGlobalGridPointsIn,
object numericalToleranceIn)
where T : ITimePeriod <T>
{
double numericalTolerance = StorageExcelHelper.DefaultIfExcelEmptyOrMissing(numericalToleranceIn, 1E-10,
"Numerical_tolerance");
var storage = StorageExcelHelper.CreateCmdtyStorageFromExcelInputs <T>(storageStartDateTime,
storageEndDateTime, ratchets, injectWithdrawInterpolation, injectionCostRate, cmdtyConsumedOnInjection,
withdrawalCostRate, cmdtyConsumedOnWithdrawal, numericalTolerance);
T currentPeriod = TimePeriodFactory.FromDateTime <T>(valuationDateTime);
TimeSeries <T, double> forwardCurve = StorageExcelHelper.CreateDoubleTimeSeries <T>(forwardCurveIn, "Forward_curve");
TimeSeries <T, double> spotVolatilityCurve = StorageExcelHelper.CreateDoubleTimeSeries <T>(spotVolatilityCurveIn, "Spot_volatility_curve");
// TODO input settlement dates
int numGridPoints =
StorageExcelHelper.DefaultIfExcelEmptyOrMissing <int>(numGlobalGridPointsIn, 100, "Num_global_grid_points");
double timeDelta = 1.0 / 365.0; // TODO remove this hard coding
Func <Day, double> interpolatedInterestRates =
StorageExcelHelper.CreateLinearInterpolatedInterestRateFunc(interestRateCurve, ExcelArg.InterestRateCurve.Name);
TreeStorageValuationResults <T> valuationResults = TreeStorageValuation <T>
.ForStorage(storage)
.WithStartingInventory(currentInventory)
.ForCurrentPeriod(currentPeriod)
.WithForwardCurve(forwardCurve)
.WithOneFactorTrinomialTree(spotVolatilityCurve, meanReversion, timeDelta)
.WithCmdtySettlementRule(period => period.First <Day>()) // TODO get rid if this
.WithAct365ContinuouslyCompoundedInterestRate(interpolatedInterestRates)
.WithFixedNumberOfPointsOnGlobalInventoryRange(numGridPoints)
.WithLinearInventorySpaceInterpolation()
.WithNumericalTolerance(numericalTolerance)
.Calculate();
return(valuationResults);
}
private static IntrinsicStorageValuationResults <T> IntrinsicStorageVal <T>(
DateTime valuationDateTime,
DateTime storageStartDateTime,
DateTime storageEndDateTime,
object injectWithdrawConstraints,
string injectWithdrawInterpolation,
double injectionCostRate,
double cmdtyConsumedOnInjection,
double withdrawalCostRate,
double cmdtyConsumedOnWithdrawal,
double currentInventory,
object forwardCurveIn,
object interestRateCurve,
object numGlobalGridPointsIn,
object numericalToleranceIn)
where T : ITimePeriod <T>
{
double numericalTolerance = StorageExcelHelper.DefaultIfExcelEmptyOrMissing(numericalToleranceIn, 1E-10,
"Numerical_tolerance");
var storage = StorageExcelHelper.CreateCmdtyStorageFromExcelInputs <T>(storageStartDateTime,
storageEndDateTime, injectWithdrawConstraints, injectWithdrawInterpolation, injectionCostRate, cmdtyConsumedOnInjection,
withdrawalCostRate, cmdtyConsumedOnWithdrawal, numericalTolerance);
T currentPeriod = TimePeriodFactory.FromDateTime <T>(valuationDateTime);
TimeSeries <T, double> forwardCurve = StorageExcelHelper.CreateDoubleTimeSeries <T>(forwardCurveIn, "Forward_curve");
// TODO input settlement dates and use interest rates
int numGridPoints =
StorageExcelHelper.DefaultIfExcelEmptyOrMissing <int>(numGlobalGridPointsIn, 100, "Num_global_grid_points");
IntrinsicStorageValuationResults <T> valuationResults = IntrinsicStorageValuation <T>
.ForStorage(storage)
.WithStartingInventory(currentInventory)
.ForCurrentPeriod(currentPeriod)
.WithForwardCurve(forwardCurve)
.WithCmdtySettlementRule(period => period.First <Day>()) // TODO get rid if this
.WithDiscountFactorFunc((currentDate, cashFlowDate) => 1.0) // TODO add proper discounting
.WithFixedNumberOfPointsOnGlobalInventoryRange(numGridPoints)
.WithLinearInventorySpaceInterpolation()
.WithNumericalTolerance(numericalTolerance)
.Calculate();
return(valuationResults);
}
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;
}));
}
