public static object StorageAddInVersion(object trigger)
{
return(StorageExcelHelper.ExecuteExcelFunction(() =>
{
Assembly currentAssembly = Assembly.GetExecutingAssembly();
AssemblyInformationalVersionAttribute infoVersionAttribute =
currentAssembly.GetCustomAttribute <AssemblyInformationalVersionAttribute>();
return infoVersionAttribute.InformationalVersion;
}));
}
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;
});
}));
}
public static object StorageValueIntrinsic(
[ExcelArgument(Name = ExcelArg.ValDate.Name, Description = ExcelArg.ValDate.Description)] DateTime valuationDate,
[ExcelArgument(Name = ExcelArg.StorageStart.Name, Description = ExcelArg.StorageStart.Description)] DateTime storageStart,
[ExcelArgument(Name = ExcelArg.StorageEnd.Name, Description = ExcelArg.StorageEnd.Description)] DateTime storageEnd,
[ExcelArgument(Name = ExcelArg.Ratchets.Name, Description = ExcelArg.Ratchets.Description)] object storageConstraints,
[ExcelArgument(Name = ExcelArg.RatchetInterpolation.Name, Description = ExcelArg.RatchetInterpolation.Description)] string injectWithdrawInterpolation,
[ExcelArgument(Name = ExcelArg.InjectionCost.Name, Description = ExcelArg.InjectionCost.Description)] double injectionCostRate,
[ExcelArgument(Name = ExcelArg.CmdtyConsumedInject.Name, Description = ExcelArg.CmdtyConsumedInject.Description)] double cmdtyConsumedOnInjection,
[ExcelArgument(Name = ExcelArg.WithdrawalCost.Name, Description = ExcelArg.WithdrawalCost.Description)] double withdrawalCostRate,
[ExcelArgument(Name = ExcelArg.CmdtyConsumedWithdraw.Name, Description = ExcelArg.CmdtyConsumedWithdraw.Description)] double cmdtyConsumedOnWithdrawal,
[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.NumGridPoints.Name, Description = ExcelArg.NumGridPoints.Description)] object numGlobalGridPoints,
[ExcelArgument(Name = ExcelArg.NumericalTolerance.Name, Description = ExcelArg.NumericalTolerance.Description)] object numericalTolerance) // TODO add granularity
{
return(StorageExcelHelper.ExecuteExcelFunction(() =>
TrinomialStorageValuationIntrinsic <Day>(valuationDate, storageStart, storageEnd, storageConstraints, injectWithdrawInterpolation,
injectionCostRate, cmdtyConsumedOnInjection, withdrawalCostRate,
cmdtyConsumedOnWithdrawal, currentInventory, forwardCurve, interestRateCurve, numGlobalGridPoints,
numericalTolerance).NetPresentValue));
}
Category = AddIn.ExcelFunctionCategory, IsThreadSafe = false, IsVolatile = false, IsExceptionSafe = true)] // TODO turn IsThreadSafe to true and use ConcurrentDictionary?
public static object CreateStorage(
[ExcelArgument(Name = "Storage_name", Description = "Name of storage object to create.")] string name,
[ExcelArgument(Name = ExcelArg.StorageStart.Name, Description = ExcelArg.StorageStart.Description)] DateTime storageStart,
[ExcelArgument(Name = ExcelArg.StorageEnd.Name, Description = ExcelArg.StorageEnd.Description)] DateTime storageEnd,
[ExcelArgument(Name = ExcelArg.Ratchets.Name, Description = ExcelArg.Ratchets.Description)] object ratchets,
[ExcelArgument(Name = ExcelArg.RatchetInterpolation.Name, Description = ExcelArg.RatchetInterpolation.Description)] string ratchetInterpolation,
[ExcelArgument(Name = ExcelArg.InjectionCost.Name, Description = ExcelArg.InjectionCost.Description)] double injectionCostRate,
[ExcelArgument(Name = ExcelArg.CmdtyConsumedInject.Name, Description = ExcelArg.CmdtyConsumedInject.Description)] double cmdtyConsumedOnInjection,
[ExcelArgument(Name = ExcelArg.WithdrawalCost.Name, Description = ExcelArg.WithdrawalCost.Description)] double withdrawalCostRate,
[ExcelArgument(Name = ExcelArg.CmdtyConsumedWithdraw.Name, Description = ExcelArg.CmdtyConsumedWithdraw.Description)] double cmdtyConsumedOnWithdrawal,
[ExcelArgument(Name = ExcelArg.NumericalTolerance.Name, Description = ExcelArg.NumericalTolerance.Description)] object numericalToleranceIn)
{
return(StorageExcelHelper.ExecuteExcelFunction(() =>
{
double numericalTolerance = StorageExcelHelper.DefaultIfExcelEmptyOrMissing(numericalToleranceIn, 1E-10, "Numerical_tolerance");
CmdtyStorage <Day> storage = StorageExcelHelper.CreateCmdtyStorageFromExcelInputs <Day>(storageStart,
storageEnd, ratchets, ratchetInterpolation, injectionCostRate, cmdtyConsumedOnInjection,
withdrawalCostRate, cmdtyConsumedOnWithdrawal, numericalTolerance);
_storageObjects[name] = storage;
return name;
}));
}
public static object StorageIntrinsicValue(
DateTime valuationDate,
DateTime storageStart,
DateTime storageEnd,
object injectWithdrawConstraints,
[ExcelArgument(Name = ExcelArg.RatchetInterpolation.Name, Description = ExcelArg.RatchetInterpolation.Description)] string injectWithdrawInterpolation,
double injectionCostRate,
double cmdtyConsumedOnInjection,
double withdrawalCostRate,
double cmdtyConsumedOnWithdrawal,
double currentInventory,
object forwardCurve,
object interestRateCurve,
object numGlobalGridPoints, // TODO excel argument says default is 100
object numericalTolerance,
[ExcelArgument(Name = "Granularity")] object granularity)
{
return(StorageExcelHelper.ExecuteExcelFunction(() =>
IntrinsicStorageVal <Day>(valuationDate, storageStart, storageEnd, injectWithdrawConstraints, injectWithdrawInterpolation,
injectionCostRate, cmdtyConsumedOnInjection, withdrawalCostRate,
cmdtyConsumedOnWithdrawal,
currentInventory, forwardCurve, interestRateCurve, numGlobalGridPoints, numericalTolerance).NetPresentValue));
}
public static object StorageIntrinsicDecisionProfile(
DateTime valuationDate,
DateTime storageStart,
DateTime storageEnd,
object injectWithdrawConstraints,
[ExcelArgument(Name = ExcelArg.RatchetInterpolation.Name, Description = ExcelArg.RatchetInterpolation.Description)] string injectWithdrawInterpolation,
double injectionCostRate,
double cmdtyConsumedOnInjection,
double withdrawalCostRate,
double cmdtyConsumedOnWithdrawal,
double currentInventory,
object forwardCurve,
object interestRateCurve,
object numGlobalGridPoints, // TODO excel argument says default is 100
object numericalTolerance,
[ExcelArgument(Name = "Granularity")] object granularity)
{
return(StorageExcelHelper.ExecuteExcelFunction(() =>
{
IntrinsicStorageValuationResults <Day> valuationResults = IntrinsicStorageVal <Day>(valuationDate, storageStart, storageEnd,
injectWithdrawConstraints, injectWithdrawInterpolation,
injectionCostRate, cmdtyConsumedOnInjection, withdrawalCostRate,
cmdtyConsumedOnWithdrawal,
currentInventory, forwardCurve, interestRateCurve, numGlobalGridPoints, numericalTolerance);
var resultArray = new object[valuationResults.StorageProfile.Count, 3];
for (int i = 0; i < resultArray.GetLength(0); i++)
{
resultArray[i, 0] = valuationResults.StorageProfile.Indices[i].Start;
resultArray[i, 1] = valuationResults.StorageProfile[i].InjectWithdrawVolume;
resultArray[i, 2] = valuationResults.StorageProfile[i].CmdtyConsumed;
}
return resultArray;
}));
}
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;
}));
}
