private static void Creating()
{
#region creating
TimeSeries <Quarter, decimal> timeSeriesFromConstructor1 = new TimeSeries <Quarter, decimal>(
Quarter.CreateQuarter1(2020),
new [] { 21.3M, 42.4M, 42.5M });
Console.WriteLine(timeSeriesFromConstructor1);
Console.WriteLine();
var timeSeriesFromConstructor2 = new TimeSeries <Day, double>(
new [] { new Day(2019, 9, 17), new Day(2019, 9, 18), new Day(2019, 9, 19) },
new [] { 242.4, 224.42, 262.04 });
Console.WriteLine(timeSeriesFromConstructor2);
Console.WriteLine();
var builder = new TimeSeries <Month, int> .Builder
{
{ Month.CreateJanuary(2019), 1 },
{ Month.CreateFebruary(2019), 2 },
{ Month.CreateMarch(2019), 3 }
};
builder.Add(Month.CreateApril(2019), 4);
TimeSeries <Month, int> timeSeriesFromBuilder = builder.Build();
Console.WriteLine(timeSeriesFromBuilder);
Console.WriteLine();
TimeSeries <Day, string> emptyTimeSeries = TimeSeries <Day, String> .Empty;
Console.WriteLine(emptyTimeSeries);
#endregion
}
private static TimeSeries <Day, double> GenerateBackwardatedCurve(Day storageStart, Day storageEnd)
{
var forwardCurveBuilder = new TimeSeries <Day, double> .Builder();
double forwardPrice = 59.95;
foreach (Day forwardCurvePoint in storageStart.EnumerateTo(storageEnd))
{
forwardCurveBuilder.Add(forwardCurvePoint, forwardPrice);
forwardPrice -= 0.58;
}
return(forwardCurveBuilder.Build());
}
public static TimeSeries <TIndex, TData> CreateTimeSeries <TIndex, TData>(object excelValues, string excelArgumentName,
TryCreateData <TData> tryCreateData)
where TIndex : ITimePeriod <TIndex>
{
if (excelValues is ExcelMissing || excelValues is ExcelEmpty)
{
throw new ArgumentException(excelArgumentName + " hasn't been specified.");
}
if (!(excelValues is object[,] excelValuesArray))
{
throw new ArgumentException(excelArgumentName + " has been incorrectly entered. Argument value should be of a range with 2 columns, the first containing dates, the second containing numbers.");
}
if (excelValuesArray.GetLength(1) != 2)
{
throw new ArgumentException(excelArgumentName + " has been incorrectly entered. Argument value should be a range with 2 columns.");
}
var builder = new TimeSeries <TIndex, TData> .Builder();
for (int i = 0; i < excelValuesArray.GetLength(0); i++)
{
if (excelValuesArray[i, 0] is ExcelEmpty || excelValuesArray[i, 0] is ExcelError)
{
break;
}
object dataValueIn = excelValuesArray[i, 1];
if (!tryCreateData(dataValueIn, out TData dataValue))
{
throw new ArgumentException($"Value in the second column of row {i} for argument {excelArgumentName} cannot be converted to type {typeof(TData).Name}.");
}
DateTime curvePointDateTime = ObjectToDateTime(excelValuesArray[i, 0], $"Cannot create DateTime from value in first row of argument {excelArgumentName}.");
TIndex curvePointPeriod = TimePeriodFactory.FromDateTime <TIndex>(curvePointDateTime);
builder.Add(curvePointPeriod, dataValue);
}
return(builder.Build());
}
private static IntrinsicStorageValuationResults <Day> IntrinsicValuationZeroInventoryForwardCurveWithSpread(double forwardSpread)
{
var currentPeriod = new Day(2019, 9, 15);
const double lowerForwardPrice = 56.6;
double higherForwardPrice = lowerForwardPrice + forwardSpread;
var forwardCurveBuilder = new TimeSeries <Day, double> .Builder();
foreach (var day in new Day(2019, 9, 15).EnumerateTo(new Day(2019, 9, 22)))
{
forwardCurveBuilder.Add(day, lowerForwardPrice);
}
foreach (var day in new Day(2019, 9, 23).EnumerateTo(new Day(2019, 9, 30)))
{
forwardCurveBuilder.Add(day, higherForwardPrice);
}
IntrinsicStorageValuationResults <Day> valuationResults = GenerateValuationResults(0.0,
forwardCurveBuilder.Build(), currentPeriod);
return(valuationResults);
}
static void Main(string[] args)
{
const double constantMaxInjectRate = 5.26;
const double constantMaxWithdrawRate = 14.74;
const double constantMaxInventory = 1100.74;
const double constantMinInventory = 0.0;
const double constantInjectionCost = 0.48;
const double constantWithdrawalCost = 0.74;
CmdtyStorage <Day> storage = CmdtyStorage <Day> .Builder
.WithActiveTimePeriod(new Day(2019, 9, 1), new Day(2019, 10, 1))
.WithConstantInjectWithdrawRange(-constantMaxWithdrawRate, constantMaxInjectRate)
.WithConstantMinInventory(constantMinInventory)
.WithConstantMaxInventory(constantMaxInventory)
.WithPerUnitInjectionCost(constantInjectionCost, injectionDate => injectionDate)
.WithNoCmdtyConsumedOnInject()
.WithPerUnitWithdrawalCost(constantWithdrawalCost, withdrawalDate => withdrawalDate)
.WithNoCmdtyConsumedOnWithdraw()
.WithNoCmdtyInventoryLoss()
.WithNoCmdtyInventoryCost()
.MustBeEmptyAtEnd()
.Build();
var currentPeriod = new Day(2019, 9, 15);
const double lowerForwardPrice = 56.6;
const double forwardSpread = 87.81;
double higherForwardPrice = lowerForwardPrice + forwardSpread;
var forwardCurveBuilder = new TimeSeries <Day, double> .Builder();
foreach (var day in new Day(2019, 9, 15).EnumerateTo(new Day(2019, 9, 22)))
{
forwardCurveBuilder.Add(day, lowerForwardPrice);
}
foreach (var day in new Day(2019, 9, 23).EnumerateTo(new Day(2019, 10, 1)))
{
forwardCurveBuilder.Add(day, higherForwardPrice);
}
const double startingInventory = 50.0;
IntrinsicStorageValuationResults <Day> valuationResults = IntrinsicStorageValuation <Day>
.ForStorage(storage)
.WithStartingInventory(startingInventory)
.ForCurrentPeriod(currentPeriod)
.WithForwardCurve(forwardCurveBuilder.Build())
.WithCmdtySettlementRule(day => day.First <Month>().Offset(1).First <Day>().Offset(5)) // Commodity is settled on the 5th day of the next month
.WithDiscountFactorFunc(day => 1.0) // Assumes to discounting
.WithFixedGridSpacing(10.0)
.WithLinearInventorySpaceInterpolation()
.WithNumericalTolerance(1E-12)
.Calculate();
Console.WriteLine("Calculated intrinsic storage NPV: " + valuationResults.NetPresentValue.ToString("F2"));
Console.WriteLine();
Console.WriteLine("Decision profile:");
Console.WriteLine(valuationResults.DecisionProfile.FormatData("F2", -1));
Console.WriteLine("Press any key to exit");
Console.ReadKey();
}
