public void Bootstrap_WithZeroWeightedContract_ThrowsArgumentException() { var builder = new Bootstrapper <Day>() .AddContract(new Day(2019, 1, 7), new Day(2019, 1, 13), 58.45) .AddContract(new Day(2019, 1, 12), new Day(2019, 1, 13), 60.87) .WithAverageWeighting(Weighting.BusinessDayCount <Day>(new List <Day>())); Assert.Throws(Is.TypeOf <ArgumentException>().And.Message.EqualTo( "sum of weighting evaluated to non-positive number for the following contract: Start: 2019-01-12, End: 2019-01-13, Price: 60.87"), () => builder.Bootstrap()); }
public void Price_MonthlyCurveBusinessDayWeight_EqualsWeightedAverage() { var curve = new DoubleCurve <Month>(Month.CreateJanuary(2020), new[] { 56.54, 54.15, 51.14 }, Weighting.BusinessDayCount <Month>(new Day[0])); double q1Price = curve.Price(Quarter.CreateQuarter1(2020)); const double expectedQ1Price = (56.54 * 23.0 + 54.15 * 20.0 + 51.14 * 22.0) / 65.0; Assert.AreEqual(expectedQ1Price, q1Price); }
public void PriceStartAndEndParameters_MonthlyCurveBusinessDayWeight_EqualsWeightedAverage() { var curve = new DoubleCurve <Month>(Month.CreateJanuary(2020), new [] { 56.54, 54.15, 51.14 }, Weighting.BusinessDayCount <Month>(new Day[0])); double febMarPrice = curve.Price(Month.CreateFebruary(2020), Month.CreateMarch(2020)); const double expectedFebMarPrice = (54.15 * 20.0 + 51.14 * 22.0) / 42.0; Assert.AreEqual(expectedFebMarPrice, febMarPrice); }
static void Main() { //=============================================================================================== // BASIC BOOTSTRAPPING CALCULATION // Bootstrapping 1 quarterly price and 1 monthly price into a monthly curve BootstrapResults <Month> bootstrapResults = new Bootstrapper <Month>() .AddContract(Month.CreateJanuary(2020), 19.05) .AddContract(Quarter.CreateQuarter1(2020), 17.22) .Bootstrap(); Console.WriteLine("Derived piecewise flat curve:"); Console.WriteLine(bootstrapResults.Curve.FormatData("F5")); Console.WriteLine(); Console.WriteLine("Equivalent bootstrapped contracts:"); foreach (Contract <Month> contract in bootstrapResults.BootstrappedContracts) { Console.WriteLine(contract); } Console.WriteLine(); Console.WriteLine(); //=============================================================================================== // APPLYING SHAPING DURING BOOTSTRAPPING var jan20 = Month.CreateJanuary(2020); var feb20 = Month.CreateFebruary(2020); var mar20 = Month.CreateMarch(2020); // Shaping applied as a ratio between Feb and Mar const double ratio = 1.1; var(pieceWiseCurveWithRatio, _) = new Bootstrapper <Month>() .AddContract(jan20, 19.05) .AddContract(Quarter.CreateQuarter1(2020), 17.22) .AddShaping(Shaping <Month> .Ratio.Between(feb20).And(mar20).Is(ratio)) .Bootstrap(); Console.WriteLine($"Derived piecewise flat curve with {ratio} ratio applied between Feb and Mar:"); Console.WriteLine(pieceWiseCurveWithRatio.FormatData("F5")); Console.WriteLine(); Console.WriteLine("Ratio in derived curve: {0:F5}", pieceWiseCurveWithRatio[feb20] / pieceWiseCurveWithRatio[mar20]); Console.WriteLine(); Console.WriteLine(); // Shaping applied as a spread between Feb and Mar const double spread = 0.21; var(pieceWiseCurveWithSpread, _) = new Bootstrapper <Month>() .AddContract(jan20, 19.05) .AddContract(Quarter.CreateQuarter1(2020), 17.22) .AddShaping(Shaping <Month> .Spread.Between(feb20).And(mar20).Is(spread)) .Bootstrap(); Console.WriteLine($"Derived piecewise flat curve with {spread} spread applied between Feb and Mar:"); Console.WriteLine(pieceWiseCurveWithSpread.FormatData("F5")); Console.WriteLine(); Console.WriteLine("Spread in derived curve: {0:F5}", pieceWiseCurveWithSpread[feb20] - pieceWiseCurveWithSpread[mar20]); Console.WriteLine(); Console.WriteLine(); //=============================================================================================== // HANDLING REDUNDANCY OF CONTRACTS AND SHAPING FACTORS try { // If the price of Feb-20 is added, this essentially represents redundancy in the inputs, resulting in an exception new Bootstrapper <Month>() .AddContract(jan20, 22.95) .AddContract(feb20, 21.05) .AddContract(Quarter.CreateQuarter1(2020), 19.05) .AddShaping(Shaping <Month> .Spread.Between(feb20).And(mar20).Is(spread)) .Bootstrap(); } catch (ArgumentException e) { Console.WriteLine("Exception raised when redundancy inputs provided:"); Console.WriteLine(e); } Console.WriteLine(); Console.WriteLine(); // Using AllowRedundancy() allows the calculation to perform without checks on redundancy var(pieceWiseCurveWithRedundancy, _) = new Bootstrapper <Month>() .AddContract(jan20, 22.95) .AddContract(feb20, 21.05) .AddContract(Quarter.CreateQuarter1(2020), 19.05) .AddShaping(Shaping <Month> .Spread.Between(feb20).And(mar20).Is(spread)) .AllowRedundancy() .Bootstrap(); Console.WriteLine("Derived piecewise flat curve with redundant inputs, after AllowRedundancy() called:"); Console.WriteLine(pieceWiseCurveWithRedundancy.FormatData("F5")); Console.WriteLine(); Console.WriteLine(); //=============================================================================================== // APPLYING AN ALTERNATIVE WEIGHTING SCHEME // By default, the bootstrap calculations assume averages are weighted by the number of minutes in a contract period. // This assumption is fine for instruments where the commodity is delivered at a constant rate, e.g. natural gas forwards. // An alternative weighting scheme can be added by calling WithAverageWeighting and supplying a weighting scheme as a function. // The below example makes use of the Weighting helper class to provide the weighting function as the count of business days. // An example of when such a weighting scheme should be used is for oil swaps, based on an index which is only published on a business day. var holidays = new List <Day>() { new Day(2020, 1, 1) }; Func <Month, double> busDayWeight = Weighting.BusinessDayCount <Month>(holidays); var(pieceWiseCurveBusDayWeight, _) = new Bootstrapper <Month>() .AddContract(jan20, 19.05) .AddContract(Quarter.CreateQuarter1(2020), 17.22) .WithAverageWeighting(busDayWeight) .Bootstrap(); Console.WriteLine("Derived piecewise flat curve with business day weighting:"); Console.WriteLine(pieceWiseCurveBusDayWeight.FormatData("F5")); Console.ReadKey(); }
static void Main(string[] args) { // The following code shows how to use the spline to derive a smooth daily curve from // monthly and quarterly granularity input contract prices. Also demonstrated is the // optional seasonal adjustment factor, in this case used to apply day-of-week seasonality. var dayOfWeekAdjustment = new Dictionary <DayOfWeek, double> { [DayOfWeek.Monday] = 0.95, [DayOfWeek.Tuesday] = 0.99, [DayOfWeek.Wednesday] = 1.05, [DayOfWeek.Thursday] = 1.01, [DayOfWeek.Friday] = 0.98, [DayOfWeek.Saturday] = 0.92, [DayOfWeek.Sunday] = 0.91 }; DoubleCurve <Day> curve = new MaxSmoothnessSplineCurveBuilder <Day>() .AddContract(Month.CreateJuly(2019), 77.98) .AddContract(Month.CreateAugust(2019), 76.01) .AddContract(Month.CreateSeptember(2019), 78.74) .AddContract(Quarter.CreateQuarter4(2019), 85.58) .AddContract(Quarter.CreateQuarter1(2020), 87.01) .WithMultiplySeasonalAdjustment(day => dayOfWeekAdjustment[day.DayOfWeek]) .BuildCurve(); Console.WriteLine(curve.FormatData("F5")); Console.WriteLine(); Console.WriteLine(); //=============================================================================================== // APPLYING AN ALTERNATIVE WEIGHTING SCHEME // By default, the spline calculations assume averages are weighted by the number of minutes in a contract period. // This assumption is fine for instruments where the commodity is delivered at a constant rate, e.g. natural gas forwards. // An alternative weighting scheme can be added by calling WithAverageWeighting and supplying a weighting scheme as a function. // The below example makes use of the Weighting helper class to provide the weighting function as the count of business days. // An example of when such a weighting scheme should be used is for oil swaps, based on an index which is only published on a business day // to create a monthly curve from quarterly granularity inputs. var holidays = new List <Day>() { new Day(2020, 1, 1) }; Func <Month, double> busDayWeight = Weighting.BusinessDayCount <Month>(holidays); var contracts = new List <Contract <Month> >() { Contract <Month> .Create(Quarter.CreateQuarter4(2019), 76.58), Contract <Month> .Create(Quarter.CreateQuarter1(2020), 77.20), Contract <Month> .Create(Quarter.CreateQuarter2(2020), 76.01), Contract <Month> .Create(Quarter.CreateQuarter3(2020), 74.95), Contract <Month> .Create(Quarter.CreateQuarter4(2020), 74.92), }; DoubleCurve <Month> curveBusDayWeight = new MaxSmoothnessSplineCurveBuilder <Month>() .AddContracts(contracts) .WithWeighting(busDayWeight) .BuildCurve(); Console.WriteLine("Derived smooth curve with business day weighting:"); Console.WriteLine(curveBusDayWeight.FormatData("F5", -1)); Console.ReadKey(); }