public void CheckExpiryRollForCodeExamples(string futureCode, DateTime expiry, DateTime roll)
{
var code = new FutureCode(futureCode, 2016, TestProviderHelper.FutureSettingsProvider);
Assert.Equal(expiry, code.GetExpiry());
Assert.Equal(roll, code.GetRollDate());
}
public BlackFuturesCurve(IATMVolSurface volSurface, DateTime startDate, DateTime expiryDate, int nTimeSteps, Func <DateTime, double> forwardCurve, string name, IFutureSettingsProvider futureSettingsProvider, Dictionary <DateTime, double> pastFixings = null)
{
_surface = volSurface;
_startDate = startDate;
_expiryDate = expiryDate;
_numberOfSteps = nTimeSteps;
_name = name;
_forwardCurve = forwardCurve;
_pastFixings = pastFixings ?? (new Dictionary <DateTime, double>());
_futureSettingsProvider = futureSettingsProvider;
if (startDate > expiryDate)
{
throw new Exception("Start date must be before expiry date");
}
_codes = new List <string>();
_futuresExpiries = new List <DateTime>();
var fCode = new FutureCode(name, _futureSettingsProvider);
var currentCode = fCode.GetFrontMonth(startDate);
_codes.Add(currentCode);
fCode = new FutureCode(currentCode, DateTime.Today.Year - 2, _futureSettingsProvider);
_futuresExpiries.Add(fCode.GetRollDate());
fCode = new FutureCode(currentCode, DateTime.Today.Year - 2, _futureSettingsProvider);
var targetCode = fCode.GetFrontMonth(expiryDate);
while (currentCode != targetCode)
{
currentCode = fCode.GetNextCode(false);
_futuresExpiries.Add(fCode.GetRollDate());
_codes.Add(currentCode);
}
}
public static object FuturesExpiryFromCode(
[ExcelArgument(Description = "Futures code, e.g. CLZ3")] string FuturesCode)
{
return(ExcelHelper.Execute(_logger, () =>
{
return FutureCode.GetExpiryFromCode(FuturesCode, ContainerStores.SessionContainer.GetService <IFutureSettingsProvider>());
}));
}
public static RiskyFlySurface GetSurfaceForCode(string nymexSymbol, string nymexOptionFilename, string qwackCode, BasicPriceCurve priceCurve, ICalendarProvider calendarProvider, ICurrencyProvider currency, IFutureSettingsProvider futureSettingsProvider)
{
var parsed = NYMEXOptionParser.Instance.Parse(nymexOptionFilename).Where(r => r.Symbol == nymexSymbol);
var(optionExerciseType, optionMarginingType) = OptionTypeFromCode(nymexSymbol);
var origin = DateTime.ParseExact(parsed.First().TradeDate, "MM/dd/yyyy", CultureInfo.InvariantCulture);
var q = parsed.Where(x => x.Settle > 0).Select(x => new ListedOptionSettlementRecord
{
CallPut = x.PutCall == "C"?OptionType.C:OptionType.P,
ExerciseType = optionExerciseType,
MarginType = optionMarginingType,
PV = x.Settle,
Strike = x.Strike,
UnderlyingFuturesCode = Year2to1(x.Contract.Split(' ')[0].Replace(nymexSymbol, qwackCode)),
ExpiryDate = OptionExpiryFromNymexRecord(x, calendarProvider),
ValDate = origin
}).Where(z => z.ExpiryDate > origin).ToList();
var priceDict = priceCurve.PillarLabels.ToDictionary(x => x, x => priceCurve.GetPriceForDate(priceCurve.PillarDatesForLabel(x)));
ListedSurfaceHelper.ImplyVols(q, priceDict, new ConstantRateIrCurve(0.0, origin, "dummy", currency.GetCurrency("USD")));
var smiles = ListedSurfaceHelper.ToDeltaSmiles(q, priceDict);
var allOptionExpiries = new List <DateTime>();
var lastDate = q.Max(x => x.ExpiryDate);
var dummyFutureCode = $"{qwackCode}Z{DateExtensions.SingleDigitYear(DateTime.Today.Year + 2)}";
var c = new FutureCode(dummyFutureCode, DateTime.Today.Year - 2, futureSettingsProvider);
var contract = c.GetFrontMonth(origin, false);
var lastContract = c.GetFrontMonth(lastDate, false);
while (contract != lastContract)
{
var cc = new FutureCode(contract, origin.Year, futureSettingsProvider);
var exp = ListedUtils.FuturesCodeToDateTime(contract);
var record = new NYMEXOptionRecord
{
ContractMonth = exp.Month,
ContractYear = exp.Year,
Symbol = nymexSymbol
};
var optExpiry = OptionExpiryFromNymexRecord(record, calendarProvider);
if (optExpiry > origin)
{
allOptionExpiries.Add(optExpiry);
}
contract = cc.GetNextCode(false);
}
var surface = ListedSurfaceHelper.ToRiskyFlySurfaceStepFlat(smiles, origin, priceCurve, allOptionExpiries, currency);
return(surface);
}
public static object FuturesPreviousCode(
[ExcelArgument(Description = "Futures code, e.g. CLZ3")] string FuturesCode)
{
return(ExcelHelper.Execute(_logger, () =>
{
var c = new FutureCode(FuturesCode, DateTime.Today.Year - 2, ContainerStores.SessionContainer.GetService <IFutureSettingsProvider>());
return c.GetPreviousCode();
}));
}
public static object FuturesGetFrontMonth(
[ExcelArgument(Description = "Value date")] DateTime ValueDate,
[ExcelArgument(Description = "Futures code root, e.g. CL")] string FuturesCodeRoot,
[ExcelArgument(Description = "Use expiry rather than roll date")] bool UseExpiryRatherThanRoll)
{
return(ExcelHelper.Execute(_logger, () =>
{
var dummyFutureCode = $"{FuturesCodeRoot}Z{DateExtensions.SingleDigitYear(DateTime.Today.Year + 2)}";
var c = new FutureCode(dummyFutureCode, DateTime.Today.Year - 2, ContainerStores.SessionContainer.GetService <IFutureSettingsProvider>());
return c.GetFrontMonth(ValueDate, UseExpiryRatherThanRoll);
}));
}
public void StripCrackedCurve()
{
var buildDate = new DateTime(2018, 07, 28);
string[] futures = { "COV8", "COX8", "COZ8", "COF9", "COG9" };
double[] futuresPrices = { 77, 78, 79, 79.5, 79.75 };
string[] periods = { "AUG18", "SEP18", "OCT18", "NOV18" };
double[] strikes = { -10, -11, -12, -13 };
var cal = TestProviderHelper.CalendarProvider.Collection["LON"];
var usd = TestProviderHelper.CurrencyProvider["USD"];
var bPillars = futures.Select(x => FutureCode.GetExpiryFromCode(x, TestProviderHelper.FutureSettingsProvider)).ToArray();
var brentCurve = new PriceCurve(buildDate, bPillars, futuresPrices, PriceCurveType.ICE, TestProviderHelper.CurrencyProvider, futures)
{
AssetId = "Brent"
};
var instruments = periods.Select((p, ix) =>
(IAssetInstrument)AssetProductFactory.CreateTermAsianBasisSwap(p, strikes[ix], "Brent", "Sing180", cal, cal, cal, 0.Bd(), usd, 0.Bd(), 0.Bd(), 1000, 1000 / 6.35))
.ToList();
var pillars = instruments.Select(x => ((AsianBasisSwap)x).RecSwaplets.Max(sq => sq.AverageEndDate)).ToList();
DateTime[] dPillars = { buildDate, buildDate.AddDays(1000) };
double[] dRates = { 0, 0 };
var discountCurve = new IrCurve(dPillars, dRates, buildDate, "zeroDiscount", Interpolator1DType.LinearFlatExtrap, usd);
var s = new Calibrators.NewtonRaphsonAssetBasisCurveSolver(TestProviderHelper.CurrencyProvider);
if (IsCoverageOnly)
{
s.Tollerance = 1.0;
}
var curve = s.SolveCurve(instruments, pillars, discountCurve, brentCurve, buildDate, PriceCurveType.ICE);
if (!IsCoverageOnly)
{
for (var i = 0; i < instruments.Count; i++)
{
var resultPV = Calibrators.NewtonRaphsonAssetBasisCurveSolver.BasisSwapPv(curve, instruments[i], discountCurve, brentCurve);
Assert.Equal(0, resultPV, 6);
}
}
}
private static IFundingInstrument ToQwackIns(this CMEFileRecord record, string qwackCode, IFutureSettingsProvider futureSettingsProvider, ICurrencyProvider currencyProvider, Dictionary <string, FloatRateIndex> indices, Dictionary <string, string> forecastCurves)
{
switch (qwackCode)
{
case "ED":
var edExp = FutureCode.GetExpiryFromCode(MmmYtoCode(record.MMY, qwackCode), futureSettingsProvider);
return(new STIRFuture
{
ContractSize = 1e6,
Currency = currencyProvider.GetCurrency("USD"),
DCF = 0.25,
ConvexityAdjustment = 0,
Price = record.SettlePrice.Value,
Index = indices["ED"],
Expiry = edExp,
PillarDate = edExp.AddMonths(3),
TradeId = qwackCode + record.MMY,
Position = 1,
SolveCurve = forecastCurves["ED"],
ForecastCurve = forecastCurves["ED"],
});
case "FF":
var ffEnd = FutureCode.GetExpiryFromCode(MmmYtoCode(record.MMY, qwackCode), futureSettingsProvider);
var ffStart = ffEnd.FirstDayOfMonth();
return(new OISFuture
{
ContractSize = 1e6,
Currency = currencyProvider.GetCurrency("USD"),
DCF = ffStart.CalculateYearFraction(ffEnd, DayCountBasis.ACT360),
Price = record.SettlePrice.Value,
Index = indices["FF"],
PillarDate = ffEnd,
TradeId = qwackCode + record.MMY,
Position = 1,
SolveCurve = forecastCurves["FF"],
ForecastCurve = forecastCurves["FF"],
AverageStartDate = ffStart,
AverageEndDate = ffEnd,
});
default:
throw new Exception($"No mapping found for code {qwackCode}");
}
}
public static object CreateSTIRFromCode(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Value date")] DateTime ValDate,
[ExcelArgument(Description = "Futures Code, e.g. EDZ9")] string FuturesCode,
[ExcelArgument(Description = "Rate Index")] string RateIndex,
[ExcelArgument(Description = "Price")] double Price,
[ExcelArgument(Description = "Quantity in lots")] double Quantity,
[ExcelArgument(Description = "Convexity adjustment")] double ConvexityAdjustment,
[ExcelArgument(Description = "Forecast Curve")] string ForecastCurve,
[ExcelArgument(Description = "Solve Curve name ")] object SolveCurve,
[ExcelArgument(Description = "Solve Pillar Date")] object SolvePillarDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (!ContainerStores.GetObjectCache <FloatRateIndex>().TryGetObject(RateIndex, out var rIndex))
{
_logger?.LogInformation("Rate index {index} not found in cache", RateIndex);
return $"Rate index {RateIndex} not found in cache";
}
var c = new FutureCode(FuturesCode, DateTime.Today.Year - 2, ContainerStores.SessionContainer.GetService <IFutureSettingsProvider>());
var expiry = c.GetExpiry();
var accrualStart = expiry.AddPeriod(RollType.F, rIndex.Value.HolidayCalendars, rIndex.Value.FixingOffset);
var accrualEnd = accrualStart.AddPeriod(rIndex.Value.RollConvention, rIndex.Value.HolidayCalendars, rIndex.Value.ResetTenor);
//var dcf = accrualStart.CalculateYearFraction(accrualEnd, rIndex.Value.DayCountBasis);
var product = new STIRFuture
{
Currency = rIndex.Value.Currency,
ContractSize = c.Settings.LotSize,
//DCF = dcf,
ConvexityAdjustment = ConvexityAdjustment,
Expiry = expiry,
ForecastCurve = ForecastCurve,
Index = rIndex.Value,
Position = Quantity,
Price = Price,
SolveCurve = SolveCurve.OptionalExcel(ForecastCurve),
PillarDate = SolvePillarDate.OptionalExcel(accrualEnd),
TradeId = ObjectName
};
return ExcelHelper.PushToCache(product, ObjectName);
}));
}
public static BasicPriceCurve GetCurveForCode(string nymexSymbol, string nymexFutureFilename, string qwackCode, IFutureSettingsProvider provider, ICurrencyProvider currency)
{
var parsed = NYMEXFutureParser.Instance.Parse(nymexFutureFilename).Where(r => r.Symbol == nymexSymbol);
var q = parsed.Where(x => x.Settle.HasValue).ToDictionary(x => Year2to1(x.Contract.Replace(nymexSymbol, qwackCode)), x => x.Settle);
var datesDict = q.ToDictionary(x => FutureCode.GetExpiryFromCode(x.Key, provider), x => x.Key);
var datesVec = datesDict.Keys.OrderBy(x => x).ToArray();
var labelsVec = datesVec.Select(d => datesDict[d]).ToArray();
var pricesVec = labelsVec.Select(l => System.Math.Max(q[l].Value, MinPrice)).ToArray();
var origin = DateTime.ParseExact(parsed.First().TradeDate, "MM/dd/yyyy", CultureInfo.InvariantCulture);
var curve = new BasicPriceCurve(origin, datesVec, pricesVec, PriceCurveType.NYMEX, currency, labelsVec)
{
AssetId = qwackCode,
Name = qwackCode,
SpotLag = 0.Bd()
};
return(curve);
}
public static object CreateOISFutureFromCode(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Value date")] DateTime ValDate,
[ExcelArgument(Description = "Futures Code, e.g. EDZ9")] string FuturesCode,
[ExcelArgument(Description = "Rate Index")] string RateIndex,
[ExcelArgument(Description = "Price")] double Price,
[ExcelArgument(Description = "Quantity in lots")] double Quantity,
[ExcelArgument(Description = "Forecast Curve")] string ForecastCurve,
[ExcelArgument(Description = "Solve Curve name ")] object SolveCurve,
[ExcelArgument(Description = "Solve Pillar Date")] object SolvePillarDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (!ContainerStores.GetObjectCache <FloatRateIndex>().TryGetObject(RateIndex, out var rIndex))
{
_logger?.LogInformation("Rate index {index} not found in cache", RateIndex);
return $"Rate index {RateIndex} not found in cache";
}
var c = new FutureCode(FuturesCode, DateTime.Today.Year - 2, ContainerStores.SessionContainer.GetService <IFutureSettingsProvider>());
var expiry = c.GetExpiry();
var accrualStart = expiry.FirstDayOfMonth();
var accrualEnd = expiry.LastDayOfMonth();
var dcf = accrualStart.CalculateYearFraction(accrualEnd, rIndex.Value.DayCountBasis);
var product = new OISFuture
{
Currency = rIndex.Value.Currency,
ContractSize = c.Settings.LotSize,
DCF = dcf,
AverageStartDate = accrualStart,
AverageEndDate = accrualEnd,
ForecastCurve = ForecastCurve,
Index = rIndex.Value,
Position = Quantity,
Price = Price,
SolveCurve = SolveCurve.OptionalExcel(rIndex.Name),
PillarDate = SolvePillarDate.OptionalExcel(accrualEnd),
TradeId = ObjectName
};
return ExcelHelper.PushToCache(product, ObjectName);
}));
}
public static object CreateFixingDictionaryForRollingFuture(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Futures code, e.g. QS or CO")] string FuturesCode,
[ExcelArgument(Description = "1st month fixings array, 1st column dates / 2nd column fixings")] object[,] Fixings1m,
[ExcelArgument(Description = "2nd month fixings array, 1st column dates / 2nd column fixings")] object[,] Fixings2m)
{
return(ExcelHelper.Execute(_logger, () =>
{
var dict = new FixingDictionary
{
Name = AssetId,
AssetId = AssetId,
FixingDictionaryType = FixingDictionaryType.Asset
};
var futuresProvider = ContainerStores.SessionContainer.GetRequiredService <IFutureSettingsProvider>();
var dictData1m = Fixings1m.RangeToDictionary <DateTime, double>();
var dictData2m = Fixings2m.RangeToDictionary <DateTime, double>();
var fc = new FutureCode(FuturesCode, futuresProvider);
fc.YearBeforeWhich2DigitDatesAreUsed = DateTime.Today.Year - 2;
foreach (var kv in dictData1m)
{
var currentFM = fc.GetFrontMonth(kv.Key, true);
var cfm = new FutureCode(currentFM, DateTime.Today.Year - 2, futuresProvider);
if (kv.Key <= cfm.GetRollDate())
{
dict.Add(kv.Key, kv.Value);
}
else
{
dict.Add(kv.Key, dictData2m[kv.Key]);
}
}
return ExcelHelper.PushToCache <IFixingDictionary>(dict, ObjectName);
}));
}
public void Finish(IFeatureCollection collection)
{
if (!_timesteps.IsComplete)
{
return;
}
//vols...
_vols = new double[_timesteps.TimeStepCount][];
for (var t = 0; t < _vols.Length; t++)
{
_vols[t] = new double[_codes.Count];
for (var c = 0; c < _vols[t].Length; c++)
{
_vols[t][c] = _surface.GetVolForDeltaStrike(0.5, _futuresExpiries[c], 1.0);
}
}
//work out which futures are front-month
var fCode = new FutureCode(_name, _futureSettingsProvider);
var codesForDate = _timesteps.Dates.Select(d => fCode.GetFrontMonth(d));
var mappingFeature = collection.GetFeature <IPathMappingFeature>();
_frontMonthFactors = codesForDate.Select(c => mappingFeature.GetDimension(c)).ToList();
_isComplete = true;
}
public void CheckPreviousCodeExamples(string previousCode, string futureCode)
{
var code = new FutureCode(futureCode, 2016, TestProviderHelper.FutureSettingsProvider);
Assert.Equal(previousCode, code.GetPreviousCode());
}
public void CheckNextCodeExamples(string futureCode, string nextCode)
{
var code = new FutureCode(futureCode, 2016, TestProviderHelper.FutureSettingsProvider);
Assert.Equal(nextCode, code.GetNextCode(false));
}
