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 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 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 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;
}
