private static TreeStorageValuationResults <T> TrinomialStorageValuation <T>(
DateTime valuationDateTime,
DateTime storageStartDateTime,
DateTime storageEndDateTime,
object ratchets,
string injectWithdrawInterpolation,
double injectionCostRate,
double cmdtyConsumedOnInjection,
double withdrawalCostRate,
double cmdtyConsumedOnWithdrawal,
double currentInventory,
object forwardCurveIn,
object spotVolatilityCurveIn,
double meanReversion,
object interestRateCurve,
object numGlobalGridPointsIn,
object numericalToleranceIn)
where T : ITimePeriod <T>
{
double numericalTolerance = StorageExcelHelper.DefaultIfExcelEmptyOrMissing(numericalToleranceIn, 1E-10,
"Numerical_tolerance");
var storage = StorageExcelHelper.CreateCmdtyStorageFromExcelInputs <T>(storageStartDateTime,
storageEndDateTime, ratchets, injectWithdrawInterpolation, injectionCostRate, cmdtyConsumedOnInjection,
withdrawalCostRate, cmdtyConsumedOnWithdrawal, numericalTolerance);
T currentPeriod = TimePeriodFactory.FromDateTime <T>(valuationDateTime);
TimeSeries <T, double> forwardCurve = StorageExcelHelper.CreateDoubleTimeSeries <T>(forwardCurveIn, "Forward_curve");
TimeSeries <T, double> spotVolatilityCurve = StorageExcelHelper.CreateDoubleTimeSeries <T>(spotVolatilityCurveIn, "Spot_volatility_curve");
// TODO input settlement dates
int numGridPoints =
StorageExcelHelper.DefaultIfExcelEmptyOrMissing <int>(numGlobalGridPointsIn, 100, "Num_global_grid_points");
double timeDelta = 1.0 / 365.0; // TODO remove this hard coding
Func <Day, double> interpolatedInterestRates =
StorageExcelHelper.CreateLinearInterpolatedInterestRateFunc(interestRateCurve, ExcelArg.InterestRateCurve.Name);
TreeStorageValuationResults <T> valuationResults = TreeStorageValuation <T>
.ForStorage(storage)
.WithStartingInventory(currentInventory)
.ForCurrentPeriod(currentPeriod)
.WithForwardCurve(forwardCurve)
.WithOneFactorTrinomialTree(spotVolatilityCurve, meanReversion, timeDelta)
.WithCmdtySettlementRule(period => period.First <Day>()) // TODO get rid if this
.WithAct365ContinuouslyCompoundedInterestRate(interpolatedInterestRates)
.WithFixedNumberOfPointsOnGlobalInventoryRange(numGridPoints)
.WithLinearInventorySpaceInterpolation()
.WithNumericalTolerance(numericalTolerance)
.Calculate();
return(valuationResults);
}
private static IntrinsicStorageValuationResults <T> IntrinsicStorageVal <T>(
DateTime valuationDateTime,
DateTime storageStartDateTime,
DateTime storageEndDateTime,
object injectWithdrawConstraints,
string injectWithdrawInterpolation,
double injectionCostRate,
double cmdtyConsumedOnInjection,
double withdrawalCostRate,
double cmdtyConsumedOnWithdrawal,
double currentInventory,
object forwardCurveIn,
object interestRateCurve,
object numGlobalGridPointsIn,
object numericalToleranceIn)
where T : ITimePeriod <T>
{
double numericalTolerance = StorageExcelHelper.DefaultIfExcelEmptyOrMissing(numericalToleranceIn, 1E-10,
"Numerical_tolerance");
var storage = StorageExcelHelper.CreateCmdtyStorageFromExcelInputs <T>(storageStartDateTime,
storageEndDateTime, injectWithdrawConstraints, injectWithdrawInterpolation, injectionCostRate, cmdtyConsumedOnInjection,
withdrawalCostRate, cmdtyConsumedOnWithdrawal, numericalTolerance);
T currentPeriod = TimePeriodFactory.FromDateTime <T>(valuationDateTime);
TimeSeries <T, double> forwardCurve = StorageExcelHelper.CreateDoubleTimeSeries <T>(forwardCurveIn, "Forward_curve");
// TODO input settlement dates and use interest rates
int numGridPoints =
StorageExcelHelper.DefaultIfExcelEmptyOrMissing <int>(numGlobalGridPointsIn, 100, "Num_global_grid_points");
IntrinsicStorageValuationResults <T> valuationResults = IntrinsicStorageValuation <T>
.ForStorage(storage)
.WithStartingInventory(currentInventory)
.ForCurrentPeriod(currentPeriod)
.WithForwardCurve(forwardCurve)
.WithCmdtySettlementRule(period => period.First <Day>()) // TODO get rid if this
.WithDiscountFactorFunc((currentDate, cashFlowDate) => 1.0) // TODO add proper discounting
.WithFixedNumberOfPointsOnGlobalInventoryRange(numGridPoints)
.WithLinearInventorySpaceInterpolation()
.WithNumericalTolerance(numericalTolerance)
.Calculate();
return(valuationResults);
}
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;
}));
}