/// <summary>
/// X = Price , Y = Volume, Z - Hour
/// Transform the X and Y values so that they will match a grid structure,
/// starting from an uneven structure.
/// Assumes ordered points
/// </summary>
/// <param name="pcms"></param>
/// <returns></returns>
public List <PriceCurvesModel> NordPoolSpotVolumeCurvesToGrid(List <PriceCurvesModel> pcms)
{
/* Compute box values */
var minVolumeDemand = pcms.Min(x => x.DemandCurve.Min(y => y.Volume));
var minVolumeSupply = pcms.Min(x => x.SupplyCurve.Min(y => y.Volume));
var minVolume = minVolumeDemand <= minVolumeSupply ? minVolumeDemand : minVolumeSupply;
var maxVolumeDemand = pcms.Max(x => x.DemandCurve.Max(y => y.Volume));
var maxVolumeSupply = pcms.Max(x => x.SupplyCurve.Max(y => y.Volume));
var maxVolume = maxVolumeDemand >= maxVolumeSupply ? maxVolumeDemand : maxVolumeSupply;
/* Compute granularity */
var maxCountDemand = pcms.Max(x => x.DemandCurve.Count);
var maxCountSupply = pcms.Max(x => x.SupplyCurve.Count);
var maxCount = maxCountDemand >= maxCountSupply ? maxCountDemand : maxCountSupply;
/* Compute values using linear interpolation interpolations */
var volumeStep = (maxVolume - minVolume) / maxCount;
var result = new List <PriceCurvesModel>();
foreach (var priceCurvesModel in pcms)
{
var newPriceCurveModel = new PriceCurvesModel()
{
Hour = priceCurvesModel.Hour
};
/* Must have more than 2 sample points */
if (priceCurvesModel.DemandCurve.Count < 3 || priceCurvesModel.SupplyCurve.Count < 3)
{
continue;
}
for (int i = 0; i <= maxCount; i++)
{
var volume = minVolume + i * volumeStep;
var price = Interpolate(priceCurvesModel.DemandCurve, volume);
newPriceCurveModel.SupplyCurve.Add(new MarketPoint()
{
Volume = volume, Price = price
});
price = Interpolate(priceCurvesModel.SupplyCurve, volume);
newPriceCurveModel.DemandCurve.Add(new MarketPoint()
{
Volume = volume, Price = price
});
}
result.Add(newPriceCurveModel);
}
return(result);
}
public PriceCurvesSensitivity(PriceCurvesModel pcm, decimal prc)
{
_pcm = pcm;
_prc = prc;
}
public List <PriceCurvesModel> ReadNordPoolSpotPriceCurves(Stream excelFile)
{
var excelReader = ExcelReaderFactory.CreateBinaryReader(excelFile);
var result = excelReader.AsDataSet();
var curves = result.Tables[0];
var demandCurvesStartingPoints = CoordinatesOfTermInTable(curves, "Buy curve");
var supplyCurvesStartingPoints = CoordinatesOfTermInTable(curves, "Sell curve");
if (demandCurvesStartingPoints.Count != supplyCurvesStartingPoints.Count)
{
throw new Exception("Excel file has inconsistent data");
}
var pcmList = new List <PriceCurvesModel>();
for (int i = 0; i < demandCurvesStartingPoints.Count; i++)
{
var pcm = new PriceCurvesModel()
{
Hour = i
};
var demandPoint = demandCurvesStartingPoints[i];
var demandRow = demandPoint.X + 1;
/* Columns are identical, because both are on same column in the spreadsheet */
var col = demandPoint.Y + 1;
var supplyRow = supplyCurvesStartingPoints[i].X + 1;
/* Demands data */
for (int j = demandRow; j < supplyCurvesStartingPoints[i].X; j += 2)
{
var price = curves.Rows[j].ItemArray[col].ToString().TryCastToDecimal();
var volume = curves.Rows[j + 1].ItemArray[col].ToString().TryCastToDecimal();
pcm.DemandCurve.Add(new MarketPoint()
{
Price = price, Volume = volume
});
}
/* Ensure ordering */
pcm.DemandCurve = pcm.DemandCurve.OrderBy(d => d.Volume).ToList();
/* Supply data */
for (int j = supplyCurvesStartingPoints[i].X + 1; j < curves.Rows.Count; j += 2)
{
var po = curves.Rows[j].ItemArray[col];
var vo = curves.Rows[j + 1].ItemArray[col];
/* Reached bottom of spreadsheet*/
if (string.IsNullOrEmpty(po.ToString()) || string.IsNullOrEmpty(vo.ToString()))
{
break;
}
var price = po.ToString().TryCastToDecimal();
var volume = vo.ToString().TryCastToDecimal();
pcm.SupplyCurve.Add(new MarketPoint()
{
Price = price, Volume = volume
});
}
/* Ensure ordering */
pcm.SupplyCurve = pcm.SupplyCurve.OrderBy(d => d.Volume).ToList();
/* Must happen! */
pcm.CalculateEquilibrium();
pcmList.Add(pcm);
}
return(pcmList); //0.5 seconds for this shit... TOO MUCH!
}
public PriceCurvesSensitivity(PriceCurvesModel pcm, decimal prc)
{
_pcm = pcm;
_prc = prc;
}