public void Calculate_CurrentPeriodEqualToStorageEndStorageMustBeEmptyAtEnd_ResultWithEmptyDecisionProfile()
{
var currentPeriod = new Day(2019, 9, 30);
IntrinsicStorageValuationResults <Day> valuationResults = GenerateValuationResults(0.0,
TimeSeries <Day, double> .Empty, currentPeriod);
Assert.True(valuationResults.StorageProfile.IsEmpty);
}
public void Calculate_CurrentPeriodEqualToStorageEndStorageMustBeEmptyAtEnd_ResultWithZeroNetPresentValue()
{
var currentPeriod = new Day(2019, 9, 30);
IntrinsicStorageValuationResults <Day> valuationResults = GenerateValuationResults(0.0,
TimeSeries <Day, double> .Empty, currentPeriod);
Assert.Equal(0.0, valuationResults.NetPresentValue);
}
public void Calculate_CurrentPeriodEqualToStorageEndStorageInventoryHasTerminalValue_ResultWithEmptyDecisionProfile()
{
const double terminalInventory = 120.1;
const double forwardPriceForEndDate = 45.67;
IntrinsicStorageValuationResults <Day> valuationResults =
GenerateValuationResults_CurrentPeriodEqualToStorageEndStorageInventoryHasTerminalValue(terminalInventory, forwardPriceForEndDate);
Assert.True(valuationResults.StorageProfile.IsEmpty);
}
public void Calculate_ZeroInventoryCurveBackwardated_ResultWithZeroNetPresentValue()
{
var currentPeriod = new Day(2019, 9, 15);
var forwardCurve = GenerateBackwardatedCurve(new Day(2019, 9, 1),
new Day(2019, 9, 30));
IntrinsicStorageValuationResults <Day> valuationResults = GenerateValuationResults(0.0, forwardCurve, currentPeriod);
Assert.Equal(0.0, valuationResults.NetPresentValue);
}
public void Calculate_CurrentPeriodEqualToStorageEndStorageInventoryHasTerminalValue_ResultWithNetPresentValueEqualToTerminalValue()
{
const double terminalInventory = 120.1;
const double forwardPriceForEndDate = 45.67;
IntrinsicStorageValuationResults <Day> valuationResults =
GenerateValuationResults_CurrentPeriodEqualToStorageEndStorageInventoryHasTerminalValue(terminalInventory, forwardPriceForEndDate);
double expectedNpv = terminalInventory * forwardPriceForEndDate - 999.0; // Arbitrary terminal function defined for storage
Assert.Equal(expectedNpv, valuationResults.NetPresentValue);
}
public void Calculate_ZeroInventoryCurveBackwardated_ResultWithZerosDecisionProfile()
{
var currentPeriod = new Day(2019, 9, 15);
var forwardCurve = GenerateBackwardatedCurve(new Day(2019, 9, 1),
new Day(2019, 9, 30));
IntrinsicStorageValuationResults <Day> valuationResults = GenerateValuationResults(0.0, forwardCurve, currentPeriod);
AssertDecisionProfileAllZeros(valuationResults.StorageProfile,
new Day(2019, 9, 15),
new Day(2019, 9, 30));
}
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);
}
GenerateValuationResults_CurrentPeriodEqualToStorageEndStorageInventoryHasTerminalValue(double startingInventory,
double forwardPrice)
{
var storageStart = new Day(2019, 9, 1);
var storageEnd = new Day(2019, 9, 30);
TimeSeries <Month, Day> settlementDates = new TimeSeries <Month, Day> .Builder
{
{ new Month(2019, 9), new Day(2019, 10, 5) }
}.Build();
CmdtyStorage <Day> storage = CmdtyStorage <Day> .Builder
.WithActiveTimePeriod(storageStart, storageEnd)
.WithConstantInjectWithdrawRange(-45.5, 56.6)
.WithConstantMinInventory(0.0)
.WithConstantMaxInventory(1000.0)
.WithPerUnitInjectionCost(0.8, injectionDate => injectionDate)
.WithNoCmdtyConsumedOnInject()
.WithPerUnitWithdrawalCost(1.2, withdrawalDate => withdrawalDate)
.WithNoCmdtyConsumedOnWithdraw()
.WithNoCmdtyInventoryLoss()
.WithNoInventoryCost()
.WithTerminalInventoryNpv((cmdtyPrice, terminalInventory) => cmdtyPrice * terminalInventory - 999.0)
.Build();
var forwardCurve = new TimeSeries <Day, double> .Builder(1)
{
{ storageEnd, forwardPrice }
}
.Build();
IntrinsicStorageValuationResults <Day> valuationResults = IntrinsicStorageValuation <Day>
.ForStorage(storage)
.WithStartingInventory(startingInventory)
.ForCurrentPeriod(storageEnd)
.WithForwardCurve(forwardCurve)
.WithMonthlySettlement(settlementDates)
.WithDiscountFactorFunc((valuationDate, cashFlowDate) => 1.0) // No discounting
.WithFixedGridSpacing(10.0)
.WithLinearInventorySpaceInterpolation()
.WithNumericalTolerance(1E-10)
.Calculate();
return(valuationResults);
}
private static IntrinsicStorageValuationResults <Day> IntrinsicValuationZeroInventoryForwardCurveWithSpread(double forwardSpread)
{
var currentPeriod = new Day(2019, 9, 15);
const double lowerForwardPrice = 56.6;
double higherForwardPrice = lowerForwardPrice + forwardSpread;
var forwardCurveBuilder = new TimeSeries <Day, double> .Builder();
foreach (var day in new Day(2019, 9, 15).EnumerateTo(new Day(2019, 9, 22)))
{
forwardCurveBuilder.Add(day, lowerForwardPrice);
}
foreach (var day in new Day(2019, 9, 23).EnumerateTo(new Day(2019, 9, 30)))
{
forwardCurveBuilder.Add(day, higherForwardPrice);
}
IntrinsicStorageValuationResults <Day> valuationResults = GenerateValuationResults(0.0,
forwardCurveBuilder.Build(), currentPeriod);
return(valuationResults);
}
public static object StorageIntrinsicDecisionProfile(
DateTime valuationDate,
DateTime storageStart,
DateTime storageEnd,
object injectWithdrawConstraints,
[ExcelArgument(Name = ExcelArg.RatchetInterpolation.Name, Description = ExcelArg.RatchetInterpolation.Description)] string injectWithdrawInterpolation,
double injectionCostRate,
double cmdtyConsumedOnInjection,
double withdrawalCostRate,
double cmdtyConsumedOnWithdrawal,
double currentInventory,
object forwardCurve,
object interestRateCurve,
object numGlobalGridPoints, // TODO excel argument says default is 100
object numericalTolerance,
[ExcelArgument(Name = "Granularity")] object granularity)
{
return(StorageExcelHelper.ExecuteExcelFunction(() =>
{
IntrinsicStorageValuationResults <Day> valuationResults = IntrinsicStorageVal <Day>(valuationDate, storageStart, storageEnd,
injectWithdrawConstraints, injectWithdrawInterpolation,
injectionCostRate, cmdtyConsumedOnInjection, withdrawalCostRate,
cmdtyConsumedOnWithdrawal,
currentInventory, forwardCurve, interestRateCurve, numGlobalGridPoints, numericalTolerance);
var resultArray = new object[valuationResults.StorageProfile.Count, 3];
for (int i = 0; i < resultArray.GetLength(0); i++)
{
resultArray[i, 0] = valuationResults.StorageProfile.Indices[i].Start;
resultArray[i, 1] = valuationResults.StorageProfile[i].InjectWithdrawVolume;
resultArray[i, 2] = valuationResults.StorageProfile[i].CmdtyConsumed;
}
return resultArray;
}));
}
static void Main(string[] args)
{
const double constantMaxInjectRate = 5.26;
const double constantMaxWithdrawRate = 14.74;
const double constantMaxInventory = 1100.74;
const double constantMinInventory = 0.0;
const double constantInjectionCost = 0.48;
const double constantWithdrawalCost = 0.74;
CmdtyStorage <Day> storage = CmdtyStorage <Day> .Builder
.WithActiveTimePeriod(new Day(2019, 9, 1), new Day(2019, 10, 1))
.WithConstantInjectWithdrawRange(-constantMaxWithdrawRate, constantMaxInjectRate)
.WithConstantMinInventory(constantMinInventory)
.WithConstantMaxInventory(constantMaxInventory)
.WithPerUnitInjectionCost(constantInjectionCost, injectionDate => injectionDate)
.WithNoCmdtyConsumedOnInject()
.WithPerUnitWithdrawalCost(constantWithdrawalCost, withdrawalDate => withdrawalDate)
.WithNoCmdtyConsumedOnWithdraw()
.WithNoCmdtyInventoryLoss()
.WithNoCmdtyInventoryCost()
.MustBeEmptyAtEnd()
.Build();
var currentPeriod = new Day(2019, 9, 15);
const double lowerForwardPrice = 56.6;
const double forwardSpread = 87.81;
double higherForwardPrice = lowerForwardPrice + forwardSpread;
var forwardCurveBuilder = new TimeSeries <Day, double> .Builder();
foreach (var day in new Day(2019, 9, 15).EnumerateTo(new Day(2019, 9, 22)))
{
forwardCurveBuilder.Add(day, lowerForwardPrice);
}
foreach (var day in new Day(2019, 9, 23).EnumerateTo(new Day(2019, 10, 1)))
{
forwardCurveBuilder.Add(day, higherForwardPrice);
}
const double startingInventory = 50.0;
IntrinsicStorageValuationResults <Day> valuationResults = IntrinsicStorageValuation <Day>
.ForStorage(storage)
.WithStartingInventory(startingInventory)
.ForCurrentPeriod(currentPeriod)
.WithForwardCurve(forwardCurveBuilder.Build())
.WithCmdtySettlementRule(day => day.First <Month>().Offset(1).First <Day>().Offset(5)) // Commodity is settled on the 5th day of the next month
.WithDiscountFactorFunc(day => 1.0) // Assumes to discounting
.WithFixedGridSpacing(10.0)
.WithLinearInventorySpaceInterpolation()
.WithNumericalTolerance(1E-12)
.Calculate();
Console.WriteLine("Calculated intrinsic storage NPV: " + valuationResults.NetPresentValue.ToString("F2"));
Console.WriteLine();
Console.WriteLine("Decision profile:");
Console.WriteLine(valuationResults.DecisionProfile.FormatData("F2", -1));
Console.WriteLine("Press any key to exit");
Console.ReadKey();
}