public void Bootstrap_WithZeroWeightedContract_ThrowsArgumentException()
{
var builder = new Bootstrapper <Day>()
.AddContract(new Day(2019, 1, 7), new Day(2019, 1, 13), 58.45)
.AddContract(new Day(2019, 1, 12), new Day(2019, 1, 13), 60.87)
.WithAverageWeighting(Weighting.BusinessDayCount <Day>(new List <Day>()));
Assert.Throws(Is.TypeOf <ArgumentException>().And.Message.EqualTo(
"sum of weighting evaluated to non-positive number for the following contract: Start: 2019-01-12, End: 2019-01-13, Price: 60.87"),
() => builder.Bootstrap());
}
public void Price_MonthlyCurveBusinessDayWeight_EqualsWeightedAverage()
{
var curve = new DoubleCurve <Month>(Month.CreateJanuary(2020), new[] { 56.54, 54.15, 51.14 },
Weighting.BusinessDayCount <Month>(new Day[0]));
double q1Price = curve.Price(Quarter.CreateQuarter1(2020));
const double expectedQ1Price = (56.54 * 23.0 + 54.15 * 20.0 + 51.14 * 22.0) / 65.0;
Assert.AreEqual(expectedQ1Price, q1Price);
}
public void PriceStartAndEndParameters_MonthlyCurveBusinessDayWeight_EqualsWeightedAverage()
{
var curve = new DoubleCurve <Month>(Month.CreateJanuary(2020), new [] { 56.54, 54.15, 51.14 },
Weighting.BusinessDayCount <Month>(new Day[0]));
double febMarPrice = curve.Price(Month.CreateFebruary(2020), Month.CreateMarch(2020));
const double expectedFebMarPrice = (54.15 * 20.0 + 51.14 * 22.0) / 42.0;
Assert.AreEqual(expectedFebMarPrice, febMarPrice);
}
static void Main()
{
//===============================================================================================
// BASIC BOOTSTRAPPING CALCULATION
// Bootstrapping 1 quarterly price and 1 monthly price into a monthly curve
BootstrapResults <Month> bootstrapResults = new Bootstrapper <Month>()
.AddContract(Month.CreateJanuary(2020), 19.05)
.AddContract(Quarter.CreateQuarter1(2020), 17.22)
.Bootstrap();
Console.WriteLine("Derived piecewise flat curve:");
Console.WriteLine(bootstrapResults.Curve.FormatData("F5"));
Console.WriteLine();
Console.WriteLine("Equivalent bootstrapped contracts:");
foreach (Contract <Month> contract in bootstrapResults.BootstrappedContracts)
{
Console.WriteLine(contract);
}
Console.WriteLine();
Console.WriteLine();
//===============================================================================================
// APPLYING SHAPING DURING BOOTSTRAPPING
var jan20 = Month.CreateJanuary(2020);
var feb20 = Month.CreateFebruary(2020);
var mar20 = Month.CreateMarch(2020);
// Shaping applied as a ratio between Feb and Mar
const double ratio = 1.1;
var(pieceWiseCurveWithRatio, _) = new Bootstrapper <Month>()
.AddContract(jan20, 19.05)
.AddContract(Quarter.CreateQuarter1(2020), 17.22)
.AddShaping(Shaping <Month> .Ratio.Between(feb20).And(mar20).Is(ratio))
.Bootstrap();
Console.WriteLine($"Derived piecewise flat curve with {ratio} ratio applied between Feb and Mar:");
Console.WriteLine(pieceWiseCurveWithRatio.FormatData("F5"));
Console.WriteLine();
Console.WriteLine("Ratio in derived curve: {0:F5}",
pieceWiseCurveWithRatio[feb20] / pieceWiseCurveWithRatio[mar20]);
Console.WriteLine();
Console.WriteLine();
// Shaping applied as a spread between Feb and Mar
const double spread = 0.21;
var(pieceWiseCurveWithSpread, _) = new Bootstrapper <Month>()
.AddContract(jan20, 19.05)
.AddContract(Quarter.CreateQuarter1(2020), 17.22)
.AddShaping(Shaping <Month> .Spread.Between(feb20).And(mar20).Is(spread))
.Bootstrap();
Console.WriteLine($"Derived piecewise flat curve with {spread} spread applied between Feb and Mar:");
Console.WriteLine(pieceWiseCurveWithSpread.FormatData("F5"));
Console.WriteLine();
Console.WriteLine("Spread in derived curve: {0:F5}",
pieceWiseCurveWithSpread[feb20] - pieceWiseCurveWithSpread[mar20]);
Console.WriteLine();
Console.WriteLine();
//===============================================================================================
// HANDLING REDUNDANCY OF CONTRACTS AND SHAPING FACTORS
try
{
// If the price of Feb-20 is added, this essentially represents redundancy in the inputs, resulting in an exception
new Bootstrapper <Month>()
.AddContract(jan20, 22.95)
.AddContract(feb20, 21.05)
.AddContract(Quarter.CreateQuarter1(2020), 19.05)
.AddShaping(Shaping <Month> .Spread.Between(feb20).And(mar20).Is(spread))
.Bootstrap();
}
catch (ArgumentException e)
{
Console.WriteLine("Exception raised when redundancy inputs provided:");
Console.WriteLine(e);
}
Console.WriteLine();
Console.WriteLine();
// Using AllowRedundancy() allows the calculation to perform without checks on redundancy
var(pieceWiseCurveWithRedundancy, _) = new Bootstrapper <Month>()
.AddContract(jan20, 22.95)
.AddContract(feb20, 21.05)
.AddContract(Quarter.CreateQuarter1(2020), 19.05)
.AddShaping(Shaping <Month> .Spread.Between(feb20).And(mar20).Is(spread))
.AllowRedundancy()
.Bootstrap();
Console.WriteLine("Derived piecewise flat curve with redundant inputs, after AllowRedundancy() called:");
Console.WriteLine(pieceWiseCurveWithRedundancy.FormatData("F5"));
Console.WriteLine();
Console.WriteLine();
//===============================================================================================
// APPLYING AN ALTERNATIVE WEIGHTING SCHEME
// By default, the bootstrap calculations assume averages are weighted by the number of minutes in a contract period.
// This assumption is fine for instruments where the commodity is delivered at a constant rate, e.g. natural gas forwards.
// An alternative weighting scheme can be added by calling WithAverageWeighting and supplying a weighting scheme as a function.
// The below example makes use of the Weighting helper class to provide the weighting function as the count of business days.
// An example of when such a weighting scheme should be used is for oil swaps, based on an index which is only published on a business day.
var holidays = new List <Day>()
{
new Day(2020, 1, 1)
};
Func <Month, double> busDayWeight = Weighting.BusinessDayCount <Month>(holidays);
var(pieceWiseCurveBusDayWeight, _) = new Bootstrapper <Month>()
.AddContract(jan20, 19.05)
.AddContract(Quarter.CreateQuarter1(2020), 17.22)
.WithAverageWeighting(busDayWeight)
.Bootstrap();
Console.WriteLine("Derived piecewise flat curve with business day weighting:");
Console.WriteLine(pieceWiseCurveBusDayWeight.FormatData("F5"));
Console.ReadKey();
}
static void Main(string[] args)
{
// The following code shows how to use the spline to derive a smooth daily curve from
// monthly and quarterly granularity input contract prices. Also demonstrated is the
// optional seasonal adjustment factor, in this case used to apply day-of-week seasonality.
var dayOfWeekAdjustment = new Dictionary <DayOfWeek, double>
{
[DayOfWeek.Monday] = 0.95,
[DayOfWeek.Tuesday] = 0.99,
[DayOfWeek.Wednesday] = 1.05,
[DayOfWeek.Thursday] = 1.01,
[DayOfWeek.Friday] = 0.98,
[DayOfWeek.Saturday] = 0.92,
[DayOfWeek.Sunday] = 0.91
};
DoubleCurve <Day> curve = new MaxSmoothnessSplineCurveBuilder <Day>()
.AddContract(Month.CreateJuly(2019), 77.98)
.AddContract(Month.CreateAugust(2019), 76.01)
.AddContract(Month.CreateSeptember(2019), 78.74)
.AddContract(Quarter.CreateQuarter4(2019), 85.58)
.AddContract(Quarter.CreateQuarter1(2020), 87.01)
.WithMultiplySeasonalAdjustment(day => dayOfWeekAdjustment[day.DayOfWeek])
.BuildCurve();
Console.WriteLine(curve.FormatData("F5"));
Console.WriteLine();
Console.WriteLine();
//===============================================================================================
// APPLYING AN ALTERNATIVE WEIGHTING SCHEME
// By default, the spline calculations assume averages are weighted by the number of minutes in a contract period.
// This assumption is fine for instruments where the commodity is delivered at a constant rate, e.g. natural gas forwards.
// An alternative weighting scheme can be added by calling WithAverageWeighting and supplying a weighting scheme as a function.
// The below example makes use of the Weighting helper class to provide the weighting function as the count of business days.
// An example of when such a weighting scheme should be used is for oil swaps, based on an index which is only published on a business day
// to create a monthly curve from quarterly granularity inputs.
var holidays = new List <Day>()
{
new Day(2020, 1, 1)
};
Func <Month, double> busDayWeight = Weighting.BusinessDayCount <Month>(holidays);
var contracts = new List <Contract <Month> >()
{
Contract <Month> .Create(Quarter.CreateQuarter4(2019), 76.58),
Contract <Month> .Create(Quarter.CreateQuarter1(2020), 77.20),
Contract <Month> .Create(Quarter.CreateQuarter2(2020), 76.01),
Contract <Month> .Create(Quarter.CreateQuarter3(2020), 74.95),
Contract <Month> .Create(Quarter.CreateQuarter4(2020), 74.92),
};
DoubleCurve <Month> curveBusDayWeight = new MaxSmoothnessSplineCurveBuilder <Month>()
.AddContracts(contracts)
.WithWeighting(busDayWeight)
.BuildCurve();
Console.WriteLine("Derived smooth curve with business day weighting:");
Console.WriteLine(curveBusDayWeight.FormatData("F5", -1));
Console.ReadKey();
}
