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Added samples project for Trinomial Tree valuation
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6 files changed

+154
-5
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‎samples/csharp/Cmdty.Storage.Samples.Intrinsic/Cmdty.Storage.Samples.Intrinsic.csproj

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<PropertyGroup>
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<OutputType>Exe</OutputType>
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<TargetFramework>netcoreapp2.1</TargetFramework>
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<TargetFramework>netcoreapp3.1</TargetFramework>
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</PropertyGroup>
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<ItemGroup>

‎samples/csharp/Cmdty.Storage.Samples.Intrinsic/Program.cs

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@@ -31,8 +31,6 @@ namespace Cmdty.Storage.Samples.Intrinsic
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{
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class Program
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{
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static void Main(string[] args)
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{
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const double constantMaxInjectRate = 5.26;
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.WithStartingInventory(startingInventory)
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.ForCurrentPeriod(currentPeriod)
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.WithForwardCurve(forwardCurveBuilder.Build())
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.WithCmdtySettlementRule(day => day.First<Month>().Offset(1).First<Day>().Offset(5))
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.WithDiscountFactorFunc(day => 1.0)
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.WithCmdtySettlementRule(day => day.First<Month>().Offset(1).First<Day>().Offset(5)) // Commodity is settled on the 5th day of the next month
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.WithDiscountFactorFunc(day => 1.0) // Assumes to discounting
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.WithFixedGridSpacing(10.0)
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.WithLinearInventorySpaceInterpolation()
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.WithNumericalTolerance(1E-12)
@@ -94,6 +92,7 @@ static void Main(string[] args)
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Console.WriteLine("Decision profile:");
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Console.WriteLine(valuationResults.DecisionProfile.FormatData("F2", -1));
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Console.WriteLine("Press any key to exit");
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Console.ReadKey();
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}
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}

‎samples/csharp/Cmdty.Storage.Samples.Trinomial/Cmdty.Storage.Samples.Trinomial.csproj

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<Project Sdk="Microsoft.NET.Sdk">
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<PropertyGroup>
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<OutputType>Exe</OutputType>
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<TargetFramework>netcoreapp3.1</TargetFramework>
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</PropertyGroup>
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<ItemGroup>
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<PackageReference Include="Cmdty.Storage" Version="0.1.0-beta2" />
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</ItemGroup>
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</Project>

‎samples/csharp/Cmdty.Storage.Samples.Trinomial/Program.cs

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#region License
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// Copyright (c) 2019 Jake Fowler
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//
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// Permission is hereby granted, free of charge, to any person
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// obtaining a copy of this software and associated documentation
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// files (the "Software"), to deal in the Software without
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// restriction, including without limitation the rights to use,
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// copy, modify, merge, publish, distribute, sublicense, and/or sell
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// copies of the Software, and to permit persons to whom the
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// Software is furnished to do so, subject to the following
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// conditions:
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//
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// The above copyright notice and this permission notice shall be
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// included in all copies or substantial portions of the Software.
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//
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
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// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
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// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
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// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
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// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
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// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
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// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
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// OTHER DEALINGS IN THE SOFTWARE.
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#endregion
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using System;
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using Cmdty.TimePeriodValueTypes;
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using Cmdty.TimeSeries;
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namespace Cmdty.Storage.Samples.Trinomial
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{
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class Program
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{
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static void Main(string[] args)
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{
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const double constantMaxInjectRate = 5.26;
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const double constantMaxWithdrawRate = 14.74;
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const double constantMaxInventory = 1100.74;
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const double constantMinInventory = 0.0;
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const double constantInjectionCost = 0.48;
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const double constantWithdrawalCost = 0.74;
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CmdtyStorage<Day> storage = CmdtyStorage<Day>.Builder
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.WithActiveTimePeriod(new Day(2019, 9, 1), new Day(2019, 10, 1))
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.WithConstantInjectWithdrawRange(-constantMaxWithdrawRate, constantMaxInjectRate)
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.WithConstantMinInventory(constantMinInventory)
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.WithConstantMaxInventory(constantMaxInventory)
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.WithPerUnitInjectionCost(constantInjectionCost, injectionDate => injectionDate)
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.WithNoCmdtyConsumedOnInject()
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.WithPerUnitWithdrawalCost(constantWithdrawalCost, withdrawalDate => withdrawalDate)
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.WithNoCmdtyConsumedOnWithdraw()
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.WithNoCmdtyInventoryLoss()
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.WithNoCmdtyInventoryCost()
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.MustBeEmptyAtEnd()
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.Build();
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var currentPeriod = new Day(2019, 9, 15);
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const double lowerForwardPrice = 56.6;
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const double forwardSpread = 87.81;
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double higherForwardPrice = lowerForwardPrice + forwardSpread;
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var forwardCurveBuilder = new TimeSeries<Day, double>.Builder();
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foreach (var day in new Day(2019, 9, 15).EnumerateTo(new Day(2019, 9, 22)))
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{
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forwardCurveBuilder.Add(day, lowerForwardPrice);
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}
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foreach (var day in new Day(2019, 9, 23).EnumerateTo(new Day(2019, 10, 1)))
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{
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forwardCurveBuilder.Add(day, higherForwardPrice);
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}
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TimeSeries<Month, Day> cmdtySettlementDates = new TimeSeries<Month, Day>.Builder
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{
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{new Month(2019, 9), new Day(2019, 10, 20) }
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}.Build();
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const double interestRate = 0.025;
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// Trinomial tree model parameters
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const double spotPriceMeanReversion = 5.5;
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const double onePeriodTimeStep = 1.0 / 365.0;
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TimeSeries<Day, double> spotVolatility = new TimeSeries<Day, double>.Builder
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{
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{new Day(2019, 9, 15), 0.975},
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{new Day(2019, 9, 16), 0.97},
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{new Day(2019, 9, 17), 0.96},
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{new Day(2019, 9, 18), 0.91},
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{new Day(2019, 9, 19), 0.89},
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{new Day(2019, 9, 20), 0.895},
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{new Day(2019, 9, 21), 0.891},
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{new Day(2019, 9, 22), 0.89},
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{new Day(2019, 9, 23), 0.875},
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{new Day(2019, 9, 24), 0.872},
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{new Day(2019, 9, 25), 0.871},
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{new Day(2019, 9, 26), 0.870},
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{new Day(2019, 9, 27), 0.869},
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{new Day(2019, 9, 28), 0.868},
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{new Day(2019, 9, 29), 0.867},
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{new Day(2019, 9, 30), 0.866},
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{new Day(2019, 10, 1), 0.8655}
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}.Build();
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const double startingInventory = 50.0;
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TreeStorageValuationResults<Day> valuationResults = TreeStorageValuation<Day>
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.ForStorage(storage)
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.WithStartingInventory(startingInventory)
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.ForCurrentPeriod(currentPeriod)
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.WithForwardCurve(forwardCurveBuilder.Build())
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.WithOneFactorTrinomialTree(spotVolatility, spotPriceMeanReversion, onePeriodTimeStep)
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.WithMonthlySettlement(cmdtySettlementDates)
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.WithAct365ContinuouslyCompoundedInterestRate(settleDate => interestRate)
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.WithFixedGridSpacing(10.0)
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.WithLinearInventorySpaceInterpolation()
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.WithNumericalTolerance(1E-12)
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.Calculate();
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Console.WriteLine("Calculated storage NPV: " + valuationResults.NetPresentValue.ToString("F2"));
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Console.WriteLine();
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Console.WriteLine("Press any key to exit");
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Console.ReadKey();
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}
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}
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}

‎samples/csharp/Cmdty.Storage.Samples.sln

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@@ -11,6 +11,8 @@ Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "Solution Items", "Solution
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NuGet.config = NuGet.config
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EndProjectSection
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EndProject
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Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Cmdty.Storage.Samples.Trinomial", "Cmdty.Storage.Samples.Trinomial\Cmdty.Storage.Samples.Trinomial.csproj", "{7B3DA54B-7FDF-47FB-A18C-6C7A6F745E10}"
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EndProject
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Global
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GlobalSection(SolutionConfigurationPlatforms) = preSolution
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Debug|Any CPU = Debug|Any CPU
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{DCE9B12B-ED10-497A-8145-A25143CF96A7}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{DCE9B12B-ED10-497A-8145-A25143CF96A7}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{DCE9B12B-ED10-497A-8145-A25143CF96A7}.Release|Any CPU.Build.0 = Release|Any CPU
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{7B3DA54B-7FDF-47FB-A18C-6C7A6F745E10}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
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{7B3DA54B-7FDF-47FB-A18C-6C7A6F745E10}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{7B3DA54B-7FDF-47FB-A18C-6C7A6F745E10}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{7B3DA54B-7FDF-47FB-A18C-6C7A6F745E10}.Release|Any CPU.Build.0 = Release|Any CPU
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EndGlobalSection
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GlobalSection(SolutionProperties) = preSolution
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HideSolutionNode = FALSE

‎samples/csharp/Cmdty.Storage.Samples.sln.DotSettings

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<wpf:ResourceDictionary xml:space="preserve" xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml" xmlns:s="clr-namespace:System;assembly=mscorlib" xmlns:ss="urn:shemas-jetbrains-com:settings-storage-xaml" xmlns:wpf="http://schemas.microsoft.com/winfx/2006/xaml/presentation">
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<s:Boolean x:Key="/Default/UserDictionary/Words/=Trinomial/@EntryIndexedValue">True</s:Boolean></wpf:ResourceDictionary>

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