Class CommodityCurve

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

A commodity forward curve: prices at dates, forward-flat between them and flat before the first and after the last, optionally on a basis curve whose prices it adds.

[Experimental("NQL0001")]
public sealed class CommodityCurve : TermStructure

Inheritance

object

Extrapolator

TermStructure

CommodityCurve

Inherited Members

TermStructure.TimeFromReference(Date)

TermStructure.ReferenceDate

TermStructure.DayCounter

TermStructure.Calendar

TermStructure.SettlementDays

TermStructure.MaxTime

Extrapolator.AllowsExtrapolation

object.GetType()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Extension Methods

ExtrapolatorExtensions.DisableExtrapolation<T>(T, bool)

ExtrapolatorExtensions.EnableExtrapolation<T>(T, bool)

Remarks

Immutable: QuantLib's setPrices and setBasisOfCurve change the curve, and here return a copy. Its constructor from dates has a fixed reference date, the first date; its constructor without dates follows the evaluation date (TermStructure(0, …)) and is the factory Create(string, CommodityType, Currency, UnitOfMeasure, Calendar, EvaluationContext, DayCounter?), whose curve gets its prices from SetPrices(IReadOnlyDictionary<Date, double>).

The node times are measured from the reference date. QuantLib's setPrices measures them from the first price's date, so on the moving-date curve with the first price ten days after today every price in the ten days before each node is the next node's (Divergences/CommodityCurveTests.cs); on the curve from dates the two are one.

A basis curve is read at the date, on its own reference date and day counter, and its price converted by the factor from this curve's unit to its unit, a price's conversion. QuantLib reads it at this curve's time, on this curve's clock, and converts by the factor from the basis curve's unit to this one's, which inverts it; where the two curves share their reference date, day counter and unit both give QuantLib's prices.

QuantLib's operator== compares the curves' names; compare Name, as for an index (FinancialIndex).

Constructors

CommodityCurve(string, CommodityType, Currency, UnitOfMeasure, Calendar, IReadOnlyList<Date>, IReadOnlyList<double>, DayCounter?)

Initializes a new instance of the CommodityCurve class, its reference date its first date.

public CommodityCurve(string name, CommodityType commodityType, Currency currency, UnitOfMeasure unitOfMeasure, Calendar calendar, IReadOnlyList<Date> dates, IReadOnlyList<double> prices, DayCounter? dayCounter = null)

Parameters

name string

The curve's name.

commodityType CommodityType

The commodity type.

currency Currency

The currency its prices are in.

unitOfMeasure UnitOfMeasure

The unit its prices are per.

calendar Calendar

The calendar.

dates IReadOnlyList<Date>

The price dates, increasing; at least two.

prices IReadOnlyList<double>

The prices, one per date.

dayCounter DayCounter

The day counter; QuantLib's default, Actual/365 (Fixed), when null.

Exceptions

ArgumentNullException

A string, the type, the currency, the unit, the calendar or a list is null.

NanoQLException

Fewer than two dates ("too few dates"), the counts differ, or a date isn't after the one before.

Properties

BasisOfCurve

Gets the basis curve whose prices this curve adds; null for none.

public CommodityCurve? BasisOfCurve { get; }

Property Value

CommodityCurve

CommodityType

Gets the commodity type.

public CommodityType CommodityType { get; }

Property Value

CommodityType

Currency

Gets the currency its prices are in.

public Currency Currency { get; }

Property Value

Currency

Dates

Gets the price dates.

public ImmutableArray<Date> Dates { get; }

Property Value

ImmutableArray<Date>

Empty

Gets a value indicating whether the curve has no prices.

public bool Empty { get; }

Property Value

bool

MaxDate

Gets the latest date for which the curve can return values.

public override Date MaxDate { get; }

Property Value

Date

Exceptions

NanoQLException

The curve has no prices.

Name

Gets the curve's name.

public string Name { get; }

Property Value

string

Nodes

Gets the dates with their prices.

public ImmutableArray<(Date Date, double Price)> Nodes { get; }

Property Value

ImmutableArray<(Date Date, double Price)>

Prices

Gets the prices.

public ImmutableArray<double> Prices { get; }

Property Value

ImmutableArray<double>

Times

Gets the node times, from the reference date.

public ImmutableArray<double> Times { get; }

Property Value

ImmutableArray<double>

UnitOfMeasure

Gets the unit its prices are per.

public UnitOfMeasure UnitOfMeasure { get; }

Property Value

UnitOfMeasure

Methods

BasisOfPrice(Date)

The basis curves' price at a date, converted into this curve's unit; 0 without a basis curve.

public double BasisOfPrice(Date d)

Parameters

d Date

The date.

Returns

double

The basis price.

Exceptions

ArgumentException

d is default(Date).

NanoQLException

A basis curve has no prices.

Create(string, CommodityType, Currency, UnitOfMeasure, Calendar, EvaluationContext, DayCounter?)

A curve with no prices whose reference date follows the evaluation date: QuantLib's constructor without dates, its reference date the evaluation date adjusted on the calendar. SetPrices(IReadOnlyDictionary<Date, double>) gives it its prices.

public static CommodityCurve Create(string name, CommodityType commodityType, Currency currency, UnitOfMeasure unitOfMeasure, Calendar calendar, EvaluationContext context, DayCounter? dayCounter = null)

Parameters

name string

The curve's name.

commodityType CommodityType

The commodity type.

currency Currency

The currency its prices are in.

unitOfMeasure UnitOfMeasure

The unit its prices are per.

calendar Calendar

The calendar.

context EvaluationContext

The evaluation context, whose evaluation date is read.

dayCounter DayCounter

The day counter; Actual/365 (Fixed) when null.

Returns

CommodityCurve

The curve, with a fixed reference date and no prices.

Exceptions

ArgumentNullException

An argument but the day counter is null.

Price(Date, ImmutableSortedDictionary<Date, ExchangeContract>?, int)

The price at a date, with every basis curve's: at the nearby contract's underlying start date when the offset is positive.

public double Price(Date d, ImmutableSortedDictionary<Date, ExchangeContract>? exchangeContracts, int nearbyOffset)

Parameters

d Date

The date.

exchangeContracts ImmutableSortedDictionary<Date, ExchangeContract>

The exchange contracts by date; read only when the offset is positive.

nearbyOffset int

The nearby contract, from 1; 0 or less for the date's own price.

Returns

double

The price.

Exceptions

ArgumentException

d is default(Date).

NanoQLException

The curve has no prices ("error retrieving price for curve …"), or not enough nearby contracts follow the date.

SetBasisOfCurve(CommodityCurve, EvaluationContext)

The curve on a basis curve: QuantLib's setBasisOfCurve.

public CommodityCurve SetBasisOfCurve(CommodityCurve basisOfCurve, EvaluationContext context)

Parameters

basisOfCurve CommodityCurve

The basis curve.

context EvaluationContext

The evaluation context, whose unit conversions give the basis price's factor.

Returns

CommodityCurve

A copy adding the basis curve's prices; this curve is unchanged.

Exceptions

ArgumentNullException

An argument is null.

NanoQLException

No conversion between the curves' units is held.

SetPrices(IReadOnlyDictionary<Date, double>)

The curve with new prices: QuantLib's setPrices, the dates in order, timed from the reference date.

public CommodityCurve SetPrices(IReadOnlyDictionary<Date, double> prices)

Parameters

prices IReadOnlyDictionary<Date, double>

The prices by date; at least two.

Returns

CommodityCurve

A copy with the prices, keeping the basis curve; this curve is unchanged.

Exceptions

ArgumentNullException

prices is null.

NanoQLException

Fewer than two prices ("too few prices").

ToString()

The curve as QuantLib's operator<< writes it: "[name] (USD/BBL)", and "; basis to (" with the basis curve's text and ")" where there is one.

public override string ToString()

Returns

string

The text.

UnderlyingPriceDate(Date, ImmutableSortedDictionary<Date, ExchangeContract>?, int)

The date a nearby curve prices a date at: the underlying start date of the contract the offset counts to among those on or after the date; the date itself when none is on or after it.

public Date UnderlyingPriceDate(Date date, ImmutableSortedDictionary<Date, ExchangeContract>? exchangeContracts, int nearbyOffset)

Parameters

date Date

The date.

exchangeContracts ImmutableSortedDictionary<Date, ExchangeContract>

The exchange contracts by date.

nearbyOffset int

The nearby contract, from 1.

Returns

Date

The date to price at.

Exceptions

ArgumentNullException

exchangeContracts is null.

NanoQLException

The offset isn't positive, or not enough contracts follow the date.