Set of tools written in C# for constructing commodity forward/futures/swap curves with a fluent API. Python API (created using pythonnet) also provided which integrates with the pandas library time series types.
The curves package contains a set of tools for building commodity forward, swaps, and futures curves.
More specifically, the problem being solved is to take a collection of traded forward prices, and tranform these into a forward curve of homogenous granularity. Additionally the derived curve can constructed to be in a granularity higher than what is traded in the market.
Examples of types of curve which can be constructed using this package:
- Monthly granularity oil products swap curves from traded monthly, quarterly, and calendar yearly granularity market swap rates.
- Daily granularity natural gas forward curves from traded daily, weekly, monthly, quarterly, seasonal, and gas year granularity forward and futures prices.
- Half-hourly granularity power forward curves from traded daily, weekly, monthly, quarterly, and seasonal granularity forward and futures prices.
The resulting curves should be consistent with inputs, in that they average back to the input forward contract prices. This is a necessary to ensure that there are no arbitrage opportunities introduced between input contracts, and the derived forward curve.
The core of the curves package essentially consists of two models; the bootstrapper and the spline.
- The bootstrapper model takes a set of forward prices, for contracts with overlapping delivery/fixing periods, and returns a curve with overlapping periods removed, but with prices consistent with the original inputs. In addition the bootstrapper can be used to apply shaping to the forward prices by applying a predefined spread or ratios between pairs of contract prices.
- The spline model allows the creation of a smooth curve, with higher granularity than the input contracts. This uses a maximum smoothness algorithm to interpolate input contracts with a fourth-order spline, whilst maintaining the average price constraints inherent in the input contract prices.
See Getting Started below for more details on how to use these two model from both C# and Python.
For use from C# install the NuGet package Cmdty.Curves.
PM> Install-Package Cmdty.Curves
For use from Python install the curves package from PyPI.
> pip install curves
Currently only a small amount of testing has been done for the Python package running on Linux (Ubuntu 18.04 LTS running in Windows 10 WSL) via the Mono runtime, using Python version 3.6.8. The following Linux dependencies have to be installed, as listed on the pythonnet wiki:
- Mono-develop or Mono-complete. Curves was successfully run after installing version 5.20.1.34 of Mono-complete. Note that pythonnet does not work with Mono version 6.x. See this page for instructions on installing older versions of Mono on Linux.
- clang.
- libglib2.0-dev.
- python-dev. Specifically the package python3.6-dev was installed.
It was also found that the PyPI package pycparser had to be installed, in order for the pythonnet PyPI package to install correctly.
This section gives some basic examples of using the C# API. For more sophisticated examples of usage see samples/csharp/.
The C# code below gives an example of user the bootstrapper on overlapping Q1-20 and Jan-20 forward prices.
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);
}This results in the following to be printed to the console.
Derived piecewise flat curve:
Count = 3
2020-01 19.05000
2020-02 16.27450
2020-03 16.27450
Equivalent bootstrapped contracts:
Start: 2020-01, End: 2020-01, Price: 19.05
Start: 2020-02, End: 2020-03, Price: 16.2745
See Program.cs for examples of applying shaping using the bootstrapper, and alternative average weighting schemes, e.g. business day weighting.
The following C# 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 application of a 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"));Which prints the following.
Count = 275
2019-07-01 77.68539
2019-07-02 80.83184
2019-07-03 85.59869
2019-07-04 82.21079
....................
2020-03-28 81.21869
2020-03-29 80.30742
2020-03-30 83.80771
2020-03-31 87.30550
See Program.cs for an example of using the spline with alternative average weighting scheme, e.g. business day weighting.
This section gives same basic example of using the Python package. See the Jupyter Notebook curves_tutorial for a more thorough introduction.
Below is a basic example showing prices for January and Q1 delivery period periods being bootstrapped into consistent January, February and March forward prices.
from curves import bootstrap_contracts
from datetime import date
q1_price = 19.05
contracts = [
(date(2019, 1, 1), 18.95), # Jan-19
(date(2019, 1, 1), date(2019, 3, 1), 19.05) # Q1-19
]
piecewise_curve, bootstrapped_contracts = bootstrap_contracts(contracts, freq='M')
print(piecewise_curve)
print()
for bc in bootstrapped_contracts:
print("{0}, {1}, {2:.3f}".format(repr(bc.start), repr(bc.end), bc.price))The above code prints to the following:
2019-01 18.950000
2019-02 19.102542
2019-03 19.102542
Freq: M, dtype: float64
Period('2019-01', 'M'), Period('2019-01', 'M'), 18.950
Period('2019-02', 'M'), Period('2019-03', 'M'), 19.103
The example below creates a daily granularity curve, from input contracts of various granularities. As would usually be the case in a practical scenario, the bootstrap_contracts method is first used to remove the overlaps from the contracts.
from curves import max_smooth_interp
from curves import contract_period as cp
contracts = [
(date(2019, 5, 31), 34.875),
(date(2019, 6, 1), date(2019, 6, 2), 32.87),
((date(2019, 6, 3), date(2019, 6, 9)), 32.14),
(pd.Period(year=2019, month=6, freq='M'), 31.08),
(cp.month(2019, 7), 29.95),
(cp.q_3(2019), 30.18),
(cp.q_4(2019), 37.64),
(cp.winter(2019), 38.05),
(cp.summer(2020), 32.39),
(cp.winter(2020), 37.84),
(cp.gas_year(2020), 35.12)
]
pc_for_spline, bc_for_spline = bootstrap_contracts(contracts, freq='D')
smooth_curve = max_smooth_interp(bc_for_spline, freq='D')
print(smooth_curve)Results in the following being printed:
2019-05-31 34.875000
2019-06-01 33.404383
2019-06-02 32.335617
2019-06-03 31.800171
2019-06-04 31.676636
2019-06-05 31.804146
2019-06-06 32.057113
2019-06-07 32.337666
2019-06-08 32.575648
2019-06-09 32.728620
2019-06-10 32.781858
2019-06-11 32.745075
...
2021-09-19 26.727181
2021-09-20 26.652039
2021-09-21 26.576895
2021-09-22 26.501749
2021-09-23 26.426602
2021-09-24 26.351454
2021-09-25 26.276305
2021-09-26 26.201156
2021-09-27 26.126006
2021-09-28 26.050856
2021-09-29 25.975706
2021-09-30 25.900556
Freq: D, Length: 854, dtype: float64
The PDF file max_smoothness_spline.pdf contains details of the mathematics behind the maximum smoothness algorithm.
This section describes how to run a scripted build on a cloned repo. Visual Studio 2019 is used for development, and can also be used to build the C# and run unit tests on the C# and Python APIs. However, the scripted build process also creates packages (NuGet and Python), builds the C# samples, and verifies the C# interactive documentation. Cake is used for running scripted builds. This is relevant for running the scripted build on Windows. For running on a non-Windows OS see Building from Linux and macOS.
The following are required on the host machine in order for the build to run.
- The .NET Core SDK. Check the global.json file for the version necessary, taking into account the matching rules used.
- The Python interpretter, accessible by being in a file location in the PATH environment variable. Version 3.6 is used, although other 3.x versions might work.
- The following Python packages installed:
- virtualenv.
- setuptools.
- wheel.
- The Try .NET global tool. This can be installed by running the following command.
> dotnet tool install -g dotnet-try
The build is started by running the PowerShell script build.ps1 from a PowerShell console, ISE, or the Visual Studio Package Manager Console.
PM> .\build.ps1
The following results of the build will be saved into the artifacts directory (which itelf will be created in the top directory of the repo).
- The NuGet package: Cmdty.Curves.[version].nupkg
- The Python package files:
- curves-[version]-py3-none-any.whl
- curves-[version].tar.gz
Running the full build on non-Windows plaforms is still work in progress- the aim to to make it completely plaform agnostic. However, at the moment only the C# parts of the build are functioning cross-plaform. Using the .NET Core SDK the C# code can be built and unit tested by running the following commands in the clone repo.
> dotnet build
> dotnet test
The Cake build can be invoked using the bootstrapper Bash script build.sh. This requires the .NET SDK and mono to be installed. After first granting it execute permissions as below, the "Pack-NuGet" target results in the building and unit testing of the C#, before the creation of the Cmdty.Curves NuGet package.
> chmod +x build.sh
> ./build.sh --target=Pack-NuGet.
This project is licensed under the MIT License - see the LICENSE file for details