README.md

Cmdty Core Library

Core tools for the valuation and optimisation of physical commodity assets. Currently under early stages of development.

Getting Started

Installing

PM> Install-Package Cmdty.Core -Version 0.1.0-beta2

Building a Trinomial Tree

The following example shows how to build a trinomial tree, fitted to a forward curve, with time varying volatility.

const double meanReversion = 16.0;
const double timeDelta = 1.0 / 365.0;

TimeSeries<Day, double> forwardCurve = new TimeSeries<Day,double>.Builder
{
    {new Day(2019, 8, 25), 85.96 },
    {new Day(2019, 8, 26), 86.05 },
    {new Day(2019, 8, 27), 87.58 },
    {new Day(2019, 8, 28), 86.96 },
    {new Day(2019, 8, 29), 86.77 },
    {new Day(2019, 8, 30), 86.99 }
}.Build();


TimeSeries<Day, double> spotVolatility = new TimeSeries<Day, double>.Builder
{
    {new Day(2019, 8, 25),  0.675},
    {new Day(2019, 8, 26),  0.84},
    {new Day(2019, 8, 27),  0.845},
    {new Day(2019, 8, 28),  0.843},
    {new Day(2019, 8, 29),  0.834},
    {new Day(2019, 8, 30),  0.8125}

}.Build();

TimeSeries<Day, IReadOnlyList<TreeNode>> trinomialTree = OneFactorTrinomialTree.CreateTree(forwardCurve, meanReversion, spotVolatility, timeDelta);

For more details samples/csharp/.

License

This project is licensed under the MIT License - see the LICENSE file for details.