def run_one_valuation_intrinsic(Te, fwd_array, cons):
"""
Calculate intrinsic storage with simple constraints
Parameters
----------
Te : maturities
fwd_array:
cons : Constraints
(max_inv, min_inv, start_inv, end_inv, inj_cost, rel_cost, rmin, rmax)
Returns
-------
"""
max_inv = cons.max_inv
min_inv = cons.min_inv
start_inv = cons.start_inv
end_inv = cons.end_inv
inj_cost = cons.inj_cost
rel_cost = cons.rel_cost
rmin = cons.rmin
rmax = cons.rmax
fc = FlowConstraint(rmin, rmax)
flow_constraints = FlowConstraints(Te[0], fc)
inv_constraints = InventoryConstraints(Te, start_inv, end_inv, max_inv,
min_inv, [flow_constraints])
state_object = StateObject(inv_constraints)
product = LeastSquaresMonteCarloEngine(
state_object,
StorageCashflows(Te, injection_cost=inj_cost,
withdrawal_cost=rel_cost))
res = product.calc_intrinsic(fwd_array)
TP = product.calc_trigger_price(res)
return res, TP
def run_one_valuation_intrinsic(Te, fwd_array, cons):
"""
Calculate intrinsic storage with simple constraints
Parameters
----------
Te : maturities
fwd_array:
cons : Constraints
(max_inv, min_inv, start_inv, end_inv, inj_cost, rel_cost, rmin, rmax)
Returns
-------
"""
max_inv = cons.max_inv
min_inv = cons.min_inv
start_inv = cons.start_inv
end_inv = cons.end_inv
inj_cost = cons.inj_cost
rel_cost = cons.rel_cost
rmin = cons.rmin
rmax = cons.rmax
fc = FlowConstraint(rmin, rmax)
flow_constraints = FlowConstraints(Te[0], fc)
inv_constraints = InventoryConstraints(Te, start_inv, end_inv, max_inv, min_inv, [flow_constraints])
state_object = StateObject(inv_constraints)
product = LeastSquaresMonteCarloEngine(
state_object, StorageCashflows(Te, injection_cost=inj_cost, withdrawal_cost=rel_cost)
)
res = product.calc_intrinsic(fwd_array)
TP = product.calc_trigger_price(res)
return res, TP
