SmartCurve

A Smart Curve is an expression that is used to build curves on demand

Introduction

Smart Curves are an easy but powerful way of defining curve derivations.

A Smart Curve consists of the following:

Base Curve

The base curve is mandatory and can be either a real curve or another Smart Curve. The base curve is used to determine the curve dates that this curve has available and can also be used in the expression using the variable name BASE.

Expression

The expression is also mandatory and is a string formula used to build the curves for this Smart Curve.

• It can be a simple operation like BASE*1.2
• It can use built-in functions like bootstrapCurve(BASE)
• It can use functions in the #CurveScript (if you have not specified a custom script) like flatCurve(12, 1)
• It can use your own functions in a specified custom script like myfunction(BASE)

Script

The script is an optional saved custom script with user defined functions. These functions can then be used in the expression. The function script can also import the default #CurveScript, so your functions can use those too.

References to other data

You can optionally add references to other curves, Smart Curves or TimeSeries that can also be used in your expression

Construction

You construct a Smart Curve using one of the following constructors:

// Default constructor
sc = SmartCurve()

// Specify base curve id and expression
sc = SmartCurve("CORN:CURVE", "interpolate(BASE,'BACKWARD')")

// Specify base curve and expression
sc = SmartCurve(${data:"CORN:CURVE"}, "interpolate(BASE,'BACKWARD')")

// Specify a base curve reference and expression
sc = SmartCurve(ref(${data:"CORN:CURVE"}), "interpolate(BASE,'BACKWARD')")

Properties

A SmartCurve has the following properties:

Name	Description	Type
baseCurve	The curve that this Smart Curve uses for CurveDates	ID String, Curve or Reference
expression	The expression used to generate the curves	String
script	Optional custom script name used with the expression	String
currency	Optional currency of the curves, defaults to base curve currency	String
units	Optional units of the curves, defaults to base curve units	String

info

If a currency and/or units are set, the base curve and any other curves added to this Smart Curve will be converted to the specified currency and units

A SmartCurve also supports adding dynamic properties, e.g.

sc = SmartCurve("SMART_TEST:CURVE", "BASE*1.02")
sc.product = "CORN"

Any dynamic properties added to a SmartCurve can be used in the expression including references to other curves and TimeSeries. Here are some examples of using properties within the Smart Curve expression:

// Example using another curve
sc1 = SmartCurve()
sc1.baseCurve="#DCE.AG.CN.A.NO1_SOYBEAN.FUT:HIGH"
sc1.LOW=ref(${data:"#DCE.AG.CN.A.NO1_SOYBEAN.FUT:LOW"})
sc1.expression="(BASE+LOW)/2"

// Example using a numeric factor
sc2 = SmartCurve()
sc2.baseCurve="#DCE.AG.CN.A.NO1_SOYBEAN.FUT:HIGH"
sc2.factor=1.2
sc2.expression="BASE*factor"

Methods

A SmartCurve has the following methods:

Name	Description	Return Type
build(Date)	Builds a curve for the specified date	Curve

Below is an example of creating a Smart Curve and building a curve for a specific date using it:

sc1 = SmartCurve()
sc1.baseCurve="#DCE.AG.CN.A.NO1_SOYBEAN.FUT:HIGH"
sc1.factor=1.2
sc1.expression="BASE*factor"

c1 = sc1.build("2021-10-27")
print c1.contracts

Adding to an object and saving

A SmartCurve needs to be added to an object in order to save it to the database, e.g.

CORN_TEST = Object()
CORN_TEST.category = "TEST"

cf = SmartCurve("#MATBAROFEX.ROS.CORN.FUT:CLOSE", "interpolate(bootstrapCurve(BASE),'BACKWARD')")
CORN_TEST.CURVE = cf

save ${object: CORN_TEST}

Using custom scripts

As stated in the introduction, you can use your own custom scripts containing functions that can be used in the Smart Curve expression.

Below is an example of a custom script named SmartCurveCustomScript

import ${script:"#CurveScript"}

function agricultural(input)
    // Agricultural curve bootstrapped and backward filled
    boots = bootstrapCurve(input)
    agricultural = interpolate(boots, "BACKWARD")
end

note

This script needs to be uploaded into the DataBase (In VSCode - right-click in the editor and select 'Upload this script')

Define our curve using this custom script:

SOYBEAN = Object()
SOYBEAN.CURVE = SmartCurve("#DCE.AG.CN.A.NO1_SOYBEAN.FUT:CLOSE", "agricultural(BASE)")
SOYBEAN.CURVE.script = "SmartCurveCustomScript"

And we can now run a test build:

c1 = SOYBEAN.CURVE.build("2021-10-27")
print c1.contracts