cmdty

Some testing found that the standard error calculation contains a bug. As antithetic variance reduction is used, all PV sims are not independent hence the standard error calculation is incorrect....

Use a dockerfile to get .NET runtime.

The python dependencies for build/ci/test is a bit of a mess, being found in a requirements.txt, build.cake and azure-pipelines.yml. This should be consolidated and tidied up into requirement.txt files with...

Coverlet stopped working a while ago, I think after updating .NET SDK version.

Warnings seen when running the Pack-Python cake build step with setuptools version 65.5.0, but not version 56.0.0. The first warning related to the use of the package_data parameter to setuptools.setup...

A decent performance improvement could be achieve by more vectorisation of calculations of arrays of numbers, e.g. add decision volume to inventory to get next step inventory over the vector...

A console app which accepts a file on disk as the inputs and writes the result to another file on disk. The Python API is updated to be a wrapper...

Currently the model assumes that injection/withdrawal nomination occurs in the same time period as delivery. In reality virtual storage deals could enforce nomination to be on the previous business day,...

The [documentation](https://github.com/cmdty/core/blob/master/docs/multifactor_price_process/multifactor_price_process.pdf), and implementation in [MultiFactorModel](./src/Cmdty.Storage.Python/cmdty_storage/multi_factor_diffusion_model.py), only derive the integrated covariance of (log of) forwards at a uniform granularity, which will generally be the highest possible granularity of traded contracts...