curves
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cmdty
Tools for building commodity forward, swaps, and futures curves (Python and .NET).
Could solve the problem of instability caused by oscillation along the curve.
Linear system (18) of the [maximum smoothness spline document](https://github.com/cmdty/curves/blob/master/docs/max_smoothness/max_smoothness_spline.pdf) involves a block matrix whose sub-matrices are sparse. This structure potentially lends itself to a much more efficient (in terms of...
Update build.cake to create Python Conda package during CI, and publish to conda-forge on release. Also updated Python testing task in build.cake to perform tests in a Conda environment.
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.
In a notebook an example model of building a high granulary (half-hourly or quarter-hourly) power forward curve.
I am starting with a simple exercise of using the mult_season_adjust logic in max_smooth_interp to shape quarters within a year. ### Works ``` def wd_weight(period): start = period.asfreq('B', 's') end...
