netrium-0.6.0: examples/DarkSpreadOption.contract

import Options
import Calendar

-- Daily exercise at 15:00 on the day preceding the supply day
-- (this is supposed to be on every fourth EEX business day but for now it does every fourth calendar day - to be updated when we have a proper calendar)
contract = commoditySpreadOption "choice" legs
             (calendarDaysEarlier calendar 4 <> atTimeOfDay 15 00)
             (calendarDaysLater   calendar 5)
             CallOption
             strikePrice gbp (CashFlowType "initialMargin")
             premium gbp
  where strikePrice = 7 * powerVol
        premium = 3
        calendar = getBusinessDayCalendar "EEX Power"

legs = [coalLeg, carbonLeg, electricityLeg]
months = [1..1] -- Should be [1..12], but cut down to reduce runtime

-- API2 coal: monthly delivery (assumption is 1st of the month)
coalLeg =
    ( Market (Commodity "Coal") (Unit "MWh") (Location "ARA"), coalVol
    , coalPrice, (Currency "USD"), (CashFlowType "initialMargin")
    , [ [datetime 2011 m 1 0 0 ] | m <- months ]
    , exchangeFee  50
    )

-- Carbon: yearly certificates split into monthly deliveries at 12:00
carbonLeg =
    ( Market (Commodity "Carbon") (Unit "t") (Location "EU"), carbonVol
    , carbonPrice, (Currency "GBP"), (CashFlowType "initialMargin")
    , [ [datetime 2011 m 1 12 0 ] | m <- months ]
    , exchangeFee  75)

-- CE Power: delivery every 15 minutes
electricityLeg =
    ( Market (Commodity "Electricity") (Unit "MWh") (Location "Amprion HVG"), powerVol
    , powerPrice, (Currency "EUR"), (CashFlowType "initialMargin")
    , [ [datetime 2011 m d h i | d <- [1..31], h <- [0..23], i <- [0,15,30,45] ] | m <- months ]
    , exchangeFee 100 )