netrium-0.6.0: examples/SparkSpreadOption.contract

import Options

-- Daily exercise at 9:00 on the day preceding the supply day
-- (this is supposed to be on every EEX business day but for now it does every calendar day - to be updated when we have a proper calendar)
contract = commoditySpreadOption "choice"
             legs
             exerciseDate
             paymentDate
             CallOption
             strikePrice gbp (CashFlowType "initialMargin")
             premium gbp
  where
    strikePrice  = 2 * powerVol
    exerciseDate = daysEarlier 1 <> atTimeOfDay 9 00
    paymentDate  = exerciseDate
    premium = 0

    legs = [gasLeg, carbonLeg, electricityLeg]

-- TTF gas: daily delivery at 6:00 CET
-- All months have 31 days - to be updated when we have a proper calendar
gasLeg =
    ( Market (Commodity "Gas") (Unit "MWh") (Location "TTF"), gasVol
    , gasPrice, (Currency "GBP"), (CashFlowType "initialMargin")
    , [ [datetime 2011 m d 6 0 ] | m <- [1..12], d <- [1..31] ]
    , exchangeFee  50
    )

-- Carbon: yearly certificates split into daily deliveries at 12:00
carbonLeg =
    ( Market (Commodity "Carbon") (Unit "t") (Location "EU"), carbonVol
    , carbonPrice, (Currency "GBP"), (CashFlowType "initialMargin")
    , [ [datetime 2011 m d 12 0 ] | m <- [1..12], d <- [1..31] ]
    , 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 | h <- [0..23], i <- [0,15,30,45] ] | m <- [1], d <- [1..31] ]
    , exchangeFee 100 )