public float[] RandN(float mean, float std_dev, int count)
{
if ((std_dev < 0) || (count <= 0)) //check std_dev and count
{
return(null);
}
//prepare request
SMemIPCData msg_data = new SMemIPCData();
msg_data.messageType = 2;
msg_data.messageValue = "RANDN";
msg_data.N = 1;
msg_data.parameters = new List <List <ResultStruct> >(3);
for (int i = 0; i < 3; i++)
{
msg_data.parameters.Add(new List <ResultStruct>());
}
ResultStruct rs_temp = new ResultStruct();
//mean
rs_temp.Cols = 1;
rs_temp.Rows = 1;
rs_temp.Type = ResultEnum.Unit | ResultEnum.Float;
rs_temp.Value = mean;
msg_data.parameters[0].Add(rs_temp);
//std dev
rs_temp.Cols = 1;
rs_temp.Rows = 1;
rs_temp.Type = ResultEnum.Unit | ResultEnum.Float;
rs_temp.Value = std_dev;
msg_data.parameters[1].Add(rs_temp);
//count
rs_temp.Cols = 1;
rs_temp.Rows = 1;
rs_temp.Type = ResultEnum.Unit | ResultEnum.Float;
rs_temp.Value = (float)count;
msg_data.parameters[2].Add(rs_temp);
SMemIPCData response = Globals.ThisAddIn.smem_ipc.SendMessage(msg_data);
if (response.messageType == 3)
{
return(response.Results[0].Value as float[]);
}
else
{
return(null);
}
}
public float[] PowerTransform(float[] data, float lambda)
{
//check that all the data is > 0
for (int i = 0; i < data.Length; i++)
{
if (data[i] <= 0)
{
//send error
return(null);
}
}
//send request
SMemIPCData msg_data = new SMemIPCData();
msg_data.messageType = 2;
msg_data.messageValue = "POWER-TRANSFORM";
msg_data.N = 1;
msg_data.parameters = new List <List <ResultStruct> >(2);
msg_data.parameters[0] = new List <ResultStruct>();
msg_data.parameters[1] = new List <ResultStruct>();
ResultStruct rs_temp = new ResultStruct();
//data
rs_temp.Cols = 1;
rs_temp.Rows = data.Length;
rs_temp.Type = ResultEnum.Array | ResultEnum.Float;
rs_temp.Value = data;
msg_data.parameters[0].Add(rs_temp);
//lambda
rs_temp.Rows = 1;
rs_temp.Type = ResultEnum.Unit | ResultEnum.Float;
rs_temp.Value = lambda;
msg_data.parameters[1].Add(rs_temp);
SMemIPCData response = Globals.ThisAddIn.smem_ipc.SendMessage(msg_data);
if (response.messageType == 3)
{
return(response.Results[0].Value as float[]);
}
else
{
return(null);
}
}
public bool StartCompute()
{
if (load_error)
{
return(false);
}
#region Global repository initialisation
RangeRepository.RangeRepositoryStore = new ConcurrentDictionary <string, RangeStruct>(StringComparer.Ordinal);
#endregion
Stopwatch sw = new Stopwatch();
#region Formula parser
Console.WriteLine("=> Parsing file formulas");
sw.Reset();
sw.Start();
dict_formulas = new List <ConcurrentDictionary <string, List <Token> > >(dict_sheet_name_map.Count);
for (int i = 0; i < dict_sheet_name_map.Count; i++)
{
dict_formulas.Add(new ConcurrentDictionary <string, List <Token> >(Environment.ProcessorCount, dict_loader_formulas.Count * 3, StringComparer.Ordinal)); //over-allocate by 3 times to reduce hash-collision probability
}
FormulaParser parser = new FormulaParser();
Parallel.ForEach(dict_sheet_name_map, sheet_item => //faster when parallelised
{
List <string> formula_list = dict_loader_formulas[sheet_item.Value].Keys.ToList <string>();
Parallel.For(0, dict_loader_formulas[sheet_item.Value].Count, i => //This is faster with Parallel.for
{
dict_formulas[sheet_item.Value].TryAdd(formula_list[i], parser.Parse_Tokens(dict_loader_formulas[sheet_item.Value][formula_list[i]]));
});
});
Console.WriteLine("\t --Parser time: " + sw.Elapsed.TotalMilliseconds + " ms");
#endregion
#region Scheduler
Console.WriteLine("=> Building calculation structure");
sw.Reset();
sw.Start();
Scheduler formula_scheduler = new Scheduler();
List <List <CellRef> > list_ProcessingQueue = new List <List <CellRef> >(1024); //CellRef stores sheet id and cell name
List <Dictionary <string, int> > dict_CalculationLevels = new List <Dictionary <string, int> >(dict_sheet_name_map.Count);
dict_results = new List <ConcurrentDictionary <string, float> >(dict_sheet_name_map.Count);
dict_string_results = new List <ConcurrentDictionary <string, string> >(dict_sheet_name_map.Count);
bool scheduler_addition;
for (int i = 0; i < dict_sheet_name_map.Count; i++)
{
dict_results.Add(new ConcurrentDictionary <string, float>(Environment.ProcessorCount, dict_loader_formulas.Count * 3, StringComparer.Ordinal));
dict_string_results.Add(new ConcurrentDictionary <string, string>(Environment.ProcessorCount, dict_loader_formulas.Count * 3, StringComparer.Ordinal));
dict_CalculationLevels.Add(new Dictionary <string, int>(64, StringComparer.Ordinal));
}
do
{
scheduler_addition = formula_scheduler.Assign_Calculation_Levels(dict_formulas, ref dict_CalculationLevels, ref list_ProcessingQueue, dict_loader_constants, dict_sheet_name_map);
} while (scheduler_addition);
//if (!scheduler_addition && dict_CalculationLevels.Count < dict_formulas.Count)
//{
// //error here for circularity
//}
sw.Stop();
Console.WriteLine("\t --Scheduler time: " + sw.Elapsed.TotalMilliseconds + " ms");
#endregion
#region Calculation
if (cuda_thread != null)
{
cuda_thread.Join();
}
CUDA_Core.SetContext();
Console.WriteLine("=> Calculating sheets");
sw.Reset();
sw.Start();
//load all constants into result set
dict_derivation_error = new List <ConcurrentDictionary <string, string> >();
for (int i = 0; i < dict_sheet_name_map.Count; i++)
{
dict_derivation_error.Add(new ConcurrentDictionary <string, string>());
}
//calculate formulas
for (int current_level = 1; current_level < list_ProcessingQueue.Count; current_level++) //for each level
{
//build list of signatures for current level
ConcurrentDictionary <string, List <CellRef> > dict_levelSignatures = new ConcurrentDictionary <string, List <CellRef> >();
for (int i = 0; i < list_ProcessingQueue[current_level].Count; i++) //faster without parallelisation and multithreading
{
CellRef cell = list_ProcessingQueue[current_level][i];
string signature = formula_scheduler.FormulaSignature(dict_formulas[cell.Sheet_Number][cell.Cell_Ref]);
if (dict_levelSignatures.ContainsKey(signature)) //signature already in dictionary, add it to the list
{
dict_levelSignatures[signature].Add(cell);
}
else //no such signature in dictionary
{
List <CellRef> temp_list = new List <CellRef>();
temp_list.Add(cell);
dict_levelSignatures.TryAdd(signature, temp_list); //store in dictionary
}
}
//for each signature. NOTE: These can be parallelised since all calculations on the same level are independent of each other.
Parallel.ForEach(dict_levelSignatures, signature =>
{
float float_temp;
string str_temp;
List <Token> current_signature = dict_formulas[signature.Value[0].Sheet_Number][signature.Value[0].Cell_Ref];
int signature_parallels = signature.Value.Count;
List <List <ResultStruct> > parameters = new List <List <ResultStruct> >();
List <ResultStruct> results = new List <ResultStruct>();
bool[] error_markers = new bool[signature_parallels];
int[] sheet_scopes = null;
//for each token
for (int i = 0; i < current_signature.Count; i++)
{
Token current_token = current_signature[i];
switch (current_token.Type)
{
case Token_Type.SheetReferenceStart:
sheet_scopes = new int[signature_parallels];
Parallel.For(0, signature_parallels, j =>
{ //parallel is faster here.
sheet_scopes[j] = dict_sheet_name_map[dict_formulas[signature.Value[j].Sheet_Number][signature.Value[j].Cell_Ref][i].GetStringValue()];
});
break;
case Token_Type.SheetReferenceEnd:
sheet_scopes = null;
break;
case Token_Type.Constant: //if constant or cell reference, add to map and array for gpu
//add new dimension to the parameters list
parameters.Add(new List <ResultStruct>(signature_parallels));
for (int j = 0; j < signature_parallels; j++) //attempted parallelising, much slower
{
if (error_markers[j])
{
continue; //if already an error, don't bother
}
List <Token> parallel_formula = dict_formulas[signature.Value[j].Sheet_Number][signature.Value[j].Cell_Ref];
//add as row to the new list of parameters
ResultStruct temp_desc = new ResultStruct();
temp_desc.Value = parallel_formula[i].GetNumericValue();
temp_desc.Type = ResultEnum.Unit | ResultEnum.Float;
temp_desc.Cols = 1;
temp_desc.Rows = 1;
parameters[parameters.Count - 1].Add(temp_desc);
}
break;
case Token_Type.Date:
break;
case Token_Type.String:
parameters.Add(new List <ResultStruct>(signature_parallels));
for (int j = 0; j < signature_parallels; j++) //attempted parallelising, much slower
{
if (error_markers[j])
{
continue; //if already an error, don't bother
}
List <Token> parallel_formula = dict_formulas[signature.Value[j].Sheet_Number][signature.Value[j].Cell_Ref];
//add as row to the new list of parameters
ResultStruct temp_desc = new ResultStruct();
temp_desc.Value = parallel_formula[i].GetStringValue();
temp_desc.Type = ResultEnum.Unit | ResultEnum.String;
temp_desc.Cols = 1;
temp_desc.Rows = 1;
parameters[parameters.Count - 1].Add(temp_desc);
}
break;
case Token_Type.Cell: //if range, add all cells included in range to map and array for gpu
parameters.Add(new List <ResultStruct>(signature_parallels));
for (int j = 0; j < signature_parallels; j++)
{
List <Token> parallel_formula = dict_formulas[signature.Value[j].Sheet_Number][signature.Value[j].Cell_Ref];
ResultStruct temp_desc = new ResultStruct();
temp_desc.Type = ResultEnum.Empty;
temp_desc.Cols = 1;
temp_desc.Rows = 1;
int sheet = sheet_scopes == null ? signature.Value[j].Sheet_Number : sheet_scopes[j];
if (dict_loader_constants[sheet].TryGetValue(parallel_formula[i].GetStringValue(), out float_temp))
{
temp_desc.Type = ResultEnum.Unit | ResultEnum.Float;
temp_desc.Value = float_temp;
}
else if (dict_loader_string_constants[sheet].TryGetValue(parallel_formula[i].GetStringValue(), out str_temp))
{
temp_desc.Type = ResultEnum.Unit | ResultEnum.String;
temp_desc.Value = str_temp;
}
else if (dict_results[sheet].TryGetValue(parallel_formula[i].GetStringValue(), out float_temp))
{
temp_desc.Type = ResultEnum.Unit | ResultEnum.Float;
temp_desc.Value = float_temp;
}
else if (dict_string_results[sheet].TryGetValue(parallel_formula[i].GetStringValue(), out str_temp))
{
//NOTE: Excel behaviour tries to convert to a number when referencing a cell stored as string
float flt_temp;
if (float.TryParse(str_temp, out flt_temp))
{
temp_desc.Type = ResultEnum.Unit | ResultEnum.Float;
temp_desc.Value = flt_temp;
}
else
{
temp_desc.Type = ResultEnum.Unit | ResultEnum.String;
temp_desc.Value = str_temp;
}
}
parameters[parameters.Count - 1].Add(temp_desc);
}
break;
case Token_Type.Range:
parameters.Add(new List <ResultStruct>(signature_parallels));
parameters[parameters.Count - 1].AddRange(new ResultStruct[signature_parallels]);
for (int j = 0; j < signature_parallels; j++)
{
//if (dict_derivation_error.ContainsKey(signature.Value[j]))
//{
// error_markers[j] = true;
// continue;
//}
List <Token> parallel_formula = dict_formulas[signature.Value[j].Sheet_Number][signature.Value[j].Cell_Ref];
int sheet = sheet_scopes == null ? signature.Value[j].Sheet_Number : sheet_scopes[j];
ResultStruct temp_desc = new ResultStruct();
Tuple <int, int> r_size = Tools.RangeSize(parallel_formula[i - 2].GetStringValue(), parallel_formula[i - 1].GetStringValue());
temp_desc.Rows = r_size.Item1;
temp_desc.Cols = r_size.Item2;
if (dict_string_results[sheet].ContainsKey(parallel_formula[i - 2].GetStringValue()) || dict_loader_string_constants[sheet].ContainsKey(parallel_formula[i - 2].GetStringValue()))
{
temp_desc.Type |= ResultEnum.String;
}
else
{
temp_desc.Type |= ResultEnum.Float;
}
if (RangeRepository.RangeRepositoryStore.ContainsKey(sheet.ToString() + '!' + parallel_formula[i - 2].GetStringValue() + ':' + parallel_formula[i - 1].GetStringValue()))
{
temp_desc.Type |= ResultEnum.Mapped_Range;
temp_desc.Value = sheet.ToString() + '!' + parallel_formula[i - 2].GetStringValue() + ':' + parallel_formula[i - 1].GetStringValue();
}
else
{
//add whole range exclusive of start (added by the preceding cell/constant tokens)
string[] range = Tools.RangeCells(parallel_formula[i - 2].GetStringValue(), parallel_formula[i - 1].GetStringValue());
dynamic range_values;
bool is_string = false;
if ((temp_desc.Type & ResultEnum.String) == ResultEnum.String) //temporary hack, in the future string constants will also be held in loader_constants
{
range_values = new string[range.Length];
is_string = true;
}
else
{
range_values = new float[range.Length];
}
Parallel.For(0, range.Length, k =>
{
if (is_string)
{
string par_string_temp;
if (dict_loader_string_constants[sheet].TryGetValue(range[k], out par_string_temp) || dict_string_results[sheet].TryGetValue(range[k], out par_string_temp))
{
range_values[k] = par_string_temp;
}
else
{
range_values[k] = "";
}
}
else
{
float par_float_temp;
if (dict_loader_constants[sheet].TryGetValue(range[k], out par_float_temp) || dict_results[sheet].TryGetValue(range[k], out par_float_temp))
{
range_values[k] = par_float_temp;
}
else
{
range_values[k] = 0;
}
}
});
if (range.Length > Tools.RangeMapThreshold && !RangeRepository.RangeRepositoryStore.ContainsKey(sheet.ToString() + '!' + parallel_formula[i - 2].GetStringValue() + ':' + parallel_formula[i - 1].GetStringValue()))
{
//add to range repository
RangeStruct rangestore_temp = new RangeStruct();
rangestore_temp.Values = range_values;
//sort and create a map for the range
int[] sorted_map = new int[temp_desc.Rows];
dynamic sorting_range;
if (is_string)
{
sorting_range = new string[temp_desc.Rows];
}
else
{
sorting_range = new float[temp_desc.Rows];
}
Array.Copy(range_values, sorting_range, temp_desc.Rows);
for (int k = 0; k < sorted_map.Length; k++)
{
sorted_map[k] = k;
}
Array.Sort(sorting_range, sorted_map, StringComparer.Ordinal);
rangestore_temp.Sorted_Map = sorted_map;
RangeRepository.RangeRepositoryStore.TryAdd(sheet.ToString() + '!' + parallel_formula[i - 2].GetStringValue() + ':' + parallel_formula[i - 1].GetStringValue(), rangestore_temp);
temp_desc.Value = sheet.ToString() + '!' + parallel_formula[i - 2].GetStringValue() + ':' + parallel_formula[i - 1].GetStringValue();
temp_desc.Type |= ResultEnum.Mapped_Range;
}
else
{
temp_desc.Value = range_values;
temp_desc.Type |= ResultEnum.Array;
}
}
parameters[parameters.Count - 1][j] = temp_desc;
}
parameters.RemoveRange(parameters.Count - 3, 2);
break;
case Token_Type.GreaterThan:
case Token_Type.LessThan: //return "TRUE" or "FALSE"
case Token_Type.Exponent:
case Token_Type.Divide:
case Token_Type.Multiply:
case Token_Type.Subtract:
case Token_Type.Add: //if function or op, execute on gpu given maps and arrays
results = CUDA_Core.Compute(current_token.Operator_String, parameters, signature_parallels, 2);
parameters.RemoveRange(parameters.Count - 2, 2);
parameters.Add(results);
break;
case Token_Type.Function: //if function or op, execute on gpu given maps and arrays
results = CUDA_Core.Compute(current_token.Operator_String, parameters, signature_parallels, current_token.Function_Arguments);
//depending on function, remove the last n parameters
parameters.RemoveRange(parameters.Count - current_token.Function_Arguments, current_token.Function_Arguments);
parameters.Add(results);
break;
default:
break;
}
}
if (results != null)
{
if (results.Count == 0 && parameters.Count == 1) //special case, the formula didn't involve any calculations, e.g. =12 or ="ABC"
{
results = parameters[0];
}
Parallel.For(0, signature_parallels, sp =>
{
int dest_res_rows = 1, dest_res_cols = 1;
string[] cells;
ResultStruct res = (ResultStruct)results[sp];
Tools.ArrayFormulaInfo afi_temp;
if (dict_loader_array_formulas[signature.Value[sp].Sheet_Number].TryGetValue(signature.Value[sp].Cell_Ref, out afi_temp)) //if it's an array formula
{
cells = Tools.RangeCells(afi_temp.StartCell, afi_temp.EndCell);
dest_res_rows = afi_temp.Rows;
dest_res_cols = afi_temp.Cols;
}
else
{
cells = new string[1];
cells[0] = signature.Value[sp].Cell_Ref;
}
if (cells.Length > 1) //result may be 1 element but answer area may be more
{
int source_res_total = res.Rows * res.Cols;
if (source_res_total == 1) //if result is single element
//populate all result cells with that same value
{
Parallel.For(0, dest_res_cols, i =>
{
for (int j = 0; j < dest_res_rows; j++)
{
if ((res.Type & ResultEnum.Float) == ResultEnum.Float)
{
dict_results[signature.Value[sp].Sheet_Number].TryAdd(cells[i * dest_res_rows + j], (float)res.Value);
}
else
{
dict_string_results[signature.Value[sp].Sheet_Number].TryAdd(cells[i * dest_res_rows + j], (string)res.Value);
}
}
});
}
else if (res.Cols == 1) //if single columned
{
//apply to all columns the same row
Parallel.For(0, dest_res_cols, i =>
{
for (int j = 0; j < dest_res_rows; j++)
{
if (j >= res.Rows)
{
dict_string_results[signature.Value[sp].Sheet_Number].TryAdd(cells[i * dest_res_rows + j], "#N/A");
}
else
if ((res.Type & ResultEnum.Float) == ResultEnum.Float)
{
dict_results[signature.Value[sp].Sheet_Number].TryAdd(cells[i * dest_res_rows + j], (res.Value as float[])[(i * res.Rows + j) % (source_res_total)]);
}
else
{
dict_string_results[signature.Value[sp].Sheet_Number].TryAdd(cells[i * dest_res_rows + j], (res.Value as string[])[(i * res.Rows + j) % (source_res_total)]);
}
}
});
}
else if (res.Rows == 1) //else if single rowed
{
//apply to all rows the same column
Parallel.For(0, dest_res_cols, i =>
{
for (int j = 0; j < dest_res_rows; j++)
{
if (i >= res.Cols)
{
dict_string_results[signature.Value[sp].Sheet_Number].TryAdd(cells[i * dest_res_rows + j], "#N/A");
}
else
if ((res.Type & ResultEnum.Float) == ResultEnum.Float)
{
dict_results[signature.Value[sp].Sheet_Number].TryAdd(cells[i * dest_res_rows + j], (res.Value as float[])[(i * res.Rows + j) % (source_res_total)]);
}
else
{
dict_string_results[signature.Value[sp].Sheet_Number].TryAdd(cells[i * dest_res_rows + j], (res.Value as string[])[(i * res.Rows + j) % (source_res_total)]);
}
}
});
}
else //else (multiple rowed & columned)
{
//put the results in the destination
Parallel.For(0, dest_res_cols, i =>
{
for (int j = 0; j < dest_res_rows; j++)
{
//if the destination cell is outside the result bounds
if (j >= res.Rows || i >= res.Cols)
{
//set value to #N/A
dict_string_results[signature.Value[sp].Sheet_Number].TryAdd(cells[i * dest_res_rows + j], "#N/A");
}
else
if ((res.Type & ResultEnum.Float) == ResultEnum.Float)
{
dict_results[signature.Value[sp].Sheet_Number].TryAdd(cells[i * dest_res_rows + j], (res.Value as float[])[i * res.Rows + j]);
}
else
{
dict_string_results[signature.Value[sp].Sheet_Number].TryAdd(cells[i * dest_res_rows + j], (res.Value as string[])[i * res.Rows + j]);
}
}
});
}
}
else
{
if ((res.Type & ResultEnum.Float) == ResultEnum.Float)
{
dict_results[signature.Value[sp].Sheet_Number].TryAdd(cells[0], (float)res.Value); //cells[0] because there's only 1 element (not an array)
}
else if ((res.Type & ResultEnum.String) == ResultEnum.String)
{
dict_string_results[signature.Value[sp].Sheet_Number].TryAdd(cells[0], (string)res.Value);
}
else if ((res.Type & ResultEnum.Empty) == ResultEnum.Empty)
{
dict_results[signature.Value[sp].Sheet_Number].TryAdd(cells[0], (float)0);
}
else
{
dict_string_results[signature.Value[sp].Sheet_Number].TryAdd(cells[0], "#ERROR!");
}
}
});
}
else
{
//error here, null results
throw new SystemException("Result value missing when calculating cell [" + signature.Value[0] + "]");
}
});
}
sw.Stop();
Console.WriteLine("\t --Sheet calculation time: " + sw.Elapsed.TotalMilliseconds + " ms");
#endregion
#region Error report
Parallel.For(0, dict_derivation_error.Count, i =>
{
if (dict_derivation_error[i].Count > 0)
{
Console.WriteLine(":: Error report, sheet " + i + " ::");
foreach (KeyValuePair <string, string> item in dict_derivation_error[i])
{
Console.WriteLine("Cell: " + item.Key);
Console.WriteLine("\t -> " + item.Value);
}
}
});
#endregion
CUDA_Core.Dispose();
Console.WriteLine(":: ExcelIdea ACE done ::");
computed = true;
return(true);
}
public static SMemIPCData Deserialize(Stream stream_in, long offset = 0)
{
/* Packing format:
* 1 => messageType
* 2 => messageValue
* 3 => N
* 4 => num_parameters
* 5 => parameters
* 6 => results
* */
/* ResultStruct packing format:
* 1 => Cols
* 2 => Rows
* 3 => Type
* 4 => Value
* */
SMemIPCData result = new SMemIPCData();
int subarray_count;
long value_count;
BinaryReader br = new BinaryReader(stream_in);
ResultStruct rs_temp = new ResultStruct();
stream_in.Position = offset;
result.messageType = br.ReadByte();
string temp = br.ReadString();
result.messageValue = temp == string.Empty ? null : temp;
result.N = br.ReadInt32();
result.num_parameters = br.ReadInt32();
//parameters
int par_count = br.ReadInt32();
if (par_count == 0)
{
result.parameters = null;
}
else
{
result.parameters = new List <List <ResultStruct> >(par_count);
for (int i = 0; i < par_count; i++)
{
subarray_count = br.ReadInt32();
result.parameters.Add(new List <ResultStruct>(subarray_count));
for (int j = 0; j < subarray_count; j++)
{
rs_temp.Cols = br.ReadInt32();
rs_temp.Rows = br.ReadInt32();
rs_temp.Type = (ResultEnum)br.ReadByte();
if ((rs_temp.Type & ResultEnum.Unit) == ResultEnum.Unit)
{
if ((rs_temp.Type & ResultEnum.Float) == ResultEnum.Float)
{
rs_temp.Value = br.ReadSingle();
}
else
{
rs_temp.Value = br.ReadString();
}
}
else if ((rs_temp.Type & ResultEnum.Array) == ResultEnum.Array)
{
value_count = br.ReadInt64();
if ((rs_temp.Type & ResultEnum.Float) == ResultEnum.Float)
{
rs_temp.Value = new float[value_count];
for (int k = 0; k < value_count; k++)
{
(rs_temp.Value as float[])[k] = br.ReadSingle();
}
}
else
{
rs_temp.Value = new string[value_count];
for (int k = 0; k < value_count; k++)
{
(rs_temp.Value as string[])[k] = br.ReadString();
}
}
}
result.parameters[i].Add(rs_temp);
}
}
}
//results
par_count = br.ReadInt32();
if (par_count == 0)
{
result.Results = null;
}
else
{
result.Results = new List <ResultStruct>(par_count);
for (int i = 0; i < par_count; i++)
{
rs_temp.Cols = br.ReadInt32();
rs_temp.Rows = br.ReadInt32();
rs_temp.Type = (ResultEnum)br.ReadByte();
if ((rs_temp.Type & ResultEnum.Unit) == ResultEnum.Unit)
{
if ((rs_temp.Type & ResultEnum.Float) == ResultEnum.Float)
{
rs_temp.Value = br.ReadSingle();
}
else
{
rs_temp.Value = br.ReadString();
}
}
else if ((rs_temp.Type & ResultEnum.Array) == ResultEnum.Array)
{
value_count = br.ReadInt64();
if ((rs_temp.Type & ResultEnum.Float) == ResultEnum.Float)
{
rs_temp.Value = new float[value_count];
for (int k = 0; k < value_count; k++)
{
(rs_temp.Value as float[])[k] = br.ReadSingle();
}
}
else
{
rs_temp.Value = new string[value_count];
for (int k = 0; k < value_count; k++)
{
(rs_temp.Value as string[])[k] = br.ReadString();
}
}
}
result.Results.Add(rs_temp);
}
}
return(result);
}
public float[] MCWienerCallPrice(float[] spot_price, float[] maturity_time, float[] risk_free_rate, float[] volatility, int time_steps, float[] strike_price, byte style)
{
/* style types:
* 0 => European
* 1 => American
* 2 => Asian
* 3 => Lookback
* 4 => Barrier
* */
//check that all inputs are of the same length
if (maturity_time.Length != spot_price.Length ||
risk_free_rate.Length != spot_price.Length ||
strike_price.Length != spot_price.Length ||
volatility.Length != spot_price.Length)
{
//error here for mismatching lengths
return(null);
}
//prepare request
SMemIPCData msg_data = new SMemIPCData();
msg_data.messageType = 2;
msg_data.messageValue = "MC-WIENER-CALL-PRICE";
msg_data.N = 1;
msg_data.parameters = new List <List <ResultStruct> >(7);
for (int i = 0; i < 7; i++)
{
msg_data.parameters.Add(new List <ResultStruct>());
}
ResultStruct rs_temp = new ResultStruct();
//spot price
rs_temp.Cols = 1;
rs_temp.Rows = spot_price.Length;
rs_temp.Type = ResultEnum.Array | ResultEnum.Float;
rs_temp.Value = spot_price;
msg_data.parameters[0].Add(rs_temp);
//time to maturity
rs_temp.Cols = 1;
rs_temp.Rows = spot_price.Length;
rs_temp.Type = ResultEnum.Array | ResultEnum.Float;
rs_temp.Value = maturity_time;
msg_data.parameters[1].Add(rs_temp);
//risk free rate
rs_temp.Cols = 1;
rs_temp.Rows = spot_price.Length;
rs_temp.Type = ResultEnum.Array | ResultEnum.Float;
rs_temp.Value = risk_free_rate;
msg_data.parameters[2].Add(rs_temp);
//volatility
rs_temp.Cols = 1;
rs_temp.Rows = spot_price.Length;
rs_temp.Type = ResultEnum.Array | ResultEnum.Float;
rs_temp.Value = volatility;
msg_data.parameters[3].Add(rs_temp);
//number of steps
rs_temp.Cols = 1;
rs_temp.Rows = spot_price.Length;
rs_temp.Type = ResultEnum.Unit | ResultEnum.Float;
rs_temp.Value = (float)time_steps;
msg_data.parameters[4].Add(rs_temp);
//strike price
rs_temp.Cols = 1;
rs_temp.Rows = spot_price.Length;
rs_temp.Type = ResultEnum.Array | ResultEnum.Float;
rs_temp.Value = strike_price;
msg_data.parameters[5].Add(rs_temp);
//style
rs_temp.Cols = 1;
rs_temp.Rows = 1;
rs_temp.Type = ResultEnum.Unit | ResultEnum.Float;
rs_temp.Value = (float)style;
msg_data.parameters[6].Add(rs_temp);
SMemIPCData response = Globals.ThisAddIn.smem_ipc.SendMessage(msg_data);
if (response.messageType == 3)
{
return(response.Results[0].Value as float[]);
}
else
{
return(null);
}
}
public float[] BlackScholesCallPrice(float[] spot_price, float[] maturity_time, float[] strike_price, float[] risk_free_rate, float[] volatility)
{
//check that all inputs are of the same length
if (maturity_time.Length != spot_price.Length ||
strike_price.Length != spot_price.Length ||
risk_free_rate.Length != spot_price.Length ||
volatility.Length != spot_price.Length)
{
//error here for mismatching lengths
return(null);
}
//prepare request
SMemIPCData msg_data = new SMemIPCData();
msg_data.messageType = 2;
msg_data.messageValue = "BLACK-SCHOLES-CALL";
msg_data.N = 1;
msg_data.parameters = new List <List <ResultStruct> >(5);
for (int i = 0; i < 5; i++)
{
msg_data.parameters.Add(new List <ResultStruct>());
}
ResultStruct rs_temp = new ResultStruct();
//spot price
rs_temp.Cols = 1;
rs_temp.Rows = spot_price.Length;
rs_temp.Type = ResultEnum.Array | ResultEnum.Float;
rs_temp.Value = spot_price;
msg_data.parameters[0].Add(rs_temp);
//time to maturity
rs_temp.Cols = 1;
rs_temp.Rows = spot_price.Length;
rs_temp.Type = ResultEnum.Array | ResultEnum.Float;
rs_temp.Value = maturity_time;
msg_data.parameters[1].Add(rs_temp);
//strike price
rs_temp.Cols = 1;
rs_temp.Rows = spot_price.Length;
rs_temp.Type = ResultEnum.Array | ResultEnum.Float;
rs_temp.Value = strike_price;
msg_data.parameters[2].Add(rs_temp);
//risk free rate
rs_temp.Cols = 1;
rs_temp.Rows = spot_price.Length;
rs_temp.Type = ResultEnum.Array | ResultEnum.Float;
rs_temp.Value = risk_free_rate;
msg_data.parameters[3].Add(rs_temp);
//volatility
rs_temp.Cols = 1;
rs_temp.Rows = spot_price.Length;
rs_temp.Type = ResultEnum.Array | ResultEnum.Float;
rs_temp.Value = volatility;
msg_data.parameters[4].Add(rs_temp);
SMemIPCData response = Globals.ThisAddIn.smem_ipc.SendMessage(msg_data);
if (response.messageType == 3)
{
return(response.Results[0].Value as float[]);
}
else
{
return(null);
}
}