private string printParamsReport(SDE sde0, SDE sde1, bool myWay)
{
string res = "";
double alpha0 = sde0.alpha, beta0 = sde0.beta, gamma0 = sde0.gamma, delta0 = sde0.delta;
double alpha1 = sde1.alpha, beta1 = sde1.beta, gamma1 = sde1.gamma, delta1 = sde1.delta;
if (myWay)
{
beta1 *= alpha0 / alpha1;
gamma1 *= alpha0 / alpha1;
delta1 *= alpha0 / alpha1;
alpha1 *= alpha0 / alpha1;
}
res += printParamReport(alpha0, alpha1, "Alpha");
res += printParamReport(beta0, beta1, "Beta");
res += printParamReport(gamma0, gamma1, "Gamma");
res += printParamReport(delta0, delta1, "Delta");
double sqerror = Math.Sqrt((
Math.Pow(alpha1 - alpha0, 2) +
Math.Pow(beta1 - beta0, 2) +
Math.Pow(gamma1 - gamma0, 2) +
Math.Pow(delta1 - delta0, 2)
) / 4);
res += "Squared error: " + sqerror;
return(res + Environment.NewLine + Environment.NewLine);
}
// Default constructor
public MCSolver(BlockingCollection <double> q, int id, SDE sde, int NSteps, int NSimulations, double initialValue)
{
m_queue = q;
m_id = id;
mySDE = sde;
N = NSteps;
S_0 = initialValue;
NSim = NSimulations;
coun = 0;
}
private void GetMeasurements(object sender, RoutedEventArgs e)
{
sde0 = new SDE(
double.Parse(textBoxAlpha.Text),
double.Parse(textBoxBeta.Text),
double.Parse(textBoxGamma.Text),
double.Parse(textBoxDelta.Text),
double.Parse(textBoxX0.Text),
double.Parse(textBoxY0.Text)
);
int n = int.Parse(textBoxN.Text);
double stdDev = double.Parse(textBoxStdDev.Text);
bool myWay = (bool)checkBoxMyWay.IsChecked;
string wayName;
if (myWay)
{
wayName = "Rays";
sde0.Rays(dt);
}
else
{
wayName = "OLSO";
sde0.OSLO(dt);
}
textBlockrRes.Text = wayName + " squared error: " + sde0.GetAverageSquaredError() + Environment.NewLine;
var exactSol = sde0.getSolution;
plot.drawLine(wayName + " exact sol", exactSol, Brushes.Green);
plot.drawPoints("Exact eq", sde0.GetEquilibriumPoint(), Brushes.Green);
plot.drawPoints("Initial point", new double[] { sde0.x0, sde0.y0 }, Brushes.Green);
measurements = Generator.getMeasurements(exactSol, stdDev, n);
plot.drawPoints("Meas", measurements, Brushes.LightGreen);
}
private void Infer(object sender, RoutedEventArgs e)
{
bool myWay = (bool)checkBoxMyWay.IsChecked;
Brush color;
try
{
double[] inferedParams;
if (myWay)
{
inferedParams = Model.FirstIntegralInfer(measurements);
sde1 = new SDE(inferedParams[0], inferedParams[1], inferedParams[2], inferedParams[3], inferedParams[4]);
textBlockrRes.Text += printParamsReport(sde0, sde1, myWay);
color = Brushes.Orange;
}
else
{
inferedParams = Model.numericalMethodInfer(measurements);
sde1 = new SDE(inferedParams[0], inferedParams[1], inferedParams[2], inferedParams[3], sde0.x0, sde0.y0);
textBlockrRes.Text += printParamsReport(sde0, sde1, myWay);
color = Brushes.Blue;
}
if (myWay)
{
sde1.Rays(dt);
}
else
{
sde1.OSLO(dt);
}
var predictedSol = sde1.getSolution;
plot.drawLine("Infered sol", predictedSol, color);
plot.drawPoints("Infered eq 1", sde1.GetEquilibriumPoint(), color);
}
catch (Exception)
{
MessageBox.Show("Failed");
}
}
public static void Main()
{
// Ask number of producers
Console.Write("Number of producers: ");
int nrProducers = Int32.Parse(Console.ReadLine());
// Ask number of consumers
Console.Write("Number of consumers: ");
int nrConsumers = Int32.Parse(Console.ReadLine());
OptionData myOption;
myOption.K = 65.0;
myOption.T = 0.25;
myOption.r = 0.08;
myOption.sig = 0.3;
myOption.type = -1; // Put -1, Call +1
SDE mySDE;
mySDE.data = myOption;
SDE mySDE2 = mySDE;
mySDE2.data.type = 1;
// Portfolio of options
Vector <SDE> optArr = new Vector <SDE>(2);
optArr[optArr.MinIndex] = mySDE;
optArr[optArr.MinIndex + 1] = mySDE2;
int NT = 200;
int NSim = 200000;
// The number of numbers in the collection at any time. Can
// experiment to test load balancing.
int N = NT * NSim * nrConsumers;
// Create queue
BlockingCollection <double> q = new BlockingCollection <double>(N);
// Create and start producers
List <RngGenerator> producers = new List <RngGenerator>(nrProducers);
for (int i = 0; i < nrProducers; i++)
{
RngGenerator generator = new RngGenerator(q, i, N);
generator.Start();
producers.Add(generator);
}
Console.WriteLine("Producers started...");
// Create and start consumers
double V0 = 60.0;
List <MCSolver> consumers = new List <MCSolver>(nrConsumers);
for (int i = optArr.MinIndex; i <= optArr.MaxIndex; i++)
{
MCSolver solver = new MCSolver(q, i, optArr[i], NT, NSim, V0); // Euler
solver.Start();
consumers.Add(solver);
}
Console.WriteLine("Consumers started...");
// Wait till all consumers ar finished.
foreach (MCSolver solver in consumers)
{
solver.Join();
}
Console.WriteLine("Consumers finished...");
// Stop all producers.
foreach (RngGenerator generator in producers)
{
generator.Stop();
}
Console.WriteLine("Producers stopped");
}
static void Main(string[] args)
{
int experimentsNum = ReadInt("number of experiments");
int sampleSize = ReadInt("size of sample");
double stdDev = ReadDouble("stdDev");
bool myWay = ReadInt("myWay") == 1;
int medianIndex = (int)Math.Floor((double)((experimentsNum - 1) / 2));
string report;
int total = 5 * 5 * 5 * 5 * experimentsNum;
int cnt = 0;
DateTime t0 = DateTime.Now;
for (double alpha = 0.5; alpha <= 2.5; alpha += 0.5)
{
for (double beta = 0.5; beta <= 2.5; beta += 0.5)
{
for (double gamma = 0.5; gamma <= 2.5; gamma += 0.5)
{
for (double delta = 0.5; delta <= 2.5; delta += 0.5)
{
List <double> results = new List <double>();
for (int k = 0; k < experimentsNum; k++)
{
report = sampleSize + ";";
double[] parameters = Generator.getRandomInitPoint(alpha, beta, gamma, delta);
SDE sde1, sde0 = new SDE(
alpha,
beta,
gamma,
delta,
parameters[0],
parameters[1]
);
report +=
alpha + ";" +
beta + ";" +
gamma + ";" +
delta + ";" +
parameters[0] + ";" +
parameters[1];
if (myWay)
{
sde0.Rays(dt);
}
else
{
sde0.OSLO(dt);
}
var exactSol = sde0.getSolution;
var measurements = Generator.getMeasurements(exactSol, stdDev, sampleSize);
try
{
double[] inferedParams;
if (myWay)
{
inferedParams = Model.FirstIntegralInfer(measurements);
sde1 = new SDE(inferedParams[0], inferedParams[1], inferedParams[2], inferedParams[3], inferedParams[4]);
}
else
{
inferedParams = Model.numericalMethodInfer(measurements);
sde1 = new SDE(inferedParams[0], inferedParams[1], inferedParams[2], inferedParams[3], sde0.x0, sde0.y0);
}
double alpha0 = sde0.alpha, beta0 = sde0.beta, gamma0 = sde0.gamma, delta0 = sde0.delta;
double alpha1 = sde1.alpha, beta1 = sde1.beta, gamma1 = sde1.gamma, delta1 = sde1.delta;
if (myWay)
{
beta1 *= alpha0 / alpha1;
gamma1 *= alpha0 / alpha1;
delta1 *= alpha0 / alpha1;
alpha1 *= alpha0 / alpha1;
}
double sqerror = Math.Sqrt((
Math.Pow(alpha1 - alpha0, 2) +
Math.Pow(beta1 - beta0, 2) +
Math.Pow(gamma1 - gamma0, 2) +
Math.Pow(delta1 - delta0, 2)
) / 4);
report += ";" + sqerror;
results.Add(sqerror);
}
catch (Exception)
{
report += ";failed";
}
WriteToFile(report, "Report.csv");
cnt++;
Console.Clear();
Console.WriteLine(Math.Round(((double)cnt / total * 100), 2) + "%");
DateTime t1 = DateTime.Now;
int fullSeconds = (int)(t1.Subtract(t0).TotalMilliseconds / cnt * (total - cnt) / 1000);
int fullMinutes = fullSeconds / 60;
int seconds = fullSeconds % 60;
int hours = fullMinutes / 60;
int minutes = fullMinutes % 60;
Console.WriteLine((hours < 10 ? "0" : "") + hours + ":" + (minutes < 10 ? "0" : "") + minutes + ":" + (seconds < 10 ? "0" : "") + seconds);
}
results.Sort();
double median;
if (results.Count >= medianIndex + 1)
{
median = results[medianIndex];
}
else
{
median = -1;
}
WriteToFile(median.ToString(), "HeatMap.txt");
}
}
}
}
Console.Write("Finished!!");
Console.ReadKey();
}
