public static Model SweepModel(Model mp, SweepParameters sw, Country c)
{
Model m = new Model(mp.Strategy, mp.StartEq, mp.StartBo, mp.YearlyWithdrawal, mp.RebalanceEvery, c.Filename);
if (sw.Strategy >= 0)
m.Strategy = sw.Strategy;
if (sw.Equity >= 0)
m.StartEq = sw.Equity;
if (sw.Bonds >= 0)
m.StartBo = sw.Bonds;
if (sw.WithdrawalRate >= 0)
m.YearlyWithdrawal = sw.WithdrawalRate;
if (sw.WorldShare >= 0)
m.WorldShare = sw.WorldShare;
return m;
}
// Sweep run for a double-part portfolio
public static void ExecuteSweepDouble(
List<Country> countries,
List<Model> models,
SweepParameters[] sweeps,
ConcurrentBag<ModelResult> modelResults,
StreamWriter swr,
Object printlock)
{
// Separate countries into 2 groups: 2=WORLD, 1=all others
double weight1 = 0.0, weight2 = 0.0;
List<Country> countries1 = new List<Country>();
List<Country> countries2 = new List<Country>();
foreach (Country c in countries)
{
if (Globals.IsWorld(c.Filename))
{
countries2.Add(c);
weight2 += c.Weight;
}
else
{
countries1.Add(c);
weight1 += c.Weight;
}
}
if (weight1 <= 0 || weight2 <= 0)
throw new Exception("Cannot find the world or others");
// Group2 is just the World
List<int> equityChanges2 = new List<int>();
List<int> bondChanges2 = new List<int>();
List<int> billChanges2 = new List<int>();
GraphAcquierer.Acquire(countries2, equityChanges2, bondChanges2, billChanges2, printlock);
Distro distroEquities2 = new Distro(Globals.Singleton().Bins);
Distro distroBonds2 = new Distro(Globals.Singleton().Bins);
Distro distroBills2 = new Distro(Globals.Singleton().Bins);
Distro.Prepare(
equityChanges2, bondChanges2, billChanges2,
distroEquities2, distroBonds2, distroBills2,
printlock);
// Group1 is all except World
List<int> equityChanges1 = new List<int>();
List<int> bondChanges1 = new List<int>();
List<int> billChanges1 = new List<int>();
GraphAcquierer.Acquire(countries1, equityChanges1, bondChanges1, billChanges1, printlock);
Distro distroEquities1 = new Distro(Globals.Singleton().Bins);
Distro distroBonds1 = new Distro(Globals.Singleton().Bins);
Distro distroBills1 = new Distro(Globals.Singleton().Bins);
Distro.Prepare(
equityChanges1, bondChanges1, billChanges1,
distroEquities1, distroBonds1, distroBills1,
printlock);
lock (printlock)
{
Console.WriteLine(Utils.ResultHeader);
}
var res2 = Parallel.ForEach(
models,
(m) =>
{
var res1 = Parallel.ForEach(
sweeps,
(sw) =>
{
Country nullCountry = new Country();
Model mm = Model.SweepModel(m, sw, nullCountry);
if (mm.Validate())
{
List<SingleRunResult> result = Market.RunDoublePortfolioExperiment(
mm,
weight2 / (weight1 + weight2),
distroEquities1, distroBonds1, distroBills1,
distroEquities2, distroBonds2, distroBills2);
ModelResult mr = new ModelResult(mm, result);
modelResults.Add(mr);
Utils.WriteResult(null, mm, mr, printlock);
Utils.WriteResult(swr, mm, mr, printlock);
}
});
});
}
// Sweep run for a single portfolio
public static void ExecuteSweepSingle(
List<Country> countries,
List<Model> models,
SweepParameters[] sweeps,
ConcurrentBag<ModelResult> modelResults,
StreamWriter swr,
Object printlock)
{
Country c = new Country("", 0, 0, 0.0, 0.0, 0.0, 0.0, 0);
List<int> equityChanges = new List<int>();
List<int> bondChanges = new List<int>();
List<int> billChanges = new List<int>();
GraphAcquierer.Acquire(countries, equityChanges, bondChanges, billChanges, printlock);
Distro distroEquities = new Distro(Globals.Singleton().Bins);
Distro distroBonds = new Distro(Globals.Singleton().Bins);
Distro distroBills = new Distro(Globals.Singleton().Bins);
Distro.Prepare(
equityChanges, bondChanges, billChanges,
distroEquities, distroBonds, distroBills,
printlock);
Distro.Test(
distroEquities, distroBonds, distroBills,
printlock);
lock (printlock)
{
Console.WriteLine(Utils.ResultHeader);
}
var res2 = Parallel.ForEach(
models,
(m) =>
{
var res1 = Parallel.ForEach(
sweeps,
(sw) =>
{
Model mm = Model.SweepModel(m, sw, c);
if (mm.Validate())
{
List<SingleRunResult> result = Market.RunSinglePortfolioExperiment(
mm,
distroEquities, distroBonds, distroBills);
ModelResult mr = new ModelResult(mm, result);
modelResults.Add(mr);
Utils.WriteResult(null, mm, mr, printlock);
Utils.WriteResult(swr, mm, mr, printlock);
}
});
});
}
