public static void InitState(State state, ulong randSeed)
{
var random = new LocalRandom(true, randSeed);
foreach (var rate in state.Rates)
{
rate.Init(random, (int)state.StartYear, (int)state.NumYears);
}
}
public void Init(LocalRandom random, int startYear, int numYears)
{
this.startYear = startYear;
values = new double[numYears];
for (var i = 0; i < numYears; ++i)
{
values[i] = pdf.Sample(random);
}
}
public static double SampleSeries(int startYear, int endYear, LocalRandom random, double[] series)
{
if (startYear < 1928 || 2016 < startYear || endYear < 1928 || 2016 < endYear || endYear < startYear)
{
throw new ArgumentException("Start year and end year must be in 1928-2016");
}
var len = endYear - startYear + 1;
var index = random.Next(len) + (startYear - 1928);
return(series[index] / 100.0);
}
/// <summary>
/// Run a test on the rand generators, return true on success
/// </summary>
/// <param type="outputAction"></param>
/// <returns></returns>
public static bool Test64(Action <string> outputAction)
{
TestRand01(outputAction);
// local testing helper
Func <Action <string>, bool, ulong[], bool> RunTest = (printf, use128Bit, vals) =>
{
var rand = new LocalRandom(use128Bit, 0, 0);
rand.SetSeed(42, 0); // seed from paper
var success1 = true;
foreach (var correctValue in vals)
{
var randValue = rand.Next64();
printf($"0x{randValue:X16}=0x{correctValue:X16}, {randValue == correctValue} ");
success1 &= randValue == correctValue;
}
return(success1);
};
var success = true;
outputAction("Testing rand 64");
success &= RunTest(outputAction, false, new ulong[]
{
0x27a53829edf003a9,
0xdf28458e5c04c31c,
0x2756dc550bc36037,
0xa10325553eb09ee9,
0x40a0fccb8d9df09f,
0x5c2047cfefb5e9ca
});
outputAction("Testing rand 128");
success &= RunTest(outputAction, true, new ulong[]
{
0x287472e87ff5705a,
0xbbd190b04ed0b545,
0xb6cee3580db14880,
0xbf5f7d7e4c3d1864,
0x734eedbe7e50bbc5,
0xa5b6b5f867691c77
});
outputAction(success ? "Rand test succeeded." : "Rand test failed.");
return(success);
}
public double Sample(LocalRandom random)
{
const double epsilon = Double.Epsilon;
generate = !generate;
if (!generate)
{
return(z1 * Parameter + Mean);
}
double u1, u2;
do
{
u1 = random.NextDouble();
u2 = random.NextDouble();
}while (u1 <= epsilon);
var z0 = Math.Sqrt(-2.0 * Math.Log(u1)) * Math.Cos(2 * Math.PI * u2);
z1 = Math.Sqrt(-2.0 * Math.Log(u1)) * Math.Sin(2 * Math.PI * u2);
return(z0 * Parameter + Mean);
}
/// <summary>
/// return logger that has data for monte carlo sim
/// todo - count, parallel
/// </summary>
/// <param name="state"></param>
/// <param name="count"></param>
/// <returns></returns>
public static async Task <Tuple <GDataTable, double[]> > RunSimulations(State state, int count, ulong randomSeed, double [] percentiles)
{
var logs = new ConcurrentQueue <DDataTable>();
await Task.Run(() =>
{
var rand1 = new LocalRandom(true, randomSeed);
var seeds = new ulong[count];
for (var i = 0; i < count; ++i)
{
seeds[i] = rand1.Next64();
}
Parallel.For(0, count, n =>
{
var log = new DDataTable();
var tempState = DeepClone(state);
Simulation.Simulate(tempState, seeds[n], log);
logs.Enqueue(log);
});
});
var finalLog = new GDataTable();
if (count == 1)
{ // create log of proper type
var log = logs.First();
foreach (var row in Enumerable.Range(0, log.RowCount))
{
finalLog.StartRow();
foreach (var col in Enumerable.Range(0, log.ColCount))
{
finalLog.AddData(new double[] { log[row, col] }, log.ColumnNames[col]);
}
}
return(new Tuple <GDataTable, double[]>(finalLog, new double[] { 0.50 }));
}
// sort by sum of total worths in item
var sortedLogs = new List <Tuple <DDataTable, double> >();
foreach (var log in logs)
{
var maxCol = log.ColumnNames.Count;
var lastRow = log.RowCount - 1;
var value = 0.0;
for (var i = 0; i < maxCol; ++i)
{
if (log.ColumnNames[i].ToString().Contains(Actor.FinalValueText))
{
value += log[lastRow, i];
}
}
sortedLogs.Add(new Tuple <DDataTable, double>(log, value));
}
sortedLogs.Sort((a, b) => a.Item2.CompareTo(b.Item2));
var rowMax = sortedLogs.Max(r => r.Item1.RowCount);
var columnNames = sortedLogs[0].Item1.ColumnNames;
foreach (var row in Enumerable.Range(0, rowMax + 1))
{
finalLog.StartRow();
foreach (var name in columnNames)
{
var value = new List <double>();
foreach (var entry in percentiles)
{
var log = sortedLogs[(int)(sortedLogs.Count * entry)].Item1;
var column = log.GetColumn(name);
if (column.Count > row)
{
value.Add(column[row]);
}
}
finalLog.AddData(value.ToArray(), name);
}
}
return(new Tuple <GDataTable, double[]>(finalLog, percentiles));
}
public double Sample(LocalRandom random)
{
var u = random.NextDouble() - 0.5;
return(Mean - Parameter * Math.Sign(u) * Math.Log(1 - 2 * Math.Abs(u)));
}
public double Sample(LocalRandom random)
{
return(InvestmentTables.SampleSeries(1928, 2016, random, InvestmentTables.sp500Returns1928To2016));
}
public double Sample(LocalRandom random)
{
var len = annualInflation1957To2016.Length;
return(annualInflation1957To2016[random.Next(len)] / 100.0);
}