void Seeder(int RanSeed, time_t curTime)
{
//time_t curTime = time(0);
#ifndef _NO_SPRNG
//init_sprng(SPRNG_LCG, static_cast<int>(curTime) , SPRNG_DEFAULT);
init_sprng(SPRNG_LCG, RanSeed , SPRNG_DEFAULT);
#else
//std::cerr << "Ranlib!!!!\n\n";
//srandom(static_cast<unsigned int>(curTime));
srandom(RanSeed);
#endif
long seed1, seed2;
phrtsd(ctime(&curTime), &seed1, &seed2);
setall(seed1, seed2);
}
void mexFunction( int nlhs, mxArray *plhs[],
int nrhs, const mxArray *prhs[] )
{
// Local variables for the gateway function
// semip_gc(bdraw,adraw,pdraw,sdraw,rdraw,vmean,amean,zmean,yhat,
// y,x,W,ndraw,nomit,nsave,n,k,m,mobs,a,nu,d0,rval,mm,kk,detval,ngrid,TI,TIc)
// (The inputs are passed to the subroutine and the outputs
// are extracted from the subroutine and passed back to Matlab.)
double *bdraw,*adraw,*pdraw,*sdraw,*rdraw,*vmean,*amean,*zmean,*yhat;
double *y,*x,*W,*a,nu,d0,rval,mm,kk,*detval,ngrid,*TI,*TIc,*m_obs;
int i,ndraw,nomit,nsave,n,k,m,*mobs;
long *Seed1, *Seed2;
int buflen, status, flag;
char *phrase;
static char phrase2[8];
phrase2[0] = 'h';
phrase2[1] = 'h';
phrase2[2] = 'i';
phrase2[3] = 't';
phrase2[4] = 'h';
phrase2[5] = 'e';
phrase2[6] = 'r';
phrase2[7] = 'e';
/* Check for proper number of arguments. */
if(nrhs == 20) {
flag = 0;
phrase = phrase2;
} else if (nrhs == 21){
flag = 1;
} else {
mexErrMsgTxt("semip_gc: 20 or 21 inputs required.");
}
if(nlhs != 9) {
mexErrMsgTxt("semip_gcc: 9 output arguments needed");
}
if (flag == 1) {
// input must be a string
if ( mxIsChar(prhs[20]) != 1)
mexErrMsgTxt("semip_gc: seed must be a string.");
// input must be a row vector
if (mxGetM(prhs[20])!=1)
mexErrMsgTxt("semip_gc: seed input must be a row vector.");
// get the length of the input string
buflen = (mxGetM(prhs[20]) * mxGetN(prhs[20])) + 1;
// allocate memory for input string
phrase = mxCalloc(buflen, sizeof(char));
// copy the string data from prhs[0] into a C string input_ buf.
// If the string array contains several rows, they are copied,
// one column at a time, into one long string array.
//
status = mxGetString(prhs[20], phrase, buflen);
if(status != 0)
mexWarnMsgTxt("semip_gc: Not enough space. seed string truncated.");
}
// allow the user to set a seed or rely on clock-based seed
if (flag == 0) {
setSeedTimeCore(phrase);
} else {
phrtsd(phrase,&Seed1,&Seed2);
setall(Seed1,Seed2);
}
// Parse input arguments
// semip_gcc(y,x,W,ndraw,nomit,nsave,n,k,m,mobs,a,nu,d0,rval,mm,kk,detval,ngrid,TI,TIc);
y = mxGetPr(prhs[0]);
x = mxGetPr(prhs[1]);
W = mxGetPr(prhs[2]);
ndraw = (int) mxGetScalar(prhs[3]);
nomit = (int) mxGetScalar(prhs[4]);
nsave = (int) mxGetScalar(prhs[5]);
n = (int) mxGetScalar(prhs[6]);
k = (int) mxGetScalar(prhs[7]);
m = (int) mxGetScalar(prhs[8]);
m_obs = mxGetPr(prhs[9]);
a = mxGetPr(prhs[10]);
nu = mxGetScalar(prhs[11]);
d0 = mxGetScalar(prhs[12]);
rval = mxGetScalar(prhs[13]);
mm = mxGetScalar(prhs[14]);
kk = mxGetScalar(prhs[15]);
detval = mxGetPr(prhs[16]);
ngrid = (int) mxGetScalar(prhs[17]);
TI = mxGetPr(prhs[18]);
TIc = mxGetPr(prhs[19]);
// no need for error checking on inputs
// since this was done in the matlab function
// Transfer m_obs into an integer vector
//(1) Make integer vector storage
mobs = ivector(0,m-1);
//(2) Put m_obs into mobs
for(i=0; i<m; i++){
mobs[i] = (int) m_obs[i];
}
/* Create matrix mxArrays for the return arguments */
//[bdraw,adraw,pdraw,sdraw,rdraw,vmean,amean,zmean,yhat,cntr]
plhs[0] = mxCreateDoubleMatrix(nsave,k, mxREAL); // beta draws
plhs[1] = mxCreateDoubleMatrix(nsave,m, mxREAL); // a-draws
plhs[2] = mxCreateDoubleMatrix(nsave,1, mxREAL); // rho draws
plhs[3] = mxCreateDoubleMatrix(nsave,1, mxREAL); // sige draws
plhs[4] = mxCreateDoubleMatrix(nsave,1, mxREAL); // r-draws
plhs[5] = mxCreateDoubleMatrix(m,1, mxREAL); // v-means
plhs[6] = mxCreateDoubleMatrix(m,1, mxREAL); // a-means
plhs[7] = mxCreateDoubleMatrix(n,1, mxREAL); // z-means
plhs[8] = mxCreateDoubleMatrix(n,1, mxREAL); // yhat-means
// Get pointers to the data in the mxArrays for the C-subroutine
bdraw = mxGetPr(plhs[0]);
adraw = mxGetPr(plhs[1]);
pdraw = mxGetPr(plhs[2]);
sdraw = mxGetPr(plhs[3]);
rdraw = mxGetPr(plhs[4]);
vmean = mxGetPr(plhs[5]);
amean = mxGetPr(plhs[6]);
zmean = mxGetPr(plhs[7]);
yhat = mxGetPr(plhs[8]);
// Call the Subroutine
semip_gc(bdraw,adraw,pdraw,sdraw,rdraw,vmean,amean,zmean,yhat,y,x,W,ndraw,nomit,nsave,n,k,m,mobs,a,nu,d0,rval,mm,kk,detval,ngrid,TI,TIc);
// free up mobs
free_ivector(mobs,0);
}
int parse_command_line(command_line_options* clo, int argc, char *argv[]) {
int opt;
long n;
long defaultseed1;
long defaultseed2;
time_t timer = time(NULL);
int error_encountered = 0;
char *localtime_buffer = (char *)asctime(localtime(&timer));
//Get default seed values if a user doesn't specify one
phrtsd(localtime_buffer, &defaultseed1, &defaultseed2);
while((opt = getopt(argc, argv, "H:n:dt:s:hj:k:o:v:r:u:b:g:")) != -1) {
switch(opt)
{
case 'a':
clo->mean_reversion_rate = atof(optarg); break;
case 'b':
clo->mean_reversion_level = atof(optarg); break;
case 'd':
clo->debug = 1; break;
case 'g':
clo->variance_variance = atof(optarg); break;
case 'h':
error_encountered = 1; break; //not really, but they'll get the help :)
case 'H':
clo->hurst_exponent = atof(optarg); break;
case 'j':
clo->seed1 = atoi(optarg); break;
case 'k':
clo->seed2 = atoi(optarg); break;
case 'n':
clo->number_of_simulations = atoi(optarg); break;
case 'o':
clo->output_option = atoi(optarg); break;
case 'r':
clo->risk_free_rate = atof(optarg); break;
case 's':
clo->number_of_steps = atoi(optarg); break;
case 't':
clo->end_time = atof(optarg); break;
case 'u':
clo->stock_price = atof(optarg); break;
case 'v':
clo->variance = atof(optarg); break;
default:
//Most likely the user entered an invalid option
error_encountered = 1;
}
}
//Check if the parameters are all valid.
if(clo->number_of_simulations <= 0) {
clo->number_of_simulations = DEFAULT_SIMULATIONS;
}
DEBUG_MSG("Executing %ld simulations\n", clo->number_of_simulations);
if(clo->number_of_steps <= 0) {
clo->number_of_steps = DEFAULT_STEPS;
}
n = floor(log2(clo->number_of_steps));
clo->number_of_steps = pow(2,n);
DEBUG_MSG("Paths contain 2^%ld (%ld) steps\n", n, clo->number_of_steps);
if(clo->hurst_exponent < 0.5 || clo->hurst_exponent >= 1) {
clo->hurst_exponent = DEFAULT_HURST_EXPONENT;
}
DEBUG_MSG("Using %f as a Hurst Exponent\n", clo->hurst_exponent);
if(clo->end_time <= 0) {
clo->end_time = DEFAULT_END_TIME;
}
DEBUG_MSG("Simulating to t=%f\n", clo->end_time);
if(clo->output_option < 1 || clo-> output_option > 6) {
clo->output_option = DEFAULT_OUTPUT;
}
if(clo->variance <= 0) {
clo->variance = DEFAULT_VARIANCE;
}
DEBUG_MSG("Starting variance/volatility is: %f\n", clo->variance);
if(clo->risk_free_rate <= 0) {
clo->risk_free_rate = DEFAULT_RISK_FREE_RATE;
}
DEBUG_MSG("Using %f as a risk free rate\n", clo->risk_free_rate);
if(clo->stock_price <= 0) {
clo->stock_price = DEFAULT_STOCK_PRICE;
}
DEBUG_MSG("Starting stock price is $ %f\n", clo->stock_price);
DEBUG_MSG("Mean reversion rate is %f\n", clo->mean_reversion_rate);
if(clo->seed1 == 0) {
clo->seed1 = defaultseed1;
}
if(clo->seed2 == 0) {
clo->seed2 = defaultseed2;
}
DEBUG_MSG("Seeds are set to: 1=>%ld 2=>%ld\n",clo->seed1, clo->seed2);
if(clo->variance_variance <= 0) {
clo->variance_variance = DEFAULT_VARIANCE_VARIANCE;
}
DEBUG_MSG("Volatility of Volatility is set to %f\n", clo->variance_variance);
return !error_encountered;
}
double* generate_random_constraints(char* seed, int N, int n, double* R)
{
// struct mt19937p state;
// sgenrand(seed, &state);
int i, j;
initialize();
int seed1, seed2;
phrtsd(seed, &seed1, &seed2);
set_initial_seed(seed1, seed2);
// for (int i = 0; i < 10; i++)
// printf("Random N(0,1): %g\n", gennor(0, 1));
float meanv[n];
float varv[n];
for (i = 0; i < n; i++) {
float EY = 1.06 + 0.1*(pow(i, 1.1) / (n-1));
float VarY = pow(0.05 + 0.45*(pow(i, 1.15) / (n-1)), 2);
varv[i] = log(1 + (VarY / pow(EY,2)));
meanv[i] = log(EY) - (varv[i] / 2);
// meanv[i] = 0.057157648387530194;
// varv[i] = 0.0022225194728912752;
}
// float varv[n];
// for (int i = 0; i < n; i++) {
// varv[i] = 1;
// }
// float* covm = setcov(n, varv, 0);
float covm[n*n];
for (i = 0; i < n; i++)
{
for (j = 0; j < n; j++)
{
if (i == j) {
covm[i+j*n] = varv[i];
}
else{
covm[i+j*n] = 0;
}
}
}
float parm[n*(n+3)/2+1];
setgmn(meanv, covm, n, parm);
// Row major layout
float* mvn;
for (i = 0; i < N; i++) {
float* mvn = genmn(parm);
for (j = 0; j < n; j++) {
R[i*n + j] = exp(mvn[j]);
// R[i*n + j] = 1.0 + 0.1*genrand(&state) + 0.01; // [1.01, 1.11]
}
free(mvn);
}
return R;
}
