string AsianOption::toStringRates(boost::shared_ptr<RatesEnvironment> re)
{
stringstream ratesDescriptionStream;
ratesDescriptionStream << SingleInstrumentContract::toStringRates(re);
validate();
if (SingleOptionContract::isOK())
{
vector<double> forwards, fixes;
vector<double> sds, vols;
getRates((re->getFRS())->getAnchorDate(), fixes, forwards, sds, vols, re);
double aveFwd = 0;
for (size_t i = 0; i < forwards.size(); ++i)
{
aveFwd += forwards[i];
}
if (forwards.size() > 0)
aveFwd /= forwards.size();
double aveRateSet = 0;
for (size_t i = 0; i < fixes.size(); ++i)
{
aveRateSet += fixes[i];
}
if (fixes.size() > 0)
{
aveRateSet /= fixes.size();
}
ratesDescriptionStream <<",Fix(Ave)," << fixed << setprecision(4) << aveRateSet;
ratesDescriptionStream << ",Fwd(Ave)," << fixed << setprecision(4) << aveFwd;
double averageSD = 0, averageVol = 0;
for (size_t i = 0; i < sds.size(); ++i)
{
averageSD += sds[i] * sds[i];
averageVol += vols[i];
}
if (sds.size() > 0)
{
averageSD /= sds.size();
averageVol /= sds.size();
}
averageSD = sqrt(averageSD);
ratesDescriptionStream << ",Vol(Ave)," << fixed << setprecision(6) << averageVol
<< ",SD(Ave)," << fixed << setprecision(6) << averageSD;
}
return ratesDescriptionStream.str();
}
double AsianOption::getOptionValue(boost::shared_ptr<RatesEnvironment> re)
{
Date onDate = re->getAnchorDate();
if (onDate > getSettlementDate())
{
return 0;
}
vector<double> forwards, fixes, sds, vols;
getRates(onDate, fixes, forwards, sds, vols, re);
double premium = 0;
if (sds.size() != forwards.size())
{
return numeric_limits<double>::quiet_NaN();
}
double df = (re->getDRS())->getDiscountFactor(getSettlementDate());
if (onDate < maturityDate)
{
option->setParameters(forwards, fixes, strike, sds, df);
premium = option->getPremium();
}
else if ((onDate >= maturityDate) && (onDate <= settlementDate))
{
double averageFwd = 0;
option->setParameters(forwards, fixes, strike, sds, df);
if (fixes.size() == 0)
{
return 0;
}
for (size_t i = 0; i < fixes.size(); ++i)
{
averageFwd += fixes[i];
}
averageFwd /= fixes.size();
premium = option->getPremiumAfterMaturity(averageFwd, df);
}
return premium * volume;
}
void QueueTuner::contextMenuEvent(QContextMenuEvent* e)
{
QMenu p(this);
p.addAction(i18n("Reset..."));
QAction *action = p.exec(e->globalPos());
if (action)
{
QString question(i18n("This cannot be undone, are you sure you wish to reset to default values?"));
int x = KMessageBox::warningContinueCancel(
this, question, i18n("Reset Values"),
KStandardGuiItem::reset(), KStandardGuiItem::cancel(),
QString(), KMessageBox::Dangerous
);
if (x == KMessageBox::Continue)
{
Application::instance()->resetQueueRates();
getRates();
}
}
e->accept();
}
double RateMeyerHaeseler::optimizeParameters(double epsilon) {
assert(phylo_tree);
double tree_lh = phylo_tree->computeLikelihood();
DoubleVector prev_rates;
getRates(prev_rates);
if (empty()) {
if (rate_file) {
readRateFile(rate_file);
phylo_tree->clearAllPartialLH();
return phylo_tree->optimizeAllBranches();
}
initializeRates();
}
optimizeRates();
phylo_tree->clearAllPartialLH();
stringstream best_tree_string;
phylo_tree->printTree(best_tree_string, WT_BR_LEN + WT_TAXON_ID);
double new_tree_lh = phylo_tree->optimizeAllBranches(1);
//double new_tree_lh = phylo_tree->computeLikelihood();
if (new_tree_lh < tree_lh - 1e-5) {
cout << "Worse likelihood (" << new_tree_lh << "), roll back site rates..." << endl;
setRates(prev_rates);
phylo_tree->rollBack(best_tree_string);
//phylo_tree->clearAllPartialLh();
new_tree_lh = phylo_tree->computeLikelihood();
//cout << "Backup log-likelihood: " << new_tree_lh << endl;
new_tree_lh = tree_lh;
}
return new_tree_lh;
}
void QueueTuner::setServer(Server* newServer)
{
bool toShow = false;
if (!m_server && newServer)
toShow = true;
else if (!newServer && m_server)
hide();
// since this is tied to the new signal, we assume we're only getting called with a change
m_server = newServer;
if (toShow)
show();
if (m_server)
{
connect(m_server, SIGNAL(destroyed(QObject*)), SLOT(serverDestroyed(QObject*)));
getRates();
}
}
