int main(int argc,char* args[])
{
SDL_Init(SDL_INIT_EVERYTHING);
screen=SDL_SetVideoMode(0,0,32,SDL_FULLSCREEN);
background=SDL_LoadBMP("wooden_background.bmp");
apply_surface(0,0,background,screen);
//print_main_layer();
load_prices();
print_player_info(true);
print_shop(4,5);
SDL_Flip(screen);
shop(5,5);
save_player1("player1");
//SDL_Delay(1000);
return 0;
}
int main(int argc, char **argv) {
/**
* utility variables
*/
int retcode = 0;
int delta_t;
int i, j;
char *x_filename, *p_filename;
char *pfv_filename, *pfr_filename;
FILE *pfv_f, *pfr_f;
int ov, or;
double s;
/**
* Program variables
*/
int verbose;
double B;
int num_sim, num_workers, max_t;
WorkerBag *wbag = NULL;
pthread_t *pthread = NULL;
pthread_mutex_t outputmutex;
double *x = NULL;
int *indices = NULL;
double *p = NULL;
double *delta = NULL;
double *sigma = NULL;
/**
* arrays for results
*/
double *pf_values = NULL;
double *pf_returns = NULL;
double avg_pf_value;
double avg_pf_return;
int n; /** number of assets **/
int t; /** number of periods **/
Portfolio **ppf = NULL;
/**
* Default parameter values
*/
verbose = 0;
num_sim = 1;
num_workers = 1;
max_t = 10000;
B = 1000000000.0;
ov = 0;
or = 0;
/**
* Collect parameters from command line
*/
if(argc < 3) {
printf("usage: %s <portfolio positions file> <prices history file> [ -ov portfolio values output file] [ -or portfolio returns output file] [-q simulations number] [-w workers] [-p max periods] [-v verbose] [-b initial value]\n", argv[0]);
retcode = 1; goto BACK;
}
for(j = 3; j < argc; j++){
if (0 == strcmp(argv[j], "-v")){
j += 0;
verbose = 1;
}
else if (0 == strcmp(argv[j],"-q")){
j += 1;
num_sim = atoi(argv[j]);
}
else if (0 == strcmp(argv[j],"-w")){
j += 1;
num_workers = atoi(argv[j]);
}
else if (0 == strcmp(argv[j],"-p")){
j += 1;
max_t = atoi(argv[j]);
}
else if (0 == strcmp(argv[j],"-b")){
j += 1;
B = atof(argv[j]);
}
else if (0 == strcmp(argv[j],"-ov")){
j += 1;
pfv_filename = argv[j];
ov = 1;
}
else if (0 == strcmp(argv[j],"-or")){
j += 1;
pfr_filename = argv[j];
or = 1;
}
else{
printf("bad option %s\n", argv[j]); retcode = 1; goto BACK;
}
}
if (num_workers > num_sim) {
num_workers = num_sim;
printf(" --> reset workers to %d\n", num_workers);
}
x_filename = argv[1];
p_filename = argv[2];
printf("loading positions from %s\n", x_filename);
retcode = load_initial_positions(x_filename, &x, &n, &indices, 1e-10);
if (retcode != 0) {
printf("positions could not be loaded !\n"); goto BACK;
}
printf("Portfolio assets: %d\n", n);
if (verbose) {
printf("x:");
UTLShowVector(n, x);
s = 0;
for (j = 0; j < n; j++)
s += x[j];
printf("sum of positions : %g %%\n", s*100.0);
}
printf("loading prices from %s\n", p_filename);
retcode = load_prices(p_filename, &p, n, indices, &t, max_t);
if (retcode != 0) {
printf("prices could not be loaded !\n"); goto BACK;
}
printf("periods: %d\n", t);
if (verbose) {
printf("prices loaded\n");
}
printf("computing vector of averages of changes...\n");
retcode = compute_avg_changes(p, n, t, &delta);
if (retcode != 0)
goto BACK;
if (verbose) {
printf("delta:");
UTLShowVector(n, delta);
}
printf("computing vector std's of changes...\n");
retcode = compute_std_changes(p, n, t, delta, &sigma);
if (retcode != 0)
goto BACK;
if (verbose) {
printf("sigma:");
UTLShowVector(n, sigma);
}
/** allocating memory for result arrays **/
pf_values = (double*)calloc(num_sim, sizeof(double));
pf_returns = (double*)calloc(num_sim, sizeof(double));
if (pf_values == NULL || pf_returns == NULL) {
retcode = NOMEMORY; goto BACK;
}
/**
* Creating portfolio array for every worker (no shared memory so we need to make numworkers copies of 1 portfolio)
*/
retcode = portfolio_create_array(num_workers, &ppf, n, t, x, p, delta, sigma, B, pf_values, pf_returns);
if (retcode != 0)
goto BACK;
/** check initial portfolio value**/
s = 0.0;
for (i = 0; i < n; i++) {
s += p[i*t + 0] * ppf[0]->q[i];
}
printf("Initial portfolio value: %g\n", s);
/** prepare simple multithreading **/
wbag = (WorkerBag*)calloc(num_workers, sizeof(WorkerBag));
if (wbag == NULL) {
retcode = NOMEMORY; goto BACK;
}
pthread = (pthread_t *)calloc(num_workers, sizeof(pthread_t));
if (pthread == NULL) {
printf("could not create thread array\n");
retcode = NOMEMORY; goto BACK;
}
delta_t = UTLTicks_ms();
pthread_mutex_init(&outputmutex, NULL);
for(j = 0; j < num_workers; j++) {
wbag[j].ID = j;
wbag[j].num_sim = num_sim;
wbag[j].pf = ppf[j];
wbag[j].poutputmutex = &outputmutex;
wbag[j].num_workers = num_workers;
pthread_mutex_lock(&outputmutex);
printf("Launching thread for worker %d\n", j);
pthread_mutex_unlock(&outputmutex);
pthread_create(&pthread[j], NULL, &pfworker, (void *)&wbag[j]);
}
pthread_mutex_lock(&outputmutex);
printf("Waiting for threads...\n");
pthread_mutex_unlock(&outputmutex);
for(j = 0; j < num_workers; j++) {
pthread_join(pthread[j], NULL);
pthread_mutex_lock(&outputmutex);
printf("Thread %d joined ...\n", j);
pthread_mutex_unlock(&outputmutex);
}
pthread_mutex_destroy(&outputmutex);
delta_t = UTLTicks_ms() - delta_t;
printf("P&L simulations done in %.1f seconds\n", delta_t/1000.0);
printf("Averaging over all simulations\n");
avg_pf_value = average(num_sim, pf_values);
avg_pf_return = average(num_sim, pf_returns);
printf("Average final value: %g\n", avg_pf_value);
printf("Average daily return: %g %%\n", 100.0*avg_pf_return);
if (ov) {
printf("saving values...\n");
pfv_f = fopen(pfv_filename, "w");
fprintf(pfv_f, "nsim: %d\n", num_sim);
for (j = 0; j < num_sim; j++) {
fprintf(pfv_f, "%g\n", pf_values[j]);
}
fclose(pfv_f);
}
if (or) {
printf("saving returns...\n");
pfr_f = fopen(pfr_filename, "w");
fprintf(pfr_f, "nsim: %d\n", num_sim);
for (j = 0; j < num_sim; j++) {
fprintf(pfr_f, "%g\n", pf_returns[j]);
}
fclose(pfr_f);
}
if (verbose) {
printf("freeing memory ...\n");
}
BACK:
portfolio_delete_array(num_workers, &ppf);
UTLFree((void**)&pf_values);
UTLFree((void**)&pf_returns);
UTLFree((void**)&wbag);
UTLFree((void**)&pthread);
UTLFree((void**)&sigma);
UTLFree((void**)&delta);
UTLFree((void**)&p);
UTLFree((void**)&indices);
UTLFree((void**)&x);
return retcode;
}
