void SymbolTable::bind(const std::string& name, Expr obj,
bool levelZero) throw() {
PrettyCheckArgument(!obj.isNull(), obj, "cannot bind to a null Expr");
ExprManagerScope ems(obj);
if(levelZero) d_exprMap->insertAtContextLevelZero(name, obj);
else d_exprMap->insert(name, obj);
}
void Pickler::debugPickleTest(Expr e) {
//ExprManager *em = e.getExprManager();
//Expr e1 = mkVar("x", makeType());
//return ;
Pickler pickler(e.getExprManager());
Pickle p;
pickler.toPickle(e, p);
uint32_t size = p.d_data->size();
std::string str = p.d_data->toString();
Expr from = pickler.fromPickle(p);
ExprManagerScope ems(e);
Debug("pickle") << "before: " << e << std::endl;
Debug("pickle") << "after: " << from.getNode() << std::endl;
Debug("pickle") << "pickle: (oct) "<< size << " " << str.length() << " " << str << std::endl;
Assert(p.d_data->empty());
Assert(e == from);
}
/**
* Computes garch price for GARCH model
* @param[in] today_price taday price
* @param[in] alpha_zero garch parameter
* @param[in] alpha_one garch parameter
* @param[in] lambda the constant unit risk premium
* @param[in] beta_one garch parameter
* @param[in] interest the annulized interest
* @param[in] K exercise price
* @param[in] frequency frequency
* @param[in] T time to mutrity
* @param[in] choice emscorrection(ems_on or ems_off)
* @param[in] type_generator the type of generator for random number
* @param[out] garch option price
* garch->call obtains call option price
* garch->put obtains put option price
* @return OK if ok otherwise return FAIL
*/
static int garch_price(NumFunc_1 *p,double today_price,double alpha_zero,double alpha_one,double beta_one,double lambda,double interest,int frequency,double K,int T,int N,int choice,int type_generator,double *price,double *delta)
{
double sum_callorput;
double sum_delta;
double s_T;
double garch_delta;
int i;
PnlMat *path_ems, *path, *path1D;
PnlVect *h;
path=pnl_mat_create(T,N);
h=pnl_vect_create (1);
sum_callorput=0;
sum_delta=0;
pnl_vect_set(h,0,today_price);
if (calculate_path(h,path,interest,frequency,N,T,alpha_zero,alpha_one,lambda,beta_one,type_generator)==FAIL)
{
pnl_vect_free(&h);
pnl_mat_free(&path);
return FAIL;
}
//if we choose ems option
switch (choice)
{
case 1:
pnl_vect_free(&h);
pnl_rand_init(type_generator,N,T);
path_ems=pnl_mat_create(T,N);
if(ems(path,interest,frequency,path_ems)==FAIL)
{
pnl_mat_free(&path);
pnl_mat_free(&path_ems);
return FAIL;
}
pnl_mat_clone(path, path_ems);
for(i=0;i<N;i++)
{
s_T=pnl_mat_get(path,T-1,i);
sum_callorput=sum_callorput+(p->Compute)(p->Par,pnl_mat_get(path,T-1,i));
if(s_T>K) garch_delta=1.;
sum_delta=sum_delta+(s_T/today_price)*garch_delta;
}
pnl_mat_free(&path_ems);
break;
case 2:
path1D=pnl_mat_create(T,1);
pnl_rand_init(type_generator,1,T);
for(i=0;i<N;i++)
{
calculate_path(h,path1D,interest,frequency,1,T,alpha_zero,alpha_one,lambda,beta_one,type_generator);
s_T=pnl_mat_get(path1D,T-1,0);
sum_callorput=sum_callorput+(p->Compute)(p->Par,pnl_mat_get(path,T-1,i));
if(s_T>K) garch_delta=1.;
sum_delta=sum_delta+(s_T/today_price)*garch_delta;
}
pnl_vect_free(&h);
pnl_mat_free(&path1D);
break;
default:
printf ("Wrong value for parameter EMS\n");
return FAIL;
}
interest=(interest*frequency)/252.;
//Price
*price=sum_callorput/(N*pow(M_E,(interest*T)));
*delta=sum_delta/(N*pow(M_E,(T*interest)));
if ((p->Compute)==&Put) *delta=*delta-1;
pnl_mat_free(&path);
return OK ;
}
