void CSpeechEst::UpdateGain()
{
int i;
float prisnr,g,p;
for (i=m_nStartBin;i<m_nEndBin;i++)
{
p=m_pfP[i];
prisnr=m_pfPrioriSNR[i];
g=prisnr/(prisnr+1.f);
g*=expf(0.5f*expint(m_pfV[i]));
g=min(1.f,g);
g=max(m_fGainMin,g);
m_pfGain[i]=powf(g,p);
m_pfGain[i]*=powf(m_fGainMin,1.f-p);
}
}
int
main_test(long int x)
{
return expint(50, x) & 1023;
}
BOOL gotcha(void)
{ /* use new factorisation */
int r,j,i,k,n,rb,had,hp;
unsigned int t;
BOOL found;
found=TRUE;
if (partial)
{ /* check partial factorisation for usefulness */
had=lp%hmod;
forever
{ /* hash search for matching large prime */
hp=hash[had];
if (hp<0)
{ /* failed to find match */
found=FALSE;
break;
}
if (pr[hp]==lp) break; /* hash hit! */
had=(had+(hmod2-lp%hmod2))%hmod;
}
if (!found && nlp>=mlf) return FALSE;
}
copy(PP,XX);
convert(1,YY);
for (k=1;k<=mm;k++)
{ /* build up square part in YY *
* reducing e[k] to 0s and 1s */
if (e[k]<2) continue;
r=e[k]/2;
e[k]%=2;
expint(epr[k],r,TT);
multiply(TT,YY,YY);
}
/* debug only
cotnum(XX,stdout);
cotnum(YY,stdout);
if (e[0]==1) printf("-1");
else printf("1");
for (k=1;k<=mm;k++)
{
if (e[k]==0) continue;
printf(".%d",epr[k]);
}
if (partial) printf(".%d\n",lp);
else printf("\n");
*/
if (partial)
{ /* factored with large prime */
if (!found)
{ /* store new partial factorization */
hash[had]=nlp;
pr[nlp]=lp;
copy(XX,z[nlp]);
copy(YY,w[nlp]);
for (n=0,rb=0,j=0;j<=mm;j++)
{
G[nlp][n]|=((e[j]&1)<<rb);
if (++rb==nbts) n++,rb=0;
}
nlp++;
}
if (found)
{ /* match found so use as factorization */
printf("\b\b\b\b\b\b*");
fflush(stdout);
mad(XX,z[hp],XX,NN,NN,XX);
mad(YY,w[hp],YY,NN,NN,YY);
for (n=0,rb=0,j=0;j<=mm;j++)
{
t=(G[hp][n]>>rb);
e[j]+=(t&1);
if (e[j]==2)
{
premult(YY,epr[j],YY);
divide(YY,NN,NN);
e[j]=0;
}
if (++rb==nbts) n++,rb=0;
}
premult(YY,lp,YY);
divide(YY,NN,NN);
}
}
else
{
void main(void)
{
expint(50,1);
// with expint(50,21) as argument, runs the short path
// in expint. expint(50,1) gives the longest execution time
}
scprog()
{ short i,j,k,l,m,n,stconj,np,pm1,ncr,crct,ndc,dcct,
lo,intexsk,stpt,lpt,stint,olen,pt,ad,*p1,*ip1,*p2,*ip2,
*pint,*ptr,*g,*ig,ino,olo,**vsvptr;
int quot;
char ingp,igth;
if ((ip=fopen(inf1,"r"))==0)
{ fprintf(stderr,"Cannot open %s.\n",inf1); return(-1); }
fscanf(ip,"%hd%hd%hd%hd",&npt,&exp,&nb,&l);
if (npt>mpt)
{ fprintf(stderr,"npt too big. Increase MPT.\n"); return(-1); }
if (nb>=mb)
{ fprintf(stderr,"nb too big. Increase MB.\n"); return(-1); }
if (nb*npt*2>svsp)
{ fprintf(stderr,"svsp too small. Increase SVSP.\n"); return(-1); }
if (exp>=mexp)
{ fprintf(stderr,"exp too big. Increase MEXP.\n"); return(-1); }
if (l!=2) {fprintf(stderr,"Wrong input format.\n"); return(-1);}
readbaselo(nb,base,lorb); npt1=npt+1;
quot=psp/npt1; if (quot>mp) quot=mp; mxp=quot; mxp=2*(mxp/2);
if (2*exp>mxp)
{ fprintf(stderr,"Out of perm space. Increase PSP (or MP).\n"); return(-1); }
for (i=0;i<mxp;i++) pptr[i]=perm+i*npt1-1;
for (i=1;i<=nb;i++) svptr[i]=sv+(i-1)*npt-1;
readpsv(0,nb,exp,svptr);
for (i=exp;i>=1;i--) fscanf(ip,"%hd",pwt+i);
fscanf(ip,"%hd%hd",&prime,&ngads);
if (2*exp+ngads>mxp)
{ fprintf(stderr,"Out of perm space. Increase PSP (or MP).\n"); return(-1); }
for (i=1;i<=exp;i++) fscanf(ip,"%hd",power+i);
for (i=1;i<=exp;i++) { j=2*(i-1); ngno[i]=j; igno[j+1]=i; }
k=2*exp-1;
for (i=1;i<=ngads;i++)
{ l=i+k; readvec(pptr[l],1); m=pptr[l][npt1]; ngno[m]=l; }
fclose(ip);
stconj=2*exp+ngads-1; itp=tp+npt1;
if (4*exp+ngads>mxp)
{ fprintf(stderr,"Out of perm space. Increase PSP (or MP).\n"); return(-1); }
if (subgp)
{ stig=stconj+2*exp;
for (i=1;i<=nb;i++) sv2ptr[i]=sv+(nb+i-1)*npt-1;
if (subgp>1)
{strcpy(inf3,inf0); strcat(inf3,"sg"); sgstr[0]=sgc; strcat(inf3,sgstr);}
if (rsgp()== -1) return(-1);
igth=1;
}
else vsvptr=svptr;
if ((ip=fopen(inf2,"r"))==0)
{ printf("Cannot open %s.\n",inf2); return(-1); }
fscanf(ip,"%hd%hd",&i,&ndc); while (getc(ip)!='\n');
if (i!=npt) {printf("dcr has npt false.\n"); return(-1); }
/* If subgp is true, then we will have to update the dcr file, so we print
it out on to a temporary file as we go along.
*/
if (subgp)
{ opy=fopen(outft,"w"); fprintf(opy,"%4d%4d%4d%4d\n",npt,ndc,0,0);}
op=fopen(outf,"w"); pm1=prime-1; setpinv();
for (dcct=1;dcct<=ndc;dcct++)
{ if (subgp>1 && igth==0)
{ strcpy(inf3,inf0); strcat(inf3,"sg"); sgstr[0]=sgc;
strcat(inf3,sgstr); ipkp=ip;
if (rsgp()== -1) return(-1);
ip=ipkp; vsvptr=sv2ptr; igth=1;
}
else if (subgp) vsvptr=sv2ptr;
readvec(dcrep,0); invert(dcrep,dcrepinv);
fscanf(ip,"%hd",&lo); intexp=0; olo=lo;
while (lo%prime==0) {intexp++; lo/=prime; }
if (lo!=1) printf("Warning. lo was not a power of p.\n");
intexp=exp-intexp; printf("dcct,intexp=%d,%d.\n",dcct,intexp);
/* intexp is the exponent of Q = P ^ gPg(-1), for the current dcrep g */
if (intexp==0 || (intexp==1 && mult))
{ if (subgp)
{ if (npt>=1000) for (n=1;n<=npt;n++) fprintf(opy,"%5d",dcrep[n]);
else for (n=1;n<=npt;n++) fprintf(opy,"%4d",dcrep[n]);
fprintf(opy," %4d\n",olo);
}
if (mult==0) fprintf(op,"%4d\n",0);
continue;
}
/* Now we compute the gens g(-1)h(i)g, where h(i) are the PCP gens of P */
for (i=1;i<=exp;i++)
{ p1=pptr[ngno[i]]; p2=pptr[stconj+i];
for (n=1;n<=npt;n++) p2[n]=dcrep[p1[dcrepinv[n]]];
}
stint=stconj+exp; pint=pptr[stint]; intexsk=0;
for (i=1;i<=exp;i++) intno[i]=0;
lpt=1; stpt=1; pm1=prime-1;
/* Now we search through the elements of g(-1)Pg, testing for membership of
P, until we have found the intexp gens of g(-1)Qg.
*/
for (i=1;i<=exp;i++)
{ olen=1; cp[1]=stconj+i;
for (j=1;j<=exp;j++) co[j]=0;
while(1)
{ *cp=olen; ingp=1;
for (k=1;k<=nb;k++)
{ pt=image(base[k]); ptr=vsvptr[k];
if (ptr[pt]==0) {ingp=0; ad=stpt; break;}
if (k<nb) addsv(pt,ptr);
}
if (ingp) break;
while (co[ad]==pm1) {olen-=pm1; co[ad]=0; ad=fpt[ad]; }
if (ad==i) { lpt=i; fpt[i]=i+1; break; }
olen++; co[ad]++; cp[olen]=stconj+ad;
}
if (ingp)
{ intexsk++; pint+=npt1; *cp=olen;
for (n=1;n<=npt;n++) pint[n]=image(n);
pint[npt1]=intexsk; intno[i]=stconj+2*intexsk-1;
if (intexsk==intexp) break;
if (stpt==i) {lpt=i+1; stpt=lpt; } else fpt[lpt]=i+1;
}
}
/* Search is complete */
if (intexsk<intexp) {fprintf(stderr,"Intersection error.\n"); return(-1); }
printf("Found intersection.\n");
/* If subgp, then we will now modify g, until H ^ gHg- contains Q */
if (subgp) for (m=subgp;m>=1;m--)
{ if (m==subgp) for (i=1;i<=npt;i++) {tp[i]=i; itp[i]=i;}
if (subgp>1)
{ strcpy(inf4,inf0); strcat(inf4,"cr"); strcat(inf4,sgstr);
if (m>1)
{ sgstr[0]--; strcpy(inf3,inf0); strcat(inf3,"sg"); strcat(inf3,sgstr);
ipkp=ip;
if (rsgp()== -1) return(-1);
ip=ipkp; igth=0; vsvptr=sv2ptr;
}
else vsvptr=svptr;
}
else vsvptr=svptr;
if ((ipcr=fopen(inf4,"r"))==0)
{ fprintf(stderr,"Cannot open %s.\n",inf4); return(-1); }
ingp=0;
fscanf(ipcr,"%hd%hd",&n,&ncr); while (getc(ipcr)!='\n');
if (n!=npt) { fprintf(stderr,"inf4 has npt wrong.\n"); return(-1); }
for (crct=0;crct<=ncr;crct++)
{ if (crct==0) for (n=1;n<=npt;n++) crep[n]=n;
else for (n=1;n<=npt;n++) fscanf(ipcr,"%hd",crep+n);
invert(crep,crepinv);
for (i=1;i<=intexp;i++)
{ p1=pptr[stint+i]; *cp=0;
for (j=1;j<=nb;j++)
{ pt=image(crep[tp[p1[itp[crepinv[base[j]]]]]]); ptr=vsvptr[j];
if (ptr[pt]==0) goto nextcr;
if (j<nb) addsv(pt,ptr);
}
}
ingp=1; printf("Got intersection in subgp %d. crct=%d.\n",m-1,crct);
for (n=1;n<=npt;n++) tp[n]=crep[tp[n]]; invert(tp,itp);
fclose(ipcr); break;
nextcr:;
}
if (ingp==0)
{ fprintf(stderr,"Cannot get intersection in subgp %d.\n",m-1);
return(-1);
}
}
/* Now we reconjugate the gens of g(-1)Qg by g(-1) to get gens of Q */
for (i=1;i<=intexp;i++)
{ p1=pptr[stconj+2*i-1]; p2=pptr[stint+i];
for (n=1;n<=npt;n++) p1[n]=dcrepinv[p2[dcrep[n]]]; p1[npt1]=p2[npt1];
invert(p1,p1+npt1);
}
/* If subgp, then update dcr */
if (subgp)
{ if (npt>=1000) for (n=1;n<=npt;n++)
{ dcrep[n]=tp[dcrep[n]]; fprintf(opy,"%5d",dcrep[n]); }
else for (n=1;n<=npt;n++)
{ dcrep[n]=tp[dcrep[n]]; fprintf(opy,"%4d",dcrep[n]); }
fprintf(opy," %4d\n",olo); invert(dcrep,dcrepinv);
}
norm= intexp==exp;
/* If norm, then we do not need to compute the PCP for Q */
if (norm)
{ fprintf(op,"%4d\n",intexp);
if (mult==0)
{ for (i=exp;i>=1;i--) { wt[i]=pwt[i]; fprintf(op,"%4d",wt[i]); }
fprintf(op,"\n");
}
goto outconj;
}
/* Now we compute the PCP for Q. This is similar to the algorithm in pcrun */
for (i=1;i<=intexp;i++) { wt[i]=1; d1[i]=0; d2[i]=0; }
restart:
if (mult) nwt=2;
for (i=intexp;i>=2;i--)
{ p1=pptr[stconj+2*i-1]; ip1=p1+npt1;
for (j=intexp;j>i;j--)
{ if (mult==0) nwt=wt[i]+wt[j];
p2=pptr[stconj+2*j-1]; ip2=p2+npt1;
for (n=1;n<=npt;n++) {pt=p2[p1[ip2[ip1[n]]]]; tp[n]=pt; itp[pt]=n; }
if ((n=expint(intexp+1-i,intexp+1-j,nwt))>0) goto restart;
if (n== -1) return(-1);
}
}
if (mult==0) for (i=intexp;i>=2;i--)
{ nwt=wt[i]+1; p1=pptr[stconj+2*i-1]; ip1=p1+npt1;
for (n=1;n<=npt;n++)
{ pt=n; for (m=1;m<=prime;m++) pt=p1[pt]; tp[n]=pt; itp[pt]=n; }
if ((n=expint(intexp+1-i,intexp+1-i,nwt))>0) goto restart;
if (n== -1) return(-1);
}
fprintf(op,"%4d\n",intexp);
if (mult==0)
{ for (i=intexp;i>=1;i--) fprintf(op,"%3d",wt[i]); fprintf(op,"\n"); }
/* We output the PCP gens of Q followed by those of g(-1)Qg */
for (i=intexp;i>=1;i--)
{ p1=pptr[stconj+2*i-1]; p2=tp; ptr=p1+2*npt1;
while (p1<ptr) *(++p2)= *(++p1);
express(tp,rel,0); l= *rel;
for (n=0;n<=l;n++) fprintf(op,"%4d",rel[n]); fprintf(op,"\n");
}
outconj:
for (i=intexp;i>=1;i--)
{ p1= pptr[stconj+2*i-1];
for (n=1;n<=npt;n++) {pt=dcrep[p1[dcrepinv[n]]]; tp[n]=pt; itp[pt]=n; }
express(tp,rel,0); l= *rel;
for (n=0;n<=l;n++) fprintf(op,"%4d",rel[n]); fprintf(op,"\n");
}
if (norm) continue;
if (mult==0)
{ for (i=intexp;i>=1;i--) fprintf(op,"%3d",d1[i]); fprintf(op,"\n");
for (i=intexp;i>=1;i--) fprintf(op,"%3d",d2[i]); fprintf(op,"\n");
}
for (i=intexp;i>=2;i--)
{ p1=pptr[stconj+2*i-1]; ip1=p1+npt1;
for (j=intexp;j>i;j--)
{ p2=pptr[stconj+2*j-1]; ip2=p2+npt1;
for (n=1;n<=npt;n++) {pt=p2[p1[ip2[ip1[n]]]]; tp[n]=pt; itp[pt]=n; }
expint(intexp+1-i,intexp+1-j,0);
}
}
if (mult==0) for (i=intexp;i>=2;i--)
{ p1=pptr[stconj+2*i-1]; ip1=p1+npt1;
for (n=1;n<=npt;n++)
{ pt=n; for (m=1;m<=prime;m++) pt=p1[pt]; tp[n]=pt; itp[pt]=n; }
expint(intexp+1-i,intexp+1-i,0);
}
}
fprintf(op,"%d\n",-1);
if (subgp)
{ fclose(opy); fclose(op); fclose(ip);
ip=fopen(outft,"r"); op=fopen(inf2,"w");
while ((i=getc(ip))!= -1) putc(i,op); fclose(ip); unlink(outft);
}
return(0);
}
int main(int argc,char **argv){
struct timeval startTime, endTime;
long seconds, useconds;
double mtime;
double *L, *D, *U, *W, *x;
double aA, bB;
double ps0;
double Dx, Dt;
int i, j,k, ir=0;
double sig=0.2;
double T=0.5;
double S0=1800.0, K=1650.0;
double rfr=0.005;
double div=0.0135;
double theta=-0.15;
double v=0.17;
double sMin = 1000.0, sMax = 2000.0;
int N=4000;
int M=1000;
double g[6][N+1];
Dx = (log(sMax)-log(sMin))/N;
Dt = T/M;
double lp = sqrt(pow(theta,2)/pow(sig,4)+2/(v*pow(sig,2)))-theta/pow(sig,2);
double ln = sqrt(pow(theta,2)/pow(sig,4)+2/(v*pow(sig,2)))+theta/pow(sig,2);
double sigma_squared = 1/v * ((1/pow(lp,2)*(1-exp(-lp*Dx)*(1+lp*Dx)))+(1/pow(ln,2)*(1-exp(-ln*Dx)*(1+ln*Dx))));
double omega = 1/v *((expint(lp*Dx)-expint(Dx*(lp-1)))+(expint(ln*Dx)-expint(Dx*(ln-1))));
L = new double[N];
D = new double[N];
U = new double[N];
W = new double[N+1];
x = new double[N+1];
double *w_adjusted = new double[N+1];
aA = sigma_squared * Dt/(2 * pow(Dx,2)); //first part of Bl or Bu
bB = (rfr-div+omega-0.5*sigma_squared)*Dt/(2.0*Dx); //second part of Bl or Bu
gettimeofday(&startTime, NULL);
// populate payoff and 6 precalculated vectors
for ( i = 0; i <= N; ++i){
x[i] = log(sMin)+i*Dx;
if(exp(x[i])<K)
W[i] = K-exp(x[i]);
else
W[i] = 0.0;
g[0][i]=exp(k*Dx*ln);
g[1][i]=exp(k*Dx*lp);
g[2][i]=expint(ln*k*Dx);
g[3][i]=expint(lp*k*Dx);
g[4][i]=expint((ln+1)*k*Dx);
g[5][i]=expint((lp+1)*k*Dx);
}
for (i = 1; i <=N-1; ++i){
if (i==1){
D[i] = 1 + 2.0*aA + rfr*Dt - (aA-bB)* 2.0/(1.0+Dx/2.0);
U[i] = -(aA+bB) + (aA-bB)*(1.0-Dx/2)/(1.0+Dx/2.0);
}
else if (i==N-1){
L[i] = -(aA-bB) + (aA+bB)*(1+Dx/2.0)/(1.0-Dx/2.0);
D[i] = 1.0 + 2.0*aA + rfr*Dt - (aA+bB)* 2.0/(1.0-Dx/2.0);
}
else{
L[i] = -(aA-bB);
D[i] = 1 + 2.0*aA + rfr*Dt + Dt/v*(g[2][i]+g[3][N-i]);
U[i] = -(aA+bB);
}
}
for (j = M-1; j >= 0; --j) {
for (i = 1; i <=N-1; ++i)
{
double rhs=0;
for (k = 1; k <= i-1; ++k)
{
rhs+=(W[i-k]-W[i]-k*(W[i-k-1]-W[i-k]))*(g[2][k]-g[4][k+1]);
rhs+=1/(ln*Dx)*(W[i-k-1]-W[i-k])*(g[0][k]-g[0][k+1]);
}
for (k = 1; k <= N-i-1; ++k)
{
rhs+=(W[i+k]-W[i]-k*(W[i+k+1]-W[i+k]))*(g[3][k]-g[5][k+1]);
rhs+=1/(lp*Dx)*(W[i+k+1]-W[i+k])*(g[1][k]-g[1][k+1]);
}
rhs+=K*g[2][i]-exp(x[i])*g[4][i];
W[i]+=rhs;
}
tridiagSolver(L, D, U, W, N-1);
}
//
for(i = 0; i <= N-1; ++i){
if(x[i]>log(S0)){
ir=i;
break;
}
}
ps0 = W[ir-1] + ((W[ir]-W[ir-1])/Dx)*(log(S0)-x[ir-1]);
cout << "Stock Price " << S0 << endl;
cout << "Put Value " << ps0 << "\n" << endl;
delete [] L;
delete [] D;
delete [] U;
delete [] W;
delete [] x;
gettimeofday(&endTime, NULL);
seconds = endTime.tv_sec - startTime.tv_sec;
useconds = endTime.tv_usec - startTime.tv_usec;
mtime = ((seconds) * 1000 + useconds/1000.0);
cout << "Time elapsed was: " << mtime << " (milliseconds)" << endl;
return 0;
}
int main(int argc,char **argv){
/*struct timeval startTime, endTime;
long seconds, useconds;
double mtime;*/
clock_t t1;
t1 = clock();
double *L, *D, *U, *W,*Wadj, *x;
double aA, bB;
double ps0;
double tau_j;
double rhs=0;
int i, j, k, ir;
double sig=0.2;
double T=0.5;
double S0=1800.0, K=1650.0;
double rfr=0.005;
double div=0.0135;
double sMin = 100.0, sMax = 4100.0;
double mu=0.17,theta=-0.15;
int N=1600;
int M=400;
double Dx = (log(sMax)-log(sMin))/N;
double Dt = T/M;
double lp = sqrt((pow(theta, 2) / pow(sig, 4) + 2 / (pow(sig, 2)*mu))) - theta / pow(sig, 2);//lambda p
double ln = sqrt((pow(theta, 2) / pow(sig, 4) + 2 / (pow(sig, 2)*mu))) + theta / pow(sig, 2);//lambda n
L = new double[N];
D = new double[N];
U = new double[N];
W = new double[N+1];
Wadj = new double[N+1];
x = new double[N+1];
double** g = new double*[6];
for (int i = 0; i < 6; ++i)
{
g[i]= new double[N+1];
}
//double sig2_Dx = 1/(mu*lp*lp) *(1-exp(-lp*Dx)*(1+lp*Dx))+1/(mu*ln*ln) *(1-exp(-ln*Dx)*(1+ln*Dx));
double Y = 0;
double sig2_Dx = (1 / mu)* pow(lp, Y - 2)* (-pow(lp*Dx, 1 - Y)*exp(-lp*Dx) + (1 - Y)*(exp(0.0) - exp(-lp*Dx)))
+ (1 / mu)* pow(ln, Y - 2)* (-pow(ln*Dx, 1 - Y)*exp(-ln*Dx) + (1 - Y)*(exp(0.0) - exp(-ln*Dx)));
//double omega_Dx = 1/mu*(expint(lp*Dx)-expint(Dx*(lp-1)))+1/mu*(expint(ln*Dx)-expint(Dx*(ln+1)));
double omega_Dx = (expint(lp*Dx) - expint((lp - 1)*Dx) + expint(ln*Dx) - expint((ln + 1)*Dx)) / mu;
aA = sig2_Dx*Dt/(2.0*Dx*Dx);
bB = (rfr-div+ omega_Dx-0.5*sig2_Dx)*Dt/(2.0*Dx);
//gettimeofday(&startTime, NULL);
// payoff
for ( i = 0; i <= N; ++i){
x[i] = log(sMin)+i*Dx;
if(exp(x[i])<K)
Wadj[i]=W[i] = K-exp(x[i]);
else
Wadj[i]=W[i] = 0.0;
if (i>=1)
{
g[0][i] = exp(-i*ln*Dx);
g[1][i] = exp(-i*lp*Dx);
g[2][i] = expint(i*ln*Dx);
g[3][i] = expint(i*lp*Dx);
g[4][i] = expint(i*(ln+1)*Dx);
g[5][i] = expint(i*(lp-1)*Dx);
}
}
double Bl = (aA - bB);
double Bu = (aA + bB);
double r = rfr;
for (i = 1; i <=N-1; ++i){
if (i==1){
//L[i] = 0;
D[i] = 1 + 2.0*aA + rfr*Dt - (aA-bB)* 2.0/(1.0+Dx/2.0);
U[i] = -(aA+bB) + (aA-bB)*(1.0-Dx/2)/(1.0+Dx/2.0);
// Boundary condition
//W[1] = W[1]+(aA-bB)*(K-exp(x[0]));
//W[1] = W[1]+(aA-bB)*(K*exp(-rfr*tau_j)-exp(x[0])*exp(-div*tau_j));
}
else if (i==N-1){
L[i] = -(aA-bB) + (aA+bB)*(1+Dx/2.0)/(1.0-Dx/2.0);
D[i] = 1.0 + 2.0*aA + rfr*Dt - (aA+bB)* 2.0/(1.0-Dx/2.0);
//U[i] = 0;
// Boundary condition
//W[N-1] = W[N-1]+0.0;
}
else{
L[i] = -(aA-bB);
D[i] = 1 + 2.0*aA + rfr*Dt + Dt/mu*(g[2][i]-g[3][N-i]);
U[i] = -(aA+bB);
}
//here
//if (i == 1) {//Boundary Condition
// L[i] = 0;
// D[i] = -2 * Bl / (1 + Dx / 2) + 1 + r * Dt + Bl + Bu + (Dt / mu)*(g[2][i] + g[2][N - i]);
// U[i] = -Bu + (1 - Dx / 2) / (1 + Dx / 2)* Bl;
//}
//else if (i == N - 1) {//Boundary Condition
// L[i] = -Bl + (1 + Dx / 2) / (1 - Dx / 2)* Bu;
// D[i] = -2 * Bu / (1 - Dx / 2) + 1 + r * Dt + Bl + Bu + (Dt / mu)*(g[2][i] + g[2][N - i]);
// U[i] = 0;
//}
//else {
// L[i] = -Bl;
// D[i] = 1 + r * Dt + Bl + Bu + (Dt / mu) *(g[2][i] + g[2][N - i]);
// U[i] = -Bu;
//}
}
for (j = M-1; j >= 0; --j) {
for (int i = 1; i < N; ++i)
{
rhs=0;
for (int k = 1; k <= i-1; ++k)
{
rhs+=(W[i-k]-W[i]-k*(W[i-k-1]-W[i-k]))*(g[2][k]-g[2][k+1])+(W[i-k-1]-W[i-k])/(ln*Dx)*(g[0][k]-g[0][k+1]);
}
for (int k = 1; k <= N-i-1; ++k)
{
rhs+=(W[i+k]-W[i]-k*(W[i+k+1]-W[i+k]))*(g[3][k]-g[3][k+1])+(W[i+k+1]-W[i+k])/(lp*Dx)*(g[1][k]-g[1][k+1]);
}
rhs+=K*g[2][i]-exp(x[i])*g[4][i];
Wadj[i]=W[i]+Dt/mu*rhs;
}
tridiagSolver(L, D, U, Wadj, N-1);
for (int i = 0; i <=N; ++i)
{
W[i]=Wadj[i];
}
}
//
for(i = 0; i <= N-1; ++i){
if(x[i]>log(S0)){
ir=i;
break;
}
}
ps0 = Wadj[ir-1] + ((Wadj[ir]-Wadj[ir-1])/Dx)*(log(S0)-x[ir-1]);
cout << "Stock Price " << S0 << endl;
cout << "Put Value " << ps0 << "\n" << endl;
delete [] L;
delete [] D;
delete [] U;
delete [] W;
delete [] x;
for (int i = 0; i < 6; ++i)
{
delete [] g[i];
}
delete [] g;
/*gettimeofday(&endTime, NULL);
seconds = endTime.tv_sec - startTime.tv_sec;
useconds = endTime.tv_usec - startTime.tv_usec;
mtime = ((seconds) * 1000 + useconds/1000.0);
cout << "Time elapsed was: " << mtime << " (milliseconds)" << endl;*/
printf("%f",(float(clock()) - float(t1))/ CLOCKS_PER_SEC);
return 0;
}
void LogMmse(LogMMSE* logmmse,float* Y,float* Xest)
{
int i=nFFT-1,j;
int psiNTdB,gammadB;
float temp,vk,eivk;
float gamma[nFFT],psi[nFFT],psiNT[nFFT],SafetyNetPmin[nFFT],NoiseEst[nFFT],smoothpost[nFFT];
double Speechpresenceprob[nFFT];
//*******Initial Noise variance Estimation assuming 1st 6 frames are noise********//
if(framecounter <= 6)
{
do
{
logmmse->noiseMu[i]+= sqrt(Y[i]); // Noise mean
i--;
}while(i>=0);
i=nFFT-1;
do
{
logmmse->noiseVar[i] = (float)logmmse->noiseMu[i]*logmmse->noiseMu[i]*2.777777777777778e-02; //(abs(fft)/6)^2
i--;
}while(i>=0);
}
i=nFFT-1;
do
{
gamma[i] = min((Y[i]/logmmse->noiseVar[i]),40);
if(framecounter == 1)
{
psi[i] = 0.98 + 0.02*max((gamma[i]-1),0);
psiNT[i] = max((0.98 + 0.02*gamma[i]),0.003162277660168);
logmmse->SafetyNetP[i][SafetyNetInd] = 0.9*Y[i];
}
else
{
psi[i] = 0.98*(double)logmmse->X[i]/logmmse->noiseVar[i] + 0.02*max((gamma[i]-1),0);
psi[i] = max(psi[i],0.003162277660168); // limiting psi to -25dB
psiNT[i] = max((0.98*logmmse->Yprev[i]/logmmse->noiseVar[i]+0.02*gamma[i]),0.003162277660168);
if(SafetyNetInd > 0) logmmse->SafetyNetP[i][SafetyNetInd] = 0.1*logmmse->SafetyNetP[i][SafetyNetInd-1]+0.9*Y[i];
else logmmse->SafetyNetP[i][SafetyNetInd] = 0.1*logmmse->SafetyNetP[i][numWinPmin]+0.9*Y[i];
}
//*******Setting SafetynetPmin********//
temp = logmmse->SafetyNetP[i][0];
j=numWinPmin-1;
do{
if(temp>logmmse->SafetyNetP[i][j]) temp = logmmse->SafetyNetP[i][j];
j--;
}while(j>=0);
SafetyNetPmin[i] = temp;
//*******Fetching Noise Estimate********//
logmmse->Yprev[i] = Y[i];
psiNTdB = round(max(min(10.0*log10f(psiNT[i]),40),-19))+19;
gammadB = round(max(min(10.0*log10f(gamma[i]),40),-30))+30;
NoiseEst[i] = GainTable[classdecision][71*psiNTdB+gammadB]*Y[i];
i--;
}while(i >= 0);
//*******Frequency Smoothing********//
smoothpost[0] = (gamma[0]+gamma[1])/2;
i = nFFT-2;
do
{
smoothpost[i] = (gamma[i-1]+gamma[i]+gamma[i+1])/3;
i--;
}while(i>0);
smoothpost[nFFT-1] = (gamma[nFFT-1]+gamma[nFFT-2])/2;
i=nFFT-1;
do
{
//*******Updating NoiseVariance for next frame********//
if(framecounter == 1) Speechpresenceprob[i] = (double)0.9;
else Speechpresenceprob[i] = (double)0.1*Speechpresenceprob[i]+(double)0.9*(smoothpost[i]>4);
alphas = 0.85 + 0.15 * Speechpresenceprob[i];
logmmse->noiseVar[i] = alphas*logmmse->noiseVar[i] + (1-alphas)*NoiseEst[i];
if((1.5*SafetyNetPmin[i]) > logmmse->noiseVar[i])
{
Speechpresenceprob[i] = 0;
logmmse->noiseVar[i] = 1.5*SafetyNetPmin[i];
}
//*******log MMSE Estimator********//
temp = psi[i]/(1+psi[i]);
vk = gamma[i]*temp;
expint(&vk,&eivk); //Evaluating the exponential integral part
Xest[i] = temp*exp(eivk);
logmmse->X[i] = Y[i]*Xest[i]*Xest[i];
i--;
}while(i>=0);
SafetyNetInd = SafetyNetInd+1;
if(SafetyNetInd>=numWinPmin) SafetyNetInd = 0;
framecounter++;
}
