mktmaker.h

仿真人工金融市场Jackson代码

//  Tim Jares -- MktMaker.h 
//  This include file defines the characteristics of the MktMaker.
//   in this market simulation.  

#import <objectbase/SwarmObject.h>
#import <collections.h>
#import <random.h>
#import <math.h>
#import "ClearingInfo.h"
#import "MktStats.h"
#import "ShareRequest.h"
#import "SortList.h"
#import "Trader.h"

@interface MktMaker: SwarmObject {
  double mktOrderBidAmt;	// demand of risky asset
  double mktOrderOfferAmt;	// supply of risky asset
  double riskLessDemand;	// demand of riskless asset
  double riskLessSupply;	// supply of riskless asset
  // These are for specialist's inventory, if appropriate.  -1 means
  //   he can make it out of thin air (i.e. infinitely elastic)
  double riskyInventory;	// if available
  double riskLessInventory;     // if available
  double riskyClearPrice;	// current period mkt clearing
				//   price for risky asset
  double riskyVol;		// # of shrs changing hands
  double riskLessClearPrice;	// current clearing price for riskless
  double riskLessRate;		// riskLess coupon  rate
  double riskyCF;		// current periodic risky cash flow
  double riskyGrowthRate;	// TRUE growth rate of risky dividend
  double riskyNoiseMean;        // mean of noise in growth rate
  double riskyNoiseVar;         // var of noise in growth rate
  double riskyCFNoise;		// draw from riskyCF noise distrib.
  double riskLessCF;		// coupon pmt from riskless asset

  float  shortMarginFactor;	// limit short selling as % of wealth
  float  longMarginFactor;	// limit buying on margin as % of wealth
  float  pauperFactor;		// poor people aren't allowed to trade
				//   until they re-accumulate some wealth
  long int	 randomNumSeed;		// seed for random num generator
  
  id	 traderList;		// List of mkt participants
  id	 pendingList;		
  id     mktBidList;
  id     mktOfferList;
  id     limitBidList;
  id     limitOfferList;
  id	 priceList;
  id     riskLessDemandList;
  id     riskLessSupplyList;
 
  id     mktStats;

  int	 diagLevel;

@private
  id <MT19937gen> randomGenerator;
  id <MT19937gen> randomGenerator2;
  id <NormalDist> riskyCFDist;
  double riskyCFNoiseLag;

}

//  MktMaker methods

-initMktLists;
-(id <MT19937gen>) getRandomGen;
-(id <MT19937gen>) getRandomGen2;
-(long int) getRNGSeed;
-(double) getRiskyCFNoise;
-(double) getRiskyCFNoiseLag;
-setDiagLevel: (int) l;
-setInventory: (int) x : (int) y;
-setRiskLessRate: (double) r;
-(double) getRiskLessRate;
-setRiskyGrowthRate: (double) r;
-(double) getRiskyGrowthRate;
-setRiskyNoiseMean: (double) m riskyNoiseVar: (double) v;
-setTraderList: (id) x;
-setShortMargin: (float) s;
-setLongMargin: (float) l;
-setPauper: (float) p;
-setRandomNumSeed: (long int) s;
-addRiskyDemand: (id) aRequest;
-addRiskySupply: (id) aRequest;
/*
-addRiskLessDemand: (id) aTrader;
-addRiskLessSupply: (id) aTrader;
*/
-print;
-payInterest;
-payEarnings;
-printDemandSched;
-checkBankruptcies;
-countShares;
-step;

@end