reporter.m

仿真人工金融市场Jackson代码

//  Reporter.m
//  This file defines the method of stock valuation for
//  fundamental traders....
//     -- this trader just reports the fundamental value
//     -- we will use this individual to derive the fundamental
//	  price
//



#import "Reporter.h"

// Implementation of a fundamental trader ..

@implementation Reporter

-createEnd {
   [super createEnd];

   //  let them start out well
   expRiskyCFLag = [mktStats getEarningsLag: 0];

   [self projectEarnings];

return self;
}

- projectEarnings {

   double rho;

   if (diagLevel & METHOD_ENTRY) 
     printf("*** projectEarnings (Reporter) \n");


   // Determine expected 1-period ahead price and periodic cash flow
   // Use rational expectations forecast.
   //  If CF follows ARMA(1,1) process as described in paper,
   //    rational expectations forecast of next CF is weighted
   //    avg of last CF and last forecast CF

   rho = 1+riskyGrowthRate;
   riskyCF = [mktStats getEarningsLag:0];

   // for initial forecast
   if (expRiskyCFLag == 0)
     expRiskyCFLag = riskyCF;

   risky1CF = 0.75 * expRiskyCFLag +
                (rho - 0.75) * riskyCF;

   if (diagLevel & REPORTER) 
     printf ("REPORT_PROJECT (%d) expEarn (%f) expEarnLag (%f) \n",
		daysTillEarnings,
		risky1CF,
		expRiskyCFLag );

   // save forecast for next time
   expRiskyCFLag = risky1CF;



return self;

}

-step {

   double dlyRate, pvif, t1, expP1, t2;

   if ((diagLevel & METHOD_ENTRY) ||
       (diagLevel & METHOD_SCHED)) 
     printf("*** step (Reporter) \n");

   [super step];


   if (daysTillEarnings == 0) {
    
     [self projectEarnings];

     // Use Gordon Model for now
     //   NOTE:  all terms are in qtly terms
     riskyValue = risky1CF / 
		(discountRate - riskyGrowthRate); 

   } else {  // must discount expected earnings and expected
	     //    price based upon gordon growth model   

     dlyRate = discountRate / 90;
     pvif = pow ((double)1+dlyRate, (double)daysTillEarnings);
     t1 = risky1CF / pvif;
     expP1 = (risky1CF * (1+riskyGrowthRate))/
		(discountRate - riskyGrowthRate);
     t2 = expP1 / pvif;

     riskyValue = t1 + t2;

   }

   // Because of limited liability a value less than zero makes
   //  no sense.  For that matter, exactly zero doesn't make
   //  much sense either, but it is easier than calculating an
   //  option value or the like ...
   if (riskyValue < 0) 
     riskyValue = 0;
  
   if (diagLevel & REPORTER) 
     printf ("REPORT daysLeft (%d) cur riskyCF (%f) earnlag (%f) earnest (%f) val (%f)\n",
		daysTillEarnings,
		[mktStats getRiskyCF],
		[mktStats getEarningsLag: 0],
   		expRiskyCFLag,
		riskyValue);

   // SPECIAL JOB Reporter is to tell MKTSTATS what
   //  the fund price is.  Right now this limits us to a
   //  SINGLE reporter since we only want this reported
   //  one time!!!
   [mktStats addFundPrice: riskyValue];


   return self;
}

@end