trader.h

仿真人工金融市场Jackson代码

//  Tim Jares -- Trader.h 
//  This include file defines the characteristics of traders
//   in this market simulation.  It should be general enough
//   to define all types of market participants.  Specific
//   types of traders should inherit these attributes and
//   add their specific beliefs.

#import <objectbase/SwarmObject.h>
//#import <random.h>
#import <math.h>
#import "MktStats.h"
#import "MktMaker.h"
#import "ShareRequest.h"

// This is just a sample agent: real models need real agents.

@interface Trader: SwarmObject {
  // 
  // status information
  //
  char   name[64];		// Trader name
  double wealth;		// Running wealth total
  int    periodOfBankruptcy;    // period wealth went non-positive
  double initWealth;		// Initial wealth total
  int	 daysTillEarnings;
  double riskyPrice;		// Current risky asset price
  double riskLessPrice;		// Price of riskless asset/unit
  double riskyCF;		// Current risky CF
  // personal beliefs/expectations
  double riskyValue;		// Perceived risky asset value/unit
  double risky1Price;		// Expected 1-period ahead price
  double risky1CF;		// Exp. 1-period ahead periodic 
				//  cash flow,  e.g., a dividendk
  double expRiskyCFLag;		// prior expected risky cash flow
  double riskLessRate;		// riskless coupon rate
  double riskyGrowthRate;	// Expected risky asset cash flow
				//  growth rate
  double riskLess1CF;		// Exp. 1-period ahead coupon pmt 
  double discountRate;		// Rate to discount risky cash flow
  double liqNeeds;              // current draw from liq Need distrib.
  double cumLiqNeeds;           // track TOTAL liq needs over time.
  double liqMean;		// mean value of periodic liquidity needs 
  double liqVar;		// variance of liq. needs
  double optRiskyFraction;	// portfolio choice
  double optRiskyUnits;		// port. choice
  double expRiskyRet;		// estimate (different for diff traders)
  double rvar;			// variance of risky returns
  double riskAversion;

  id <MT19937gen> randomGenerator;
  id <NormalDist> liqNeedDist;
  id <NormalDist> biasedForecastDist;
  id <NormalDist> unBiasedForecastDist;

@public
  // make holdings available so periodic payments can be made
  double riskyUnits;		// Holdings of risky asset
  double riskLessUnits;		// Holdings of riskless asset
  double cash;			// Account to trach cash available to
				// purchase or to put sales each period.
				// If a request to purchase is made with
				// no cash, it will be cancelled OR should
				// I take the liberty of selling riskless
				// holdings ....???
  // demand information
  double riskyBid;		// price willing to pay
  double riskyBidAmt;		// risky units demanded
  double riskyOffer;		// price willing to sell at
  double riskyOfferAmt;		// risky units supplied
  double riskLessBid;		//
  double riskLessBidAmt;	// riskLess units demanded
  double riskLessOffer;		//
  double riskLessOfferAmt;	// riskLess units supplied

  id mktMaker;
  id mktStats;

  int diagLevel;


}

-createEnd;
-setDiagLevel: (int) l;
-addRiskyUnits: (double) u;
-subtractRiskyUnits: (double) u;
-(double) checkRiskyUnits;
-addRiskLessUnits: (double) u;
-subtractRiskLessUnits: (double) u;
-(double) checkRiskLessUnits;
-addCash: (double) c;
-(double) checkCash;
-subtractCash: (double) c;
-setEndow: (double) risky : (double) riskless;
-setMktMaker: (id) m;
-setMktStats: (id) m;
-setTraderName: (char *) n;
-(double) getLiqNeeds;
-setLiqMean: (double) m liqVar: (double) v;
-(char *) getTraderName;
-(double) getRiskyValue;
-(double) getWealth;
-(double) getInitWealth;
-setBRPeriod: (int) p;
-(int) getBRPeriod;
-printWealth;
-printEstimates;
-printValue;
-printPortChoice;
-printDemand;
-step;
-print;

@end