ratepath.java

MPI for java for Distributed Programming

/**************************************************************************
*                                                                         *
*             Java Grande Forum Benchmark Suite - MPJ Version 1.0         *
*                                                                         *
*                            produced by                                  *
*                                                                         *
*                  Java Grande Benchmarking Project                       *
*                                                                         *
*                                at                                       *
*                                                                         *
*                Edinburgh Parallel Computing Centre                      *
*                                                                         *
*                email: [e-mail]                     *
*                                                                         *
*      Original version of this code by Hon Yau ([e-mail])     *
*                                                                         *
*      This version copyright (c) The University of Edinburgh, 2001.      *
*                         All rights reserved.                            *
*                                                                         *
**************************************************************************/
package jgf_mpj_benchmarks.section3.montecarlo;


//package montecarlo;

import java.io.*;
import java.util.*;

/**
  * Class for recording the values in the time-dependent path of a security.
  *
  * <p>To Do list:
  * <ol>
  *   <li><i>None!</i>
  * </ol>
  *
  * @author H W Yau
  * @version $Revision: 1.1 $ $Date: 2005/04/29 17:43:42 $
  */
public class RatePath extends PathId {

  //------------------------------------------------------------------------
  // Class variables.
  //------------------------------------------------------------------------
  /**
    * Class variable, for setting whether to print debug messages.
    */
  public static boolean DEBUG=true;
  /**
    * The prompt to write before any debug messages.
    */
  protected static String prompt="RatePath> ";
  /**
    * Class variable for determining which field in the stock data should be
    * used.  This is currently set to point to the 'closing price'.
    */
  public static int DATUMFIELD=4;
  /**
    * Class variable to represent the minimal date, whence the stock prices
    * appear. Used to trap any potential problems with the data.
    */
  public static final int MINIMUMDATE = 19000101;
  /**
    * Class variable for defining what is meant by a small number, small enough
    * to cause an arithmetic overflow when dividing.  According to the
    * Java Nutshell book, the actual range is +/-4.9406564841246544E-324
    */
  public static final double EPSILON= 10.0 * Double.MIN_VALUE;

  //------------------------------------------------------------------------
  // Instance variables.
  //------------------------------------------------------------------------
  /**
    * An instance variable, for storing the rate's path values itself.
    */
  private double[] pathValue;
  /**
    * An instance variable, for storing the corresponding date of the datum,
    * in 'YYYYMMDD' format.
    */
  private int[] pathDate;
  /**
    * The number of accepted values in the rate path.
    */
  private int nAcceptedPathValue=0;

  //------------------------------------------------------------------------
  // Constructors.
  //------------------------------------------------------------------------
  /**
    * Constructor, where the user specifies the filename in from which the 
    * data should be read.
    *
    * @param String filename
    * @exception DemoException thrown if there is a problem reading in
    *                          the data file.
    */
  public RatePath(String filename) throws DemoException {
    set_prompt(prompt);
    set_DEBUG(DEBUG);
    readRatesFile(null,filename);
  }

  /**
    * Constructor, where the user specifies the directory and filename in
    * from which the data should be read.
    *
    * @param String dirName
    * @param String filename
    * @exception DemoException thrown if there is a problem reading in
    *                          the data file.
    */
  public RatePath(String dirName, String filename) throws DemoException {
    set_prompt(prompt);
    set_DEBUG(DEBUG);
    readRatesFile(dirName,filename);
  }
  /**
    * Constructor, for when the user specifies simply an array of values
    * for the path.  User must also include information for specifying
    * the other characteristics of the path.
    *
    * @param pathValue the array containing the values for the path.
    * @param name the name to attach to the path.
    * @param startDate date from which the path is supposed to start, in
    *        'YYYYMMDD' format.
    * @param startDate date from which the path is supposed to end, in
    *        'YYYYMMDD' format.
    * @param dTime the time interval between successive path values, in
    *        fractions of a year.
    */
  public RatePath(double[] pathValue, String name, int startDate, int endDate, double dTime) {
    set_name(name);
    set_startDate(startDate);
    set_endDate(endDate);
    set_dTime(dTime);
    set_prompt(prompt);
    set_DEBUG(DEBUG);
    this.pathValue = pathValue;
    this.nAcceptedPathValue = pathValue.length;
  }
  /**
    * Constructor, for use by the Monte Carlo generator, when it wishes
    * to represent its findings as a RatePath object.
    *
    * @param mc the Monte Carlo generator object, whose data are to
    *           be copied over.
    * @exception DemoException thrown if there is an attempt to access
    *            an undefined variable.
    */
  public RatePath(MonteCarloPath mc) throws DemoException {
    //
    // Fields pertaining to the parent PathId object:
    set_name(mc.get_name());
    set_startDate(mc.get_startDate());
    set_endDate(mc.get_endDate());
    set_dTime(mc.get_dTime());
    //
    // Fields pertaining to RatePath object itself.
    pathValue=mc.get_pathValue();
    nAcceptedPathValue=mc.get_nTimeSteps();
    //
    // Note that currently the pathDate is neither declared, defined,
    // nor used in the MonteCarloPath object.
    pathDate=new int[nAcceptedPathValue];
  }
  /**
    * Constructor, for when there is no actual pathValue with which to
    * initialise.
    *
    * @param pathValueLegth the length of the array containing the values
    *        for the path.
    * @param name the name to attach to the path.
    * @param startDate date from which the path is supposed to start, in
    *        'YYYYMMDD' format.
    * @param startDate date from which the path is supposed to end, in
    *        'YYYYMMDD' format.
    * @param dTime the time interval between successive path values, in
    *        fractions of a year.
    */
  public RatePath(int pathValueLength, String name, int startDate, int endDate, double dTime) {
    set_name(name);
    set_startDate(startDate);
    set_endDate(endDate);
    set_dTime(dTime);
    set_prompt(prompt);
    set_DEBUG(DEBUG);
    this.pathValue = new double[pathValueLength];
    this.nAcceptedPathValue = pathValue.length;
  }
  //------------------------------------------------------------------------
  // Methods.
  //------------------------------------------------------------------------
  /**
    * Routine to update this rate path with the values from another rate
    * path, via its pathValue array.
    *
    * @param operandPath the path value array to use for the update.
    * @exception DemoException thrown if there is a mismatch between the
    *            lengths of the operand and target arrays.
    */
  public void inc_pathValue(double[] operandPath) throws DemoException {
    if( pathValue.length != operandPath.length )
      throw new DemoException("The path to update has a different size to the path to update with!");
    for(int i=0; i<pathValue.length; i++ )
      pathValue[i] += operandPath[i];
  }
  /**
    * Routine to scale this rate path by a constant.
    *
    * @param scale the constant with which to multiply to all the path
    *        values.
    * @exception DemoException thrown if there is a mismatch between the
    *            lengths of the operand and target arrays.
    */
  public void inc_pathValue(double scale) throws DemoException {
    if( pathValue==null )
      throw new DemoException("Variable pathValue is undefined!");
    for(int i=0; i<pathValue.length; i++ )
      pathValue[i] *= scale;