ratepath.java

MPI for java for Distributed Programming

  }
  //------------------------------------------------------------------------
  // Accessor methods for class RatePath.
  // Generated by 'makeJavaAccessor.pl' script.  HWY.  20th January 1999.
  //------------------------------------------------------------------------
  /**
    * Accessor method for private instance variable <code>pathValue</code>.
    *
    * @return Value of instance variable <code>pathValue</code>.
    * @exception DemoException thrown if instance variable <code>pathValue</code> is undefined.
    */
  public double[] get_pathValue() throws DemoException {
    if( this.pathValue == null )
      throw new DemoException("Variable pathValue is undefined!");
    return(this.pathValue);
  }
  /**
    * Set method for private instance variable <code>pathValue</code>.
    *
    * @param pathValue the value to set for the instance variable <code>pathValue</code>.
    */
  public void set_pathValue(double[] pathValue) {
    this.pathValue = pathValue;
  }
  /**
    * Accessor method for private instance variable <code>pathDate</code>.
    *
    * @return Value of instance variable <code>pathDate</code>.
    * @exception DemoException thrown if instance variable <code>pathDate</code> is undefined.
    */
  public int[] get_pathDate() throws DemoException {
    if( this.pathDate == null )
      throw new DemoException("Variable pathDate is undefined!");
    return(this.pathDate);
  }
  /**
    * Set method for private instance variable <code>pathDate</code>.
    *
    * @param pathDate the value to set for the instance variable <code>pathDate</code>.
    */
  public void set_pathDate(int[] pathDate) {
    this.pathDate = pathDate;
  }
  //------------------------------------------------------------------------
  /**
     * Method to return the terminal value for a given rate path, as used
     * in derivative calculations.
     * 
     * @return The last value in the rate path.
     */
  public double getEndPathValue() {
    return( getPathValue(pathValue.length-1) );
  }
  /**
    * Method to return the value for a given rate path, at a given index.
    * <i>One may want to index this in a more user friendly manner!</i>
    * 
    * @param index the index on which to return the path value.
    * @return The value of the path at the designated index.
    */
  public double getPathValue(int index) {
    return(pathValue[index]);
  }
  /**
    * Method for calculating the returns on a given rate path, via the
    * definition for the instantaneous compounded return.
    *       u_i = \ln{\frac{S_i}{S_{i-1}}}
    * 
    * @return the return, as defined.
    * @exception DemoException thrown if there is a problem with the
    *                          calculation.
    */
  public ReturnPath getReturnCompounded() throws DemoException {
    if( pathValue == null || nAcceptedPathValue == 0 ) {
      throw new DemoException("The Rate Path has not been defined!");
    }
    double[] returnPathValue = new double[nAcceptedPathValue];
    returnPathValue[0] = 0.0;
    try{
      for(int i=1; i< nAcceptedPathValue; i++ ) {
	returnPathValue[i] = Math.log(pathValue[i] / pathValue[i-1]);
      }
    } catch( ArithmeticException aex ) {
      throw new DemoException("Error in getReturnLogarithm:"+aex.toString());
    }
    ReturnPath rPath = new ReturnPath(returnPathValue, nAcceptedPathValue, 
    ReturnPath.COMPOUNDED);
    //
    // Copy the PathId information to the ReturnPath object.
    rPath.copyInstanceVariables(this);
    rPath.estimatePath();
    return(rPath);
  }
  /**
    * Method for calculating the returns on a given rate path, via the
    * definition for the instantaneous non-compounded return.
    *       u_i = \frac{S_i - S_{i-1}}{S_i}
    * 
    * @return the return, as defined.
    * @exception DemoException thrown if there is a problem with the
    *                          calculation.
    */
  public ReturnPath getReturnNonCompounded() throws DemoException {
    if( pathValue == null || nAcceptedPathValue == 0 ) {
      throw new DemoException("The Rate Path has not been defined!");
    }
    double[] returnPathValue = new double[nAcceptedPathValue];
    returnPathValue[0] = 0.0;
    try{
      for(int i=1; i< nAcceptedPathValue; i++ ) {
	returnPathValue[i] = (pathValue[i] - pathValue[i-1])/pathValue[i];
      }
    } catch( ArithmeticException aex ) {
      throw new DemoException("Error in getReturnPercentage:"+aex.toString());
    }
    ReturnPath rPath = new ReturnPath(returnPathValue, nAcceptedPathValue, 
    ReturnPath.NONCOMPOUNDED);
    //
    // Copy the PathId information to the ReturnPath object.
    rPath.copyInstanceVariables(this);
    rPath.estimatePath();
    return(rPath);
  }
  //------------------------------------------------------------------------
  // Private methods.
  //------------------------------------------------------------------------
  /**
    * Method for reading in data file, in a given format.
    * Namely:
      <pre>
      881003,0.0000,14.1944,13.9444,14.0832,2200050,0
      881004,0.0000,14.1668,14.0556,14.1668,1490850,0
      ...
      990108,35.8125,36.7500,35.5625,35.8125,4381200,0
      990111,35.8125,35.8750,34.8750,35.1250,3920800,0
      990112,34.8750,34.8750,34.0000,34.0625,3577500,0
      </pre>
    * <p>Where the fields represent, one believes, the following:
    * <ol>
    *   <li>The date in 'YYMMDD' format</li>
    *   <li>Open</li>
    *   <li>High</li>
    *   <li>Low</li>
    *   <li>Last</li>
    *   <li>Volume</li>
    *   <li>Open Interest</li>
    * </ol>
    * One will probably make use of the closing price, but this can be
    * redefined via the class variable <code>DATUMFIELD</code>.  Note that
    * since the read in data are then used to compute the return, this would
    * be a good place to trap for zero values in the data, which will cause
    * all sorts of problems.
    *
    * @param dirName the directory in which to search for the data file.
    * @param filename the data filename itself.
    * @exception DemoException thrown if there was a problem with the data
    *                          file.
    */
  private void readRatesFile(String dirName, String filename) throws DemoException {
    java.io.File ratesFile = new File(dirName, filename);
    java.io.BufferedReader in;
    if( ! ratesFile.canRead() ) {
      throw new DemoException("Cannot read the file "+ratesFile.toString());
    }
    try{
      in = new BufferedReader(new FileReader(ratesFile));
    } catch( FileNotFoundException fnfex ) {
      throw new DemoException(fnfex.toString());
    }
    //
    // Proceed to read all the lines of data into a Vector object.
    int iLine=0, initNlines=100, nLines=0;
    
    String aLine;
    java.util.Vector allLines = new Vector(initNlines);
    try{
      while( (aLine = in.readLine()) != null ) {
	iLine++;
	//
	// Note, I'm not entirely sure whether the object passed in is copied
	// by value, or just its reference.
	allLines.addElement(aLine);
      }
    } catch( IOException ioex ) {
      throw new DemoException("Problem reading data from the file "+ioex.toString());
    }
    nLines = iLine;
    //
    // Now create an array to store the rates data.
    this.pathValue = new double[nLines];
    this.pathDate  = new int[nLines];
    nAcceptedPathValue=0;
    iLine=0;
    for( java.util.Enumeration enum_ = allLines.elements(); enum_.hasMoreElements(); ) {
      aLine = (String) enum_.nextElement();
      String[] field = Utilities.splitString(",",aLine);
      int aDate = Integer.parseInt("19"+field[0]);
      //
      // static double Double.parseDouble() method is a feature of JDK1.2!
      double aPathValue = Double.valueOf(field[DATUMFIELD]).doubleValue();
      if( (aDate <= MINIMUMDATE) || (Math.abs(aPathValue) < EPSILON) ) {
	dbgPrintln("Skipped erroneous data in "+filename+" indexed by date="+field[0]+".");
      } else {
	pathDate[iLine] = aDate;
	pathValue[iLine] = aPathValue;
	iLine++;
      }
    }
    //
    // Record the actual number of accepted data points.
    nAcceptedPathValue = iLine;
    //
    // Now to fill in the structures from the 'PathId' class.
    set_name(ratesFile.getName());
    set_startDate(pathDate[0]);
    set_endDate(pathDate[nAcceptedPathValue-1]);
    set_dTime((double)(1.0/365.0));
  }
}