market.class.cpp

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class market
{
public:
  market (int person = 0);
  
  float* assetClass_covar = new float[(NBR_ASSET_CLASSES + 1) * (NBR_ASSET_CLASSES + 1)];
  float  assetClass_mu[(NBR_ASSET_CLASSES + 1)]; 
  std::map <int, string> assetClass_name;        

/***  void  set_mu(int person);
  void  set_covar(int person);
 */ 
  
    //the personalized expected returns and covariances
  std::map<int, float> ER;
  std::map<int, std::map<int, float> > covar;
  void load_ER   (int person = 0, char person_type = 'i');
  void save_ER   (int person = 0, char person_type = 'i');
  void load_covar(int person, char person_type = 'i');
  void save_covar(int person, char person_type = 'i');
  
  
protected:
  void reload_ER   (int person, char person_type = 'i');
  void reload_covar(int person, char what2do, char person_type = 'i');

  
};

market::market(int person)
{
  // if person > 0 
  //   THEN
  //    Check if personalized assumptions exist, 
  //      - if yes, load them, ie pass person to the set-functions
  //      - if not, then load the defaults (pass person = 0 to the set-functions.
  //    ELSE : pass 0 to the set-functions
  
//  load_ER(person);
//  load_covar(person);
}


void market::load_ER(int person, char person_type)
{
  int ac, count = 0;
  string s;
  
  //cout << "<BR>PERSON:" << person;
  if (person != 0 )
  {
    s = "SELECT * FROM " + oConfig.tbl_prefix + "_ER_person WHERE person = " + to_string(person) + " AND person_type = 'i';";
    //cout << s;
    db.res = db.stmt->executeQuery(s);
    while (db.res->next())
    {
      ac       = db.getInt("asset_class");
      ER[ac]   = db.getFloat("E_R");
      assetClass_mu[ac] = db.getFloat("E_R");  //TODO : eliminate this
     //cout << "<br>ER_person[" << ac << "]=" << ER[ac];
      count++;
    }
      // get all the asset class names
    string s = "SELECT * FROM " + oConfig.tbl_prefix + "_asset_classes;";
    db.res = db.stmt->executeQuery(s);
    while (db.res->next())
    {
      ac                  = db.getInt("asset_class_id");
      assetClass_name[ac] = db.res->getString("asset_class_name");
    }
  }
  
  if (count < NBR_ASSET_CLASSES)
  { // if we did not find a personalized expectation for each asset class, then we load the default values 
    // TODO allow this to be per organization, advisor, etc.
    s = "SELECT * FROM " + oConfig.tbl_prefix + "_asset_classes;";
    db.res = db.stmt->executeQuery(s);
    while (db.res->next())
    {
      ac     = db.getInt("asset_class_id");
      ER[ac] = db.getFloat("E_R");
      assetClass_mu[ac]   = db.getFloat("E_R");  //TODO : eliminate this
      assetClass_name[ac] = db.res->getString("asset_class_name");
    }
  }
}

void market::save_ER(int person, char person_type)
{
  int ac;
  string s;
  s = "DELETE FROM " + oConfig.tbl_prefix + "_ER_person WHERE person = " + to_string(person) + " AND person_type = 'i';";
  if (db.runSQL(s)) {} else {}//{error_message = error_message + "<li>Please contact us. #errno E015</li>";}
  s = "INSERT INTO " + oConfig.tbl_prefix + "_ER_person (asset_class, E_R, person, person_type) VALUES ";
  for(ac=1; ac <= NBR_ASSET_CLASSES; ac++)
  {
    if (ac > 1) s = s + ", ";
    s = s + "(" + to_string(ac) + ", " + to_string(ER[ac]) + ", "
          + to_string(person) + ", \"i\")";
  }
  s = s + ";";
  //error_message = error_message + "<br>" + s;
  if (db.runSQL(s)) {} 
  else 
  {
    error_message = error_message + "<li>Please contact us. #errno E015</li>";
  }
}


void market::load_covar(int person, char person_type)
{
  int ac_i, ac_j, count = 0;
  if (person != 0)
  {
    string s = "SELECT * FROM " + oConfig.tbl_prefix + "_covar_person WHERE person = " + to_string(person) + " AND person_type = 'i';";
    //cout << s;
    db.res = db.stmt->executeQuery(s);
    while (db.res->next())
    {
      ac_i              = db.getInt("asset_class_i");
      ac_j              = db.getInt("asset_class_j");
      covar[ac_i][ac_j] = db.getFloat("covar");
      //cout << "<br>covar[" << ac_i << "," << ac_j << "] = " << covar[ac_i][ac_j];
      assetClass_covar[INDEX(ac_i,ac_j)] = assetClass_covar[INDEX(ac_j,ac_i)] = db.getFloat("covar"); 
      count++;
    }
  }
  if (count < NBR_ASSET_CLASSES * NBR_ASSET_CLASSES)
  { 
    // TODO allow this to be per organization, advisor, etc.
    string s = "SELECT * FROM " + oConfig.tbl_prefix + "_covar;";
    db.res = db.stmt->executeQuery(s);
    while (db.res->next())
    {
      ac_i              = db.getInt("asset_class_i");
      ac_j              = db.getInt("asset_class_j");
      covar[ac_i][ac_j] = db.getFloat("covar");
      assetClass_covar[INDEX(ac_i,ac_j)] = assetClass_covar[INDEX(ac_j,ac_i)] = db.getFloat("covar"); 
    }
  }
}

void market::save_covar(int person, char person_type)
{
  int ac_i, ac_j;
  string s;
  s = "DELETE FROM " + oConfig.tbl_prefix + "_covar_person WHERE person = " + to_string(person) + " AND person_type = 'i';";
  if (db.runSQL(s)) {} else {}//{error_message = error_message + "<li>Please contact us. #errno E018</li>";}
  s = "INSERT INTO " + oConfig.tbl_prefix + "_covar_person (asset_class_i, asset_class_j, covar, person, person_type) VALUES ";
  for(ac_j = 1; ac_j <= NBR_ASSET_CLASSES; ac_j++)
  {
    for(ac_i=1; ac_i <= NBR_ASSET_CLASSES; ac_i++)
    {
      if ((ac_i > 1) || (ac_j > 1)) s = s + ", ";
      s = s + "(" + to_string(ac_i) + ", " + to_string(ac_j) + ", " + to_string(covar[ac_i][ac_j]) + ", "
        + to_string(person) + ", \"i\")";
    }
  }
  s = s + ";";
  //error_message = error_message + "<br>" + s;
  if (db.runSQL(s)) {} 
  else 
  {
    error_message = error_message + "<li>Please contact us. #errno E018</li>";
  }
}




/*void market::set_mu(int person)
{
  int nbr  = 0;
  db.res = db.stmt->executeQuery("SELECT * FROM " + oConfig.tbl_prefix + "_asset_classes;");
  while (db.res->next())
  {
    nbr                        = atoi(db.res->getString("asset_class_id").c_str());
    this->assetClass_mu[nbr]   = atof(db.res->getString("E_R").c_str());
    //assetClass_mu[nbr] = pow((assetClass_mu[nbr] + 1), 0.0833333) - 1;
    this->assetClass_name[nbr] = db.res->getString("asset_class_name");
  }
}*/
/*void market::set_covar(int person)
{
  float sigma_ij  = 0;
  int i, j;
  db.res = db.stmt->executeQuery("SELECT * FROM " + oConfig.tbl_prefix + "_covar;");
  while (db.res->next())
  {
    i           = atoi(db.res->getString("asset_class_i").c_str());
    j           = atoi(db.res->getString("asset_class_j").c_str());
    sigma_ij    = atof(db.res->getString("covar").c_str());
    this->assetClass_covar[INDEX(i,j)] = sigma_ij;
    this->assetClass_covar[INDEX(j,i)] = sigma_ij;
  }
  //TODO : check if the matrix is positive definite and if the determinant is > 0
}
*/

void market::reload_ER(int person, char person_type)
{
  string s;
  
  //cout << "<BR>PERSON:" << person;
  if (person != 0 )
  {
    s = "DELETE FROM " + oConfig.tbl_prefix + "_ER_person WHERE person = " + to_string(person) + " AND person_type = '" + string(1,person_type) + "';";
  try
  {
    db.res = db.stmt->executeQuery(s);
  }
    catch (sql::SQLException &e)
    {
#ifdef DEBUG
    cout << endl;
    cout << endl << "SQL STATEMENT: " << s << endl;
    cout << "# ERR: SQLException in " << __FILE__;
    cout << "(" << __FUNCTION__ << ") on line " << __LINE__ << endl;
    cout << "# ERR: " << e.what();
    cout << " (MySQL error code: " << e.getErrorCode();
    cout << ", SQLState: " << e.getSQLState() << " )" << endl;
#endif
    }
  }
}

void market::reload_covar(int person, char what2do, char person_type)
{
  std::map<int, std::map<int, float> > default_covar;
  int ac_i, ac_j;
  //1. load the standard covariances into covar[i][j]
  load_covar(0);
  
  //2. save the devalut values in default_covar
  for (ac_i = 1;  ac_i <= NBR_ASSET_CLASSES; ac_i++)
  {
    for (ac_j = 1;  ac_j <= NBR_ASSET_CLASSES; ac_j++) default_covar[ac_i][ac_j] = covar[ac_i][ac_j];
  }
  
  //3. load the user covar
  load_covar(person, person_type);
  
  //4. change the user-volatilities and or covar to default
  for (ac_i = 1;  ac_i <= NBR_ASSET_CLASSES; ac_i++)
  {
    for (ac_j = 1;  ac_j <= NBR_ASSET_CLASSES; ac_j++) 
    {
      switch (what2do)
      {
    case 'b' :  
          covar[ac_i][ac_j] = default_covar[ac_i][ac_j];
      break;
    case 'v' :  
          covar[ac_i][ac_j] = covar[ac_i][ac_j] / sqrt (covar[ac_i][ac_i] * covar[ac_j][ac_j]) * sqrt (default_covar[ac_i][ac_i] * default_covar[ac_j][ac_j]);
      break;
    case 'c' :  
      if (ac_i != ac_j) covar[ac_i][ac_j] = default_covar[ac_i][ac_j] / sqrt (default_covar[ac_i][ac_i] * default_covar[ac_j][ac_j]) * sqrt (covar[ac_i][ac_i] * covar[ac_j][ac_j]);
      break;
        default :
      {}
      }
    }
  }
  
  //5. save the user covar matrix
  save_covar(person, person_type);

}