simulation.class.cpp

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#include <stdlib.h>

class simulation : public investment_problem
{
public:
  void show_simulation ();
  simulation(int investor);
  void simulate();
  int get_nbrMonths2simulate(); 
  void plot_market_evol();

protected:
  int  nbrMonths;  
//  vector< vector<float> > market_return;  ///< market_return [asset_class] [month]
//    float* market_return= new float[NBR_ASSET_CLASSES * 1];
  std::map <int, std::map <int, float> > market_return;

private:
  void set_nbrMonths2simulate_from_env();  
  void simulate_market();
  void simulate_portfolios();

};

simulation::simulation(int investor)
  : investment_problem(investor)  
{
  set_nbrMonths2simulate_from_env();
}


void simulation::simulate()
{
  solve();  
  simulate_market();
  simulate_portfolios();  
}


void simulation::simulate_market()
{
  int ac, m;
  float mu, sigma;
/*  float* new_hist = NULL;
  new_hist = (float*) realloc(market_return, (NBR_ASSET_CLASSES + 1) * (nbrMonths + 1) * sizeof(float));
  if (new_hist != NULL)
    {
       market_return = new_hist;
    }
    else
    {
      free(market_return);
#ifdef DEBUG
      debug_info = debug_info + "<br/>realloc() failed in simulate_market()";
#endif
    }
*/
   srand (time(NULL)); //seed the random number generator

  for (ac = 1; ac <= NBR_ASSET_CLASSES; ac++)
  {
//    market_return[INDEX(ac,0)] = 0;
//    market_return.push_back(vector<float>());
    mu = pow(1 + assetClass_mu[ac], 0.0833333) - 1;
    sigma = sqrt(assetClass_covar[INDEX(ac,ac)]);
    for (m = 1; m <= nbrMonths; m++)
    {
      //market_return[ac].push_back((float)norminv((float)(rand() / RAND_MAX)) * sigma + mu);
      //mm market_return[INDEX(ac, m)] = (float)(norminv(((float)rand() / (float)RAND_MAX)) * sigma + mu);
      market_return[ac][m] = (float)(norminv(((float)rand() / (float)RAND_MAX)) * sigma + mu);
      //cout << "<br> market_return[INDEX("<<ac<<","<<m<<")]=" <<  market_return[ac][m] ;
    }
  }
}

void simulation::simulate_portfolios()
{
  int g, m, ac;
  float V, x, curr_age = age(0);
  string comma;
  for (g = 1; g <= get_nbr_goals(); g++)
  {
    V = goalZ[g].saving_plan[0] - goalZ[g].means_goal[0];
    goalZ[g].simulation_string = "[" + to_string(curr_age) + "," + to_string(V) + "]";
    

    for (m = 1; m <= min(((goal_type_i2s[goalZ[g].goal_type] == "rainy day savings") ? months2simulate() : goalZ[g].realization_monthNbr), nbrMonths); m++)
      {
    //R = w  . mu
    for (ac = 1; ac <= NBR_ASSET_CLASSES; ac++)
    {
           //mm  V *= exp(market_return[INDEX(ac,m)] * goalZ[g].benchmark[ac]);
           V *= exp(market_return[ac][m] * goalZ[g].benchmark[ac]);
       //cout << "<br>g=" <<g<<", m="<<m<<", ac="<<ac<<":V="<<V <<" |  | w="<< goalZ[g].benchmark[ac] << "  |  market_return[INDEX(ac,m)]=" << market_return[ac][m];
    }
    V += goalZ[g].saving_plan[m] - goalZ[g].means_goal[m];
//     cout << "<br>saving_plan[goal" << g << "][" << m << "]=" << to_string(goalZ[g].saving_plan[m])<<"-->V="<<V;
    x = curr_age + (float)m / 12;
    goalZ[g].simulation_string = goalZ[g].simulation_string + ", [" + to_string(x) + "," + to_string(V) + "]";
    goalZ[g].simulation_endvalue = V;
      }
  }
}


void simulation::plot_market_evol()
{
  int m, ac;
  float x;
  float curr_age = age(0);
  std::map<int, std::string> evol_str;
  vector < float > evol_value (NBR_ASSET_CLASSES+1);
  string comma;
  
    for (ac = 1; ac <= NBR_ASSET_CLASSES; ac++)
    {
      evol_str[ac]      = "";
      evol_value.at(ac) = 100;
    }


  if (oConfig.simul_show_table)
  {
    cout << "<table border=\"1\"><tr><th>Asset Class</th><th>Expected Return</th><th>Estimated Volatility</th></tr>";
    for (ac = 1; ac <= NBR_ASSET_CLASSES; ac++)
    {
      cout << "<tr><td>";
      cout << assetClass_name[ac] << "</td><td>" << round(assetClass_mu[ac] * 100) << "%</td><td>" <<  round(sqrt(12 * assetClass_covar[INDEX(ac,ac)]) * 100) << "%</td>";
      cout << "</tr>";
    }
    cout << "</table>" << endl;
  }
  for (m = 1; m <= nbrMonths + 1; m++)
  {
    comma = (m == 1)? "" : ", ";
    x = curr_age + (float)m / 12;
    for (ac= 1; ac <= NBR_ASSET_CLASSES; ac++)
    {
//  cout << " market_return[INDEX("<<ac<<","<<m<<")]=" <<  market_return[INDEX(ac,m)] << " | ev=" << evol_value[ac] << "<BR>";
      evol_str[ac] = evol_str[ac] + comma + "[" + to_string(x) + ", " + to_string(evol_value[ac]) + "]";
//mm      evol_value[ac] = evol_value[ac] * exp(market_return[INDEX(ac, m)]);
      evol_value[ac] = evol_value[ac] * exp(market_return[ac][m]);
    }
  }
  cout << "<script class=\"code\" type=\"text/javascript\">$(document).ready(function(){ ";
  for (ac= 1; ac <= NBR_ASSET_CLASSES; ac++)
  {
    cout << "var l" << ac << " = [" + evol_str[ac] + "]; ";
  }
  cout <<  "var plotME = $.jqplot('chartMEvol', [";
  for (ac = 1; ac <= NBR_ASSET_CLASSES; ac++)
  {
    comma = (ac == 1)? "" : ", ";
    cout << comma << " l" << ac;
  }
  cout << "], {";
  cout << "seriesColors:" << hh.assetClassColors << ",";
  cout << "seriesDefaults: {rendererOptions: { smooth: false }},";
  cout << "legend: {show: true, location: 'e', placement: 'outside', marginRight: \"600px\",";
  cout <<     "labels:[";
    for (ac= 1; ac <= NBR_ASSET_CLASSES; ac++)
    {
      comma = (ac == 1)? "" : ", ";
      cout << comma << "'" << assetClass_name[ac] << "'";
    }
  cout << "]},";
  cout << "series:[";
  for (ac= 1; ac <= NBR_ASSET_CLASSES; ac++)
    {
      comma = (ac == 1)? "" : ", ";
      cout << comma << "{showMarker: false}" ;
    }
    cout << "],";

  cout << "axesDefaults: {labelRenderer: $.jqplot.CanvasAxisLabelRenderer},";
  cout << "axes: {xaxis: {label: \"age\" }, yaxis: {label: \"market evolution\"}}";  // , pad: 0
  cout << "  } ); }); </script>";
}


void simulation::set_nbrMonths2simulate_from_env()
{
  int n;
  int defaultValue = 12;
  vector<FormEntry>::iterator nYears  = cgi.getElement("nYears");  
  if(nYears != cgi.getElements().end()) 
  {
    n = atoi(cgi("nYears").c_str()) * 12;
  }
  else
  {
    n = 0;
  }
  vector<FormEntry>::iterator nMonths = cgi.getElement("nMonths");
  if(nMonths != cgi.getElements().end()) 
  {
    n =  n + atoi(cgi("nMonths").c_str());
  }
  if ((n >= MIN_MNTHS_2_SIMULATE) && (n <= MAX_MNTHS_2_SIMULATE))
  {
    nbrMonths = n;
  }
  else
  {
     nbrMonths = defaultValue;
     error_message = error_message + "<li>Please enter a number of months between " + to_string(MIN_MNTHS_2_SIMULATE) + " and " + to_string(MAX_MNTHS_2_SIMULATE) + " (= " + to_string((int)(MAX_MNTHS_2_SIMULATE/12)) + " years)</li>";
  }
}


int simulation::get_nbrMonths2simulate()
{
  return nbrMonths;
}