Prototype_pattern_exercise/Main.cpp at master · cablegui/Prototype_pattern_exercise · GitHub

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/*****************************************************************

Author: Neville Andrade

Date: 3 Dec 2012

Description: (Factory Method Pattern)

This exercise has to do

with section 9.8.1 of the MC Book (and in particular Figure 9.9)

where we model a class hierarchy for interest rate models

as well as factory classes for instantiation.

To this end, we direct you to Exercise 3 in section 9.10. There we

describe the exercise in full.

Here we need to implement the prototype pattern.

******************************************************************/

// TestIrSde.cpp

// Testing 1-factor IR SDEs

// 2008-3-28 DD kick off

// (C) Datasim Education BV 2008

#include "UtilitiesDJD\IRModels\IrSdeFactory.hpp"

#include "UtilitiesDJD\Vectorsandmatrices\Vector.cpp"

#include "UtilitiesDJD\RNG\NormalGenerator.hpp"

#include "UtilitiesDJD\Vectorsandmatrices\ArrayMechanisms.cpp"

#include <iostream>

using namespace std;

Vector<double, long> Simulation(const IrSde& irsde, Vector<double, long> mesh)

{ // Simulate a short-rate using explicit Euler method

long N = mesh.Size();

Vector<double, long> result(N, mesh.MinIndex());

// Step size

double k = irsde.Interval().spread()/double(N - 1);

double sk = sqrt(k);

double rOld;

// Generate array of normal random numbers

TerribleRandGenerator myTerrible; // rand()

NormalGenerator* myNormal = new BoxMuller(myTerrible);

Vector<double, long> arr2 = myNormal->getNormalVector(N);

//cout << endl << "Printing normal random numbers" << endl;

//print(arr2);

// Initial condition

result[result.MinIndex()] = irsde.InitialCondition();

for (long n = result.MinIndex()+1; n <= result.MaxIndex(); ++n)

{

rOld = result[n-1];

result[n] = rOld + (irsde.calculateDrift(mesh[n], rOld) * k)

+ (irsde.calculateDiffusion(mesh[n], rOld) * sk * arr2[n]);

}

delete myNormal;

return result;

}

int main()

{

// Choose your factory

cout << "1. CIR, 2. Merton: "; int choice; cin >> choice;

IrSdeFactory* myFactory = ChooseFactory(choice);

double kappa = 0;

IrSde* mySde = myFactory->CreateIrSde();

IrSde* mySde2 = mySde->Clone();//->CreateIrSde();

//mySde2->setkappa(cin >> kappa);

//Here I need to create another SDE which clones mySde

//IrSde* mySde2(mySde);

// Now simulate a path using Euler method

cout << "Number of sub-intervals: "; long N; cin >> N;

Vector<double, long> myMesh = mySde->Interval().mesh(N);

CIRSde *derivedPtr = dynamic_cast<CIRSde *> (mySde2);

//Change kappa setting

if (derivedPtr != 0)

{

double oldKappa = derivedPtr->getKappa();

cout << "Old Kappa setting : " << oldKappa << endl;

derivedPtr->setKappa();

cout << "New Kappa setting : " << derivedPtr->getKappa() << endl;

}

// Do an Euler simulation with the current SDE

Vector<double, long> result = Simulation(*mySde, myMesh);

cout << endl << "Prining simulation 1 results" << endl;

print(result);

result = Simulation(*mySde2, myMesh);

cout << endl << "Prining simulation 2 results" << endl;

print(result);

// Clean up

delete mySde;

delete mySde2;

delete myFactory;

return 0;

}

Prototype_pattern_exercise/Main.cpp at master · cablegui/Prototype_pattern_exercise · GitHub

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