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Added tests on the recursive expression to be evaluated (the endogeous variable 

canot depend on its current level or its future level).
time-shift
Stéphane Adjemian (Scylla) 2014-05-04 23:32:13 +02:00 committed by Stéphane Adjemian (Charybdis)
parent 507b56a055
commit 6dc0748de5
1 changed files with 46 additions and 6 deletions
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52
matlab/utilities/dseries/from.m
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@ -153,20 +153,32 @@ end
% Check that the recursion is assigning something to a variable
equal_id = strfind(EXPRESSION,'=');
if isempty(equal_id)
error('The expression following the DO keyword must be an assignment (missing equal symbol)!')
error('Wrong syntax! The expression following the DO keyword must be an assignment (missing equal symbol).')
end
if isequal(length(equal_id),1)
% Get the name of the assigned variable (with time index)
assignedvariablename = regexpi(EXPRESSION(1:equal_id-1), '\w*\(t\)|\w*\(t\-\d\)|\w*\(t\+\d\)','match');
if isempty(assignedvariablename)
error('The expression following the DO keyword must be an assignment (missing variable before the equal symbol)!')
error('Wrong syntax! The expression following the DO keyword must be an assignment (missing variable before the equal symbol).')
end
if length(assignedvariablename)>1
error('No more than one variable can be assigned!')
end
assignedvariablename = assignedvariablename{1}(1:regexpi(assignedvariablename{1},'\(t\)|\(t\-\d\)|\(t\+\d\)')-1);
eval(sprintf('wrongtype = ~isdseries(%s);',assignedvariablename))
if wrongtype
error('The assigned variable must be a dseries object!')
% Check that the dynamic model for the endogenous variable is not forward looking.
start = regexpi(assignedvariablename{1},'\(t\)|\(t\-\d\)|\(t\+\d\)');
index = assignedvariablename{1}(start:end);
assignedvariablename = assignedvariablename{1}(1:start-1);
indum = index2num(index);
indva = strmatch(assignedvariablename, leadlagtable(:,1));
if indum<leadlagtable{indva,4}
error('dseries::from: It is not possible to simulate a forward looking model!')
end
% Check that the assigned variable does not depend on itself (the assigned variable can depend on its past level but not on the current level).
tmp = regexpi(EXPRESSION(equal_id+1:end), sprintf('%s\\(t\\)|%s\\(t\\-\\d\\)|%s\\(t\\+\\d\\)',assignedvariablename,assignedvariablename,assignedvariablename),'match');
tmp = cellfun(@extractindex, tmp);
tmp = cellfun(@index2num, tmp);
if ~all(tmp(:)<indum)
error(sprintf('dseries::from: On the righthand side, the endogenous variable, %s, must be indexed by %s at most.',assignedvariablename,num2index(indum-1)))
end
else
error('Not yet implemented! Only one assignment is allowed in the FROM-TO-DO statement.')
@ -193,3 +205,31 @@ function msg = get_error_message_0(msg)
end
msg = [msg, sprintf(' from d1 to d2 do SOMETHING\n\n')];
msg = [msg, sprintf('where d1<d2 are dates objects, and SOMETHING is a recursive expression involving dseries objects.')];
function index = extractindex(str)
index = regexpi(str,'\(t\)|\(t\-\d\)|\(t\+\d\)','match');
function i = index2num(id)
if isequal('(t)',id)
i = 0;
return
end
if isequal('-',id(3))
i = - str2num(id(4:end-1));
else
i = str2num(id(4:end-1));
end
function id = num2index(i)
if isequal(i,0)
id = '(t)';
return
end
if i<0
id = ['(t-' int2str(abs(i)) ')'];
else
id = ['(t+' int2str(i) ')'];
end