307 lines
10 KiB
C++
307 lines
10 KiB
C++
/*
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* Copyright (C) 2003-2010 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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*/
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using namespace std;
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#include <cassert>
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#include <cstdlib>
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#include <iostream>
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#include "Shocks.hh"
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AbstractShocksStatement::AbstractShocksStatement(bool mshocks_arg,
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const det_shocks_t &det_shocks_arg,
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const SymbolTable &symbol_table_arg) :
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mshocks(mshocks_arg),
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det_shocks(det_shocks_arg),
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symbol_table(symbol_table_arg)
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{
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}
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void
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AbstractShocksStatement::writeDetShocks(ostream &output) const
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{
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int exo_det_length = 0;
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for (det_shocks_t::const_iterator it = det_shocks.begin();
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it != det_shocks.end(); it++)
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{
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int id = symbol_table.getTypeSpecificID(it->first) + 1;
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bool exo_det = (symbol_table.getType(it->first) == eExogenousDet);
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int set_shocks_index = ((int) mshocks) + 2 * ((int) exo_det);
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for (size_t i = 0; i < it->second.size(); i++)
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{
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const int &period1 = it->second[i].period1;
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const int &period2 = it->second[i].period2;
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const expr_t value = it->second[i].value;
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if (period1 == period2)
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{
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output << "set_shocks(" << set_shocks_index << "," << period1
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<< ", " << id << ", ";
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value->writeOutput(output);
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output << ");" << endl;
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}
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else
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{
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output << "set_shocks(" << set_shocks_index << "," << period1
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<< ":" << period2 << ", " << id << ", ";
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value->writeOutput(output);
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output << ");" << endl;
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}
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if (exo_det && (period2 > exo_det_length))
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exo_det_length = period2;
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}
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}
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output << "M_.exo_det_length = " << exo_det_length << ";\n";
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}
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ShocksStatement::ShocksStatement(const det_shocks_t &det_shocks_arg,
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const var_and_std_shocks_t &var_shocks_arg,
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const var_and_std_shocks_t &std_shocks_arg,
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const covar_and_corr_shocks_t &covar_shocks_arg,
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const covar_and_corr_shocks_t &corr_shocks_arg,
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const SymbolTable &symbol_table_arg) :
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AbstractShocksStatement(false, det_shocks_arg, symbol_table_arg),
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var_shocks(var_shocks_arg),
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std_shocks(std_shocks_arg),
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covar_shocks(covar_shocks_arg),
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corr_shocks(corr_shocks_arg)
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{
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}
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void
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ShocksStatement::writeOutput(ostream &output, const string &basename) const
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{
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output << "%" << endl
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<< "% SHOCKS instructions" << endl
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<< "%" << endl;
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// Write instruction that initializes a shock
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output << "make_ex_;" << endl;
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writeDetShocks(output);
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writeVarAndStdShocks(output);
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writeCovarAndCorrShocks(output);
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if (covar_shocks.size()+corr_shocks.size() > 0)
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output << "M_.sigma_e_is_diagonal = 0;" << endl;
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else
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output << "M_.sigma_e_is_diagonal = 1;" << endl;
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}
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void
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ShocksStatement::writeVarOrStdShock(ostream &output, var_and_std_shocks_t::const_iterator &it,
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bool stddev) const
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{
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SymbolType type = symbol_table.getType(it->first);
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assert(type == eExogenous || symbol_table.isObservedVariable(it->first));
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int id;
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if (type == eExogenous)
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{
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output << "M_.Sigma_e(";
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id = symbol_table.getTypeSpecificID(it->first) + 1;
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}
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else
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{
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output << "M_.H(";
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id = symbol_table.getObservedVariableIndex(it->first) + 1;
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}
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output << id << ", " << id << ") = ";
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if (stddev)
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output << "(";
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it->second->writeOutput(output);
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if (stddev)
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output << ")^2";
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output << ";" << endl;
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}
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void
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ShocksStatement::writeVarAndStdShocks(ostream &output) const
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{
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var_and_std_shocks_t::const_iterator it;
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for (it = var_shocks.begin(); it != var_shocks.end(); it++)
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writeVarOrStdShock(output, it, false);
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for (it = std_shocks.begin(); it != std_shocks.end(); it++)
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writeVarOrStdShock(output, it, true);
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}
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void
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ShocksStatement::writeCovarOrCorrShock(ostream &output, covar_and_corr_shocks_t::const_iterator &it,
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bool corr) const
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{
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SymbolType type1 = symbol_table.getType(it->first.first);
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SymbolType type2 = symbol_table.getType(it->first.second);
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assert((type1 == eExogenous && type2 == eExogenous)
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|| (symbol_table.isObservedVariable(it->first.first) && symbol_table.isObservedVariable(it->first.second)));
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string matrix;
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int id1, id2;
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if (type1 == eExogenous)
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{
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matrix = "M_.Sigma_e";
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id1 = symbol_table.getTypeSpecificID(it->first.first) + 1;
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id2 = symbol_table.getTypeSpecificID(it->first.second) + 1;
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}
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else
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{
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matrix = "M_.H";
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id1 = symbol_table.getObservedVariableIndex(it->first.first) + 1;
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id2 = symbol_table.getObservedVariableIndex(it->first.second) + 1;
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}
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output << matrix << "(" << id1 << ", " << id2 << ") = ";
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it->second->writeOutput(output);
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if (corr)
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output << "*sqrt(" << matrix << "(" << id1 << ", " << id1 << ")*"
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<< matrix << "(" << id2 << ", " << id2 << "))";
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output << ";" << endl
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<< matrix << "(" << id2 << ", " << id1 << ") = "
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<< matrix << "(" << id1 << ", " << id2 << ");" << endl;
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}
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void
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ShocksStatement::writeCovarAndCorrShocks(ostream &output) const
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{
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covar_and_corr_shocks_t::const_iterator it;
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for (it = covar_shocks.begin(); it != covar_shocks.end(); it++)
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writeCovarOrCorrShock(output, it, false);
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for (it = corr_shocks.begin(); it != corr_shocks.end(); it++)
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writeCovarOrCorrShock(output, it, true);
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}
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void
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ShocksStatement::checkPass(ModFileStructure &mod_file_struct, WarningConsolidation &warnings)
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{
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// Workaround for trac ticket #35
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mod_file_struct.shocks_present = true;
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// Determine if there is a calibrated measurement error
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for (var_and_std_shocks_t::const_iterator it = var_shocks.begin();
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it != var_shocks.end(); it++)
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if (symbol_table.isObservedVariable(it->first))
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mod_file_struct.calibrated_measurement_errors = true;
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for (var_and_std_shocks_t::const_iterator it = std_shocks.begin();
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it != std_shocks.end(); it++)
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if (symbol_table.isObservedVariable(it->first))
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mod_file_struct.calibrated_measurement_errors = true;
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for (covar_and_corr_shocks_t::const_iterator it = covar_shocks.begin();
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it != covar_shocks.end(); it++)
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if (symbol_table.isObservedVariable(it->first.first)
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|| symbol_table.isObservedVariable(it->first.second))
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mod_file_struct.calibrated_measurement_errors = true;
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for (covar_and_corr_shocks_t::const_iterator it = corr_shocks.begin();
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it != corr_shocks.end(); it++)
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if (symbol_table.isObservedVariable(it->first.first)
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|| symbol_table.isObservedVariable(it->first.second))
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mod_file_struct.calibrated_measurement_errors = true;
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}
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MShocksStatement::MShocksStatement(const det_shocks_t &det_shocks_arg,
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const SymbolTable &symbol_table_arg) :
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AbstractShocksStatement(true, det_shocks_arg, symbol_table_arg)
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{
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}
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void
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MShocksStatement::writeOutput(ostream &output, const string &basename) const
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{
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output << "%" << endl
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<< "% MSHOCKS instructions" << endl
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<< "%" << endl;
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// Write instruction that initializes a shock
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output << "make_ex_;" << endl;
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writeDetShocks(output);
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}
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void
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MShocksStatement::checkPass(ModFileStructure &mod_file_struct, WarningConsolidation &warnings)
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{
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// Workaround for trac ticket #35
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mod_file_struct.shocks_present = true;
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}
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ConditionalForecastPathsStatement::ConditionalForecastPathsStatement(const AbstractShocksStatement::det_shocks_t &paths_arg, const SymbolTable &symbol_table_arg) :
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paths(paths_arg),
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symbol_table(symbol_table_arg),
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path_length(-1)
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{
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}
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void
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ConditionalForecastPathsStatement::checkPass(ModFileStructure &mod_file_struct, WarningConsolidation &warnings)
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{
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for (AbstractShocksStatement::det_shocks_t::const_iterator it = paths.begin();
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it != paths.end(); it++)
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{
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int this_path_length = 0;
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const vector<AbstractShocksStatement::DetShockElement> &elems = it->second;
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for (int i = 0; i < (int) elems.size(); i++)
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// Period1 < Period2, as enforced in ParsingDriver::add_period()
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this_path_length = max(this_path_length, elems[i].period2);
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if (path_length == -1)
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path_length = this_path_length;
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else if (path_length != this_path_length)
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{
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cerr << "conditional_forecast_paths: all constrained paths must have the same length!" << endl;
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exit(EXIT_FAILURE);
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}
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}
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}
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void
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ConditionalForecastPathsStatement::writeOutput(ostream &output, const string &basename) const
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{
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assert(path_length > 0);
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output << "constrained_vars_ = [];" << endl
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<< "constrained_paths_ = zeros(" << paths.size() << ", " << path_length << ");" << endl;
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int k = 1;
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for (AbstractShocksStatement::det_shocks_t::const_iterator it = paths.begin();
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it != paths.end(); it++)
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{
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if (it == paths.begin())
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output << "constrained_vars_ = " << it->first +1 << ";" << endl;
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else
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output << "constrained_vars_ = [constrained_vars_; " << it->first +1 << "];" << endl;
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const vector<AbstractShocksStatement::DetShockElement> &elems = it->second;
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for (int i = 0; i < (int) elems.size(); i++)
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for (int j = elems[i].period1; j <= elems[i].period2; j++)
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{
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output << "constrained_paths_(" << k << "," << j << ")=";
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elems[i].value->writeOutput(output);
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output << ";" << endl;
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}
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k++;
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}
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}
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