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Commit bb87de2

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yueminglyuemingl
committed
fix post_order problem, add trapezoidal rule
1 parent c537621 commit bb87de2
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+177
-151
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+177
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‎src/symjava/examples/BlackScholez.java‎

Copy file name to clipboardExpand all lines: src/symjava/examples/BlackScholez.java
+8-8Lines changed: 8 additions & 8 deletions
Original file line numberDiff line numberDiff line change
@@ -12,7 +12,7 @@
1212
public class BlackScholez {
1313

1414
public static void main(String[] args) {
15-
//Construct the Balck-Scholez equation
15+
// Define symbols to construct the Black-Scholes formula
1616
Symbol spot = new Symbol("spot"); //spot price
1717
Symbol strike = new Symbol("strike"); //strike price
1818
Symbol rd = new Symbol("rd");
@@ -29,14 +29,13 @@ public static void main(String[] args) {
2929
Expr dp = (log(fwd/strike)+0.5*pow(stdDev,2))/stdDev;
3030
Expr dm = (log(fwd/strike)-0.5*pow(stdDev,2))/stdDev;
3131

32-
//Domain I1 = Interval.apply(-oo, phi*dp, z);
33-
Domain I1 = Interval.apply(-10, phi*dp, z); //Good enough for -10, it will take a long time to use -oo
34-
I1.setStep(1e-5);
32+
//we use -10 instead of -oo for numerical computation
33+
Domain I1 = Interval.apply(-10, phi*dp, z);
34+
Domain I2 = Interval.apply(-10, phi*dm, z);
35+
double stepSize = 1e-3;
36+
I1.setStep(stepSize);
37+
I2.setStep(stepSize);
3538
Expr cdf1 = Integrate.apply(exp(-0.5*pow(z,2)), I1)/sqrt(PI2);
36-
37-
//Domain I2 = Interval.apply(-oo, phi*dm, z);
38-
Domain I2 = Interval.apply(-10, phi*dm, z);
39-
I2.setStep(1e-5);
4039
Expr cdf2 = Integrate.apply(exp(-0.5*pow(z,2)), I2)/sqrt(PI2);
4140

4241
Expr res = phi*domDf*(fwd*cdf1-strike*cdf2);
@@ -56,6 +55,7 @@ public static void main(String[] args) {
5655
new Eq(res-price, C0, freeVars, params)
5756
};
5857

58+
// Use Newton's method to find the root
5959
double[] guess = new double[]{ 0.10 };
6060
double[] constParams = new double[] {100.0, 110.0, 0.002, 0.01, 0.5, 1};
6161
Newton.solve(eq, guess, constParams, 100, 1e-5);
Collapse file

‎src/symjava/examples/Example0.java‎

Copy file name to clipboardExpand all lines: src/symjava/examples/Example0.java
+1Lines changed: 1 addition & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -10,6 +10,7 @@ public static void main(String[] args) {
1010
Expr R = 0.127-(x*0.194/(y+0.194));
1111
Expr Rdy = R.diff(y);
1212
System.out.println(Rdy);
13+
1314
BytecodeFunc func = JIT.compile(new Expr[]{x,y}, Rdy);
1415
System.out.println(func.apply(0.362, 0.556));
1516
}
Collapse file

‎src/symjava/symbolic/utils/BytecodeSupport.java‎

Copy file name to clipboardExpand all lines: src/symjava/symbolic/utils/BytecodeSupport.java
+19-4Lines changed: 19 additions & 4 deletions
Original file line numberDiff line numberDiff line change
@@ -41,11 +41,26 @@ public static double numIntegrate1D(double begin, double end, double step, Strin
4141
getMethod("apply", new Class[] {double[].class});
4242
double[] args = { 0 };
4343
double sum = 0.0;
44-
for(double i=begin; i<=end; i+=step) {
44+
// for(double i=begin; i<=end; i+=step) {
45+
// args[0] = i;
46+
// Double val = (Double)method.invoke(null, args);
47+
// //Double val = test_pdf(args);
48+
// sum += val*step;
49+
// }
50+
51+
args[0] = begin;
52+
Double val1 = (Double)method.invoke(null, args);
53+
double i = begin + step;
54+
for(; i<=end; i+=step) {
4555
args[0] = i;
46-
Double val = (Double)method.invoke(null, args);
47-
//Double val = test_pdf(args);
48-
sum += val*step;
56+
Double val2 = (Double)method.invoke(null, args);
57+
sum += (val1+val2)*step/2.0;
58+
val1 = val2;
59+
}
60+
if(i - end > 0.0) {
61+
args[0] = end;
62+
Double val2 = (Double)method.invoke(null, args);
63+
sum += (val1+val2)*(step-(i-end))/2.0;
4964
}
5065
return sum;
5166
} catch (Exception e) {
Collapse file

‎src/symjava/symbolic/utils/BytecodeUtils.java‎

Copy file name to clipboardExpand all lines: src/symjava/symbolic/utils/BytecodeUtils.java
+24-14Lines changed: 24 additions & 14 deletions
Original file line numberDiff line numberDiff line change
@@ -89,9 +89,11 @@ public static void post_order(Expr e, List<Expr> outList) {
8989
Interval I = (Interval)INT.domain;
9090
post_order(I.getStart(), outList);
9191
post_order(I.getEnd(), outList);
92+
//Integrand will not be added to the outList since we don't want the dummy variable to be exposed
9293
//outList.add(new Func("integrand"+java.util.UUID.randomUUID().toString().replaceAll("-", ""),INT.integrand));
9394
} else {
94-
throw new RuntimeException("Unsupported Integrate: "+e);
95+
//TODO
96+
//Support multi-variable integrate
9597
}
9698
}
9799
outList.add(e);
@@ -259,23 +261,31 @@ public static ClassGen genClass(Func fun, boolean writeClassFile, boolean static
259261
} else if(ins instanceof Negate) {
260262
il.append(new PUSH(cp, -1.0));
261263
il.append(new DMUL());
262-
// } else if(ins instanceof Infinity) {
263-
// il.append(new PUSH(cp, Double.NaN));
264+
} else if(ins instanceof Infinity) {
265+
throw new RuntimeException(ins.getClass() + "Infinity cannot be used in numerical computation, use a proper number instead!");
264266
} else if(ins instanceof Integrate) {
265267
Integrate INT = (Integrate)ins;
266-
Func f = new Func("integrand_"+java.util.UUID.randomUUID().toString().replaceAll("-", ""),INT.integrand);
267-
//System.out.println(f);
268-
f.toBytecodeFunc(true, true); //Load class, could be better method to load a class
269-
//TODO read this: http://stackoverflow.com/questions/19119702/injecting-code-in-an-existing-method-using-bcel/19219759#19219759
270-
if(INT.domain.getStep() == null) {
271-
throw new RuntimeException("Please specifiy the step size for you integral: "+INT);
268+
if(INT.domain instanceof Interval) {
269+
//Compile the integrand
270+
Func f = new Func("integrand_"+java.util.UUID.randomUUID().toString().replaceAll("-", ""),INT.integrand);
271+
//System.out.println(f);
272+
f.toBytecodeFunc(true, true); //Load class, could be better method to load a class
273+
274+
//TODO read this: http://stackoverflow.com/questions/19119702/injecting-code-in-an-existing-method-using-bcel/19219759#19219759
275+
if(INT.domain.getStep() == null) {
276+
throw new RuntimeException("Please specifiy the step size for you integral: "+INT);
277+
}
278+
279+
il.append(new PUSH(cp, INT.domain.getStep()));
280+
il.append(new PUSH(cp, f.getName()));
281+
il.append(factory.createInvoke("symjava.symbolic.utils.BytecodeSupport", "numIntegrate1D",
282+
Type.DOUBLE, new Type[] { Type.DOUBLE, Type.DOUBLE, Type.DOUBLE, Type.STRING }, Constants.INVOKESTATIC));
283+
} else {
284+
//TODO
285+
throw new RuntimeException("Unsupported Integrate: "+INT);
272286
}
273-
il.append(new PUSH(cp, INT.domain.getStep())); //
274-
il.append(new PUSH(cp, f.getName()));
275-
il.append(factory.createInvoke("symjava.symbolic.utils.BytecodeSupport", "numIntegrate1D",
276-
Type.DOUBLE, new Type[] { Type.DOUBLE, Type.DOUBLE, Type.DOUBLE, Type.STRING }, Constants.INVOKESTATIC));
277287
} else {
278-
throw new RuntimeException(ins.getClass() + " is not allowed when generating bytecode function!");
288+
throw new RuntimeException(ins.getClass() + " is not supported in this version when generating bytecode function!");
279289
}
280290
}
281291

Collapse file

‎triangle_neumann.dat‎

Copy file name to clipboardExpand all lines: triangle_neumann.dat
+125-125Lines changed: 125 additions & 125 deletions
Original file line numberDiff line numberDiff line change
@@ -36,131 +36,131 @@ ZONE F=FEPOINT ET=TRIANGLE N=161 E=284
3636
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3737
3.000000 -1.666667 0.000000
3838
3.000000 -2.333333 0.000000
39-
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41-
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42-
2.687000 2.687000 -722.614477
43-
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44-
2.687000 -2.687000 -722.085189
45-
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46-
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47-
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48-
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49-
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50-
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51-
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52-
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54-
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87-
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88-
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90-
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102-
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103-
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106-
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107-
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108-
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109-
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111-
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112-
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113-
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114-
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115-
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121-
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122-
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133-
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135-
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137-
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138-
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140-
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146-
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151-
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