fixed window size of sigma and made it a parameter

bertiqwerty · Aug 14, 2023 · 7400ca6 · 7400ca6
1 parent a4aba0a
commit 7400ca6
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Showing 2 changed files with 23 additions and 21 deletions.
diff --git a/src/app.rs b/src/app.rs
@@ -330,14 +330,6 @@ impl<'a> eframe::App for BalanceApp<'a> {
         egui::CentralPanel::default().show(ctx, |ui| {
             egui::ScrollArea::new([true, true]).show(ui, |ui| {
                 heading(ui, "Balance");
-                if let Some(status_msg) = &self.status_msg {
-                    ui.label(status_msg);
-                } else if self.charts.persisted.is_empty() {
-                    ui.label("add simulated or historical charts to compute balances");
-                } else {
-                    ui.label("balance computation ready");
-                }
-                ui.separator();
                 heading2(ui, "1. Add Charts");
                 egui::CollapsingHeader::new("Simulate").show(ui, |ui| {
                     egui::Grid::new("simulate-inputs")
@@ -377,6 +369,7 @@ impl<'a> eframe::App for BalanceApp<'a> {
                                         expected_yearly_return,
                                         is_eyr_independent,
                                         noise,
+                                        12,
                                         n_months,
                                     ) {
                                         Ok(values) => {
@@ -547,7 +540,6 @@ impl<'a> eframe::App for BalanceApp<'a> {
                 }
                 ui.separator();
                 heading2(ui, "3. Investigate Results");
-                ui.label(" ");
 
                 ui.horizontal(|ui| {
                     if ui
@@ -613,6 +605,15 @@ impl<'a> eframe::App for BalanceApp<'a> {
                         export_csv(&self.charts).unwrap();
                     }
                 });
+                ui.separator();
+                if let Some(status_msg) = &self.status_msg {
+                    ui.label(status_msg);
+                } else if self.charts.persisted.is_empty() {
+                    ui.label("add simulated or historical charts to compute balances");
+                } else {
+                    ui.label("balance computation ready");
+                }
+                ui.separator();
                 if let Some(best_trigger) = &self.best_rebalance_trigger {
                     egui::Grid::new("best-balance").show(ui, |ui| {
                         ui.label("(best) balance");

diff --git a/src/compute.rs b/src/compute.rs
@@ -185,34 +185,34 @@ pub fn unix_to_now_nanos() -> BlcResult<u64> {
         % (u64::MAX as u128)) as u64)
 }
 
-const SIGMA_WINDOW_SIZE: usize = 12;
 
 pub fn random_walk(
     expected_yearly_return: f64,
-    is_return_indpendent: bool,
+    is_markovian: bool,
     sigma_mean: f64,
+    sigma_window_size: usize,
     n_months: usize,
 ) -> BlcResult<Vec<f64>> {
     let mut sigma_rng = StdRng::seed_from_u64(unix_to_now_nanos()?);
     let sigma_distribution = Normal::new(sigma_mean, sigma_mean).map_err(to_blc)?;
-    let mut last_sigmas = [sigma_mean; SIGMA_WINDOW_SIZE];
-    let mut rv_rng = StdRng::seed_from_u64(unix_to_now_nanos()?);
+    let mut last_sigmas = vec![sigma_mean; sigma_window_size];
+    let mut monthly_factor_rng = StdRng::seed_from_u64(unix_to_now_nanos()?);
     let start_price = 1.0;
     let mut res = vec![start_price; n_months + 1];
     let expected_monthly_return = (1.0 + (expected_yearly_return / 100.0)).powf(1.0 / 12.0);
     let mut mu = expected_monthly_return;
     for (i, sigma) in (1..(n_months + 1)).zip(sigma_distribution.sample_iter(&mut sigma_rng)) {
-        for i in 0..9 {
+        for i in 0..(sigma_window_size - 1) {
             last_sigmas[i] = last_sigmas[i + 1];
         }
-        last_sigmas[9] = sigma;
+        last_sigmas[sigma_window_size - 1] = sigma;
         last_sigmas.sort_by(|a, b| a.partial_cmp(b).unwrap());
-        let sigma = last_sigmas[SIGMA_WINDOW_SIZE / 2].abs();
+        let sigma = last_sigmas[sigma_window_size / 2].abs();
         let d = Normal::new(mu, sigma).map_err(to_blc)?;
-        let rv = d.sample(&mut rv_rng);
-        res[i] = (res[i - 1] * rv).max(1e-1);
+        let monthly_factor = d.sample(&mut monthly_factor_rng);
+        res[i] = (res[i - 1] * monthly_factor).max(1e-1);
 
-        if !is_return_indpendent && sigma - sigma_mean > 0.0 {
+        if !is_markovian && sigma - sigma_mean > 0.0 {
             let actual_total_return: f64 = (1..=i)
                 .map(|j| res[j] / res[j - 1])
                 .product::<f64>()
@@ -441,6 +441,7 @@ fn compute_total_balance(
         (initial_balances.iter().sum(), initial_balances.iter().sum())
     }
 }
+
 #[test]
 fn test_adapt() {
     let price_dev = vec![3.0, 6.0, 12.0, 6.0];
@@ -558,13 +559,13 @@ fn test_compute_balance() {
 
 #[test]
 fn test_compound() {
-    let compound_interest: Vec<f64> = random_walk(5.0, true, 0.0, 240).unwrap();
+    let compound_interest: Vec<f64> = random_walk(5.0, true, 0.0, 12, 240).unwrap();
     let (b, p) =
         compute_total_balance(&[&compound_interest], &[10000.0], None, NONE_REBALANCE_DATA);
     assert!((b - 26532.98).abs() < 1e-2);
     assert!((p - 10000.0).abs() < 1e-12);
 
-    let compound_interest: Vec<f64> = random_walk(5.0, true, 0.0, 360).unwrap();
+    let compound_interest: Vec<f64> = random_walk(5.0, true, 0.0, 12, 360).unwrap();
     let ci_len = compound_interest.len();
     let monthly_payments: Vec<f64> = vec![1000.0; ci_len - 1];
     let (b, _) = compute_total_balance(