#!/usr/bin/python """ This program will genereate the cash flow matching problem in free MPS format. This program is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version. This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. You should have received a copy of the GNU General Public License along with this program. If not, see . """ import sys import math from optparse import OptionParser def main(): usage = "usage: %prog [option] coupon file" version = "%prog 1.0" parser = OptionParser(usage=usage, version=version) parser.add_option("--horizon", "-T", dest="T", action="store", help="time horizon (T) in year", default=0, type = 'int') parser.add_option("--frequency", "-q", dest="freq", action="store", help="number of time steps in a year, (>= 1)", default=4, type = 'int') parser.add_option("--coupon", "-c", dest="coupon", action="store", help="file of coupon payoffs", default=None, type = 'string') parser.add_option("--liability", "-l", dest="liability", action="store", help="liability streams", default=None, type = 'string') parser.add_option("--price", "-p", dest="price", action="store", help="simulated price", default=None, type = 'string') parser.add_option("--name", "-n", dest="name", action="store", help="name of the problem", default="LP", type = 'string') parser.add_option("--epsilon", "-e", dest="epsilon", action="store", help="epsilon of CVaR", default="0.05", type = 'string') parser.add_option("--samplesize", "-N", dest="N", action="store", help="Number of samples", default=1, type = 'int') (option, arg) = parser.parse_args() # check with the option if option.coupon is None: parser.error("please input the coupon file (-c)") if option.liability is None: parser.error("please input the liability stream file (-l)") if option.price is None: parser.error("please input the simulated price file (-p)") if option.N is None: parser.error("please input the number of samples to use (-N)") try: option.epsilon = float(option.epsilon) except: parser.error("please check the epsilon (-e)") # get the data T = option.T * option.freq fc = open(option.coupon, 'r') coupon = [] for i in fc: try: coupon.append(map(float, i.split())) except: parser.error("please check the coupon file") if len(coupon[-1]) != T: parser.error("please check the size of the coupon payoff") fc.close() M = len(coupon) fl = open(option.liability, 'r') liability = [] for i in fl: try: liability.append(float(i)) except: parser.error("please check the liability stream file") fl.close() if len(liability) != T + 1: parser.error("please check the size of the liability stream") fp = open(option.price, 'r') price = [] for ii, i in enumerate(fp): if ii < option.N: try: temp = [] sample = map(float, i.split()) if len(sample) != M * T: parser.error("please check the dimension of the simulated price") for j in range(option.T * option.freq): temp.append(sample[0:M]) del sample[0:M] price.append(temp) except: parser.error("please check the simulated price file") else: break fp.close() N = len(price) tab = " " # start making mps file print "NAME", option.name print "ROWS" print tab + "N" + tab + "COST" print tab + "L" + tab + "CVAR" for k in range(N): for t in range(1, T + 1): print tab + "L" + tab + "CS" + str(k) + "T" + str(t) print tab + "E" + tab + "EQ0" for t in range(1, T + 1): for k in range(N): print tab + "E" + tab + "EQ" + str(k) + "T" + str(t) print "COLUMNS" print tab + "ALPHA" + tab + "CVAR" + tab + "1" for k in range(N): for t in range(1, T + 1): print tab + "ALPHA" + tab + "CS" + str(k) + "T" + str(t) + tab + "-1" # U dummy for k in range(N): print tab + "U" + str(k) + tab + "CVAR" + tab + str(1.0 / N / option.epsilon) for t in range(1, T + 1): print tab + "U" + str(k) + tab + "CS" + str(k) + "T" + str(t) \ + tab + "-1" print tab + "W0" + tab + "EQ0" + tab + "1" + tab + "COST" + tab + "1" # Y dummy for t in range(1, T + 1): for k in range(N): print tab + "Y" + str(k) + "T" + str(t) + tab + \ "EQ" + str(k) + "T" + str(t) + tab + "1" + tab + \ "CS" + str(k) + "T" + str(t) + tab + "1" # X, t from 0, ..., T - 1, j from 0, ..., M for t in range(T): for j in range(M): for k in range(N): if t == 0: if k == 0: print tab + "X" + str(j) + "T" + str(t) + tab + \ "EQ" + str(t) + tab + str(-price[k][t][j]) else: print tab + "X" + str(j) + "T" + str(t) + tab + \ "EQ" + str(k) + "T" + str(t) + tab + \ str(-price[k][t][j]) for tt in range(1, T - t + 1): for k in range(N): if coupon[j][tt - 1] != 0: print tab + "X" + str(j) + "T" + str(t) + tab + \ "EQ" + str(k) + "T" + str(tt + t) + tab + \ str(coupon[j][tt - 1]) print "RHS" for t in range(T + 1): for k in range(N): if t == 0: if k == 0: print tab + "RHS1" + tab + "EQ" + str(t) + tab + str(liability[t]) else: print tab + "RHS1" + tab + "EQ" + str(k) + "T" + str(t) + tab + str(liability[t]) print "BOUNDS" print tab + "FR" + tab + "B1" + tab + "ALPHA" + tab + "0" for t in range(1, T + 1): for k in range(N): print tab + "FR" + tab + "B1" + tab + "Y" + str(k) + "T" + str(t) \ + tab + "0" print "ENDATA" if __name__ == "__main__": main()