ms-dsge: classes for C output

cpp/ms_dsge_c_driver.cc

+/*
+ * Copyright (C) 2011-2012 Houtan Bastani, Daniel Waggoner, Tao Zha
+ *
+ * This 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 code 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.
+ *
+ * More information is available at <http://www.gnu.org/licenses/>.
+ */
+
+#include <cstdlib>
+#include <vector>
+#include <string>
+#include <iostream>
+#include <assert.h>
+
+using namespace std;
+
+#include "ms_dsge_c_driver.hh"
+
+MsDsgeInfo::MsDsgeInfo(map<string, int > exo_names_arg,
+                       map<string, int > exo_det_names_arg,
+                       map<string, int > endo_names_arg,
+                       map<string, int > param_names_arg,
+                       map<int, double > params_arg,
+                       vector<aux_vars_t> aux_vars_arg,
+                       vector<int> predetermined_variables_arg,
+                       vector<int> varobs_arg,
+                       vector<vector<int > > lead_lag_incidence_arg,
+                       vector<double> NNZDerivatives_arg) :
+  exo_names(exo_names_arg),
+  exo_det_names(exo_det_names_arg),
+  endo_names(endo_names_arg),
+  param_names(param_names_arg),
+  params(params_arg),
+  aux_vars(aux_vars_arg),
+  predetermined_variables(predetermined_variables_arg),
+  varobs(varobs_arg),
+  lead_lag_incidence(lead_lag_incidence_arg),
+  NNZDerivatives(NNZDerivatives_arg)
+{
+}
+
+MsDsgeInfo::~MsDsgeInfo()
+{
+  for (vector<MarkovSwitching *>::iterator it = markov_switching_vector.begin();
+       it < markov_switching_vector.end(); it++ )
+    delete *it;
+
+  for (vector<ModFilePrior *>::iterator it = prior_vector.begin();
+       it < prior_vector.end(); it++ )
+    delete *it;
+
+  for (vector<ModFileStructuralInnovationPrior *>::iterator it = structural_innovation_prior_vector.begin();
+       it < structural_innovation_prior_vector.end(); it++ )
+    delete *it;
+
+  for (vector<ModFileMeasurementErrorPrior *>::iterator it = measurement_error_prior_vector.begin();
+       it < measurement_error_prior_vector.end(); it++ )
+    delete *it;
+
+  for (vector<ModFileStructuralInnovationCorrPrior *>::iterator it = structural_innovation_corr_prior_vector.begin();
+       it < structural_innovation_corr_prior_vector.end(); it++ )
+    delete *it;
+
+  for (vector<ModFileMeasurementErrorCorrPrior *>::iterator it = measurement_error_corr_prior_vector.begin();
+       it < measurement_error_corr_prior_vector.end(); it++ )
+    delete *it;
+
+  markov_switching_vector.clear();
+  prior_vector.clear();
+  structural_innovation_prior_vector.clear();
+  measurement_error_prior_vector.clear();
+  structural_innovation_corr_prior_vector.clear();
+  measurement_error_corr_prior_vector.clear();
+  exo_names.clear();
+  exo_det_names.clear();
+  endo_names.clear();
+  param_names.clear();
+  params.clear();
+  aux_vars.clear();
+  predetermined_variables.clear();
+  varobs.clear();
+  lead_lag_incidence.clear();
+  NNZDerivatives.clear();
+}
+
+string
+MsDsgeInfo::get_exo_name_by_index(int index) throw (ValueNotSetException)
+{
+  for (map<string, int >::iterator it = exo_names.begin();
+       it != exo_names.end(); it++)
+    if (it->second == index)
+      return it->first;
+  throw ValueNotSetException("get_exo_name_by_index" + index);
+}
+
+int
+MsDsgeInfo::get_exo_index_by_name(string name) throw (ValueNotSetException)
+{
+  map<string, int >::iterator it = exo_names.find(name);
+  if (it != exo_names.end())
+    return it->second;
+  throw ValueNotSetException("get_exo_name_by_name" + name);
+}
+
+string
+MsDsgeInfo::get_exo_det_name_by_index(int index) throw (ValueNotSetException)
+{
+  for (map<string, int >::iterator it = exo_det_names.begin();
+       it != exo_det_names.end(); it++)
+    if (it->second == index)
+      return it->first;
+  throw ValueNotSetException("get_exo_det_name_by_index" + index);
+}
+
+int
+MsDsgeInfo::get_exo_det_index_by_name(string name) throw (ValueNotSetException)
+{
+  map<string, int >::iterator it = exo_det_names.find(name);
+  if (it != exo_det_names.end())
+    return it->second;
+  throw ValueNotSetException("get_exo_det_name_by_name" + name);
+}
+
+string
+MsDsgeInfo::get_endo_name_by_index(int index) throw (ValueNotSetException)
+{
+  for (map<string, int >::iterator it = endo_names.begin();
+       it != endo_names.end(); it++)
+    if (it->second == index)
+      return it->first;
+  throw ValueNotSetException("get_endo_name_by_index" + index);
+}
+
+int
+MsDsgeInfo::get_endo_index_by_name(string name) throw (ValueNotSetException)
+{
+  map<string, int >::iterator it = endo_names.find(name);
+  if (it != endo_names.end())
+    return it->second;
+  throw ValueNotSetException("get_endo_name_by_name" + name);
+}
+
+string
+MsDsgeInfo::get_param_name_by_index(int index) throw (ValueNotSetException)
+{
+  for (map<string, int >::iterator it = param_names.begin();
+       it != param_names.end(); it++)
+    if (it->second == index)
+      return it->first;
+  throw ValueNotSetException("get_param_name_by_index" + index);
+}
+
+int
+MsDsgeInfo::get_param_index_by_name(string name) throw (ValueNotSetException)
+{
+  map<string, int >::iterator it = param_names.find(name);
+  if (it != param_names.end())
+    return it->second;
+  throw ValueNotSetException("get_param_name_by_name" + name);
+}
+
+double
+MsDsgeInfo::get_param_value_by_index(int index) throw (ValueNotSetException)
+{
+  map<int, double >::iterator it = params.find(index);
+  if (it != params.end())
+    return it->second;
+  throw ValueNotSetException("get_param_value_by_index" + index);
+}
+
+vector<int >
+MsDsgeInfo::get_lead_lag_incidence_for_endo_var_by_index(int index) throw (ValueNotSetException)
+{
+  if (index < lead_lag_incidence.size())
+    return lead_lag_incidence.at(index);
+  throw ValueNotSetException("get_lead_lag_incidence_for_endo_var_by_index" + index);
+}
+
+MarkovSwitching::MarkovSwitching(const int chain_arg,
+                                 const int number_of_regimes_arg,
+                                 const int number_of_lags_arg,
+                                 const bool number_of_lags_was_passed_arg,
+                                 const vector<int> parameters_arg,
+                                 const vector<double> duration_arg,
+                                 const restriction_map_t restriction_map_arg) :
+  chain(chain_arg),
+  number_of_regimes(number_of_regimes_arg),
+  number_of_lags(number_of_lags_arg),
+  number_of_lags_was_passed(number_of_lags_was_passed_arg),
+  parameters(parameters_arg),
+  duration(duration_arg),
+  restriction_map(restriction_map_arg)
+{
+  assert(chain >= 1);
+  assert(number_of_regimes > 0);
+  if (number_of_lags_was_passed)
+    assert(number_of_lags > 0);
+  assert(!parameters.empty());
+  assert(!duration.empty());
+}
+
+int
+MarkovSwitching::get_number_of_lags() throw (ValueNotSetException)
+{
+  if (number_of_lags_has_val())
+    return number_of_lags;
+  throw ValueNotSetException("number_of_lags");
+}
+
+restriction_map_t
+MarkovSwitching::get_restriction_map() throw (ValueNotSetException)
+{
+  if (restriction_map_has_val())
+    return restriction_map;
+  throw ValueNotSetException("restriction_map");
+}
+
+BasicModFilePrior::BasicModFilePrior(const int index_arg,
+                                     const string shape_arg,
+                                     const double mean_arg,
+                                     const double mode_arg,
+                                     const double stdev_arg,
+                                     const double variance_arg,
+                                     const vector <double> domain_arg) :
+  index(index_arg),
+  shape(shape_arg),
+  mean(mean_arg),
+  mode(mode_arg),
+  stdev(stdev_arg),
+  variance(variance_arg),
+  domain(domain_arg)
+{
+  assert(index >= 0);
+  assert(!shape.empty());
+  if (stdev_has_val())
+    assert(stdev >= 0);
+  if (variance_has_val())
+    assert(variance >= 0);
+  if (domain_has_val())
+    assert(domain.size() == 2);
+}
+
+double
+BasicModFilePrior::get_mean() throw (ValueNotSetException)
+{
+  if (mean_has_val())
+    return mean;
+  throw ValueNotSetException("mean");
+};
+
+double
+BasicModFilePrior::get_mode() throw (ValueNotSetException)
+{
+  if (mode_has_val())
+    return mode;
+  throw ValueNotSetException("mode");
+};
+
+double
+BasicModFilePrior::get_stdev() throw (ValueNotSetException)
+{
+  if (stdev_has_val())
+    return stdev;
+  throw ValueNotSetException("stdev");
+};
+
+double
+BasicModFilePrior::get_variance() throw (ValueNotSetException)
+{
+  if (variance_has_val())
+    return variance;
+  throw ValueNotSetException("variance");
+};
+
+vector<double>
+BasicModFilePrior::get_domain() throw (ValueNotSetException)
+{
+  if (domain_has_val())
+    return domain;
+  throw ValueNotSetException("domain");
+};
+
+ModFilePrior::ModFilePrior(const int index_arg,
+                           const string shape_arg,
+                           const double mean_arg,
+                           const double mode_arg,
+                           const double stdev_arg,
+                           const double variance_arg,
+                           const vector <double> domain_arg) :
+  BasicModFilePrior(index_arg,
+                    shape_arg,
+                    mean_arg,
+                    mode_arg,
+                    stdev_arg,
+                    variance_arg,
+                    domain_arg)
+{
+}
+
+ModFileStructuralInnovationPrior::ModFileStructuralInnovationPrior(const int index_arg,
+                                                                   const string shape_arg,
+                                                                   const double mean_arg,
+                                                                   const double stdev_arg,
+                                                                   const double variance_arg,
+                                                                   const double mode_arg,
+                                                                   const vector <double> domain_arg) :
+  BasicModFilePrior(index_arg,
+                    shape_arg,
+                    mean_arg,
+                    mode_arg,
+                    stdev_arg,
+                    variance_arg,
+                    domain_arg)
+{
+}
+
+ModFileMeasurementErrorPrior::ModFileMeasurementErrorPrior(const int index_arg,
+                                                           const string shape_arg,
+                                                           const double mean_arg,
+                                                           const double stdev_arg,
+                                                           const double variance_arg,
+                                                           const double mode_arg,
+                                                           const vector <double> domain_arg) :
+  BasicModFilePrior(index_arg,
+                    shape_arg,
+                    mean_arg,
+                    mode_arg,
+                    stdev_arg,
+                    variance_arg,
+                    domain_arg)
+{
+}
+
+ModFileStructuralInnovationCorrPrior::ModFileStructuralInnovationCorrPrior(const int index1_arg,
+                                                                           const int index2_arg,
+                                                                           const string shape_arg,
+                                                                           const double mean_arg,
+                                                                           const double stdev_arg,
+                                                                           const double variance_arg,
+                                                                           const double mode_arg,
+                                                                           const vector <double> domain_arg) :
+  BasicModFilePrior(index1_arg,
+                    shape_arg,
+                    mean_arg,
+                    mode_arg,
+                    stdev_arg,
+                    variance_arg,
+                    domain_arg),
+  index2(index2_arg)
+{
+  assert(index2 >= 0);
+}
+
+ModFileMeasurementErrorCorrPrior::ModFileMeasurementErrorCorrPrior(const int index1_arg,
+                                                                   const int index2_arg,
+                                                                   const string shape_arg,
+                                                                   const double mean_arg,
+                                                                   const double stdev_arg,
+                                                                   const double variance_arg,
+                                                                   const double mode_arg,
+                                                                   const vector <double> domain_arg) :
+  BasicModFilePrior(index1_arg,
+                    shape_arg,
+                    mean_arg,
+                    mode_arg,
+                    stdev_arg,
+                    variance_arg,
+                    domain_arg),
+  index2(index2_arg)
+{
+  assert(index2 >= 0);
+}
+

cpp/ms_dsge_c_driver.hh

+/*
+ * Copyright (C) 2011-2012 Houtan Bastani, Daniel Waggoner, Tao Zha
+ *
+ * This 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 code 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.
+ *
+ * More information is available at <http://www.gnu.org/licenses/>.
+ */
+
+#ifndef _MS_DSGE_C_DRIVER_HH
+#define _MS_DSGE_C_DRIVER_HH
+
+#include <cstdlib>
+#include <vector>
+#include <string>
+#include <map>
+#include <limits>
+
+using namespace std;
+
+struct aux_vars_t {
+  int endo_index, type, orig_index, orig_lead_lag;
+} ;
+
+typedef map<pair<int, int >, double> restriction_map_t ;
+
+class ValueNotSetException
+{
+public:
+  string name;
+  ValueNotSetException(const string &name_arg) : name(name_arg)
+  {
+  }
+};
+
+class MarkovSwitching
+{
+private:
+  const int chain, number_of_regimes, number_of_lags;
+  const bool number_of_lags_was_passed;
+  const vector<int> parameters;
+  const vector<double> duration;
+  const restriction_map_t restriction_map;
+public:
+  MarkovSwitching(const int chain_arg,
+                  const int number_of_regimes_arg,
+                  const int number_of_lags_arg,
+                  const bool number_of_lags_was_passed_arg,
+                  const vector<int> parameters_arg,
+                  const vector<double> duration_arg,
+                  const restriction_map_t restriction_map_arg);
+
+  inline bool number_of_lags_has_val() const { return number_of_lags_was_passed; };
+  inline bool restriction_map_has_val() const { return !restriction_map.empty(); };
+
+  inline int get_chain() const { return chain; };
+  inline int get_number_of_regimes() const { return number_of_regimes; };
+  int get_number_of_lags() throw (ValueNotSetException);
+  inline vector<int> get_parameters() { return parameters; };
+  inline vector<double> get_duration() { return duration; };
+  restriction_map_t get_restriction_map() throw (ValueNotSetException);
+};
+
+class BasicModFilePrior
+{
+private:
+  inline bool isnan(double x) const { return (x!=x); };
+protected:
+  const int index;
+  const string shape;
+  const double mean, mode, stdev, variance;
+  const vector <double> domain;
+
+  BasicModFilePrior(const int index_arg,
+                    const string shape_arg,
+                    const double mean_arg,
+                    const double mode_arg,
+                    const double stdev_arg,
+                    const double variance_arg,
+                    const vector <double> domain_arg);
+public:
+  inline bool mean_has_val() const { return !isnan(mean); };
+  inline bool mode_has_val() const { return !isnan(mode); };
+  inline bool stdev_has_val() const { return !isnan(stdev); };
+  inline bool variance_has_val() const { return !isnan(variance); };
+  inline bool domain_has_val() const { return (domain.size() == 2); };
+
+  inline int get_index() const { return index; };
+  inline string get_shape() const { return shape; };
+  double get_mean() throw (ValueNotSetException);
+  double get_mode() throw (ValueNotSetException);
+  double get_stdev() throw (ValueNotSetException);
+  double get_variance() throw (ValueNotSetException);
+  vector<double> get_domain() throw (ValueNotSetException);
+};
+
+class ModFilePrior : public BasicModFilePrior
+{
+public:
+  ModFilePrior(const int index_arg,
+               const string shape_arg,
+               const double mean_arg,
+               const double mode_arg,
+               const double stdev_arg,
+               const double variance_arg,
+               const vector <double> domain_arg);
+};
+
+class ModFileStructuralInnovationPrior: public BasicModFilePrior
+{
+public:
+  ModFileStructuralInnovationPrior(const int index_arg,
+                                   const string shape_arg,
+                                   const double mean_arg,
+                                   const double mode_arg,
+                                   const double stdev_arg,
+                                   const double variance_arg,
+                                   const vector <double> domain_arg);
+};
+
+class ModFileMeasurementErrorPrior : public BasicModFilePrior
+{
+public:
+  ModFileMeasurementErrorPrior(const int index_arg,
+                               const string shape_arg,
+                               const double mean_arg,
+                               const double stdev_arg,
+                               const double variance_arg,
+                               const double mode_arg,
+                               const vector <double> domain_arg);
+};
+
+class ModFileStructuralInnovationCorrPrior : public BasicModFilePrior
+{
+private:
+  const int index2;
+public:
+  ModFileStructuralInnovationCorrPrior(const int index1_arg,
+                                       const int index2_arg,
+                                       const string shape_arg,
+                                       const double mean_arg,
+                                       const double stdev_arg,
+                                       const double variance_arg,
+                                       const double mode_arg,
+                                       const vector <double> domain_arg);
+};
+
+class ModFileMeasurementErrorCorrPrior : public BasicModFilePrior
+{
+private:
+  const int index2;
+public:
+  ModFileMeasurementErrorCorrPrior(const int index1_arg,
+                                   const int index2_arg,
+                                   const string shape_arg,
+                                   const double mean_arg,
+                                   const double stdev_arg,
+                                   const double variance_arg,
+                                   const double mode_arg,
+                                   const vector <double> domain_arg);
+};
+
+class MsDsgeInfo
+{
+private:
+  vector<MarkovSwitching *> markov_switching_vector;
+  vector<ModFilePrior *> prior_vector;
+  vector<ModFileStructuralInnovationPrior *> structural_innovation_prior_vector;
+  vector<ModFileMeasurementErrorPrior *> measurement_error_prior_vector;
+  vector<ModFileStructuralInnovationCorrPrior *> structural_innovation_corr_prior_vector;
+  vector<ModFileMeasurementErrorCorrPrior *> measurement_error_corr_prior_vector;
+  map<string, int > exo_names, exo_det_names, endo_names, param_names;
+  map<int, double > params;
+  vector<aux_vars_t> aux_vars;
+  vector<int> predetermined_variables;
+  vector<int> varobs;
+  vector<vector<int > >lead_lag_incidence;
+  vector<double> NNZDerivatives;
+public:
+  MsDsgeInfo(map<string, int > exo_names_arg,
+             map<string, int > exo_det_names_arg,
+             map<string, int > endo_names_arg,
+             map<string, int > param_names_arg,
+             map<int, double > params_arg,
+             vector<aux_vars_t> aux_vars_arg,
+             vector<int> predetermined_variables_arg,
+             vector<int> varobs_arg,
+             vector<vector<int > > lead_lag_incidence_arg,
+             vector<double> NNZDerivatives_arg);
+  ~MsDsgeInfo();
+
+  inline void addMarkovSwitching(MarkovSwitching *ms) { markov_switching_vector.push_back(ms); };
+  inline void addPrior(ModFilePrior *p) { prior_vector.push_back(p); };
+  inline void addStructuralInnovationPrior(ModFileStructuralInnovationPrior *sip) { structural_innovation_prior_vector.push_back(sip); };
+  inline void addMeasurementErrorPrior(ModFileMeasurementErrorPrior *mep) { measurement_error_prior_vector.push_back(mep); };
+  inline void addStructuralInnovationCorrPrior(ModFileStructuralInnovationCorrPrior *sicp) { structural_innovation_corr_prior_vector.push_back(sicp); };
+  inline void addMeasurementErrorCorrPrior(ModFileMeasurementErrorCorrPrior *mecp) { measurement_error_corr_prior_vector.push_back(mecp); };
+
+  inline bool markov_switching_has_val() { return !markov_switching_vector.empty(); };
+  inline bool prior_has_val() { return !prior_vector.empty(); };
+  inline bool structural_innovation_prior_has_val() { return !structural_innovation_prior_vector.empty(); };
+  inline bool measurement_error_prior_has_val() { return !measurement_error_prior_vector.empty(); };
+  inline bool structural_innovation_corr_prior_has_val() { return !structural_innovation_corr_prior_vector.empty(); };
+  inline bool measurement_error_corr_prior_has_val() { return !measurement_error_corr_prior_vector.empty(); };
+
+  inline vector<MarkovSwitching *>get_markov_switching() { return markov_switching_vector; };
+  inline vector<ModFilePrior *> get_prior() { return prior_vector; };
+  inline vector<ModFileStructuralInnovationPrior *> get_structural_innovation_prior() { return structural_innovation_prior_vector; };
+  inline vector<ModFileMeasurementErrorPrior *> get_measurement_error_prior() { return measurement_error_prior_vector; };
+  inline vector<ModFileStructuralInnovationCorrPrior *> get_structural_innovation_corr_prior() { return structural_innovation_corr_prior_vector; };
+  inline vector<ModFileMeasurementErrorCorrPrior *> get_measurement_error_corr_prior() { return measurement_error_corr_prior_vector; };
+  inline map<string, int > get_exo_names() { return exo_names; };
+  inline map<string, int > get_exo_det_names() { return exo_det_names; };
+  inline map<string, int > get_endo_names() { return endo_names; };
+  inline map<string, int > get_param_names() { return param_names; };
+  inline map<int, double > get_params() { return params; };
+  inline vector <aux_vars_t> get_aux_vars() { return aux_vars; };
+  inline vector <int> get_predetermined_variables() { return predetermined_variables; };
+  inline vector <int> get_varobs() { return varobs; };
+  inline vector<vector<int > > get_lead_lag_incidence() { return lead_lag_incidence; };
+  inline vector<double> get_NNZDerivatives() { return NNZDerivatives; };
+
+  string get_exo_name_by_index(int index) throw (ValueNotSetException);
+  int get_exo_index_by_name(string name) throw (ValueNotSetException);
+  string get_exo_det_name_by_index(int index) throw (ValueNotSetException);
+  int get_exo_det_index_by_name(string name) throw (ValueNotSetException);
+  string get_endo_name_by_index(int index) throw (ValueNotSetException);
+  int get_endo_index_by_name(string name) throw (ValueNotSetException);
+  string get_param_name_by_index(int index) throw (ValueNotSetException);
+  int get_param_index_by_name(string name) throw (ValueNotSetException);
+  double get_param_value_by_index(int index) throw (ValueNotSetException);
+  vector<int >get_lead_lag_incidence_for_endo_var_by_index(int index) throw (ValueNotSetException);
+};
+
+#endif // ! _MS_DSGE_C_DRIVER_HH