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cosn.m

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  • Forked from Dynare / dynare
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    Shocks.hh 12.78 KiB
    /*
     * Copyright © 2003-2025 Dynare Team
     *
     * This file is part of Dynare.
     *
     * Dynare 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.
     *
     * Dynare 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 Dynare.  If not, see <https://www.gnu.org/licenses/>.
     */
    
    #ifndef SHOCKS_HH
    #define SHOCKS_HH
    
    #include <map>
    #include <string>
    #include <variant>
    #include <vector>
    
    #include "ExprNode.hh"
    #include "HeterogeneityTable.hh"
    #include "Statement.hh"
    #include "SymbolTable.hh"
    
    using namespace std;
    
    class AbstractShocksStatement : public Statement
    {
    public:
      // A period range is either two indices (1-based), or two dates (from dseries)
      using period_range_t = variant<pair<int, int>, pair<string, string>>;
      // The pair is (period range, value)
      using det_shocks_t = map<int, vector<pair<period_range_t, expr_t>>>;
      enum class ShockType
      {
        level,               // The value is the level of the exogenous (“values” statement in “shocks”)
        multiplySteadyState, // The value is the ratio of the exogenous over its (terminal) steady state
                             // (“values” statement in “mshocks”)
        multiplyInitialSteadyState // The value is the ratio of the exogenous over its initial steady
                                   // state (“values” statement in “mshocks(relative_to_initval)”)
      };
    
    protected:
      //! Does this "shocks" statement replace the previous ones?
      const bool overwrite;
      const ShockType type; // Type of shocks represented by this block
      const det_shocks_t det_shocks;
      const SymbolTable& symbol_table;
      void writeDetShocks(ostream& output) const;
      void writeJsonDetShocks(ostream& output) const;
      static string typeToString(ShockType type);
    
      AbstractShocksStatement(bool overwrite_arg, ShockType type_arg, det_shocks_t det_shocks_arg,
                              const SymbolTable& symbol_table_arg);
    };
    
    class ShocksStatement : public AbstractShocksStatement
    {
    public:
      using var_and_std_shocks_t = map<int, expr_t>;
      using covar_and_corr_shocks_t = map<pair<int, int>, expr_t>;
    
    private:
      const var_and_std_shocks_t var_shocks, std_shocks;
      const covar_and_corr_shocks_t covar_shocks, corr_shocks;
      void writeVarOrStdShock(ostream& output, const pair<int, expr_t>& it, bool stddev) const;
      void writeVarAndStdShocks(ostream& output) const;
      void writeCovarOrCorrShock(ostream& output, const pair<pair<int, int>, expr_t>& it,
                                 bool corr) const;
      void writeCovarAndCorrShocks(ostream& output) const;
      [[nodiscard]] bool has_calibrated_measurement_errors() const;
    
    public:
      ShocksStatement(bool overwrite_arg, det_shocks_t det_shocks_arg,
                      var_and_std_shocks_t var_shocks_arg, var_and_std_shocks_t std_shocks_arg,
                      covar_and_corr_shocks_t covar_shocks_arg, covar_and_corr_shocks_t corr_shocks_arg,
                      const SymbolTable& symbol_table_arg);
      void checkPass(ModFileStructure& mod_file_struct, WarningConsolidation& warnings) override;
      void writeOutput(ostream& output, const string& basename, bool minimal_workspace) const override;
      void writeJsonOutput(ostream& output) const override;
    };
    
    class MShocksStatement : public AbstractShocksStatement
    {
    public:
      const bool relative_to_initval;
      MShocksStatement(bool overwrite_arg, bool relative_to_initval_arg, det_shocks_t det_shocks_arg,
                       const SymbolTable& symbol_table_arg);
      void writeOutput(ostream& output, const string& basename, bool minimal_workspace) const override;
      void writeJsonOutput(ostream& output) const override;
    };
    
    /* Represents a shocks(surprise) block.
       Given the differences with the plain “shocks” block, it was easier to make
       it a separate class. */
    class ShocksSurpriseStatement : public Statement
    {
    public:
      //! Does this "shocks(surprise)" statement replace the previous ones?
      const bool overwrite;
      const AbstractShocksStatement::det_shocks_t surprise_shocks;
    
    private:
      const SymbolTable& symbol_table;
    
    public:
      ShocksSurpriseStatement(bool overwrite_arg,
                              AbstractShocksStatement::det_shocks_t surprise_shocks_arg,
                              const SymbolTable& symbol_table_arg);
      void checkPass(ModFileStructure& mod_file_struct, WarningConsolidation& warnings) override;
      void writeOutput(ostream& output, const string& basename, bool minimal_workspace) const override;
      void writeJsonOutput(ostream& output) const override;
    };
    
    /* Represents a shocks(learnt_in=…) or mshocks(learnt_in=…) block.
       Given the differences with the plain “shocks” and “mshocks” blocks,
       it was easier to make it a separate class. */
    class ShocksLearntInStatement : public Statement
    {
    public:
      const variant<int, string> learnt_in_period;
      //! Does this “shocks(learnt_in=…)” or “mshocks(learnt_in=…)” block replace the previous ones?
      const bool overwrite;
      enum class LearntShockType
      {
        level, // The value is the level of the exogenous (“values” statement in “shocks(learnt_in=…)”)
        add,   // The value is the additive change of the exogenous compared to previous information
               // period (“add” statement in “shocks(learnt_in=…)”)
        multiply, // The value is the multiplicative change of the exogenous compared to previous
                  // information period (“multiply” statement in “shocks(learnt_in=…)”)
        multiplySteadyState, // The value is the ratio of the exogenous over its (terminal) steady state
                             // as anticipated in the same informational period (“values” statement in
                             // “mshocks(learnt_in=…)”)
        multiplyInitialSteadyState // The value is the ratio of the exogenous over its initial steady
                                   // state as anticipated in the same informational period (“values”
                                   // statement in “mshocks(learnt_in=…, relative_to_initval)”)
      };
      // The tuple is (type, period range, value)
      using learnt_shocks_t
          = map<int, vector<tuple<LearntShockType, AbstractShocksStatement::period_range_t, expr_t>>>;
      const learnt_shocks_t learnt_shocks;
    
    private:
      const SymbolTable& symbol_table;
      static string typeToString(LearntShockType type);
    
    public:
      ShocksLearntInStatement(variant<int, string> learnt_in_period_arg, bool overwrite_arg,
                              learnt_shocks_t learnt_shocks_arg, const SymbolTable& symbol_table_arg);
      void checkPass(ModFileStructure& mod_file_struct, WarningConsolidation& warnings) override;
      void writeOutput(ostream& output, const string& basename, bool minimal_workspace) const override;
      void writeJsonOutput(ostream& output) const override;
    };
    
    class HeterogeneousShocksStatement : public Statement
    {
    public:
      const int heterogeneity_dimension;
      const bool overwrite;
    
      using var_and_std_shocks_t = map<int, expr_t>;
      using covar_and_corr_shocks_t = map<pair<int, int>, expr_t>;
    
      const var_and_std_shocks_t var_shocks, std_shocks;
      const covar_and_corr_shocks_t covar_shocks, corr_shocks;
    
    private:
      const SymbolTable& symbol_table;
      const HeterogeneityTable& heterogeneity_table;
    
      void writeVarOrStdShock(ostream& output, const pair<int, expr_t>& it, bool stddev) const;
      void writeVarAndStdShocks(ostream& output) const;
      void writeCovarOrCorrShock(ostream& output, const pair<pair<int, int>, expr_t>& it,
                                 bool corr) const;
      void writeCovarAndCorrShocks(ostream& output) const;
    
      string
      sigmaeName() const
      {
        return "M_.heterogeneity("s + to_string(heterogeneity_dimension + 1) + ").Sigma_e"s;
      }
    
    public:
      HeterogeneousShocksStatement(int heterogeneity_dimension_arg, bool overwrite_arg,
                                   var_and_std_shocks_t var_shocks_arg,
                                   var_and_std_shocks_t std_shocks_arg,
                                   covar_and_corr_shocks_t covar_shocks_arg,
                                   covar_and_corr_shocks_t corr_shocks_arg,
                                   const SymbolTable& symbol_table_arg,
                                   const HeterogeneityTable& heterogeneity_table_arg);
      void checkPass(ModFileStructure& mod_file_struct, WarningConsolidation& warnings) override;
      void writeOutput(ostream& output, const string& basename, bool minimal_workspace) const override;
      void writeJsonOutput(ostream& output) const override;
    };
    
    class ConditionalForecastPathsStatement : public Statement
    {
    private:
      const AbstractShocksStatement::det_shocks_t paths;
      const SymbolTable& symbol_table;
      const int path_length;
    
    public:
      ConditionalForecastPathsStatement(AbstractShocksStatement::det_shocks_t paths_arg,
                                        const SymbolTable& symbol_table_arg);
      void writeOutput(ostream& output, const string& basename, bool minimal_workspace) const override;
      void writeJsonOutput(ostream& output) const override;
      static int computePathLength(const AbstractShocksStatement::det_shocks_t& paths);
    };
    
    class PerfectForesightControlledPathsStatement : public Statement
    {
    public:
      // (exogenize_id, vector of (period range, value), endogenize_id)
      using paths_t
          = vector<tuple<int, vector<pair<AbstractShocksStatement::period_range_t, expr_t>>, int>>;
    
    private:
      const paths_t paths;
      const variant<int, string> learnt_in_period;
      const SymbolTable& symbol_table;
    
    public:
      PerfectForesightControlledPathsStatement(paths_t paths_arg,
                                               variant<int, string> learnt_in_period_arg,
                                               const SymbolTable& symbol_table_arg);
      void writeOutput(ostream& output, const string& basename, bool minimal_workspace) const override;
      void writeJsonOutput(ostream& output) const override;
    };
    
    class MomentCalibration : public Statement
    {
    public:
      struct Constraint
      {
        int endo1, endo2;
        string lags;
        expr_t lower_bound, upper_bound;
      };
      using constraints_t = vector<Constraint>;
    
    private:
      constraints_t constraints;
      const SymbolTable& symbol_table;
    
    public:
      MomentCalibration(constraints_t constraints_arg, const SymbolTable& symbol_table_arg);
      void writeOutput(ostream& output, const string& basename, bool minimal_workspace) const override;
      void writeJsonOutput(ostream& output) const override;
    };
    
    class IrfCalibration : public Statement
    {
    public:
      struct Constraint
      {
        int endo;
        int exo;
        string periods;
        expr_t lower_bound, upper_bound;
      };
      using constraints_t = vector<Constraint>;
    
    private:
      constraints_t constraints;
      const SymbolTable& symbol_table;
      const OptionsList options_list;
    
    public:
      IrfCalibration(constraints_t constraints_arg, const SymbolTable& symbol_table_arg,
                     OptionsList options_list_arg);
      void writeOutput(ostream& output, const string& basename, bool minimal_workspace) const override;
      void writeJsonOutput(ostream& output) const override;
    };
    
    class ShockGroupsStatement : public Statement
    {
    public:
      struct Group
      {
        string name;
        vector<string> list;
      };
      using group_t = vector<Group>;
    
    private:
      group_t shock_groups;
      string name;
    
    public:
      ShockGroupsStatement(group_t shock_groups_arg, string name_arg);
      void writeOutput(ostream& output, const string& basename, bool minimal_workspace) const override;
      void writeJsonOutput(ostream& output) const override;
    };
    
    class Init2shocksStatement : public Statement
    {
    private:
      const vector<pair<int, int>> init2shocks;
      const string name;
      const SymbolTable& symbol_table;
    
    public:
      Init2shocksStatement(vector<pair<int, int>> init2shocks_arg, string name_arg,
                           const SymbolTable& symbol_table_arg);
      void checkPass(ModFileStructure& mod_file_struct, WarningConsolidation& warnings) override;
      void writeOutput(ostream& output, const string& basename, bool minimal_workspace) const override;
      void writeJsonOutput(ostream& output) const override;
    };
    
    class HeteroskedasticShocksStatement : public Statement
    {
    public:
      // Maps exo symb_id to list of tuples (period1, period2, value/scale)
      using heteroskedastic_shocks_t = map<int, vector<tuple<int, int, expr_t>>>;
    
    private:
      const bool overwrite;
      const heteroskedastic_shocks_t values, scales;
      const SymbolTable& symbol_table;
    
    public:
      HeteroskedasticShocksStatement(bool overwrite_arg, heteroskedastic_shocks_t values_arg,
                                     heteroskedastic_shocks_t scales_arg,
                                     const SymbolTable& symbol_table_arg);
      void writeOutput(ostream& output, const string& basename, bool minimal_workspace) const override;
      void writeJsonOutput(ostream& output) const override;
    };
    
    #endif