From 2fe627520ce92894d7dfe9d24d0b43b1a479a276 Mon Sep 17 00:00:00 2001 From: Yves Hauser Date: Sun, 25 Feb 2024 10:37:40 +0100 Subject: [PATCH] Commented IHPs --- .../monoid-gmbh/kid-annexes/category3.fut | 27 ++++++++++--------- 1 file changed, 15 insertions(+), 12 deletions(-) diff --git a/lib/github.com/monoid-gmbh/kid-annexes/category3.fut b/lib/github.com/monoid-gmbh/kid-annexes/category3.fut index 1e11bf7..20cb39a 100644 --- a/lib/github.com/monoid-gmbh/kid-annexes/category3.fut +++ b/lib/github.com/monoid-gmbh/kid-annexes/category3.fut @@ -104,15 +104,18 @@ let category3 [n] [l] (g: rng) (t: i64) (p: [n][t]f64 -> f64) (v: [n][l]f64): (r , payoff path_scen |> traverse xs[3] |> percentile 90 ] in (join_rng h1, scenarios_ihp) - in if (y > 1) then - if (y > 3) then - let g1 = split_rng 2 g0 - let (g2, scenarios_ihps) = unzip - [ intermediate_holding_period g1[0] (f64.to_i64 days) -- 1 year - , intermediate_holding_period g1[1] (f64.ceil y/2 |> f64.to_i64) ] -- half rhp - in (join_rng g2,var,vev,mrm,[scenarios_rhp] ++ scenarios_ihps) - - else let (g1, scenarios_ihps) = intermediate_holding_period g0 (f64.to_i64 days) -- 1 year - in (g1,var,vev,mrm,[scenarios_rhp] ++ [scenarios_ihps]) - - else (g0,var,vev,mrm,[scenarios_rhp]) + in -- FIXME: introduction of size types broke intermediate holding periods + -- + -- if (y > 1) then + -- if (y > 3) then + -- let g1 = split_rng 2 g0 + -- let (g2, scenarios_ihps) = unzip + -- [ intermediate_holding_period g1[0] (f64.to_i64 days) -- 1 year + -- , intermediate_holding_period g1[1] (f64.ceil y/2 |> f64.to_i64) ] -- half rhp + -- in (join_rng g2,var,vev,mrm,[scenarios_rhp] ++ scenarios_ihps) + + -- else let (g1, scenarios_ihps) = intermediate_holding_period g0 (f64.to_i64 days) -- 1 year + -- in (g1,var,vev,mrm,[scenarios_rhp] ++ [scenarios_ihps]) + + -- else + (g0,var,vev,mrm,[scenarios_rhp])