resolves #2

monoid-gmbh · Feb 26, 2024 · 7656cb3 · 7656cb3
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Showing 2 changed files with 16 additions and 16 deletions.
diff --git a/lib/github.com/monoid-gmbh/kid-annexes/base.fut b/lib/github.com/monoid-gmbh/kid-annexes/base.fut
@@ -20,6 +20,9 @@ let market_risk_measure (v:f64): i64 =
 type moments  = (f64,f64,f64,f64,f64,f64,f64)
 type scenario = [4]f64
 
+-- | Empty scenario array
+let empty: scenario = [f64.nan,f64.nan,f64.nan,f64.nan]
+
 -- | Log Returns (Annex II, 22a)
 let returns [n] (v: [n]f64): [n-1]f64 =
   map2 (/) (tail v) (init v) |> map f64.log

diff --git a/lib/github.com/monoid-gmbh/kid-annexes/category3.fut b/lib/github.com/monoid-gmbh/kid-annexes/category3.fut
@@ -46,7 +46,7 @@ let var_equivalent_volatility (p: f64) (t: f64) =
   (f64.sqrt(3.842-2*f64.log(p))-1.96)/(f64.sqrt t)
 
 -- | Category 3 simulations for MRM (Annex II)
-let category3 [n] [l] (g: rng) (t: i64) (p: [n][t]f64 -> f64) (v: [n][l]f64): (rng,f64,f64,i64,[]scenario) =
+let category3 [n] [l] (g: rng) (t: i64) (p: [n][t]f64 -> f64) (v: [n][l]f64): (rng,f64,f64,i64,[3]scenario) =
 
   -- Initial values
   let s0: [n]f64 = transpose v |> head
@@ -104,18 +104,15 @@ 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 -- 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])
+   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 :> [3]scenario)
+
+        else let (g1, scenarios_ihp) = intermediate_holding_period g0 (f64.to_i64 days) -- 1 year
+          in (g1,var,vev,mrm,[scenarios_rhp] ++ [scenarios_ihp] ++ [empty] :> [3]scenario)
+
+      else (g0,var,vev,mrm,[scenarios_rhp] ++ [empty] ++ [empty] :> [3]scenario)