Roger/Devon, thanks for your insight. I am getting the impression
that if I am going to code them in J I will have to re-build my models
from scratch .
The example I gave did not really highlight the issue I am having very
well, since there are no variable interpendancies.
Say as well as the Contribution variable you have a following two
variables, Fund and InvestmentReturn and two input vectors q(t) and
i(t), with the variables defined as follows:
Fund:
If t = 0 Then
Fund(t) = 0
Else
Fund(t) = Fund (t-1) + Mtly_Contributon - Contribution(t) * q(t) +
InvestmentReturn(t)
InvestmentReturn:
InvestmentReturn(t)=(Fund(t)+Mtly_Contributon )* i(t)
The code given by Roger's to repoduce the contribution variable using
infix is extremely elegant.
Is there a similarly elegantly way to code the above Fund and
InvestmentReturn variables in J without resorting to control
structures?
If there is lots of looping involved I assume there is a performance
hit using an interpreted language J rather than a comiled language
like C?
Thanks again for your input.
Regards,
Patrick
On 24/07/2008, Devon McCormick <[EMAIL PROTECTED]> wrote:
> Patrick -
>
> I agree with Roger's implication that the real value of converting your
> models to J is to better understand them. You might start by converting
> parts of a model directly but the real value comes from reformulating
> lengthy, loopy code into concise array expressions.
>
> I've recently been working on validating some C++ code that has a set of
> calculations something like this:
>
> switch(tm)
> { case 1: ret[tm]= parm1;
> break;
> case 2: ret[tm]= parm1 + parm2*ret[tm-1];
> break;
> default: ret[tm]= parm1 + parm2*ret[tm-1] + parm3*ret[tm-2];
> break;
> }
>
> The actual calculations are much more complex but are similar in that the
> third case is the general form of which the first two are specific examples.
>
> I mentioned to the developer that he could get rid of the case statements if
> he simply initialized his return vector to begin with a pair of zeros and
> started his loop counter on the third element. This is a nice
> simplification because it collapses three pieces of duplicate code into one,
> thus reducing the chance of error when modifying it.
>
> This sort of re-factoring falls naturally out of treating arrays as
> first-class citizens and thinking of problems in ways that require fewer
> "moving parts". The limitations of C++ prevent us from taking the above
> simplification a step further as in Roger's example, but is still helpful
> even in that language.
>
> Regards,
>
> Devon
>
> On Thu, Jul 24, 2008 at 11:23 AM, Roger Hui <[EMAIL PROTECTED]> wrote:
>
>> I doubt that automatic conversion of the specifications into
>> J is possible in all cases. However, because of the superior
>> interactive array manipulations in J it is definitely worthwhile
>> to explore your time-series data in J.
>>
>> In the particular example in your msg,
>>
>> Contribution=: +/\ 0, MonthlyContribution
>>
>> (Contributions are the partial sums of 0
>> catenated to the monthly contributions.)
>>
>>
>>
>> ----- Original Message -----
>> From: Patrick van Beek <[EMAIL PROTECTED]>
>> Date: Thursday, July 24, 2008 8:05
>> Subject: [Jprogramming] Converting time dependant variables to J
>> To: Programming forum <[email protected]>
>>
>> > I have been using actuarial models for some time and a common
>> > theme is that
>> > functions (variables) are defined in the model using simple code.
>> > Typically there is a dependance on time, usually denoted by the
>> > system varaible 't' which represents yaers or months since start
>> > of the
>> > calculation.
>> >
>> > A typical function for a variable say "Contributons" might be
>> > along the
>> > lines of
>> >
>> > If t = 0 Then
>> > Contributon = 0
>> > Else
>> > Contributon(t) = Contributon(t-1) + Mtly_Contributon
>> >
>> > Where Mtly_Contribution is a (scalar) input
>> >
>> > A sequencer and compiler then strings all such functions
>> > together and
>> > creates an executable which takes any inputs and calculates the
>> > variablesfor each value of t from 0 to a system value and
>> > outputs them.
>> >
>> > I want to know if it is feasible to try to port my code to J
>> > since on the
>> > one hand I have specification which requires sequencing and
>> > compilation and
>> > on the other hand J is interpreted. Ideally I would like
>> > to write a
>> > J script which converts my specification into a J script which I
>> > can then
>> > run on the inputs.
>> >
>> > I was thinking that I could establish a list for each variable
>> > in J with the
>> > index defining which value of t. Say ContributionsJ was a list
>> > in J to
>> > represent the Contribiton functions above. I think the
>> > equivalent of
>> > Contribution(t) would be t { ContributionJ
>> >
>> > I was thinking of writing a script with a "for do End" loop
>> > which increments
>> > t. The various functions would then be calculated as t gets
>> > incremented
>> > However I am a bit of a loss how I would I would determing the
>> > sequencingorder where there is interdependance between the
>> > various variables from
>> > different time periods. Is this something that is worth even
>> > trying to do in
>> > J?
>> ----------------------------------------------------------------------
>> For information about J forums see http://www.jsoftware.com/forums.htm
>>
>
>
>
> --
> Devon McCormick, CFA
> ^me^ at acm.
> org is my
> preferred e-mail
> ----------------------------------------------------------------------
> For information about J forums see http://www.jsoftware.com/forums.htm
>
----------------------------------------------------------------------
For information about J forums see http://www.jsoftware.com/forums.htm
