b1f6c1c4 / ProfessionalAccounting / 300

Committed 25 Jul 2023 12:04AM UTC coverage: 58.835% (+22.3%) from 36.498%

Build # 300

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b1f6c1c4

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improv yr

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0.0

/AccountingServer.Shell/Plugins/YieldRate/YieldRateSolver.cs

/* Copyright (C) 2020-2023 b1f6c1c4
 *
 * This file is part of ProfessionalAccounting.
 *
 * ProfessionalAccounting is free software: you can redistribute it and/or
 * modify it under the terms of the GNU Affero General Public License as
 * published by the Free Software Foundation, version 3.
 *
 * ProfessionalAccounting 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 Affero General Public License
 * for more details.
 *
 * You should have received a copy of the GNU Affero General Public License
 * along with ProfessionalAccounting.  If not, see
 * <https://www.gnu.org/licenses/>.
 */

using System;
using System.Collections.Generic;
using System.Linq;
using AccountingServer.Entities.Util;

namespace AccountingServer.Shell.Plugins.YieldRate;

/// <summary>
///     收益率求解器
/// </summary>
internal class YieldRateSolver
{
    /// <summary>
    ///     日期
    /// </summary>
    private readonly double[] m_Delta;

    /// <summary>
    ///     现金流
    /// </summary>
    private readonly double[] m_Fund;

    /// <summary>
    ///     期数
    /// </summary>
    private readonly int m_N;

    public YieldRateSolver(IEnumerable<double> delta, IEnumerable<double> fund)
    {
        m_Delta = delta.ToArray();
        m_Fund = fund.ToArray();
        m_N = m_Delta.Length;
        if (m_Fund.Length != m_N)
            throw new ArgumentException("数组大小不匹配");
    }

    /// <summary>
    ///     试算净值
    /// </summary>
    /// <param name="b">收益率+1</param>
    /// <param name="val">净值</param>
    /// <param name="der">净值对收益率的偏导数</param>
    private void Value(double b, out double val, out double der)
    {
        val = 0D;
        der = 0D;
        for (var i = 0; i < m_N; i++)
        {
            var v = Math.Pow(b, m_Delta[i] - 1);
            val += v * b * m_Fund[i];
            der += v * m_Delta[i] * m_Fund[i];
        }
    }

    /// <summary>
    ///     采用牛顿下山迭代法求解收益率
    /// </summary>
    /// <returns>收益率</returns>
    public double Solve()
    {
        var lambda = 1D; // learning rate

        var credit = 1000000; // avoid dead loop
        while (credit-- > 0)
        {
            var b = 1D; // the searching variable

            var dir = 0; // search direction
            while (credit-- > 0)
            {
                Value(b, out var v, out var d);
                if (v.IsZero())
                    return b - 1;

                var del = v / d; // Newton
                if (dir > 0)
                {
                    if (del < 0)
                        break;
                }
                else if (dir < 0)
                {
                    if (del > 0)
                        break;
                }
                else
                    dir = del > 0 ? 1 : -1;

                b -= lambda * del;
            }

            lambda /= 2;
        }

        return double.NaN;
    }
}

1	/* Copyright (C) 2020-2023 b1f6c1c4
2	*
3	* This file is part of ProfessionalAccounting.
4	*
5	* ProfessionalAccounting is free software: you can redistribute it and/or
6	* modify it under the terms of the GNU Affero General Public License as
7	* published by the Free Software Foundation, version 3.
8	*
9	* ProfessionalAccounting is distributed in the hope that it will be useful, but
10	* WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
11	* FITNESS FOR A PARTICULAR PURPOSE. See the GNU Affero General Public License
12	* for more details.
13	*
14	* You should have received a copy of the GNU Affero General Public License
15	* along with ProfessionalAccounting. If not, see
16	* <https://www.gnu.org/licenses/>.
17	*/
18
19	using System;
20	using System.Collections.Generic;
21	using System.Linq;
22	using AccountingServer.Entities.Util;
23
24	namespace AccountingServer.Shell.Plugins.YieldRate;
25
26	/// <summary>
27	/// 收益率求解器
28	/// </summary>
29	internal class YieldRateSolver
30	{
31	/// <summary>
32	/// 日期
33	/// </summary>
34	private readonly double[] m_Delta;
35
36	/// <summary>
37	/// 现金流
38	/// </summary>
39	private readonly double[] m_Fund;
40
41	/// <summary>
42	/// 期数
43	/// </summary>
44	private readonly int m_N;
45
46	public YieldRateSolver(IEnumerable<double> delta, IEnumerable<double> fund)	×
47	{	×
48	m_Delta = delta.ToArray();	×
49	m_Fund = fund.ToArray();	×
50	m_N = m_Delta.Length;	×
51	if (m_Fund.Length != m_N)	×
52	throw new ArgumentException("数组大小不匹配");	×
53	}	×
54
55	/// <summary>
56	/// 试算净值
57	/// </summary>
58	/// <param name="b">收益率+1</param>
59	/// <param name="val">净值</param>
60	/// <param name="der">净值对收益率的偏导数</param>
61	private void Value(double b, out double val, out double der)
62	{	×
63	val = 0D;	×
64	der = 0D;	×
65	for (var i = 0; i < m_N; i++)	×
66	{	×
67	var v = Math.Pow(b, m_Delta[i] - 1);	×
68	val += v * b * m_Fund[i];	×
69	der += v * m_Delta[i] * m_Fund[i];	×
70	}	×
71	}	×
72
73	/// <summary>
74	/// 采用牛顿下山迭代法求解收益率
75	/// </summary>
76	/// <returns>收益率</returns>
77	public double Solve()
78	{	×
79	var lambda = 1D; // learning rate	×
80
81	var credit = 1000000; // avoid dead loop	×
82	while (credit-- > 0)	×
83	{	×
84	var b = 1D; // the searching variable	×
85
86	var dir = 0; // search direction	×
87	while (credit-- > 0)	×
88	{	×
89	Value(b, out var v, out var d);	×
90	if (v.IsZero())	×
91	return b - 1;	×
92
93	var del = v / d; // Newton	×
94	if (dir > 0)	×
95	{	×
96	if (del < 0)	×
97	break;	×
98	}	×
99	else if (dir < 0)	×
100	{	×
101	if (del > 0)	×
102	break;	×
103	}	×
104	else
105	dir = del > 0 ? 1 : -1;	×
106
107	b -= lambda * del;	×
108	}	×
109
110	lambda /= 2;	×
111	}	×
112
113	return double.NaN;	×
114	}	×
115	}

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