/ParaBond/src/scaly/parabond/test/NPortfolio02.scala

/*

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 *       derived from this software without specific prior written permission.

 *

 * THIS SOFTWARE IS PROVIDED BY THE DEVELOPERS ``AS IS'' AND ANY

 * EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED

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package scaly.parabond.test



import org.scalatest.junit.JUnitSuite

import org.junit.Assert._

import org.junit.Test

import scaly.parabond.mr.MapReduce

import com.mongodb.casbah.MongoConnection

import com.mongodb.casbah.commons.MongoDBObject

import com.mongodb.casbah.MongoCursor

import scaly.parabond.util.MongoHelper

import scaly.parabond.value.SimpleBondValuator

import scala.util.Random

import scaly.parabond.util.Helper

import scaly.parabond.util.Data

import scaly.parabond.util.Result



/**

 * This class implements the composite serial algorithm.

 * @author Ron Coleman, Ph.D.

 */

class NPortfolio02 {

  /** Number of bond portfolios to analyze */

  val PORTF_NUM = 100

        

  /** Connect to the parabond DB */

  val mongo = MongoConnection(MongoHelper.getHost)("parabond")

  

  /** Initialize the random number generator */

  val ran = new Random(0)   

  

  /** Write a detailed report */

  val details = false

  

  @Test

  def test {

    // Set the number of portfolios to analyze

    val arg = System.getProperty("n")

    

    val n = if(arg == null) PORTF_NUM else arg.toInt

    

    var me =  this.getClass().getSimpleName()

    var outFile = me + "-dat.txt"

    

    var fos = new java.io.FileOutputStream(outFile,true)

    var os = new java.io.PrintStream(fos)

    

    os.print(me+" "+ "N: "+n+" ")

    

    val details = if(System.getProperty("details") != null) true else false

    

    // Build the portfolio list    

    val inputs = for(i <- 0 until n) yield Data(ran.nextInt(100000)+1,null,null)    

    

    val list = inputs.toList

   

    // Parallel map the input

    val now = System.nanoTime  

    

    val outputs = inputs.map(price) 

    

    val t1 = System.nanoTime

    

    // Generate the detailed output report

    if(details) {

    	println("%6s %10.10s %-5s %-2s".format("PortId","Price","Bonds","dt"))

    	

      outputs.foreach { output =>

        val id = output.id



        val dt = (output.result.t1 - output.result.t0) / 1000000000.0



        val bondCount = output.result.bondCount



        val price = output.result.price



        println("%6d %10.2f %5d %6.4f %12d %12d".format(id, price, bondCount, dt, output.result.t1 - now, output.result.t0 - now))

      }

    }

    

    // Compute the "inner" time

    val dt1 = outputs.foldLeft(0.0) { (sum, output) =>

      sum + (output.result.t1 - output.result.t0)



    } / 1000000000.0

    

    // Compute the "outer" time

    val dtN = (t1 - now) / 1000000000.0



    val speedup = dt1 / dtN



    val numCores = Runtime.getRuntime().availableProcessors()



    val e = speedup / numCores

    

    os.println("dt(1): %7.4f  dt(N): %7.4f  cores: %d  R: %5.2f  e: %5.2f ".

        format(dt1,dtN,numCores,speedup,e))  

    

    os.flush

    

    os.close

    

    println(me+" DONE! %d %7.4f".format(n,dtN))      

  }

   

  /**

   * Prices a portfolio using the "basic" algorithm.

   */

  def price(input: Data): Data = {

    // Value each bond in the portfolio

    val t0 = System.nanoTime

    

    // Connect to the portfolio collection

    val portfsCollecton = mongo("Portfolios")

    

    // Retrieve the portfolio 

    val portfId = input.id

    

    val portfsQuery = MongoDBObject("id" -> portfId)



    val portfsCursor : MongoCursor = portfsCollecton.find(portfsQuery)

    

    // Get the bonds ids in the portfolio

    val bondIds = MongoHelper.asList(portfsCursor,"instruments")

    

    // Connect to the bonds collection

    val bondsCollection = mongo("Bonds")

    

    // Price each bond and sum all the prices

    val value = bondIds.foldLeft(0.0) { (sum, id) =>

      // Get the bond from the bond collection

      val bondQuery = MongoDBObject("id" -> id)



      val bondCursor: MongoCursor = bondsCollection.find(bondQuery)



      val bond = MongoHelper.asBond(bondCursor)

      

      // Price the bond

      val valuator = new SimpleBondValuator(bond, Helper.curveCoeffs)



      val price = valuator.price

      

      // The price into the aggregate sum

      sum + price

    } 

    

    // Update the portfolio price    

    MongoHelper.updatePrice(portfId,value)  

  

    val t1 = System.nanoTime

    

    Data(portfId,null,Result(portfId,value,bondIds.size,t0,t1))

  }

}