| |||||||||
| |||||||||
Folio - Embedding examples from 'Getting started' Description Simple embedding tasks for a portfolio optimization problem:
Source Files By clicking on a file name, a preview is opened at the bottom of this page. Data Files runfoliod.c
/*******************************************************
Mosel Example Problems
======================
file runfoliod.c
````````````````
Running a Mosel model from a C application
with data exchange between model and host application.
(Passing data via callback)
(c) 2009 Fair Isaac Corporation
author: S. Heipcke, Oct. 2009, rev. Feb. 2017
********************************************************/
#include <stdio.h>
#include <stdlib.h>
#include <string.h>
#include "xprm_mc.h"
#define maxnum 15
char* riskset[] = {"hardware1", "hardware2", "hardware3", "hardware4",
"hardware5", "hardware6", "hardware7", "hardware8", "hardware9",
"hardware10", "theater1", "theater2", "theater3", "theater4", "theater5",
"theater6", "theater7", "theater8", "theater9", "theater10", "telecom1",
"telecom2", "telecom3", "telecom4", "telecom5", "telecom6", "telecom7",
"telecom8", "telecom9", "telecom10", "software1", "software2", "software3",
"software4", "software5", "software6", "software7", "software8",
"software9", "software10", "electronics1", "electronics2", "electronics3",
"electronics4", "electronics5", "electronics6", "electronics7",
"electronics8", "electronics9", "electronics10"};
int risksize=50;
char* locdataind1[] = {"EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "EU", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "NA", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC", "APAC"};
char* locdataind2[] = {"treasury1", "treasury10", "hardware7", "hardware9", "theater8", "theater10", "telecom3", "telecom9", "telecom10", "brewery1", "brewery4", "brewery6", "brewery7", "brewery8", "highways2", "highways5", "highways7", "highways10", "cars4", "cars7", "cars8", "cars9", "cars10", "bank1", "bank3", "bank5", "bank6", "bank7", "bank10", "software3", "software4", "software5", "software6", "electronics2", "treasury2", "treasury6", "treasury7", "treasury8", "hardware4", "hardware6", "theater1", "theater3", "theater7", "theater9", "telecom2", "telecom4", "telecom8", "highways3", "highways4", "cars5", "cars6", "bank2", "bank4", "bank8", "bank9", "software1", "software2", "software9", "electronics3", "electronics5", "electronics6", "electronics8", "electronics9", "electronics10", "treasury4", "treasury5", "treasury9", "hardware1", "hardware2", "hardware5", "hardware8", "hardware10", "theater2", "theater4", "telecom1", "telecom5", "telecom6", "telecom7", "brewery9", "brewery10", "highways8", "cars1", "cars2", "software7", "software8", "software10", "electronics1", "electronics4", "electronics7"};
int locdata[] = {1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1};
int locsize=89;
char* secdataind1[] = {"bonds", "bonds", "bonds", "bonds", "bonds", "bonds", "bonds", "bonds", "bonds", "bonds", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "technology", "entertainment", "entertainment", "entertainment", "entertainment", "entertainment", "entertainment", "entertainment", "entertainment", "entertainment", "entertainment", "telecom", "telecom", "telecom", "telecom", "telecom", "telecom", "telecom", "telecom", "telecom", "telecom", "food", "food", "food", "food", "food", "food", "food", "food", "food", "food", "construction", "construction", "construction", "construction", "construction", "construction", "construction", "construction", "construction", "construction", "manufacturing", "manufacturing", "manufacturing", "manufacturing", "manufacturing", "manufacturing", "manufacturing", "manufacturing", "manufacturing", "manufacturing", "finance", "finance", "finance", "finance", "finance", "finance", "finance", "finance", "finance", "finance"};
char* secdataind2[] = {"treasury1", "treasury2", "treasury3", "treasury4", "treasury5", "treasury6", "treasury7", "treasury8", "treasury9", "treasury10", "hardware1", "hardware2", "hardware3", "hardware4", "hardware5", "hardware6", "hardware7", "hardware8", "hardware9", "hardware10", "software1", "software2", "software3", "software4", "software5", "software6", "software7", "software8", "software9", "software10", "electronics1", "electronics2", "electronics3", "electronics4", "electronics5", "electronics6", "electronics7", "electronics8", "electronics9", "electronics10", "theater1", "theater2", "theater3", "theater4", "theater5", "theater6", "theater7", "theater8", "theater9", "theater10", "telecom1", "telecom2", "telecom3", "telecom4", "telecom5", "telecom6", "telecom7", "telecom8", "telecom9", "telecom10", "brewery1", "brewery2", "brewery3", "brewery4", "brewery5", "brewery6", "brewery7", "brewery8", "brewery9", "brewery10", "highways1", "highways2", "highways3", "highways4", "highways5", "highways6", "highways7", "highways8", "highways9", "highways10", "cars1", "cars2", "cars3", "cars4", "cars5", "cars6", "cars7", "cars8", "cars9", "cars10", "bank1", "bank2", "bank3", "bank4", "bank5", "bank6", "bank7", "bank8", "bank9", "bank10"};
int secdata[] = {1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1};
int secsize=100;
char* retdataind[] = {"treasury1", "treasury2", "treasury3", "treasury4", "treasury5", "treasury6", "treasury7", "treasury8", "treasury9", "treasury10", "hardware1", "hardware2", "hardware3", "hardware4", "hardware5", "hardware6", "hardware7", "hardware8", "hardware9", "hardware10", "theater1", "theater2", "theater3", "theater4", "theater5", "theater6", "theater7", "theater8", "theater9", "theater10", "telecom1", "telecom2", "telecom3", "telecom4", "telecom5", "telecom6", "telecom7", "telecom8", "telecom9", "telecom10", "brewery1", "brewery2", "brewery3", "brewery4", "brewery5", "brewery6", "brewery7", "brewery8", "brewery9", "brewery10", "highways1", "highways2", "highways3", "highways4", "highways5", "highways6", "highways7", "highways8", "highways9", "highways10", "cars1", "cars2", "cars3", "cars4", "cars5", "cars6", "cars7", "cars8", "cars9", "cars10", "bank1", "bank2", "bank3", "bank4", "bank5", "bank6", "bank7", "bank8", "bank9", "bank10", "software1", "software2", "software3", "software4", "software5", "software6", "software7", "software8", "software9", "software10", "electronics1", "electronics2", "electronics3", "electronics4", "electronics5", "electronics6", "electronics7", "electronics8", "electronics9", "electronics10"};
double retdata[] = {5.29, 2.8, 3.59, 6.97, 3.3, 3.02, 2.98, 3.41, 3.93, 3.86, 11.36, 17.23, 16.31, 21.1, 13.76, 9.31, 16.99, 24.85, 18.52, 12.79, 36.1, 19.4, 23.5, 34.61, 16.91, 27.04, 25.82, 24.99, 36.89, 31.71, 10.89, 17.98, 12.31, 6.53, 6.11, 15.89, 12.46, 11.11, 16.6, 13.93, 8.79, 9.35, 8.88, 11.63, 6.21, 9.26, 4.77, 5.98, 10.92, 5.26, 5.39, 4.85, 8.34, 8.48, 6.42, 11.04, 13.15, 10.01, 7.71, 11.07, 5.74, 7.13, 8.75, 5.08, 6.23, 8.19, 8.03, 5.96, 4.17, 8.11, 6.79, 3.01, 4.92, 4.14, 8.98, 8.81, 4.7, 8.06, 6.22, 4.47, 34.59, 44.94, 43.05, 15.58, 42.05, 20.66, 20.76, 19.85, 20.05, 45.38, 23.07, 19.1, 23.83, 16.54, 28.33, 25.88, 22.14, 22.65, 12.59, 28.1};
int retsize=100;
/* Array to receive solution values */
struct MySolArray
{
const char *ind; /* index name */
double val; /* solution value */
};
struct MySolArray *solfrac;
struct MySolArray *solbuy;
double objval;
int numshares, status;
/********************************************/
/* Callback for generating Model input data */
/********************************************/
int XPRM_RTC cbinit_from(XPRMcbinit cb, void *info, const char *label,
int type, void *ref)
{
int i;
if(strcmp(label,"RISK")==0)
{
XPRMcb_sendctrl(cb,XPRM_CBC_OPENLST,0);
for(i=0;i<risksize;i++)
{
XPRMcb_sendstring(cb,riskset[i],-1,0);
}
XPRMcb_sendctrl(cb,XPRM_CBC_CLOSELST,0);
return 0;
}
else
if(strcmp(label,"RET")==0)
{
XPRMcb_sendctrl(cb,XPRM_CBC_OPENLST,0);
for(i=0;i<retsize;i++)
{
XPRMcb_sendctrl(cb,XPRM_CBC_OPENNDX,0);
XPRMcb_sendstring(cb,retdataind[i],-1,0);
XPRMcb_sendctrl(cb,XPRM_CBC_CLOSENDX,0);
XPRMcb_sendreal(cb,retdata[i],0);
}
XPRMcb_sendctrl(cb,XPRM_CBC_CLOSELST,0);
return 0;
}
else
if(strcmp(label,"LOCTAB")==0)
{
XPRMcb_sendctrl(cb,XPRM_CBC_OPENLST,0);
for(i=0;i<locsize;i++)
{
XPRMcb_sendctrl(cb,XPRM_CBC_OPENNDX,0);
XPRMcb_sendstring(cb,locdataind1[i],-1,0);
XPRMcb_sendstring(cb,locdataind2[i],-1,0);
XPRMcb_sendctrl(cb,XPRM_CBC_CLOSENDX,0);
XPRMcb_sendint(cb,locdata[i],0);
}
XPRMcb_sendctrl(cb,XPRM_CBC_CLOSELST,0);
return 0;
}
else
if(strcmp(label,"SECTAB")==0)
{
XPRMcb_sendctrl(cb,XPRM_CBC_OPENLST,0);
for(i=0;i<secsize;i++)
{
XPRMcb_sendctrl(cb,XPRM_CBC_OPENNDX,0);
XPRMcb_sendstring(cb,secdataind1[i],-1,0);
XPRMcb_sendstring(cb,secdataind2[i],-1,0);
XPRMcb_sendctrl(cb,XPRM_CBC_CLOSENDX,0);
XPRMcb_sendint(cb,secdata[i],0);
}
XPRMcb_sendctrl(cb,XPRM_CBC_CLOSELST,0);
return 0;
}
else
{
fprintf(stderr,"Label `%s' not found.\n",label);
return 1;
}
}
/******************************************/
/* Callback for getting model output data */
/******************************************/
int XPRM_RTC cbinit_to(XPRMcbinit cb, void *info, const char *label,
int type, XPRMalltypes *ref)
{
static const char *typename[]={"none","integer","real","string","boolean"};
const char *tn,*sn;
XPRMarray solarr;
XPRMset sets[1]; /* We know all sol. arrays have 1 dimension */
int indices[1];
XPRMalltypes rvalue;
int asize, ct;
if(strcmp(label,"FRAC")==0)
{
solarr=ref->array;
asize=XPRMgetarrsize(solarr);
solfrac = (struct MySolArray *)malloc(asize * sizeof(struct MySolArray));
XPRMgetarrsets(solarr,sets); /* Get the indexing sets
(we know array has 1 dimension) */
ct=0;
XPRMgetfirstarrtruentry(solarr,indices); /* Get the first true index tuple */
do
{
solfrac[ct].ind=XPRMgetelsetval(sets[0],indices[0],&rvalue)->string;
XPRMgetarrval(solarr,indices,&rvalue);
solfrac[ct].val=rvalue.real;
ct++;
} while(!XPRMgetnextarrtruentry(solarr,indices));
}
else
if(strcmp(label,"BUY")==0)
{
solarr=ref->array;
asize=XPRMgetarrsize(solarr);
solbuy = (struct MySolArray *)malloc(asize * sizeof(struct MySolArray));
XPRMgetarrsets(solarr,sets); /* Get the indexing sets
(we know array has 1 dimension) */
ct=0;
XPRMgetfirstarrtruentry(solarr,indices); /* Get the first true index tuple */
do
{
solbuy[ct].ind=XPRMgetelsetval(sets[0],indices[0],&rvalue)->string;
XPRMgetarrval(solarr,indices,&rvalue);
solbuy[ct].val=rvalue.real;
ct++;
} while(!XPRMgetnextarrtruentry(solarr,indices));
}
else
if(strcmp(label,"RETSOL")==0)
{
objval=ref->real;
}
else
if(strcmp(label,"NUMSHARES")==0)
{
numshares=ref->integer;
}
else
if(strcmp(label,"SOLSTATUS")==0)
{
status=ref->integer;
}
else
{
if(XPRM_TYP(type)<=4) tn=typename[XPRM_TYP(type)];
else tn="external";
switch(XPRM_STR(type))
{
case XPRM_STR_CONST:
case XPRM_STR_REF: sn="ref";break;
case XPRM_STR_ARR: sn="array";break;
case XPRM_STR_SET: sn="set";break;
case XPRM_STR_LIST: sn="list";break;
default: sn="unknown";
}
printf("Unknown output data item: %s %s %s %p\n",label,sn,tn,ref);
}
return 0;
}
/********************************************************/
int main()
{
XPRMmodel mod;
char datafile_name[40], outfile_name[40]; /* File names input / output */
char params[1000]; /* Parameter string for model execution */
int i,result;
double maxrisk = 1.0/3; /* Model parameter settings */
double minreg = 0.2;
double maxreg = 0.5;
double maxsec = 0.25;
double maxval = 0.2;
double minval = 0.1;
sprintf(datafile_name, "cb:%p", cbinit_from);
sprintf(outfile_name, "cb:%p", cbinit_to);
/* Pass file names as execution param.s */
sprintf(params, "MAXRISK=%g,MINREG=%g,MAXREG=%g,MAXSEC=%g,MAXVAL=%g,MINVAL=%g,MAXNUM=%d,DATAFILE='%s',OUTPUTFILE='%s'",
maxrisk, minreg, maxreg, maxsec, maxval, minval, maxnum,
datafile_name, outfile_name);
if(XPRMinit()) /* Initialize Mosel */
return 1;
if(XPRMexecmod(NULL, "foliomemio.mos", params, &result, &mod))
return 2; /* Execute the model file (only during
development phase, the deployed
application would only use BIM) */
if((XPRMgetprobstat(mod)&XPRM_PBRES)!=XPRM_PBOPT)
return 3; /* Stop if no solution available */
/* Display solution values obtained from the model */
printf("Total return: %g\n", objval);
for(i=0;i<numshares;i++)
printf("%s: %g%% (%g)\n", solfrac[i].ind, solfrac[i].val*100, solbuy[i].val);
XPRMresetmod(mod); /* Reset the model */
return 0;
}
| |||||||||
| © Copyright 2024 Fair Isaac Corporation. |
