def LfEulerSys(bvec, *objs):
'''
Generates vector of all Euler errors for a given bvec, which errors
characterize all optimal lifetime decisions
Inputs:
bvec = [p,] vector, remaining lifetime savings decisions
where p is the number of remaining periods
objs = length 10 tuple, (p, S, beta, sigma, chi_b,
beg_wealth, nvec, rpath, wpath, BQpath)
p = integer in [2,S], remaining periods in life
beta = scalar in [0,1), discount factor
sigma = scalar > 0, coefficient of relative risk aversion
beg_wealth = scalar, wealth at the beginning of first age
nvec = [p,] vector, remaining exogenous labor supply
rpath = [p,] vector, interest rates over remaining life
wpath = [p,] vector, wages rates over remaining life
Functions called:
get_cvec_lf
c4ssf.get_b_errors
Objects in function:
bvec2 = [p, ] vector, remaining savings including initial
savings
clf_params = length 2 tuple, parameters for get_cvec_lf (p, S)
cvec = [p, ] vector, remaining lifetime consumption
levels implied by bvec2
c_constr = [p, ] boolean vector, =True if c_{s,t}<=0
b_err_params = length 2 tuple, parameters to pass into
get_b_errors (beta, sigma)
b_err_vec = [p-1,] vector, Euler errors from lifetime
consumption vector
Returns: b_err_vec
'''
p, S, beta, sigma, chi_b, beg_wealth, nvec, rpath, wpath, BQpath = \
objs
bvec2 = np.append(beg_wealth, bvec)
clf_params = (p, S)
cvec, c_constr = get_cvec_lf(clf_params, rpath, wpath, BQpath, nvec,
bvec2)
b_err_params = (beta, sigma, chi_b, bvec[-1])
bsp1_constr = np.zeros(p, dtype=bool)
if bvec[-1] <= 0:
bsp1_constr[-1] = True
if p == 1 and bvec[-1] > 0:
b_err_vec = chi_b * (bvec[-1] ** (-sigma)) - (cvec[-1] **
(-sigma))
elif p == 1 and bvec[-1] <= 0:
b_err_vec = 9999.
elif p > 1:
b_err_vec = ssf.get_b_errors(b_err_params, rpath[1:], cvec,
c_constr, bsp1_constr, diff=True)
return b_err_vec
def LfEulerSys(bvec, *objs):
'''
Generates vector of all Euler errors for a given bvec, which errors
characterize all optimal lifetime decisions
Inputs:
bvec = [p-1,] vector, remaining lifetime savings decisions
where p is the number of remaining periods
objs = length 9 tuple, (p, beta, sigma, beg_wealth, n,
rpath, wpath, pmpath, ppath)
p = integer in [2,S], remaining periods in life
beta = scalar in [0,1), discount factor
sigma = scalar > 0, coefficient of relative risk aversion
beg_wealth = scalar, wealth at the beginning of first age
n = [p,] vector, remaining exogenous labor supply
rpath = [p,] vector, interest rates over remaining life
wpath = [p,] vector, wages rates over remaining life
pcpath = [I, p] matrix, remaining lifetime
consumption good prices
ppath = [p,] vector, remaining lifetime composite
goods prices
ppath =
Functions called:
get_cvec_lf
ssf.get_b_errors
Objects in function:
bvec2 = [p, ] vector, remaining savings including initial
savings
cvec = [p, ] vector, remaining lifetime consumption
levels implied by bvec2
c_constr = [p, ] boolean vector, =True if c_{s,t}<=0
b_err_params = length 2 tuple, parameters to pass into
get_b_errors (beta, sigma)
b_err_vec = [p-1,] vector, Euler errors from lifetime
consumption vector
Returns: b_err_vec
'''
(p, beta, sigma, beg_wealth, ci_tilde, n, rpath, wpath, pcpath,
ppath) = objs
bvec2 = np.append(beg_wealth, bvec)
cvec, c_cstr = get_cvec_lf(ci_tilde, rpath, wpath, pcpath, ppath, n, bvec2)
b_err_params = (beta, sigma)
b_err_vec = ssf.get_b_errors(b_err_params,
rpath[1:],
cvec,
c_cstr,
diff=True)
return b_err_vec
def LfEulerSys(bvec, *objs):
"""
Generates vector of all Euler errors for a given bvec, which errors
characterize all optimal lifetime decisions
Inputs:
bvec = [p-1,] vector, remaining lifetime savings decisions
where p is the number of remaining periods
objs = length 9 tuple, (p, beta, sigma, beg_wealth, n,
rpath, wpath, pmpath, ppath)
p = integer in [2,S], remaining periods in life
beta = scalar in [0,1), discount factor
sigma = scalar > 0, coefficient of relative risk aversion
beg_wealth = scalar, wealth at the beginning of first age
n = [p,] vector, remaining exogenous labor supply
rpath = [p,] vector, interest rates over remaining life
wpath = [p,] vector, wages rates over remaining life
pcpath = [I, p] matrix, remaining lifetime
consumption good prices
ppath = [p,] vector, remaining lifetime composite
goods prices
ppath =
Functions called:
get_cvec_lf
ssf.get_b_errors
Objects in function:
bvec2 = [p, ] vector, remaining savings including initial
savings
cvec = [p, ] vector, remaining lifetime consumption
levels implied by bvec2
c_constr = [p, ] boolean vector, =True if c_{s,t}<=0
b_err_params = length 2 tuple, parameters to pass into
get_b_errors (beta, sigma)
b_err_vec = [p-1,] vector, Euler errors from lifetime
consumption vector
Returns: b_err_vec
"""
(p, beta, sigma, beg_wealth, ci_tilde, n, rpath, wpath, pcpath, ppath) = objs
bvec2 = np.append(beg_wealth, bvec)
cvec, c_cstr = get_cvec_lf(ci_tilde, rpath, wpath, pcpath, ppath, n, bvec2)
b_err_params = (beta, sigma)
b_err_vec = ssf.get_b_errors(b_err_params, rpath[1:], cvec, c_cstr, diff=True)
return b_err_vec
def paths_life(params, beg_age, beg_wealth, ci_tilde, n, rpath, wpath, pcpath, ppath, b_init):
"""
Solve for the remaining lifetime savings decisions of an individual
who enters the model at age beg_age, with corresponding initial
wealth beg_wealth.
Inputs:
params = length 5 tuple, (S, alpha, beta, sigma, tp_tol)
S = integer in [3,80], number of periods an individual
lives
alpha = [I,S-beg_age+1], expenditure share on good for remaing lifetime
beta = scalar in [0,1), discount factor for each model
period
sigma = scalar > 0, coefficient of relative risk aversion
tp_tol = scalar > 0, tolerance level for fsolve's in TPI
beg_age = integer in [1,S-1], beginning age of remaining life
beg_wealth = scalar, beginning wealth at beginning age
n = [S-beg_age+1,] vector, remaining exogenous labor
supplies
rpath = [S-beg_age+1,] vector, remaining lifetime interest
rates
wpath = [S-beg_age+1,] vector, remaining lifetime wages
pcpath = [I, S-beg_age+1] matrix, remaining lifetime
consumption good prices
ppath = [S-beg_age+1,] vector, remaining lifetime composite
goods prices
b_init = [S-beg_age,] vector, initial guess for remaining
lifetime savings
Functions called:
LfEulerSys
get_cvec_lf
c4ssf.get_b_errors
Objects in function:
p = integer in [2,S], remaining periods in life
b_guess = [p-1,] vector, initial guess for lifetime savings
decisions
eullf_objs = length 9 tuple, objects to be passed in to
LfEulerSys: (p, beta, sigma, beg_wealth, n,
rpath, wpath, pmpath, ppath)
bpath = [p-1,] vector, optimal remaining lifetime savings
decisions
cpath = [p,] vector, optimal remaining lifetime
consumption decisions
cipath = [p,I] martrix, remaining lifetime consumption
decisions by consumption good
c_constr = [p,] boolean vector, =True if c_{p}<=0,
b_err_params = length 2 tuple, parameters to pass into
c4ssf.get_b_errors (beta, sigma)
b_err_vec = [p-1,] vector, Euler errors associated with
optimal savings decisions
Returns: bpath, cpath, cipath, b_err_vec
"""
S, alpha, beta, sigma, tp_tol = params
p = int(S - beg_age + 1)
if beg_age == 1 and beg_wealth != 0:
sys.exit("Beginning wealth is nonzero for age s=1.")
if len(rpath) != p:
# print len(rpath), S-beg_age+1
sys.exit("Beginning age and length of rpath do not match.")
if len(wpath) != p:
sys.exit("Beginning age and length of wpath do not match.")
if len(n) != p:
sys.exit("Beginning age and length of n do not match.")
b_guess = 1.01 * b_init
eullf_objs = (p, beta, sigma, beg_wealth, ci_tilde, n, rpath, wpath, pcpath, ppath)
bpath = opt.fsolve(LfEulerSys, b_guess, args=(eullf_objs), xtol=tp_tol)
cpath, c_cstr = get_cvec_lf(ci_tilde, rpath, wpath, pcpath, ppath, n, np.append(beg_wealth, bpath))
cipath, cm_cstr = get_cimat_lf(alpha[:, :p], ci_tilde, cpath, pcpath, ppath)
b_err_params = (beta, sigma)
b_err_vec = ssf.get_b_errors(b_err_params, rpath[1:], cpath, c_cstr, diff=True)
return bpath, cpath, cipath, b_err_vec
def paths_life(params, beg_age, beg_wealth, ci_tilde, n, rpath, wpath, pcpath,
ppath, b_init):
'''
Solve for the remaining lifetime savings decisions of an individual
who enters the model at age beg_age, with corresponding initial
wealth beg_wealth.
Inputs:
params = length 5 tuple, (S, alpha, beta, sigma, tp_tol)
S = integer in [3,80], number of periods an individual
lives
alpha = [I,S-beg_age+1], expenditure share on good for remaing lifetime
beta = scalar in [0,1), discount factor for each model
period
sigma = scalar > 0, coefficient of relative risk aversion
tp_tol = scalar > 0, tolerance level for fsolve's in TPI
beg_age = integer in [1,S-1], beginning age of remaining life
beg_wealth = scalar, beginning wealth at beginning age
n = [S-beg_age+1,] vector, remaining exogenous labor
supplies
rpath = [S-beg_age+1,] vector, remaining lifetime interest
rates
wpath = [S-beg_age+1,] vector, remaining lifetime wages
pcpath = [I, S-beg_age+1] matrix, remaining lifetime
consumption good prices
ppath = [S-beg_age+1,] vector, remaining lifetime composite
goods prices
b_init = [S-beg_age,] vector, initial guess for remaining
lifetime savings
Functions called:
LfEulerSys
get_cvec_lf
c4ssf.get_b_errors
Objects in function:
p = integer in [2,S], remaining periods in life
b_guess = [p-1,] vector, initial guess for lifetime savings
decisions
eullf_objs = length 9 tuple, objects to be passed in to
LfEulerSys: (p, beta, sigma, beg_wealth, n,
rpath, wpath, pmpath, ppath)
bpath = [p-1,] vector, optimal remaining lifetime savings
decisions
cpath = [p,] vector, optimal remaining lifetime
consumption decisions
cipath = [p,I] martrix, remaining lifetime consumption
decisions by consumption good
c_constr = [p,] boolean vector, =True if c_{p}<=0,
b_err_params = length 2 tuple, parameters to pass into
c4ssf.get_b_errors (beta, sigma)
b_err_vec = [p-1,] vector, Euler errors associated with
optimal savings decisions
Returns: bpath, cpath, cipath, b_err_vec
'''
S, alpha, beta, sigma, tp_tol = params
p = int(S - beg_age + 1)
if beg_age == 1 and beg_wealth != 0:
sys.exit("Beginning wealth is nonzero for age s=1.")
if len(rpath) != p:
#print len(rpath), S-beg_age+1
sys.exit("Beginning age and length of rpath do not match.")
if len(wpath) != p:
sys.exit("Beginning age and length of wpath do not match.")
if len(n) != p:
sys.exit("Beginning age and length of n do not match.")
b_guess = 1.01 * b_init
eullf_objs = (p, beta, sigma, beg_wealth, ci_tilde, n, rpath, wpath,
pcpath, ppath)
bpath = opt.fsolve(LfEulerSys, b_guess, args=(eullf_objs), xtol=tp_tol)
cpath, c_cstr = get_cvec_lf(ci_tilde, rpath, wpath, pcpath, ppath, n,
np.append(beg_wealth, bpath))
cipath, cm_cstr = get_cimat_lf(alpha[:, :p], ci_tilde, cpath, pcpath,
ppath)
b_err_params = (beta, sigma)
b_err_vec = ssf.get_b_errors(b_err_params,
rpath[1:],
cpath,
c_cstr,
diff=True)
return bpath, cpath, cipath, b_err_vec
def paths_life(params, beg_age, beg_wealth, nvec, rpath, wpath, BQpath,
b_init):
'''
Solve for the remaining lifetime savings decisions of an individual
who enters the model at age beg_age, with corresponding initial
wealth beg_wealth.
Inputs:
params = length 5 tuple, (S, beta, sigma, chi_b, TPI_tol)
S = integer in [3,80], number of periods an individual
lives
beta = scalar in [0,1), discount factor for each model
period
sigma = scalar > 0, coefficient of relative risk aversion
chi_b = scalar > 0, scale parameter on utility of bequests
TPI_tol = scalar > 0, tolerance level for fsolve's in TPI
beg_age = integer in [1,S-1], beginning age of remaining life
beg_wealth = scalar, beginning wealth at beginning age
nvec = [S-beg_age+1,] vector, remaining exogenous labor
supplies
rpath = [S-beg_age+1,] vector, remaining lifetime interest
rates
wpath = [S-beg_age+1,] vector, remaining lifetime wages
BQpath = [S-beg_age+1,] vector, remaining lifetime total
bequests
b_init = [S-beg_age,] vector, initial guess for remaining
lifetime savings
Functions called:
LfEulerSys
get_cvec_lf
c4ssf.get_b_errors
Objects in function:
p = integer in [1,S], remaining periods in life
b_guess = [p,] vector, initial guess for lifetime savings
decisions
eullf_objs = length 10 tuple, objects to be passed in to
LfEulerSys (p, S, beta, sigma, chi_b, beg_wealth,
nvec, rpath, wpath, BQpath)
bpath = [p,] vector, optimal remaining lifetime savings
decisions
clf_params = length 2 tuple, parameters for get_cvec_lf
cpath = [p,] vector, optimal remaining lifetime
consumption decisions
c_constr = [p,] boolean vector, =True if c_{p}<=0,
b_err_params = length 2 tuple, parameters to pass into
c4ssf.get_b_errors (beta, sigma)
rpath2 = [p+1,] vector, rpath with 0 on the end so we can
pass it in to get_b_errors for p=1 which does not
require an interest rate
b_err_vec = [p,] vector, Euler errors associated with
optimal savings decisions
Returns: bpath, cpath, b_err_vec
'''
S, beta, sigma, chi_b, TPI_tol = params
p = int(S - beg_age + 1)
if beg_age == 1 and beg_wealth != 0:
sys.exit("Beginning wealth is nonzero for age s=1.")
if len(rpath) != p:
#print len(rpath), S-beg_age+1
sys.exit("Beginning age and length of rpath do not match.")
if len(wpath) != p:
sys.exit("Beginning age and length of wpath do not match.")
if len(nvec) != p:
sys.exit("Beginning age and length of nvec do not match.")
b_guess = 1.01 * b_init
eullf_objs = (p, S, beta, sigma, chi_b, beg_wealth, nvec, rpath,
wpath, BQpath)
bpath = opt.fsolve(LfEulerSys, b_guess, args=(eullf_objs),
xtol=TPI_tol)
clf_params = (p, S)
cpath, c_constr = get_cvec_lf(clf_params, rpath, wpath, BQpath, nvec,
np.append(beg_wealth, bpath))
b_err_params = (beta, sigma, chi_b, bpath[-1])
bsp1_constr = np.zeros(p, dtype=bool)
if bpath[-1] <= 0:
bsp1_constr[-1] = True
if beg_age == S and bpath[-1] > 0:
b_err_vec = chi_b * (bpath[-1] ** (-sigma)) - (cpath[-1] **
(-sigma))
elif beg_age == S and bpath[-1] <=0:
b_err_vec = 9999.
elif beg_age < S:
b_err_vec = ssf.get_b_errors(b_err_params, rpath[1:], cpath,
c_constr, bsp1_constr, diff=True)
return bpath, cpath, b_err_vec