def get_griddetails(poly, paramplus):
#Return details of polynomial associated with constructing the grids used
nmsv = poly['nmsv']
poly['scmsv2xx'] = np.zeros([2 * nmsv])
poly['scxx2msv'] = np.zeros([2 * nmsv])
poly['scmsv2xx'][0:nmsv] = 2.0 / (poly['msvbounds'][nmsv:2 * nmsv] -
poly['msvbounds'][0:nmsv])
poly['scmsv2xx'][nmsv:2 * nmsv] = -2.0 * poly['msvbounds'][0:nmsv] / (
poly['msvbounds'][nmsv:2 * nmsv] - poly['msvbounds'][0:nmsv]) - 1.0
poly['scxx2msv'][0:nmsv] = 0.5 * (poly['msvbounds'][nmsv:2 * nmsv] -
poly['msvbounds'][0:nmsv])
poly['scxx2msv'][nmsv:2 * nmsv] = poly['msvbounds'][0:nmsv] + 0.5 * (
poly['msvbounds'][nmsv:2 * nmsv] - poly['msvbounds'][0:nmsv])
#for the approximating function.
poly['rhos'][0] = paramplus['rhobeta']
poly['stds'][0] = paramplus['stdbeta']
if poly['ne'] == 2:
poly['rhos'][1] = paramplus['rhomu']
poly['stds'][1] = paramplus['stdmu']
poly['exoggrid'],poly['exogindex'],poly['steps'],poly['bounds'],poly['ind2poly'] = po.get_exoggrid(poly['ngrid'],poly['ne'], \
poly['ns'],poly['rhos'],poly['stds'],poly['maxstd'])
#meanspread = -paramplus['stdbeta']**2/(2*(1.0+paramplus['rhobeta'])*(1.0-paramplus['rhobeta']))
poly['exoggrid'][:, 0] = poly['exoggrid'][:, 0] #+ meanspread
poly['quadgrid'], poly['quadweight'] = po.get_quadgrid(
poly['nquad'], poly['ninnov'], poly['nqs'])
poly['sfutquad'], poly['ind_sfutquad'], poly[
'quadweights'] = get_quadstates(poly, paramplus)
return (poly)
def get_griddetails(polyapp, params):
#Return details of polynomial associated with constructing the grids used
nmsv = polyapp['nmsv']
nmsve = polyapp['nexog_nmsv']
nsreg = polyapp['nsreg']
npoly = polyapp['npoly']
nx = nmsv - nmsve - (nsreg - 1)
#grid for polynomial approximation
polyapp['msvbounds'] = np.zeros([2 * nmsv])
if (nx >= 1):
polyapp['msvbounds'][0] = -0.05
polyapp['msvbounds'][nmsv] = 0.05
if (nx >= 2):
polyapp['msvbounds'][1] = -0.075
polyapp['msvbounds'][nmsv + 1] = 0.075
if (nx == 3):
polyapp['msvbounds'][2] = -0.02
polyapp['msvbounds'][nmsv + 2] = 0.02
ubd = np.log(0.96)
for i in np.arange(nsreg - 1):
polyapp['msvbounds'][nx + i] = np.log(0.0001)
polyapp['msvbounds'][nmsv + nx + i] = ubd
bd = polyapp['maxstd']
polyapp['msvbounds'][nmsv - 1] = -bd * params['stdm']
polyapp['msvbounds'][nmsv + nmsv - 1] = bd * params['stdm']
polyapp['scmsv2xx'] = np.zeros([2 * nmsv])
polyapp['scxx2msv'] = np.zeros([2 * nmsv])
polyapp['scmsv2xx'][0:nmsv] = 2.0 / (polyapp['msvbounds'][nmsv:2 * nmsv] -
polyapp['msvbounds'][0:nmsv])
polyapp['scmsv2xx'][nmsv:2 *
nmsv] = -2.0 * polyapp['msvbounds'][0:nmsv] / (
polyapp['msvbounds'][nmsv:2 * nmsv] -
polyapp['msvbounds'][0:nmsv]) - 1.0
polyapp['scxx2msv'][0:nmsv] = 0.5 * (polyapp['msvbounds'][nmsv:2 * nmsv] -
polyapp['msvbounds'][0:nmsv])
polyapp['scxx2msv'][nmsv:2 * nmsv] = polyapp['msvbounds'][0:nmsv] + 0.5 * (
polyapp['msvbounds'][nmsv:2 * nmsv] - polyapp['msvbounds'][0:nmsv])
#for the approximating function.
polyapp['rhos'][0] = params['rhoeta']
polyapp['stds'][0] = params['stdeta']
polyapp['exoggrid'],polyapp['exogindex'],polyapp['steps'],polyapp['bounds'],polyapp['ind2poly'] = po.get_exoggrid(polyapp['ngrid'],polyapp['nexog_fe'], \
polyapp['ns'],polyapp['rhos'],polyapp['stds'],polyapp['maxstd'])
polyapp['quadgrid'], polyapp['quadweight'] = po.get_quadgrid(
polyapp['nquad'], polyapp['ninnov'], polyapp['nqs'])
polyapp['sfutquad'], polyapp['ind_sfutquad'], polyapp[
'quadweights'] = get_quadstates(polyapp, params)
#print('sfut = ', polyapp['sfutquad'][:,1,10])
#sys.exit()
return (polyapp)
def get_quadstates(poly, paramplus):
#returns exogenous states at each quadrature point and each exogenous grid point
ninnov = poly['ninnov']
nqs = poly['nqs']
ns = poly['ns']
npoly = poly['npoly']
ne = ninnov
quadgrid, quadweight = po.get_quadgrid(poly['nquad'], ninnov, nqs)
if poly['ne'] == 0:
nchebexog = np.prod(poly['ncheb'][2:])
pgridexog = poly['pgrid'][:nchebexog, 2:poly['nmsv']]
ns = nchebexog
exoggrid = np.zeros([nchebexog, poly['nmsv'] - 2])
exogscxx2msv = poly['scxx2msv'][2:poly['nmsv'] * 2:poly['nmsv']]
for i in np.arange(ns):
exoggrid[i, :] = po.msv2xx(pgridexog[i, :], poly['nmsv'] - 2,
exogscxx2msv)
else:
exoggrid = poly['exoggrid']
sfut = np.zeros([ns, nqs, ninnov])
ind_sfut = np.zeros([ns, nqs, ne], dtype=int)
for j in np.arange(nqs):
for i in np.arange(ns):
if poly['shockswitch'] == 0:
sfut[i, j, 0] = paramplus['rhobeta'] * exoggrid[
i, 0] + paramplus['stdbeta'] * quadgrid[j, 0]
if ninnov == 2:
sfut[i, j, 1] = paramplus['rhomu'] * exoggrid[
i, 1] + paramplus['stdmu'] * quadgrid[j, 1]
else:
sfut[i, j, 0] = paramplus['rhomu'] * exoggrid[
i, 0] + paramplus['stdmu'] * quadgrid[j, 0]
if ninnov == 2:
sfut[i, j, 1] = paramplus['rhobeta'] * exoggrid[
i, 1] + paramplus['stdbeta'] * quadgrid[j, 1]
if poly['ne'] > 0:
ind_sfut[i, j, :] = po.get_index(sfut[i, j, :], ninnov,
poly['ngrid'], poly['steps'],
poly['bounds'])
return (sfut, ind_sfut, quadweight)
def get_quadstates(poly, params):
#returns exogenous states at each quadrature point and each exogenous grid point
ninnov = poly['ninnov']
nqs = poly['nqs']
ns = poly['ns']
npoly = poly['npoly']
ne = poly['nexog_fe']
quadgrid, quadweight = po.get_quadgrid(poly['nquad'], ninnov, nqs)
sfut = np.zeros([ns, nqs, ninnov])
ind_sfut = np.zeros([ns, nqs, ne], dtype=int)
for i in np.arange(ns):
for j in np.arange(nqs):
sfut[i, j, :ne] = poly['rhos'][:ne] * poly['exoggrid'][
i, :] + poly['stds'][:ne] * quadgrid[j, :ne]
sfut[i, j, ne] = params['stdm'] * quadgrid[j, ne]
ss = sfut[i, j, :ne]
ind_sfut[i, j, :] = po.get_index(ss, ne, poly['ngrid'],
poly['steps'], poly['bounds'])
return (sfut, ind_sfut, quadweight)
def get_quadstates(poly, paramplus):
#returns exogenous states at each quadrature point and each exogenous grid point
ninnov = poly['ninnov']
nqs = poly['nqs']
ns = poly['ns']
npoly = poly['npoly']
ne = ninnov
quadgrid, quadweight = po.get_quadgrid(poly['nquad'], ninnov, nqs)
sfut = np.zeros([ns, nqs, ninnov])
ind_sfut = np.zeros([ns, nqs, ne], dtype=int)
#meanpreserve = -paramplus['stdbeta']**2/(2*(1.0+paramplus['rhobeta']))
#print(meanpreserve)
for j in np.arange(nqs):
for i in np.arange(ns):
sfut[i, j, 0] = paramplus['rhobeta'] * poly['exoggrid'][
i, 0] + paramplus['stdbeta'] * quadgrid[j, 0] #+ meanpreserve
if ne == 2:
sfut[i, j, 1] = paramplus['rhomu'] * poly['exoggrid'][
i, 1] + paramplus['stdmu'] * quadgrid[j, 0]
ind_sfut[i, j, :] = po.get_index(sfut[i, j, :], ne, poly['ngrid'],
poly['steps'], poly['bounds'])
return (sfut, ind_sfut, quadweight)