Perl Proggie by Charles Nadeau

#! /usr/bin/perl -w

# this mill unlock this process and all tis childs
sub unlock { 
open (OUTFILE,">/proc/self/lock") || 
die "Could not unlock myself!\n"; 
print OUTFILE "0"; 
} 

unlock;

# this will count the nodes
sub cpucount {
 $CLUSTERDIR="/proc/hpc/nodes/";
 $howmany=0;
 opendir($nodes, $CLUSTERDIR);
 while(readdir($nodes)) {
  $howmany++;
 }

 $howmany--;
 $howmany--;
 closedir ($nodes);
 return $howmany;
}

my $processes=cpucount;
$processes=$processes*3;

print("starting $processes processes\n");

#Portfolio.pl, version 0.1
#Perl program that simulate a portfolios for various stock composition for a given period of time
#We run various scenarios to find the mix of assets that give the best performance/risk ratio
#This method is base on the book "The intelligent asset allocator" by William Bernstein
#Can be used to test an OpenMosix cluster
#This program is licensed under GPL
#Author: Charles-E. Nadeau Ph.D., (c) 2002
#E-mail address: charlesnadeau AT hotmail DOT com

use Parallel::ForkManager; #We use a module to parallelize the calculation

#Available at http://theoryx5.uwinnipeg.ca/mod_perl/cpan-search?filetype=%20distribution%20name%20or%20description;join=and;arrange=file;download=auto;stem=no;case=clike;site=ftp.funet.fi;age=;distinfo=2589

use Statistics::Descriptive::Discrete; #A module providing statistical values

#Available at http://theoryx5.uwinnipeg.ca/mod_perl/cpan-search?new=Search;filetype=%20distribution%20name%20or%20description;join=and;arrange=file;download=auto;stem=no;case=clike;site=ftp.funet.fi;age=;distinfo=2988

srand; #We initialize the random number generator

#Initializing constant
$NumberOfSimulation=$processes;  #Number of simulation to run
$NumberOfMonth=100000; #Number of month for wich to run the simulation
$NumberOfStock=6; #Number of different stocks in the simulation

#Portfolio to simulate
#TODO: Read the stock details from a file
$Stock[0][0]="BRKB"; #Stock ticker
$Stock[0][1]=0.01469184; #Stock average monthly return
$Stock[0][2]=0.071724934; #Stock average monthly standard deviation
$Stock[1][0]="TEST "; #Stock ticker
$Stock[1][1]=-0.01519; #Stock average monthly return
$Stock[1][2]=0.063773903; #Stock average monthly standard deviation
$Stock[2][0]="SPDR"; #Stock ticker
$Stock[2][1]=0.008922718; #Stock average monthly return
$Stock[2][2]=0.041688404; #Stock average monthly standard deviation
$Stock[3][0]="BRKB"; #Stock ticker
$Stock[3][1]=0.01469184; #Stock average monthly return
$Stock[3][2]=0.071724934; #Stock average monthly standard deviation
$Stock[4][0]="TEST "; #Stock ticker
$Stock[4][1]=-0.01519; #Stock average monthly return
$Stock[4][2]=0.063773903; #Stock average monthly standard deviation
$Stock[5][0]="SPDR"; #Stock ticker
$Stock[5][1]=0.008922718; #Stock average monthly return
$Stock[5][2]=0.041688404; #Stock average monthly standard deviation




my $pm = new Parallel::ForkManager($NumberOfSimulation); #Specify the number of threads to span

$pm->run_on_start(
  sub { my ($pid,$ident)=@_;
  print "started, pid: $pid\n";
  }
);



#We initialize the array that will contain the results
@Results=();
for $i (0..$NumberOfSimulation-1){
	for $j (0..$NumberOfStock+3){
		$Results[$i][$j]=0.0; #Equal to 0.0 to start
	}
}

for $i (0..$NumberOfSimulation-1){ #Loop on the number of simulation to run
	$Results[$i][0]=$i; #The first column of each line is the number of the simulation
	$pm->start and next; #Start the thread

		$TotalRatio=1; #The sum of the proprtion of each stock

		#Here we calculate the portion of each investment in the portfolio for a given simulation
		for $j (0..$NumberOfStock-2){ #We loop on all stock until the second to last one
			#TODO: Replace rand by something from Math::TrulyRandom
			$Ratio[$j]=rand($TotalRatio);
			$Results[$i][$j+1]=$Ratio[$j]; #We store the ratio associated to this stock
			$TotalRatio=$TotalRatio-$Ratio[$j];
		}
		$Ratio[$NumberOfStock-1]=$TotalRatio; #In order to have a total of the ratios equal to one, we set the last ratio to be the remainder
		$Results[$i][$NumberOfStock]=$Ratio[$NumberOfStock-1]; #We store the ratio associated to this stock. Special case for the last stock

		$InvestmentValue=1; #Initially the investment value is 1 time the initial capital amount.
		my $stats=new Statistics::Descriptive::Discrete; #We initialize the module used to calculate the means and standard deviations

		for $j (1..$NumberOfMonth){ #Loop on the number of months

			$MonthlyGrowth[$j]=0.0; #By how much did we grow this month. Initially, no growth yet.

			#We loop on each stock to find its monthly contribution to the yield 
			for $k (0..$NumberOfStock-1){

			$MonthlyGrowth[$j]=$MonthlyGrowth[$j]+($Ratio[$k]*((gaussian_rand()*$Stock[$k][2])+$Stock[$k][1])); #We had the growth for this stock to the stock already calculated for the preceding stocks
			}

			$stats->add_data($MonthlyGrowth[$j]); #Add the yield for this month so we can later on have the mean and standard deviation for this simulation
			$InvestmentValue=$InvestmentValue*(1+$MonthlyGrowth[$j]); #Value of the Investment after this month
		}
		$Results[$i][$NumberOfStock+1]=$stats->mean(); #Calculate the average monthly growth
		$Results[$i][$NumberOfStock+2]=$stats->standard_deviation(); #Calculate the standard deviation of the monthly growth

	$pm->finish; #Finish the thread
}
$pm->wait_all_children; #We wait until all threads are finished

#Printing the results
print "Simulation ";
for $j (0..$NumberOfStock-1){
	print "Ratio$Stock[$j][0] ";
}
print "  Mean StdDev YieldRatio\n";
for $i (0..$NumberOfSimulation-1){
	printf "%10d ", $Results[$i][0];
	for $j (1..$NumberOfStock){
		printf "   %6.2f ",$Results[$i][$j];
	}

	if($Results[$i][$NumberOfStock+2]!=0) {
		printf "%5.4f %5.4f    %5.4f\n", $Results[$i][$NumberOfStock+1], $Results[$i][$NumberOfStock+2], ($Results[$i][$NumberOfStock+1]/$Results[$i][$NumberOfStock+2]);

	} else {
		printf "%5.4f %5.4f    %5.4f\n", $Results[$i][$NumberOfStock+1], $Results[$i][$NumberOfStock+2], 0;

	}
}



#Subroutines

#Subroutine to generate two numbers normally distributed
#From "The Perl Cookbook", recipe 2.10
sub gaussian_rand {
	my ($u1, $u2);
	my $w;
	my ($g1, $g2);

	do {
		$u1=2*rand()-1;
		$u2=2*rand()-1;
		$w=$u1*$u1+$u2*$u2;
	} while ($w>=1 || $w==0); #There was an error in the recipe, I corrected it here

	$w=sqrt(-2*log($w)/$w);
	$g2=$u1*$w;
	$g1=$u2*$w;
	return wantarray ? ($g1,$g2) : $g1;

}