PricingTransactionPairProfitFunction.cc

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// -*- C++ -*-

// PLearn (A C++ Machine Learning Library)
// Copyright (C) 1998 Pascal Vincent
// Copyright (C) 1999-2002 Pascal Vincent, Yoshua Bengio, Rejean Ducharme and University of Montreal
// Copyright (C) 2001-2002 Nicolas Chapados, Ichiro Takeuchi, Jean-Sebastien Senecal
// Copyright (C) 2002 Xiangdong Wang, Christian Dorion

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// modification, are permitted provided that the following conditions are met:
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//  1. Redistributions of source code must retain the above copyright
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/* *******************************************************      
   * $Id: PricingTransactionPairProfitFunction.cc,v 1.4 2004/04/07 23:16:58 morinf Exp $
   * This file is part of the PLearn library.
   ******************************************************* */

#include "PricingTransactionPairProfitFunction.h"

namespace PLearn {
using namespace std;

PLEARN_IMPLEMENT_OBJECT(PricingTransactionPairProfitFunction, "ONE LINE DESCR", "NO HELP");


real PricingTransactionPairProfitFunction::evaluate(const Vec& output, const Vec& target) const
{
  real nb_units_transaction = output[0];
  real cash_earned_at_t1 = output[1];
  real price_t2 = target[0];
  real transaction_loss_t2 = nb_units_transaction>0 ? additive_cost + 
    fabs(nb_units_transaction) * (price_t2 * multiplicative_cost + per_unit_cost) : 0;
  real profit = cash_earned_at_t1 + nb_units_transaction * price_t2 - transaction_loss_t2;
  return profit;
}


void PricingTransactionPairProfitFunction::declareOptions(OptionList &ol)
{
    declareOption(ol, "multiplicative_cost", &PricingTransactionPairProfitFunction::multiplicative_cost, OptionBase::buildoption,
                  "TODO: Some comments");
    declareOption(ol, "additive_cost", &PricingTransactionPairProfitFunction::additive_cost, OptionBase::buildoption,
                  "TODO: Some comments");
    declareOption(ol, "per_unit_cost", &PricingTransactionPairProfitFunction::per_unit_cost, OptionBase::buildoption,
                  "TODO: Some comments");
    inherited::declareOptions(ol);
}



} // end of namespace PLearn

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