Rearrange tests and Matlab files

tests/measures/modified_merton/matlab/GenTestDataLoanPayoff.m → src/frds/measures/modified_merton/matlab/FRDSGenTestDataLoanPayoff.m

@@ -1,4 +1,4 @@
-function [F, f1j, ival, rho, sig, T] = GenTestDataLoanPayoff()
+function [F, f1j, ival, rho, sig, T] = FRDSGenTestDataLoanPayoff()
 fs = [-0.8:0.05:0.8]'/(0.2*sqrt(0.5)*sqrt(10)); %range for dW_0 shocks
 
 N = 10;               %number of loan cohorts

src/frds/measures/modified_merton/matlab/ModMertonComputation.m

@@ -26,7 +26,13 @@
   %if not provided as input, then generate here 
   if nargin < 5
       rng(1,'twister')
-      w = normrnd(0,1,[Nsim2, 3*N]);
+    %   w = normrnd(0,1,[Nsim2, 3*N]);
+    % Mingze's note
+    % This is to produce the same random normal values as numpy
+    % For unknown reasons, same seed doesn't guarantee same random NORMAL values
+    % in Matlab and Numpy given the same MT19937 rng.
+    % This line below is a workaround. 
+      w = norminv(rand(Nsim2, 3*N),0,1);
   end
 
   ival = log(bookF)-log(ltv);  %initial log asset value of borrower at origination 
@@ -173,7 +179,8 @@
   for j = 1:N
     FHr = reshape(FHr1(:,j,:)+FHr2(:,j,:),Nsim2*Nsim1,1);  
     Lr = reshape(Lr1(:,j,:)+Lr2(:,j,:),Nsim2*Nsim1,1); 
-    [sortF, ind] = sort(FHr);
+    % Mingze's note: line below is changed to make sure we rely on a fixed precision
+    [sortF, ind] = sort(round(FHr, 9)); 
     sortL = Lr(ind);
     win = (Nsim2*Nsim1)/20;    %/10 seems to give about sufficient smoothness 
     LHs = fftsmooth(sortL,win); 

src/frds/measures/modified_merton/matlab/ModMertonCreateLookup.m

@@ -4,8 +4,9 @@
 
 
 rng(1,'twister')
-w = normrnd(0,1,[Nsim2, 3*N]);
-
+% w = normrnd(0,1,[Nsim2, 3*N]);
+w = norminv(rand(Nsim2, 3*N),0,1);
+
 J = size(xsig,2); 
 K = size(xr,3); 
 Q = size(xF,4); 
@@ -25,9 +26,9 @@
     for k = 1:K
 
         for q = 1:Q 
-           j
-           k
-           q
+        %    j
+        %    k
+        %    q
 
            param = [xr(1,j,k,q); T; xF(1,j,k,q); H; bookD*exp(xr(1,j,k,q)*H); rho; ltv; xsig(1,j,k,q); d; y];  %get face value of debt from current book value of debt
 

src/frds/measures/modified_merton/matlab/ModMertonSimulation.m

@@ -6,7 +6,7 @@
 clc;
 
 %output directory 
-direc = ['/Users/snagel/Dropbox/hdrive/Research/projects/BankCreditRisk/output/']; 
+direc = ['./']; 
 
 comp = 1;  %1 to re-calculate, 0 to use already saved file;