2009/1/12 Phil
Hi,
I've been reading the Monads aren't evil posts with interest – I'm a 2nd week Haskell newbie and I'm doing my best to use them where (I hope) it is appropriate. Typically I'm writing my code out without using Monads (normally using list recursion), and then when I get them working, I delve into the Monad world.... This has been going well so far with a bit of help from you guys, but I've hit a snag.
In the code below I'm using a state Monad (getEvolution), but unlike simpler cases I'm passing around two items of state, and one of these states is also ultimately a result – although I don't care about the result until I reach an end state. My implementation is a bit ugly to say the least and clearly I'm forcing round pegs into square holes here – reading a bit online I get the impression that I can solve the two-state issue using Monad Transformers, by wrapping a StateT around a regular State object (or even two StateT Monads around an Identity Monad??). I think I understand the theory here, but any attempt to implement it leads to a horrible mess that typically doesn't compile. The other problem of having a state that is also a result, I'm sure what to do about this.
Was wondering if anyone could give me a push in the right direction – how can I rework my state monad so that it looks less wildly.
Many thanks,
Phil.
mcSimulate :: Double -> Double -> Word64 -> [Double] mcSimulate startStock endTime seedForSeed = expiryStock : mcSimulate startStock endTime newSeedForSeed where expiryStock = evalState ( do replicateM_ (truncate(endTime/timeStep)-1) getEvolution; getEvolution ) $ (startStock,ranq1Init seedForSeed) newSeedForSeed = seedForSeed + 246524
discount :: Double -> Double -> Double -> Double discount stock r t = stock * exp (-r)*t
payOff :: Double -> Double -> Double payOff strike stock | (stock - strike) > 0 = stock - strike | otherwise = 0
-- Monad Implementation
-- Yuk! evolveUnderlying :: (Double, Word64) -> ( Double, (Double, Word64) ) evolveUnderlying (stock, state) = ( newStock, ( newStock, newState ) ) where newState = ranq1Increment state newStock = stock * exp ( ( ir - (0.5*(vol*vol)) )*timeStep + ( vol*sqrt(timeStep)*normalFromRngState(state) ) )
getEvolution :: State (Double, Word64) Double getEvolution = State evolveUnderlying
Hi, the evolveUnderlying can simply manipulate the state, so you can do evolveUnderlying -- state (not your state, but the tuple) changes here r <- gets fst -- query the state for the first element of the tuple return r -- simply return what you want Note that if you want to combine your state and the stock, you simply end with a new kind of state : the tuple (thus, no need to compose two State) Note also, since evolveUnderlying only manipulates the internal state of the State monad, it returns (). Depending on how you want to structure your code, you can also use execState instead of evalState : it returns the state on which you can use fst. hope it helps, Thu