time | Calls | line |
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| | 7 | function result_map = ff_abz_fibs_vf_vec(varargin)
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| | 8 | %% FF_ABZ_FIBS_VF_VEC solve infinite horizon exo shock + endo asset problem
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| | 9 | % The model could be invoked mainly in sveral ways:
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| | 10 | %
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| | 11 | % # param_map('bl_default') = true; param_map('bl_bridge') = false;
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| | 12 | % param_map('bl_rollover') = true; Given these, default is possible, bridge
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| | 13 | % loans are not needed because rollover is allowed for formal loans (or
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| | 14 | % informal loans)
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| | 15 | % # we change param_map('bl_bridge') = true, that means
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| | 16 | % rollover is still allowed, but only allowed using informal sources,
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| | 17 | % formal loans no longer allow for roll-over. Furthermore, if both
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| | 18 | % bl_bridge and bl_rollover are false, that means we are not allowing for
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| | 19 | % rollover at all, so households can not borrow such that they end up with
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| | 20 | % negative cash-on-hand.
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| | 21 | %
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| | 22 | % Default simulation bl_bridge = false.
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| | 23 | %
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| | 24 | % @param param_map container parameter container
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| | 25 | %
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| | 26 | % @param support_map container support container
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| | 27 | %
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| | 28 | % @param armt_map container container with states, choices and shocks
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| | 29 | % grids that are inputs for grid based solution algorithm
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| | 30 | %
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| | 31 | % @param func_map container container with function handles for
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| | 32 | % consumption cash-on-hand etc.
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| | 33 | %
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| | 34 | % @return result_map container contains policy function matrix, value
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| | 35 | % function matrix, iteration results, and policy function, value function
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| | 36 | % and iteration results tables.
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| | 37 | %
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| | 38 | % keys included in result_map:
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| | 39 | %
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| | 40 | % * mt_val matrix states_n by shock_n matrix of converged value function grid
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| | 41 | % * mt_pol_a matrix states_n by shock_n matrix of converged policy function grid
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| | 42 | % * ar_val_diff_norm array if bl_post = true it_iter_last by 1 val function
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| | 43 | % difference between iteration
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| | 44 | % * ar_pol_diff_norm array if bl_post = true it_iter_last by 1 policy
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| | 45 | % function difference between iterations
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| | 46 | % * mt_pol_perc_change matrix if bl_post = true it_iter_last by shock_n the
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| | 47 | % proportion of grid points at which policy function changed between
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| | 48 | % current and last iteration for each element of shock
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| | 49 | %
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| | 50 | % @example
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| | 51 | %
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| | 52 | % % Get Default Parameters
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| | 53 | % it_param_set = 4;
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| | 54 | % [param_map, support_map] = ffs_abz_fibs_set_default_param(it_param_set);
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| | 55 | % % Chnage param_map keys for borrowing
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| | 56 | % param_map('fl_b_bd') = -20; % borrow bound
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| | 57 | % param_map('bl_default') = false; % true if allow for default
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| | 58 | % param_map('fl_c_min') = 0.0001; % u(c_min) when default
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| | 59 | % % Change Keys in param_map
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| | 60 | % param_map('it_a_n') = 500;
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| | 61 | % param_map('it_z_n') = 11;
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| | 62 | % param_map('fl_a_max') = 100;
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| | 63 | % param_map('fl_w') = 1.3;
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| | 64 | % % Change Keys support_map
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| | 65 | % support_map('bl_display') = false;
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| | 66 | % support_map('bl_post') = true;
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| | 67 | % support_map('bl_display_final') = false;
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| | 68 | % % Call Program with external parameters that override defaults.
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| | 69 | % ff_abz_fibs_vf_vec(param_map, support_map);
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| | 70 | %
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| | 71 | % @include
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| | 72 | %
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| | 73 | % * <https://fanwangecon.github.io/CodeDynaAsset/m_fibs/m_abz_paramfunc/html/ffs_abz_fibs_set_default_param.html ffs_abz_fibs_set_default_param>
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| | 74 | % * <https://fanwangecon.github.io/CodeDynaAsset/m_fibs/m_abz_paramfunc/html/ffs_abz_fibs_get_funcgrid.html ffs_abz_fibs_get_funcgrid>
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| | 75 | % * <https://fanwangecon.github.io/CodeDynaAsset/m_fibs/paramfunc_fibs/html/ffs_fibs_min_c_cost_bridge.html ffs_fibs_min_c_cost_bridge>
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| | 76 | % * <https://fanwangecon.github.io/CodeDynaAsset/m_fibs/paramfunc_fibs/html/ffs_fibs_inf_bridge.html ffs_fibs_inf_bridge>
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| | 77 | % * <https://fanwangecon.github.io/CodeDynaAsset/m_fibs/paramfunc_fibs/html/ffs_fibs_min_c_cost.html ffs_fibs_min_c_cost>
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| | 78 | % * <https://fanwangecon.github.io/CodeDynaAsset/m_az/solvepost/html/ff_az_vf_post.html ff_az_vf_post>
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| | 79 | %
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| | 80 | % @seealso
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| | 81 | %
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| | 82 | % * for/inf + save + borr loop: <https://fanwangecon.github.io/CodeDynaAsset/m_fibs/m_abz_solve/html/ff_abz_fibs_vf.html ff_abz_fibs_vf>
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| | 83 | % * for/inf + borr vectorized: <https://fanwangecon.github.io/CodeDynaAsset/m_fibs/m_abz_solve/html/ff_abz_fibs_vf_vec.html ff_abz_fibs_vf_vec>
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| | 84 | % * for/inf + borr optimized-vectorized: <https://fanwangecon.github.io/CodeDynaAsset/m_fibs/m_abz_solve/html/ff_abz_fibs_vf_vecsv.html ff_abz_fibs_vf_vecsv>
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| | 85 | %
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| | 86 |
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| | 87 | %% Default
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| | 88 | % * it_param_set = 1: quick test
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| | 89 | % * it_param_set = 2: benchmark run
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| | 90 | % * it_param_set = 3: benchmark profile
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| | 91 | % * it_param_set = 4: press publish button
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| | 92 |
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| | 93 | it_param_set = 3;
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| | 94 | bl_input_override = true;
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| | 95 | [param_map, support_map] = ffs_abz_fibs_set_default_param(it_param_set);
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| | 96 |
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| | 97 | % Note: param_map and support_map can be adjusted here or outside to override defaults
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| | 98 | % To generate results as if formal informal do not matter
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| | 99 | % param_map('fl_r_fsv') = 0.025;
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| | 100 | % param_map('fl_r_inf') = 0.035;
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| | 101 | % param_map('fl_r_inf_bridge') = 0.035;
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| | 102 | % param_map('fl_r_fbr') = 0.035;
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| | 103 | % param_map('bl_b_is_principle') = false;
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| | 104 | % param_map('st_forbrblk_type') = 'seg3';
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| | 105 | % param_map('fl_forbrblk_brmost') = -19;
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| | 106 | % param_map('fl_forbrblk_brleast') = -1;
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| | 107 | % param_map('fl_forbrblk_gap') = -1.5;
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| | 108 | % param_map('bl_b_is_principle') = false;
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| | 109 | % param_map('it_a_n') = 750;
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| | 110 | % param_map('it_z_n') = 15;
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| | 111 |
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| | 112 | [armt_map, func_map] = ffs_abz_fibs_get_funcgrid(param_map, support_map, bl_input_override); % 1 for override
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| | 113 | default_params = {param_map support_map armt_map func_map};
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| | 114 |
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| | 115 | %% Parse Parameters 1
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| | 116 |
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| | 117 | % if varargin only has param_map and support_map,
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| | 118 | params_len = length(varargin);
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| | 119 | [default_params{1:params_len}] = varargin{:};
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| | 120 | param_map = [param_map; default_params{1}];
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| | 121 | support_map = [support_map; default_params{2}];
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| | 122 | if params_len >= 1 && params_len <= 2
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| | 123 | % If override param_map, re-generate armt and func if they are not
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| | 124 | % provided
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| | 125 | bl_input_override = true;
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| | 126 | [armt_map, func_map] = ffs_abz_fibs_get_funcgrid(param_map, support_map, bl_input_override);
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| | 127 | else
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| | 128 | % Override all
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| | 129 | armt_map = [armt_map; default_params{3}];
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| | 130 | func_map = [func_map; default_params{4}];
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| | 131 | end
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| | 132 |
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| | 133 | % append function name
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| | 134 | st_func_name = 'ff_abz_fibs_vf_vec';
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| | 135 | support_map('st_profile_name_main') = [st_func_name support_map('st_profile_name_main')];
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| | 136 | support_map('st_mat_name_main') = [st_func_name support_map('st_mat_name_main')];
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| | 137 | support_map('st_img_name_main') = [st_func_name support_map('st_img_name_main')];
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| | 138 |
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| | 139 | %% Parse Parameters 2
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| | 140 |
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| | 141 | % armt_map
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| | 142 | params_group = values(armt_map, {'ar_a', 'mt_z_trans', 'ar_z'});
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| | 143 | [ar_a, mt_z_trans, ar_z] = params_group{:};
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| | 144 |
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| | 145 | % Formal choice Menu/Grid and Interest Rate Menu/Grid
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| | 146 | params_group = values(armt_map, {'ar_forbrblk_r', 'ar_forbrblk'});
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| | 147 | [ar_forbrblk_r, ar_forbrblk] = params_group{:};
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| | 148 |
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| | 149 | % func_map
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| | 150 | params_group = values(func_map, {'f_util_log', 'f_util_crra', 'f_coh', 'f_cons_coh_fbis', 'f_cons_coh_save'});
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| | 151 | [f_util_log, f_util_crra, f_coh, f_cons_coh_fbis, f_cons_coh_save] = params_group{:};
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| | 152 |
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| | 153 | % param_map
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| | 154 | params_group = values(param_map, {'it_a_n', 'it_z_n', 'fl_crra', 'fl_beta', 'fl_c_min',...
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| | 155 | 'fl_nan_replace', 'bl_default', 'bl_bridge', 'bl_rollover', 'fl_default_aprime'});
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| | 156 | [it_a_n, it_z_n, fl_crra, fl_beta, fl_c_min, ...
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| | 157 | fl_nan_replace, bl_default, bl_bridge, bl_rollover, fl_default_aprime] = params_group{:};
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| | 158 | params_group = values(param_map, {'it_maxiter_val', 'fl_tol_val', 'fl_tol_pol', 'it_tol_pol_nochange'});
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| | 159 | [it_maxiter_val, fl_tol_val, fl_tol_pol, it_tol_pol_nochange] = params_group{:};
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| | 160 |
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| | 161 | % param_map, Formal informal
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| | 162 | params_group = values(param_map, {'fl_r_inf', 'fl_r_fsv', 'bl_b_is_principle'});
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| | 163 | [fl_r_inf, fl_r_fsv, bl_b_is_principle] = params_group{:};
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| | 164 |
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| | 165 | % support_map
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| | 166 | params_group = values(support_map, {'bl_profile', 'st_profile_path', ...
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| | 167 | 'st_profile_prefix', 'st_profile_name_main', 'st_profile_suffix',...
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| | 168 | 'bl_display_minccost', 'bl_display_infbridge', ...
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| | 169 | 'bl_time', 'bl_display', 'it_display_every', 'bl_post'});
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| | 170 | [bl_profile, st_profile_path, ...
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| | 171 | st_profile_prefix, st_profile_name_main, st_profile_suffix, ...
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| | 172 | bl_display_minccost, bl_display_infbridge, ...
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| | 173 | bl_time, bl_display, it_display_every, bl_post] = params_group{:};
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| | 174 |
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| | 175 | %% Initialize Output Matrixes
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| | 176 | % include mt_pol_idx which we did not have in looped code
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| | 177 |
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| | 178 | mt_val_cur = zeros(length(ar_a),length(ar_z));
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| | 179 | mt_val = mt_val_cur - 1;
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| | 180 | mt_pol_a = zeros(length(ar_a),length(ar_z));
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| | 181 | mt_pol_a_cur = mt_pol_a - 1;
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| | 182 | mt_pol_idx = zeros(length(ar_a),length(ar_z));
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| | 183 | mt_pol_cons = zeros(length(ar_a),length(ar_z));
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| | 184 |
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| | 185 | % collect optimal borrowing formal and informal choices
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| | 186 | mt_pol_b_bridge = zeros(length(ar_a),length(ar_z));
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| | 187 | mt_pol_inf_borr_nobridge = zeros(length(ar_a),length(ar_z));
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| | 188 | mt_pol_for_borr = zeros(length(ar_a),length(ar_z));
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| | 189 | mt_pol_for_save = zeros(length(ar_a),length(ar_z));
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| | 190 |
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| | 191 | %% Initialize Convergence Conditions
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| | 192 |
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| | 193 | bl_vfi_continue = true;
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| | 194 | it_iter = 0;
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| | 195 | ar_val_diff_norm = zeros([it_maxiter_val, 1]);
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| | 196 | ar_pol_diff_norm = zeros([it_maxiter_val, 1]);
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| | 197 | mt_pol_perc_change = zeros([it_maxiter_val, it_z_n]);
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| | 198 |
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| | 199 | %% Iterate Value Function
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| | 200 | % Loop solution with 4 nested loops
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| | 201 | %
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| | 202 | % # loop 1: over exogenous states
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| | 203 | % # loop 2: over endogenous states
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| | 204 | % # loop 3: over choices
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| | 205 | % # loop 4: add future utility, integration--loop over future shocks
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| | 206 | %
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| | 207 |
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| | 208 | % Start Profile
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| | 209 | if (bl_profile)
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| | 210 | close all;
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| | 211 | profile off;
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| | 212 | profile on;
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< 0.001 | 1 | 213 | end
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| | 214 |
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| | 215 | % Start Timer
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< 0.001 | 1 | 216 | if (bl_time)
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< 0.001 | 1 | 217 | tic;
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< 0.001 | 1 | 218 | end
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| | 219 |
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| | 220 | % Value Function Iteration
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< 0.001 | 1 | 221 | while bl_vfi_continue
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< 0.001 | 119 | 222 | it_iter = it_iter + 1;
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| | 223 |
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| | 224 | %% Solve Optimization Problem Current Iteration
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| | 225 |
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| | 226 | % loop 1: over exogenous states
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< 0.001 | 119 | 227 | for it_z_i = 1:length(ar_z)
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| | 228 |
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| | 229 | %% Solve the Formal Informal Problem for each a' and coh: c_forinf(a')
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| | 230 | % find the today's consumption maximizing formal and informal
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| | 231 | % choices given a' and coh. The formal and informal choices need to
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| | 232 | % generate exactly a', but depending on which formal and informal
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| | 233 | % joint choice is used, the consumption cost today a' is different.
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| | 234 | % Note here, a is principle + interests. Three areas:
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| | 235 | %
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| | 236 | % * *CASE A* a' > 0: savings, do not need to optimize over formal and
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| | 237 | % informal choices
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| | 238 | % * *CASE B* a' < 0 & coh < 0: need bridge loan to pay for unpaid debt, and
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| | 239 | % borrowing over-all, need to first pick bridge loan to pay for
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| | 240 | % debt, if bridge loan is insufficient, go into default. After
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| | 241 | % bridge loan, optimize over formal+informal, borrow+save joint
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| | 242 | % choices.
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| | 243 | % * *CASE C* a' < 0 & coh > 0: do not need to get informal bridge loans,
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| | 244 | % optimize over for+inf save, for+save+borr, inf+borr only, for
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| | 245 | % borrow only.
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| | 246 | %
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| | 247 |
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| | 248 | % 1. Current Shock
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< 0.001 | 1785 | 249 | fl_z = ar_z(it_z_i);
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| | 250 |
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| | 251 | % 2. cash-on-hand
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0.026 | 1785 | 252 | ar_coh = f_coh(fl_z, ar_a);
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| | 253 |
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| | 254 | % 3. *CASE A* initiate consumption matrix as if all save
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2.685 | 1785 | 255 | mt_c = f_cons_coh_save(ar_coh, ar_a');
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| | 256 |
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| | 257 | % 3. if Bridge Loan is Needed
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| | 258 |
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| | 259 | % 4. *CASE B+C* get negative coh index and get borrowing choices index
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0.005 | 1785 | 260 | ar_coh_neg_idx = (ar_coh <= 0);
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| | 261 |
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0.003 | 1785 | 262 | ar_a_neg_idx = (ar_a < 0);
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0.014 | 1785 | 263 | ar_coh_neg = ar_coh(ar_coh_neg_idx);
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0.007 | 1785 | 264 | ar_a_neg = ar_a(ar_a_neg_idx);
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| | 265 |
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| | 266 | % 5. if coh > 0 and ap < 0, can allow same for+inf result to all coh.
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| | 267 | % The procedure below works regardless of how ar_coh is sorted. get
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| | 268 | % the index of all negative coh elements as well as first
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| | 269 | % non-negative element. We solve the formal and informal problem at
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| | 270 | % these points, note that we only need to solve the formal and
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| | 271 | % informal problem for positive coh level once.
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0.019 | 1785 | 272 | ar_coh_first_pos_idx = (cumsum(ar_coh_neg_idx == 0) == 1);
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0.003 | 1785 | 273 | ar_coh_forinfsolve_idx = (ar_coh_first_pos_idx | ar_coh_neg_idx);
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0.009 | 1785 | 274 | ar_coh_forinfsolve_a_neg_idx = (ar_coh(ar_coh_forinfsolve_idx) <= 0);
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| | 275 |
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| | 276 | % 6. *CASE B + C* Negative asset choices (borrowing), 1 col Case C
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| | 277 | % negp1: negative coh + 1, 1 meaning 1 positive coh, first positive
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| | 278 | % coh column index element grabbed.
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0.216 | 1785 | 279 | mt_coh_negp1_mesh_neg_aprime = zeros(size(ar_a_neg')) + ar_coh(ar_coh_forinfsolve_idx);
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0.173 | 1785 | 280 | mt_neg_aprime_mesh_coh_negp1 = zeros(size(mt_coh_negp1_mesh_neg_aprime)) + ar_a_neg';
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| | 281 |
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< 0.001 | 1785 | 282 | if (bl_bridge)
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| | 283 | % mt_neg_aprime_mesh_coh_1col4poscoh = zeros([length(ar_a_neg), (length(ar_coh_neg)+1)]) + ar_a_neg';
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| | 284 | % ar_coh_neg_idx_1col4poscoh = ar_coh_neg_idx(1:(length(ar_coh_neg)+1));
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| | 285 |
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| | 286 | % 6. *CASE B* Solve for: if (fl_ap < 0) and if (fl_coh < 0)
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1.609 | 1785 | 287 | [mt_aprime_nobridge_negcoh, ~, mt_c_bridge_negcoh] = ffs_fibs_inf_bridge(...
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| 1785 | 288 | bl_b_is_principle, fl_r_inf, ...
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| 1785 | 289 | mt_neg_aprime_mesh_coh_negp1(:,ar_coh_forinfsolve_a_neg_idx), ...
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| 1785 | 290 | mt_coh_negp1_mesh_neg_aprime(:,ar_coh_forinfsolve_a_neg_idx), ...
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| 1785 | 291 | bl_display_infbridge, bl_input_override);
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| | 292 |
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| | 293 | % generate mt_aprime_nobridge
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0.063 | 1785 | 294 | mt_neg_aprime_mesh_coh_negp1(:, ar_coh_forinfsolve_a_neg_idx) = mt_aprime_nobridge_negcoh;
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| | 295 | else
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| | 296 | % no bridge loan needed means roll over is allowed.
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| | 297 | mt_neg_aprime_mesh_coh_negp1 = ar_a_neg';
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< 0.001 | 1785 | 298 | end
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| | 299 |
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| | 300 | % 7. *CASE B + C* formal and informal joint choices, 1 col Case C
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< 0.001 | 1785 | 301 | bl_input_override = true;
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5.832 | 1785 | 302 | [ar_max_c_nobridge, ~, ~, ~] = ...
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| | 303 | ffs_fibs_min_c_cost(...
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| 1785 | 304 | bl_b_is_principle, fl_r_inf, fl_r_fsv, ...
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| 1785 | 305 | ar_forbrblk_r, ar_forbrblk, ...
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| 1785 | 306 | mt_neg_aprime_mesh_coh_negp1(:), ...
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| 1785 | 307 | bl_display_minccost, bl_input_override);
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| | 308 |
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| | 309 | %% Update Consumption Matrix *CASE A + B + C* Consumptions
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| | 310 | % Current mt_c is assuming all to be case A
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| | 311 | %
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| | 312 | % * Update Columns for case B (negative coh)
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| | 313 | % * Update Columns for case C (1 column): ar_coh_first_pos_idx,
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| | 314 | % included in ar_coh_forinfsolve_idx
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| | 315 | % * Update Columns for all case C: ~ar_coh_neg_idx using 1 column
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| | 316 | % result
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| | 317 | %
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| | 318 |
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| | 319 | % 1. Initalize all Neg Aprime consumption cost of aprime inputs
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| | 320 | % Initialize
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0.846 | 1785 | 321 | mt_max_c_nobridge_a_neg = zeros([length(ar_a_neg), length(ar_coh)]) + 0;
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0.814 | 1785 | 322 | mt_c_bridge_coh_a_neg = zeros(size(mt_max_c_nobridge_a_neg)) + 0;
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| | 323 |
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| | 324 | % 2. Fill in *Case B* and *Case C* (one column) Other C-cost
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0.089 | 1785 | 325 | mt_max_c_nobridge_negcohp1 = reshape(ar_max_c_nobridge, [size(mt_neg_aprime_mesh_coh_negp1)]);
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| | 326 |
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0.001 | 1785 | 327 | if (bl_bridge)
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| | 328 | % 2. Fill in *Case B* Bridge C-cost
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0.098 | 1785 | 329 | mt_c_bridge_coh_a_neg(:, ar_coh_neg_idx) = mt_c_bridge_negcoh;
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| | 330 |
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| | 331 | % 2. Fill in *Case B* and *Case C* (one column) Other C-cost
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0.081 | 1785 | 332 | mt_max_c_nobridge_a_neg(:, ar_coh_forinfsolve_idx) = mt_max_c_nobridge_negcohp1;
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1.351 | 1785 | 333 | mt_max_c_nobridge_a_neg(:, ~ar_coh_forinfsolve_idx) = ...
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| 1785 | 334 | zeros(size(mt_c(ar_a_neg_idx, ~ar_coh_forinfsolve_idx))) ...
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| 1785 | 335 | + mt_max_c_nobridge_negcohp1(:, ~ar_coh_forinfsolve_a_neg_idx);
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| | 336 | else
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| | 337 | mt_max_c_nobridge_a_neg = zeros([length(ar_a_neg), length(ar_coh)]) + mt_max_c_nobridge_negcohp1;
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< 0.001 | 1785 | 338 | end
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| | 339 |
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| | 340 | % 3. Consumption for B + C Cases
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| | 341 | % note, the c cost of aprime is the same for all coh > 0, but mt_c
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| | 342 | % is different still for each coh and aprime.
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1.669 | 1785 | 343 | mt_c_forinfsolve = f_cons_coh_fbis(ar_coh, mt_c_bridge_coh_a_neg + mt_max_c_nobridge_a_neg);
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| | 344 |
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| | 345 | % 4. Update with Case B and C
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0.362 | 1785 | 346 | mt_c(ar_a_neg_idx, :) = mt_c_forinfsolve;
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| | 347 |
|
| | 348 | %% Solve Optimization Problem: max_{a'} (u(c_forinf(a')) + EV(a',z'))
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| | 349 | % 1. EVAL current utility: N by N, f_util defined earlier
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< 0.001 | 1785 | 350 | if (fl_crra == 1)
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| | 351 | mt_utility = f_util_log(mt_c);
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| | 352 | fl_u_cmin = f_util_log(fl_c_min);
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< 0.001 | 1785 | 353 | else
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20.888 | 1785 | 354 | mt_utility = f_util_crra(mt_c);
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0.037 | 1785 | 355 | fl_u_cmin = f_util_crra(fl_c_min);
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< 0.001 | 1785 | 356 | end
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| | 357 |
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| | 358 | % 2. f(z'|z)
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0.004 | 1785 | 359 | ar_z_trans_condi = mt_z_trans(it_z_i,:);
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| | 360 |
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| | 361 | % 3. EVAL EV((A',K'),Z'|Z) = V((A',K'),Z') x p(z'|z)', (N by Z) x (Z by 1) = N by 1
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| | 362 | % Note: transpose ar_z_trans_condi from 1 by Z to Z by 1
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| | 363 | % Note: matrix multiply not dot multiply
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0.033 | 1785 | 364 | mt_evzp_condi_z = mt_val_cur * ar_z_trans_condi';
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| | 365 |
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| | 366 | % 4. EVAL add on future utility, N by N + N by 1, broadcast again
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0.318 | 1785 | 367 | mt_utility = mt_utility + fl_beta*mt_evzp_condi_z;
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| | 368 |
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0.001 | 1785 | 369 | if (bl_default)
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| | 370 | % if default: only today u(cmin), transition out next period, debt wiped out
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8.656 | 1785 | 371 | mt_utility(mt_c <= fl_c_min) = fl_u_cmin + fl_beta*mt_evzp_condi_z(ar_a == fl_default_aprime);
|
| | 372 | else
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| | 373 | % if default is not allowed: v = fl_nan_replace
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| | 374 | mt_utility(mt_c <= fl_c_min) = fl_nan_replace;
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< 0.001 | 1785 | 375 | end
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| | 376 |
|
| | 377 | % Set below threshold c to c_min
|
3.438 | 1785 | 378 | mt_c(mt_c < fl_c_min) = fl_c_min;
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| | 379 |
|
| | 380 | % 5. no bridge and no rollover allowed
|
0.001 | 1785 | 381 | if( ~bl_rollover && ~bl_bridge)
|
| | 382 | if (bl_default)
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| | 383 | % if default: only today u(cmin), transition out next period, debt wiped out
|
| | 384 | mt_utility(:, ar_coh_neg_idx) = fl_u_cmin + fl_beta*mt_evzp_condi_z(ar_a == fl_default_aprime);
|
| | 385 | else
|
| | 386 | % if default is not allowed: v = fl_nan_replace
|
| | 387 | mt_utility(:, ar_coh_neg_idx) = fl_nan_replace;
|
| | 388 | end
|
| | 389 | end
|
| | 390 |
|
| | 391 | % 5. Optimization: remember matlab is column major, rows must be
|
| | 392 | % choices, columns must be states
|
| | 393 | % <https://en.wikipedia.org/wiki/Row-_and_column-major_order COLUMN-MAJOR>
|
| | 394 | % mt_utility is N by N, rows are choices, cols are states.
|
0.615 | 1785 | 395 | [ar_opti_val_z, ar_opti_idx_z] = max(mt_utility);
|
0.015 | 1785 | 396 | [it_choies_n, it_states_n] = size(mt_utility);
|
0.056 | 1785 | 397 | ar_add_grid = linspace(0, it_choies_n*(it_states_n-1), it_states_n);
|
0.004 | 1785 | 398 | ar_opti_linear_idx_z = ar_opti_idx_z + ar_add_grid;
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0.017 | 1785 | 399 | ar_opti_aprime_z = ar_a(ar_opti_idx_z);
|
0.025 | 1785 | 400 | ar_opti_c_z = mt_c(ar_opti_linear_idx_z);
|
| | 401 |
|
| | 402 | % 6. Handle Default is optimal or not
|
0.001 | 1785 | 403 | if (bl_default)
|
| | 404 | % if defaulting is optimal choice, at these states, not required
|
| | 405 | % to default, non-default possible, but default could be optimal
|
0.011 | 1785 | 406 | ar_opti_aprime_z(ar_opti_c_z <= fl_c_min) = fl_default_aprime;
|
0.015 | 1785 | 407 | ar_opti_idx_z(ar_opti_c_z <= fl_c_min) = find(ar_a == fl_default_aprime);
|
| | 408 | else
|
| | 409 | % if default is not allowed, then next period same state as now
|
| | 410 | % this is absorbing state, this is the limiting case, single
|
| | 411 | % state space point, lowest a and lowest shock has this.
|
| | 412 | ar_opti_aprime_z(ar_opti_c_z <= fl_c_min) = min(ar_a);
|
< 0.001 | 1785 | 413 | end
|
| | 414 |
|
| | 415 | % 6. no bridge and no rollover allowed
|
< 0.001 | 1785 | 416 | if( ~bl_rollover && ~bl_bridge)
|
| | 417 | if (bl_default)
|
| | 418 | % if default: only today u(cmin), transition out next period, debt wiped out
|
| | 419 | ar_opti_aprime_z(ar_coh_neg_idx) = fl_default_aprime;
|
| | 420 | else
|
| | 421 | % if default is not allowed: v = fl_nan_replace
|
| | 422 | ar_opti_aprime_z(ar_coh_neg_idx) = ar_a(fl_nan_replace);
|
| | 423 | end
|
| | 424 | end
|
| | 425 |
|
| | 426 | %% Store Optimal Choices Current Iteration
|
0.012 | 1785 | 427 | mt_val(:,it_z_i) = ar_opti_val_z;
|
0.006 | 1785 | 428 | mt_pol_a(:,it_z_i) = ar_opti_aprime_z;
|
0.004 | 1785 | 429 | mt_pol_cons(:,it_z_i) = ar_opti_c_z;
|
| | 430 |
|
0.001 | 1785 | 431 | if (it_iter == (it_maxiter_val + 1))
|
< 0.001 | 15 | 432 | mt_pol_idx(:,it_z_i) = ar_opti_idx_z;
|
< 0.001 | 15 | 433 | end
|
0.002 | 1785 | 434 | end
|
| | 435 |
|
| | 436 | %% Check Tolerance and Continuation
|
| | 437 |
|
| | 438 | % Difference across iterations
|
0.044 | 119 | 439 | ar_val_diff_norm(it_iter) = norm(mt_val - mt_val_cur);
|
0.033 | 119 | 440 | ar_pol_diff_norm(it_iter) = norm(mt_pol_a - mt_pol_a_cur);
|
0.009 | 119 | 441 | mt_pol_perc_change(it_iter, :) = sum((mt_pol_a ~= mt_pol_a_cur))/(it_a_n);
|
| | 442 |
|
| | 443 | % Update
|
0.002 | 119 | 444 | mt_val_cur = mt_val;
|
0.002 | 119 | 445 | mt_pol_a_cur = mt_pol_a;
|
| | 446 |
|
| | 447 | % Print Iteration Results
|
< 0.001 | 119 | 448 | if (bl_display && (rem(it_iter, it_display_every)==0))
|
| | 449 | fprintf('VAL it_iter:%d, fl_diff:%d, fl_diff_pol:%d\n', ...
|
| | 450 | it_iter, ar_val_diff_norm(it_iter), ar_pol_diff_norm(it_iter));
|
| | 451 | tb_valpol_iter = array2table([mean(mt_val_cur,1); mean(mt_pol_a_cur,1); ...
|
| | 452 | mt_val_cur(it_a_n,:); mt_pol_a_cur(it_a_n,:)]);
|
| | 453 | tb_valpol_iter.Properties.VariableNames = strcat('z', string((1:size(mt_val_cur,2))));
|
| | 454 | tb_valpol_iter.Properties.RowNames = {'mval', 'map', 'Hval', 'Hap'};
|
| | 455 | disp('mval = mean(mt_val_cur,1), average value over a')
|
| | 456 | disp('map = mean(mt_pol_a_cur,1), average choice over a')
|
| | 457 | disp('Hval = mt_val_cur(it_a_n,:), highest a state val')
|
| | 458 | disp('Hap = mt_pol_a_cur(it_a_n,:), highest a state choice')
|
| | 459 | disp(tb_valpol_iter);
|
| | 460 | end
|
| | 461 |
|
| | 462 | % Continuation Conditions:
|
| | 463 | % 1. if value function convergence criteria reached
|
| | 464 | % 2. if policy function variation over iterations is less than
|
| | 465 | % threshold
|
< 0.001 | 119 | 466 | if (it_iter == (it_maxiter_val + 1))
|
< 0.001 | 1 | 467 | bl_vfi_continue = false;
|
0.002 | 118 | 468 | elseif ((it_iter == it_maxiter_val) || ...
|
| 118 | 469 | (ar_val_diff_norm(it_iter) < fl_tol_val) || ...
|
| 118 | 470 | (sum(ar_pol_diff_norm(max(1, it_iter-it_tol_pol_nochange):it_iter)) < fl_tol_pol))
|
| | 471 | % Fix to max, run again to save results if needed
|
< 0.001 | 1 | 472 | it_iter_last = it_iter;
|
< 0.001 | 1 | 473 | it_iter = it_maxiter_val;
|
< 0.001 | 1 | 474 | end
|
| | 475 |
|
< 0.001 | 119 | 476 | end
|
| | 477 |
|
| | 478 | % End Timer
|
< 0.001 | 1 | 479 | if (bl_time)
|
< 0.001 | 1 | 480 | toc;
|
< 0.001 | 1 | 481 | end
|
| | 482 |
|
| | 483 | % End Profile
|
< 0.001 | 1 | 484 | if (bl_profile)
|
0.004 | 1 | 485 | profile off
|
| | 486 | profile viewer
|
| | 487 | st_file_name = [st_profile_prefix st_profile_name_main st_profile_suffix];
|
| | 488 | profsave(profile('info'), strcat(st_profile_path, st_file_name));
|
| | 489 | end
|
| | 490 |
|
| | 491 | %% Process Optimal Choices
|
| | 492 |
|
| | 493 | result_map = containers.Map('KeyType','char', 'ValueType','any');
|
| | 494 | result_map('mt_val') = mt_val;
|
| | 495 | result_map('mt_pol_idx') = mt_pol_idx;
|
| | 496 |
|
| | 497 | % Find optimal Formal Informal Choices. Could have saved earlier, but was
|
| | 498 | % wasteful of resources
|
| | 499 | for it_z_i = 1:length(ar_z)
|
| | 500 | for it_a_j = 1:length(ar_a)
|
| | 501 | fl_z = ar_z(it_z_i);
|
| | 502 | fl_a = ar_a(it_a_j);
|
| | 503 | fl_coh = f_coh(fl_z, fl_a);
|
| | 504 | fl_a_opti = mt_pol_a(it_a_j, it_z_i);
|
| | 505 |
|
| | 506 | % call formal and informal function.
|
| | 507 | [~, fl_opti_b_bridge, fl_opti_inf_borr_nobridge, fl_opti_for_borr, fl_opti_for_save] = ...
|
| | 508 | ffs_fibs_min_c_cost_bridge(fl_a_opti, fl_coh, ...
|
| | 509 | param_map, support_map, armt_map, func_map, bl_input_override);
|
| | 510 |
|
| | 511 | % store savings and borrowing formal and inf optimal choices
|
| | 512 | mt_pol_b_bridge(it_a_j,it_z_i) = fl_opti_b_bridge;
|
| | 513 | mt_pol_inf_borr_nobridge(it_a_j,it_z_i) = fl_opti_inf_borr_nobridge;
|
| | 514 | mt_pol_for_borr(it_a_j,it_z_i) = fl_opti_for_borr;
|
| | 515 | mt_pol_for_save(it_a_j,it_z_i) = fl_opti_for_save;
|
| | 516 |
|
| | 517 | end
|
| | 518 | end
|
| | 519 |
|
| | 520 | result_map('cl_mt_pol_a') = {mt_pol_a, zeros(1)};
|
| | 521 | result_map('cl_mt_coh') = {f_coh(ar_z, ar_a'), zeros(1)};
|
| | 522 |
|
| | 523 | result_map('cl_mt_pol_c') = {mt_pol_cons, zeros(1)};
|
| | 524 | result_map('cl_mt_pol_b_bridge') = {mt_pol_b_bridge, zeros(1)};
|
| | 525 | result_map('cl_mt_pol_inf_borr_nobridge') = {mt_pol_inf_borr_nobridge, zeros(1)};
|
| | 526 | result_map('cl_mt_pol_for_borr') = {mt_pol_for_borr, zeros(1)};
|
| | 527 | result_map('cl_mt_pol_for_save') = {mt_pol_for_save, zeros(1)};
|
| | 528 |
|
| | 529 | result_map('ar_st_pol_names') = ["cl_mt_pol_a", "cl_mt_coh", "cl_mt_pol_c", ...
|
| | 530 | "cl_mt_pol_b_bridge", "cl_mt_pol_inf_borr_nobridge", "cl_mt_pol_for_borr", "cl_mt_pol_for_save"];
|
| | 531 |
|
| | 532 | % Get Discrete Choice Outcomes
|
| | 533 | result_map = ffs_fibs_identify_discrete(result_map, bl_input_override);
|
| | 534 |
|
| | 535 | %% Post Solution Graph and Table Generation
|
| | 536 | % Note in comparison with *abz*, results here, even when using identical
|
| | 537 | % parameters would differ because in *abz* solved where choices are
|
| | 538 | % principle. Here choices are principle + interests in order to facilitate
|
| | 539 | % using the informal choice functions.
|
| | 540 | %
|
| | 541 | % Note that this means two things are
|
| | 542 | % different, on the one hand, the value of asset for to coh is different
|
| | 543 | % based on the grid of assets. If the asset grid is negative, now per grid
|
| | 544 | % point, there is more coh because that grid point of asset no longer has
|
| | 545 | % interest rates. On the other hand, if one has positive asset grid point
|
| | 546 | % on arrival, that is worth less to coh. Additionally, when making choices
|
| | 547 | % for the next period, now choices aprime includes interests. What these
|
| | 548 | % mean is that the a grid no longer has the same meaning. We should expect
|
| | 549 | % at higher savings levels, for the same grid points, if optimal grid
|
| | 550 | % choices are the same as before, consumption should be lower when b
|
| | 551 | % includes interest rates and principle. This is however, not true when
|
| | 552 | % arriving in a period with negative a levels, for the same negative a
|
| | 553 | % level and same a prime negative choice, could have higher consumption
|
| | 554 | % here becasue have to pay less interests on debt. This tends to happen for
|
| | 555 | % smaller levels of borrowing choices.
|
| | 556 | %
|
| | 557 | % Graphically, when using interest + principle, big difference in
|
| | 558 | % consumption as a fraction of (coh - aprime) figure. In those figures,
|
| | 559 | % when counting in principles only, the gap in coh and aprime is
|
| | 560 | % consumption, but now, as more is borrowed only a small fraction of coh
|
| | 561 | % and aprime gap is consumption, becuase aprime/(1+r) is put into
|
| | 562 | % consumption.
|
| | 563 |
|
| | 564 | if (bl_post)
|
| | 565 | bl_input_override = true;
|
| | 566 | result_map('ar_val_diff_norm') = ar_val_diff_norm(1:it_iter_last);
|
| | 567 | result_map('ar_pol_diff_norm') = ar_pol_diff_norm(1:it_iter_last);
|
| | 568 | result_map('mt_pol_perc_change') = mt_pol_perc_change(1:it_iter_last, :);
|
| | 569 |
|
| | 570 | % Standard AZ graphs
|
| | 571 | result_map = ff_az_vf_post(param_map, support_map, armt_map, func_map, result_map, bl_input_override);
|
| | 572 |
|
| | 573 | % Graphs for results_map with FIBS contents
|
| | 574 | result_map = ff_az_fibs_vf_post(param_map, support_map, armt_map, func_map, result_map, bl_input_override);
|
| | 575 | end
|
| | 576 |
|
| | 577 | %% Display Various Containers
|
| | 578 | bl_display_defparam = true;
|
| | 579 | if (bl_display_defparam)
|
| | 580 |
|
| | 581 | %% Display 1 support_map
|
| | 582 | fft_container_map_display(support_map);
|
| | 583 |
|
| | 584 | %% Display 2 armt_map
|
| | 585 | fft_container_map_display(armt_map);
|
| | 586 |
|
| | 587 | %% Display 3 param_map
|
| | 588 | fft_container_map_display(param_map);
|
| | 589 |
|
| | 590 | %% Display 4 func_map
|
| | 591 | fft_container_map_display(func_map);
|
| | 592 |
|
| | 593 | %% Display 5 result_map
|
| | 594 | fft_container_map_display(result_map);
|
| | 595 |
|
| | 596 | end
|
| | 597 |
|
| | 598 | end
|
Other subfunctions in this file are not included in this listing.