0.2 release (docker version)

Dockerfile

@@ -0,0 +1,71 @@
+# This file is part of the tailRisk distribution (https://github.com/open-risk/tailRisk).
+# Copyright (c) 2022 - 2024 Open Risk (https://www.openriskmanagement.com)+
+#
+# This program is free software: you can redistribute it and/or modify
+# it under the terms of the GNU General Public License as published by
+# the Free Software Foundation, version 3.
+#
+# This program is distributed in the hope that it will be useful, but
+# WITHOUT ANY WARRANTY; without even the implied warranty of
+# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
+# General Public License for more details.
+#
+# You should have received a copy of the GNU General Public License
+# along with this program. If not, see <http://www.gnu.org/licenses/>.
+
+FROM ubuntu:22.04
+
+LABEL description="tailRisk: A library for computing risk measures"
+LABEL maintainer="[email protected]"
+LABEL version="0.2"
+LABEL author="Open Risk <www.openriskmanagement.com>"
+
+EXPOSE 8080
+
+ENV PYTHONUNBUFFERED 1
+ENV PYTHONDONTWRITEBYTECODE 1
+ENV DJANGO_SETTINGS_MODULE controller.settings
+ENV DJANGO_ALLOWED_HOSTS localhost 127.0.0.1 [::1]
+
+ENV CC=gcc-12
+ENV CXX=gcc-12
+
+# Prepare the environment (gcc, cmake, conan and other Python dependencies)
+RUN apt update && apt upgrade -y && apt install python3-pip cmake build-essential -y
+RUN apt install g++-12 -y
+RUN apt install openssl libssl-dev -y
+RUN apt install git -y
+RUN apt install gpg wget -y
+RUN update-alternatives --install /usr/bin/gcc gcc /usr/bin/gcc-12 12
+ENV CXX=/usr/bin/g++
+ENV CC=/usr/bin/gcc
+
+# Install and configure Conan
+RUN pip3 install conan
+RUN conan profile detect --force
+ENV CONAN_SYSREQUIRES_SUDO 0
+ENV CONAN_SYSREQUIRES_MODE enabled
+
+# Copy required files, delete local pre-existing builds
+RUN mkdir /tailRisk
+COPY ./src/CMakeLists.txt /tailRisk/src/CMakeLists.txt
+COPY ./src/conanfile.txt /tailRisk/src/conanfile.txt
+COPY ./src/*.cpp /tailRisk/src/
+COPY ./src/*.h /tailRisk/src/
+COPY ./testing/ /tailRisk/testing
+
+# Remove the build dir (just in case)
+RUN rm -rf /tailRisk/src/cmake-build-debug
+RUN mkdir /tailRisk/src/cmake-build-debug
+
+# Install C++ dependencies
+WORKDIR /tailRisk/src
+RUN conan install . --output-folder=cmake-build-debug --build missing -s build_type=Debug
+
+# Build tailRisk
+WORKDIR /tailRisk/src/cmake-build-debug
+RUN cmake .. -DCMAKE_TOOLCHAIN_FILE=conan_toolchain.cmake -DCMAKE_BUILD_TYPE=Debug
+#RUN cmake --build .
+
+
+# If all went well you now have a running instance of tailRisk in a Docker container

README.md

@@ -2,10 +2,11 @@
 A C++ library for the calculation of various tail risk measures
 
 ## Documentation
+
 **NB: Documentation still under development.**
 
-* Implemented [Risk Measures](RiskMeasures.md)
-* Mathematical Documentation available [here](https://www.openriskmanual.org/wiki/Category:Tail_Risk) 
+* [User Manual](https://www.openriskmanagement.com/documentation/tailrisk/)
+* Mathematical Documentation is available int Open Risk Manual Tail Risk [category](https://www.openriskmanual.org/wiki/Category:Tail_Risk) 
 
 ## Dependencies
 

TODO.md

@@ -0,0 +1,18 @@
+## Testing
+
+### Additional Probability Distributions
+
+* Gamma
+* Generalized Inverse Gaussian
+* Inverse Gamma
+* Negative Binomial
+* Pareto
+* Stable
+
+## Functionality
+
+* Extreme Value Theory
+* Mean Excess Plots / Hill Plots
+* Python Bindings
+
+

src/CMakeLists.txt

@@ -18,9 +18,13 @@
  set(PROJECT_VENDOR "Open Risk")
  set(PROJECT_CONTACT "[email protected]")
  set(PROJECT_URL "https://github.com/open-risk/tailRisk")
+ set(PROJECT_DESCRIPTION "tailRisk is a library for computing tail risk measures")
 
 cmake_minimum_required(VERSION 3.19)
 project(tailRisk)
+ set(TAILRISK_VERSION_MAJOR 0)
+ set(TAILRISK_VERSION_MINOR 2)
+ set(TAILRISK_VERSION_PATCH 0)
 
 set(CMAKE_CXX_STANDARD 17)
 set(CMAKE_CXX_FLAGS -std=c++17)
@@ -29,8 +33,7 @@ add_definitions("-std=c++17")
 set(CMAKE_VERBOSE_MAKEFILE on)
 set(CMAKE_BUILD_TYPE Debug)
 set(CMAKE_CXX_FLAGS_DEBUG)
-#set(CONAN_DISABLE_CHECK_COMPILER ON)
-set(CMAKE_PREFIX_PATH ../cmake-build-debug)
+set(CMAKE_PREFIX_PATH cmake-build-debug)
 
 include_directories(..)
 include_directories(.)
@@ -52,7 +55,7 @@ set(TEST_FILES
         ../testing/rnd_statistics/test_random_var_lognormal.cpp
         ../testing/test_histogram.cpp)
 
-find_package(Poco REQUIRED COMPONENTS Foundation Net Util Data)
+find_package(Poco REQUIRED COMPONENTS Foundation Net NetSSL Util Data)
 find_package(Catch2 REQUIRED)
 find_package(Eigen3 REQUIRED)
 find_package(statslib REQUIRED)

src/conanfile.txt

@@ -8,7 +8,9 @@ catch2/3.4.0
 [options]
 poco*:enable_data_odbc=False
 poco*:enable_data_mysql=False
+poco*:enable_data_postgresql=False
 poco*:enable_mongodb=False
+poco*:enable_data_sqlite=False
 poco*:enable_redis=False
 
 [generators]

src/main.cpp

@@ -30,11 +30,17 @@
 
 int main(int argc, char *argv[]) {
 
+    // Example 0
+    RandomVar X;
+    std::string filename =  "../data/example0.json";
+    X.ReadFromJSON(filename);
+    X.Print();
+
     // Example 1
     int Grid = 1;
     int DataType = 0;
     RandomVar D(Grid, DataType);
-    std::string filename =  "../data/example1.json";
+    filename =  "../data/example1.json";
     D.ReadFromJSON(filename);
     D.Print();
     D.Cumulative();

src/random_var.cpp

@@ -1,4 +1,5 @@
-/*################################################################################
+/**
+ ################################################################################
  ##
  ##  Copyright (C) 2020-2024 Open Risk (www.openriskmanagement.com)
  ##
@@ -16,7 +17,8 @@
  ##  See the License for the specific language governing permissions and
  ##  limitations under the License.
  ##
- ################################################################################*/
+ ################################################################################
+ */
 
 /**
  * File: random_var.cpp
@@ -380,3 +382,7 @@ void RandomVar::Seed() {
         }
     }
 }
+
+RandomVar::RandomVar() {
+
+}

src/random_var.h

@@ -39,6 +39,8 @@ class RandomVar {
     // Type 0 -> Histogram type Storage
     // Type 1 -> Sample type Storage
 
+    RandomVar();
+
     RandomVar(size_t S, int type) {
         if (type == 0) {
             m_type = 0;
@@ -171,6 +173,7 @@ class RandomVar {
 
     void Seed();
 
+
 private:
     // 0 Type: exact representation (discrete probabilities view)
     // 1 Type: sampling representation (distribution sampling view)