org.drip.portfolioconstruction.allocator

Class BoundedPortfolioConstructionParameters

java.lang.Object

org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters

org.drip.portfolioconstruction.allocator.BoundedPortfolioConstructionParameters

public class BoundedPortfolioConstructionParameters
extends PortfolioConstructionParameters

BoundedPortfolioConstructionParameters holds the Parameters needed to build the Portfolio with Bounds on the Underlying Assets.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
BoundedPortfolioConstructionParameters(java.lang.String[] astrAssetID, CustomRiskUtilitySettings qcru, PortfolioEqualityConstraintSettings pecs) BoundedPortfolioConstructionParameters Constructor

Method Summary

Modifier and Type	Method and Description
boolean	addBound(java.lang.String strAssetID, double dblLowerBound, double dblUpperBound) Set the Bounds for the specified Asset
AffineBoundMultivariate[]	boundingConstraints(int iNumExtraneousVariate) Retrieve the Array of the Inequality Constraint Functions
double[]	feasibleStart() Retrieve an Array of Viable Starting Variates From Within the Feasible Region
double	lowerBound(java.lang.String strAssetID) Retrieve the Lower Bound for the Specified Asset ID
double	upperBound(java.lang.String strAssetID) Retrieve the Upper Bound for the Specified Asset ID
double[]	weightConstrainedFeasibleStart() Retrieve an Array of Viable Weight Constrained Starting Variates From Within the Feasible Region

Methods inherited from class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters

assets, constraintSettings, equalityConstraintRdToR1, equalityConstraintValue, fullyInvestedConstraint, optimizerSettings, returnsConstraint

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BoundedPortfolioConstructionParameters

public BoundedPortfolioConstructionParameters(java.lang.String[] astrAssetID,
                                              CustomRiskUtilitySettings qcru,
                                              PortfolioEqualityConstraintSettings pecs)
                                       throws java.lang.Exception

BoundedPortfolioConstructionParameters Constructor

Parameters:

astrAssetID - Array of Assets ID

qcru - The Quadratic Custom Risk Utility Settings

pecs - The Portfolio Equality Constraint Settings

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

addBound

public boolean addBound(java.lang.String strAssetID,
                        double dblLowerBound,
                        double dblUpperBound)

Set the Bounds for the specified Asset

Parameters:

strAssetID - The Asset ID

dblLowerBound - The Asset Share Lower Bound

dblUpperBound - The Asset Share Upper Bound

Returns:

TRUE - The Asset Bounds successfully set

lowerBound

public double lowerBound(java.lang.String strAssetID)
                  throws java.lang.Exception

Retrieve the Lower Bound for the Specified Asset ID

Parameters:

strAssetID - The Asset ID

Returns:

The Lower Bound for the Specified Asset ID

Throws:

java.lang.Exception - Thrown if the Bound cannot be extracted

upperBound

public double upperBound(java.lang.String strAssetID)
                  throws java.lang.Exception

Retrieve the Upper Bound for the Specified Asset ID

Parameters:

strAssetID - The Asset ID

Returns:

The Upper Bound for the Specified Asset ID

Throws:

java.lang.Exception - Thrown if the Bound cannot be extracted

boundingConstraints

public AffineBoundMultivariate[] boundingConstraints(int iNumExtraneousVariate)

Retrieve the Array of the Inequality Constraint Functions

Parameters:

iNumExtraneousVariate - Number of Extraneous Variatea

Returns:

The Array of the Inequality Constraint Functions

feasibleStart

public double[] feasibleStart()

Retrieve an Array of Viable Starting Variates From Within the Feasible Region

Returns:

An Array of Viable Starting Variates From Within the Feasible Region

weightConstrainedFeasibleStart

public double[] weightConstrainedFeasibleStart()

Retrieve an Array of Viable Weight Constrained Starting Variates From Within the Feasible Region

Returns:

An Array of Viable Weight Constrained Starting Variates From Within the Feasible Region