Package org.drip.portfolioconstruction.constraint

Class LimitExposureTermIssuerNet

java.lang.Object

org.drip.portfolioconstruction.core.Block

org.drip.portfolioconstruction.optimizer.FormulationTerm

org.drip.portfolioconstruction.optimizer.ConstraintTerm

org.drip.portfolioconstruction.constraint.LimitExposureTerm

org.drip.portfolioconstruction.constraint.LimitExposureTermIssuer

org.drip.portfolioconstruction.constraint.LimitExposureTermIssuerNet

public class LimitExposureTermIssuerNet
extends LimitExposureTermIssuer

LimitExposureTermIssuerNet holds the Details of a Limit Issuer Net Exposure Constraint Term.

• Module = Portfolio Core Module
• Library = Asset Allocation Analytics
• Project = Portfolio Construction under Allocation Constraints
• Package = Portfolio Construction Constraint Term Suite

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
LimitExposureTermIssuerNet(java.lang.String name, Scope scope, Unit unit, double minimum, double maximum, double[] priceArray, double[] issuerSelectionArray)	LimitExposureTermIssuerNet Constructor

Method Summary

Modifier and Type	Method	Description
RdToR1	rdtoR1()	The Rd To R1 Formulation Term

Methods inherited from class org.drip.portfolioconstruction.constraint.LimitExposureTermIssuer

issuerSelectionArray

Methods inherited from class org.drip.portfolioconstruction.constraint.LimitExposureTerm

priceArray

Methods inherited from class org.drip.portfolioconstruction.optimizer.ConstraintTerm

isEquality, maximum, minimum, scope, setSoftConstraint, softContraint, unit

Methods inherited from class org.drip.portfolioconstruction.optimizer.FormulationTerm

objectiveCategory

Methods inherited from class org.drip.portfolioconstruction.core.Block

category, description, hashCode, id, name, Standard, timeStamp

Methods inherited from class java.lang.Object

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

Constructor Details

LimitExposureTermIssuerNet

public LimitExposureTermIssuerNet(java.lang.String name,
Scope scope,
Unit unit,
double minimum,
double maximum,
double[] priceArray,
double[] issuerSelectionArray)
                           throws java.lang.Exception

LimitExposureTermIssuerNet Constructor

Parameters:

name - Name of the Constraint

scope - Scope of the Constraint - ACCOUNT/ASSET/SET

unit - Unit of the Constraint

minimum - Minimum Value of the Constraint

maximum - Maximum Value of the Constraint

priceArray - Array of Asset Prices

issuerSelectionArray - Array of Issuer Selection

Throws:

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

Method Details

rdtoR1

public RdToR1 rdtoR1()

Description copied from class: FormulationTerm

The R^d To R¹ Formulation Term

Specified by:

rdtoR1 in class FormulationTerm

Returns:

The R^d To R¹ Formulation Term