Package org.drip.portfolioconstruction.constraint

Class LimitExposureTermNet

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.LimitExposureTermNet

public class LimitExposureTermNet
extends LimitExposureTerm

LimitExposureTermNet holds the Details of a Limit 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
LimitExposureTermNet(java.lang.String name, Scope scope, Unit unit, double minimum, double maximum, double[] priceArray)	LimitExposureTermNet Constructor

Method Summary

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

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

category

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

description, hashCode, id, name, Standard, timeStamp

Methods inherited from class java.lang.Object

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

Constructor Details

LimitExposureTermNet

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

LimitExposureTermNet 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 the Prices

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