Package org.drip.portfolioconstruction.constraint

Class LimitHoldingsTermAbsolute

java.lang.Object

org.drip.portfolioconstruction.core.Block

org.drip.portfolioconstruction.optimizer.FormulationTerm

org.drip.portfolioconstruction.optimizer.ConstraintTerm

org.drip.portfolioconstruction.constraint.LimitHoldingsTerm

org.drip.portfolioconstruction.constraint.LimitHoldingsTermAbsolute

public class LimitHoldingsTermAbsolute
extends LimitHoldingsTerm

LimitHoldingsTermAbsolute holds the Details of a Limit Absolute Holdings 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
LimitHoldingsTermAbsolute(java.lang.String name, Scope scope, Unit unit, double minimum, double maximum, int size)	LimitHoldingsTermAbsolute Constructor

Method Summary

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

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

size

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

LimitHoldingsTermAbsolute

public LimitHoldingsTermAbsolute(java.lang.String name,
Scope scope,
Unit unit,
double minimum,
double maximum,
int size)
                          throws java.lang.Exception

LimitHoldingsTermAbsolute 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

size - Size of the Holdings

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