Package org.drip.portfolioconstruction.constraint

Class LimitHoldingsTermIssuerWeightedAverage

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.LimitHoldingsTermIssuer

org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerWeightedAverage

public class LimitHoldingsTermIssuerWeightedAverage
extends LimitHoldingsTermIssuer

LimitHoldingsTermIssuerWeightedAverage holds the Details of Weighted Average Issuer Limit 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
LimitHoldingsTermIssuerWeightedAverage(java.lang.String name, Scope scope, Unit unit, double minimum, double maximum, double[] issuerSelectionArray, double[] priceArray)	LimitHoldingsTermIssuerWeightedAverage Constructor

Method Summary

Modifier and Type	Method	Description
double[]	priceArray()	Retrieve the Array of Asset Prices
RdToR1	rdtoR1()	The Rd To R1 Formulation Term

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

issuerSelectionArray

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

LimitHoldingsTermIssuerWeightedAverage

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

LimitHoldingsTermIssuerWeightedAverage Constructor

Parameters:

name - Name of the Limit Issuer Net Holdings

scope - Scope of the Limit Issuer Net Holdings

unit - Unit of the Limit Issuer Net Holdings

minimum - Minimum Bound of the Limit Issuer Net Holdings

maximum - Maximum Bound of the Limit Issuer Net Holdings

issuerSelectionArray - Array of Issuer Selection Entries

priceArray - Array of Asset Prices

Throws:

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

Method Details

priceArray

public double[] priceArray()

Retrieve the Array of Asset Prices

Returns:

Array of Asset Prices

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