Package org.drip.portfolioconstruction.constraint

Class LimitHoldingsTermModelDeviation

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.LimitHoldingsTermModelDeviation

public class LimitHoldingsTermModelDeviation
extends LimitHoldingsTerm

LimitHoldingsTermModelDeviation holds the Details of a Limit Holdings Benchmark Weights Absolute Deviation 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
LimitHoldingsTermModelDeviation(java.lang.String name, Scope scope, Unit unit, double minimum, double maximum, double[] benchmarkHoldingsArray)	LimitHoldingsTermModelDeviation Constructor

Method Summary

Modifier and Type	Method	Description
double[]	benchmarkHoldingsArray()	Retrieve the Array of Benchmark Constricted Holdings
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

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

LimitHoldingsTermModelDeviation

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

LimitHoldingsTermModelDeviation Constructor

Parameters:

name - Name of the LimitHoldingsTermModelDeviation Constraint

scope - Scope of the LimitHoldingsTermModelDeviation Constraint

unit - Unit of the LimitHoldingsTermModelDeviation Constraint

minimum - Minimum Value of the LimitHoldingsTermModelDeviation Constraint

maximum - Maximum Value of the LimitHoldingsTermModelDeviation Constraint

benchmarkHoldingsArray - Array of the Constricted Benchmark Holdings

Throws:

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

Method Details

benchmarkHoldingsArray

public double[] benchmarkHoldingsArray()

Retrieve the Array of Benchmark Constricted Holdings

Returns:

Array of Benchmark Constricted Holdings

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