Package org.drip.portfolioconstruction.constraint

Class LimitTurnoverTermIssuer

java.lang.Object

org.drip.portfolioconstruction.core.Block

org.drip.portfolioconstruction.optimizer.FormulationTerm

org.drip.portfolioconstruction.optimizer.ConstraintTerm

org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuer

Direct Known Subclasses:

LimitTurnoverTermIssuerBuy, LimitTurnoverTermIssuerNet, LimitTurnoverTermIssuerSell, LimitTurnoverTermIssuerShort

public abstract class LimitTurnoverTermIssuer
extends ConstraintTerm

LimitTurnoverTermIssuer abstracts the Issuer Targets the Turnover of Portfolio Trades.

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

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
double[]	initialHoldingsArray()	Retrieve the Array of Initial Holdings
double[]	issuerSelectionArray()	Retrieve the Issuer Selection Array
double[]	priceArray()	Retrieve the Array of Asset Prices

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, rdtoR1

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

Method Details

priceArray

public double[] priceArray()

Retrieve the Array of Asset Prices

Returns:

Array of Asset Prices

initialHoldingsArray

public double[] initialHoldingsArray()

Retrieve the Array of Initial Holdings

Returns:

Array of Initial Holdings

issuerSelectionArray

public double[] issuerSelectionArray()

Retrieve the Issuer Selection Array

Returns:

Issuer Selection Array