Package org.drip.portfolioconstruction.constraint

Class LimitTurnoverTermIssuerShort

java.lang.Object

org.drip.portfolioconstruction.core.Block

org.drip.portfolioconstruction.optimizer.FormulationTerm

org.drip.portfolioconstruction.optimizer.ConstraintTerm

org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuer

org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuerShort

public class LimitTurnoverTermIssuerShort
extends LimitTurnoverTermIssuer

LimitTurnoverTermIssuerShort abstracts the Issuer Targets the Turnover of Total Short 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

Constructor Summary

Constructors

Constructor	Description
LimitTurnoverTermIssuerShort(java.lang.String name, Scope scope, Unit unit, double minimum, double maximum, double[] priceArray, double[] initialHoldingsArray, double[] issuerSelectionArray)	LimitTurnoverTermIssuerShort Constructor

Method Summary

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

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

initialHoldingsArray, issuerSelectionArray, 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

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

LimitTurnoverTermIssuerShort

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

LimitTurnoverTermIssuerShort Constructor

Parameters:

name - Name of the LimitTurnoverTermIssuerShort Constraint

scope - Scope of the LimitTurnoverTermIssuerShort Constraint

unit - Unit of the LimitTurnoverTermIssuerShort Constraint

minimum - Minimum Value for the Constraint

maximum - Maximum Value for the Constraint

priceArray - Array of Asset Prices

initialHoldingsArray - Initial Holdings Array

issuerSelectionArray - Issuer Selection Flag Array

Throws:

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