Package org.drip.portfolioconstruction.constraint

Portfolio Construction Constraint Term Suite

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
LimitBudgetTerm	LimitBudgetTerm holds the Details of a Limit Budget Constraint Term.
LimitBudgetTermNet	LimitBudgetTermNet holds the Details of a Limit Net Budget Constraint Term.
LimitBudgetTermTransactionCharge	LimitBudgetTermTransactionCharge holds the Details of a After Transaction Charge Limit Budget Constraint Term.
LimitChargeTermIssuer	LimitChargeTermIssuer constrains the Limit Issuer Transaction Charge Term.
LimitExposureTerm	LimitExposureTerm holds the Details of a Limit Exposure Constraint Term - Limits can be Absolute/Net etc.
LimitExposureTermAbsolute	LimitExposureTermAbsolute holds the Details of a Limit Absolute Exposure Constraint Term.
LimitExposureTermIssuer	LimitExposureTermIssuer abstracts the Limit Issuer Exposure Constraint Term.
LimitExposureTermIssuerLong	LimitExposureTermIssuerLong holds the Details of a Limit Issuer Long Exposure Constraint Term.
LimitExposureTermIssuerNet	LimitExposureTermIssuerNet holds the Details of a Limit Issuer Net Exposure Constraint Term.
LimitExposureTermIssuerShort	LimitExposureTermIssuerShort holds the Details of a Limit Issuer Short Exposure Constraint Term.
LimitExposureTermNet	LimitExposureTermNet holds the Details of a Limit Net Exposure Constraint Term.
LimitHoldingsTerm	LimitHoldingsTerm holds the Details of a Limit Holdings Constraint Term - Limits can be Absolute/Net etc.
LimitHoldingsTermAbsolute	LimitHoldingsTermAbsolute holds the Details of a Limit Absolute Holdings Constraint Term.
LimitHoldingsTermIssuer	LimitHoldingsTermIssuer abstracts the Limit Issuer Holdings Constraint Term.
LimitHoldingsTermIssuerLong	LimitHoldingsTermIssuerLong holds the Details of Limit Issuer Long Holdings Constraint Term.
LimitHoldingsTermIssuerLongShort	LimitHoldingsTermIssuerLongShort holds the Details of Limit Issuer Long/Short Holdings Ratio Constraint Term.
LimitHoldingsTermIssuerNet	LimitHoldingsTermIssuerNet holds the Details of Limit Issuer Net Holdings Constraint Term.
LimitHoldingsTermIssuerShort	LimitHoldingsTermIssuerShort holds the Details of Limit Issuer Short Holdings Constraint Term.
LimitHoldingsTermIssuerWeightedAverage	LimitHoldingsTermIssuerWeightedAverage holds the Details of Weighted Average Issuer Limit Holdings Constraint Term.
LimitHoldingsTermMinimumPeriod	LimitHoldingsTermMinimumPeriod holds the Details of Limit Minimum Holdings Period Constraint Term.
LimitHoldingsTermModelDeviation	LimitHoldingsTermModelDeviation holds the Details of a Limit Holdings Benchmark Weights Absolute Deviation Constraint Term.
LimitNamesTermIssuer	LimitNamesTermIssuer holds the Details of a Limit Count of Issuer Names Constraint Term.
LimitNamesTermIssuerLong	LimitNamesTermIssuerLong holds the Details of Count of the Total Long Active Assets in the Holdings.
LimitNamesTermIssuerShort	LimitNamesTermIssuerShort holds the Details of Count of the Total Short Active Assets in the Holdings.
LimitNamesTermIssuerTotal	LimitNamesTermIssuerTotal holds the Details of Count of the Total Active Assets in the Holdings.
LimitRiskTerm	LimitRiskTerm holds the Details of a Limit Risk Constraint Term.
LimitRiskTermMarginal	LimitRiskTermMarginal holds the Details of a Relative Marginal Contribution Based Limit Risk Constraint Term.
LimitRiskTermVariance	LimitRiskTermVariance holds the Details of a Variance Based Limit Risk Constraint Term.
LimitTaxTerm	LimitTaxTerm holds the Details of a Limit Tax Constraint Term.
LimitTaxTermGrossGains	LimitTaxTermGrossGains holds the Details of a Limit Gross Tax Gains Constraint Term.
LimitTaxTermGrossLoss	LimitTaxTermGrossLoss holds the Details of a Limit Gross Tax Loss Constraint Term.
LimitTaxTermLiability	LimitTaxTermLiability holds the Details of a Limit Tax Liability Constraint Term.
LimitTaxTermLongGains	LimitTaxTermLongGains holds the Details of a Limit Long Term Tax Gains Constraint Term.
LimitTaxTermNetGains	LimitTaxTermNetGains holds the Details of a Limit Net Tax Gains Constraint Term.
LimitTaxTermNetLoss	LimitTaxTermNetLoss holds the Details of a Limit Net Tax Loss Constraint Term.
LimitThresholdTermIssuer	LimitThresholdTermIssuer abstracts the Issuer Target Portfolio Holdings as long as they are not Zero.
LimitThresholdTermIssuerLong	LimitThresholdTermIssuerLong implements the Issuer Long Portfolio Holdings as long as they are not Zero.
LimitThresholdTermIssuerNet	LimitThresholdTermIssuerNet implements the Issuer Net Portfolio Holdings as long as they are not Zero.
LimitThresholdTermIssuerShort	LimitThresholdTermIssuerShort implements the Issuer Short Portfolio Holdings as long as they are not Zero.
LimitTradesTermIssuer	LimitTradesTermIssuer abstracts the Issuer Targets the Count of Portfolio Trades.
LimitTradesTermIssuerBuy	LimitTradesTermIssuerBuy abstracts the Issuer Targets the Count of Total Buy Portfolio Trades.
LimitTradesTermIssuerSell	LimitTradesTermIssuerSell abstracts the Issuer Targets the Count of Total Sell Portfolio Trades.
LimitTradesTermIssuerTotal	LimitTradesTermIssuerTotal abstracts the Issuer Targets the Count of Total Portfolio Trades.
LimitTurnoverTermIssuer	LimitTurnoverTermIssuer abstracts the Issuer Targets the Turnover of Portfolio Trades.
LimitTurnoverTermIssuerBuy	LimitTuroverTermIssuerBuy abstracts the Issuer Targets the Turnover of Total Buy Portfolio Trades.
LimitTurnoverTermIssuerNet	LimitTurnoverTermIssuerNet abstracts the Issuer Targets the Turnover of Total Net Portfolio Trades.
LimitTurnoverTermIssuerSell	LimitTurnoverTermIssuerSell abstracts the Issuer Targets the Turnover of Total Sell Portfolio Trades.
LimitTurnoverTermIssuerShort	LimitTurnoverTermIssuerShort abstracts the Issuer Targets the Turnover of Total Short Portfolio Trades.