Package org.drip.portfolioconstruction.objective

Class ShortSellChargeTerm

java.lang.Object

org.drip.portfolioconstruction.core.Block

org.drip.portfolioconstruction.optimizer.FormulationTerm

org.drip.portfolioconstruction.optimizer.ObjectiveTerm

org.drip.portfolioconstruction.objective.TransactionChargeTerm

org.drip.portfolioconstruction.objective.ShortSellChargeTerm

public class ShortSellChargeTerm
extends TransactionChargeTerm

ShortSellChargeTerm implements the Objective Term that optimizes the Charge incurred by Short Sell Trades in the Target Portfolio from the Starting Allocation.

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

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
ShortSellChargeTerm(java.lang.String name, double[] initialHoldingsArray, TransactionCharge[] transactionChargeArray)	ShortSellChargeTerm Conastructor

Method Summary

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

Methods inherited from class org.drip.portfolioconstruction.objective.TransactionChargeTerm

transactionChargeArray

Methods inherited from class org.drip.portfolioconstruction.optimizer.ObjectiveTerm

initialHoldingsArray

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

ShortSellChargeTerm

public ShortSellChargeTerm(java.lang.String name,
double[] initialHoldingsArray,
TransactionCharge[] transactionChargeArray)
                    throws java.lang.Exception

ShortSellChargeTerm Conastructor

Parameters:

name - Name of the Objective Term

initialHoldingsArray - Initial Holdings

transactionChargeArray - Array of Asset Transaction Charge Instances

Throws:

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

Method Details

rdtoR1

public RdToR1 rdtoR1()

Description copied from class: FormulationTerm

The R^d To R¹ Formulation Term

Overrides:

rdtoR1 in class TransactionChargeTerm

Returns:

The R^d To R¹ Formulation Term