Package org.drip.portfolioconstruction.optimizer

Class RebalancerAnalytics

java.lang.Object

org.drip.portfolioconstruction.optimizer.RebalancerAnalytics

public class RebalancerAnalytics
extends java.lang.Object

RebalancerAnalytics holds the Analytics from a given Rebalancing Run.

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

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
RebalancerAnalytics(double objectiveValue, Holdings finalHoldings, CaseInsensitiveHashMap<java.lang.Double> objectiveTermRealizationMap, CaseInsensitiveHashMap<ConstraintRealization> constraintRealizationMap, PortfolioMetrics portfolioMetrics, PortfolioBenchmarkMetrics portfolioBenchmarkMetrics)	RebalancerAnalytics Constructor

Method Summary

Modifier and Type	Method	Description
java.util.Map<java.lang.String,ConstraintRealization>	constraintRealizationMap()	Retrieve the Map of Constraint Realizations
Holdings	finalHoldings()	Retrieve the Final Holdings of the Optimizer Run
java.util.Map<java.lang.String,java.lang.Double>	objectiveTermRealizationMap()	Retrieve the Map of Objective Term Realizations
double	objectiveValue()	Retrieve the Objective Function Value
PortfolioBenchmarkMetrics	portfolioBenchmarkMetrics()	Retrieve the Portfolio Benchmark Metrics
PortfolioMetrics	portfolioMetrics()	Retrieve the Portfolio Metrics

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

RebalancerAnalytics

public RebalancerAnalytics(double objectiveValue,
Holdings finalHoldings,
CaseInsensitiveHashMap<java.lang.Double> objectiveTermRealizationMap,
CaseInsensitiveHashMap<ConstraintRealization> constraintRealizationMap,
PortfolioMetrics portfolioMetrics,
PortfolioBenchmarkMetrics portfolioBenchmarkMetrics)
                    throws java.lang.Exception

RebalancerAnalytics Constructor

Parameters:

objectiveValue - The Objective Value

finalHoldings - The Final Holdings

objectiveTermRealizationMap - Map of the Realized Objective Terms

constraintRealizationMap - Map of the Constraint Terms

portfolioMetrics - Portfolio Metrics

portfolioBenchmarkMetrics - Portfolio Benchmark Metrics

Throws:

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

Method Details

objectiveValue

public double objectiveValue()

Retrieve the Objective Function Value

Returns:

Objective Function Value

portfolioMetrics

public PortfolioMetrics portfolioMetrics()

Retrieve the Portfolio Metrics

Returns:

The Portfolio Metrics

portfolioBenchmarkMetrics

public PortfolioBenchmarkMetrics portfolioBenchmarkMetrics()

Retrieve the Portfolio Benchmark Metrics

Returns:

The Portfolio Benchmark Metrics

finalHoldings

public Holdings finalHoldings()

Retrieve the Final Holdings of the Optimizer Run

Returns:

Final Holdings of the Optimizer Run

constraintRealizationMap

public java.util.Map<java.lang.String,ConstraintRealization> constraintRealizationMap()

Retrieve the Map of Constraint Realizations

Returns:

Map of Constraint Realizations

objectiveTermRealizationMap

public java.util.Map<java.lang.String,java.lang.Double> objectiveTermRealizationMap()

Retrieve the Map of Objective Term Realizations

Returns:

Map of Objective Term Realizations