Package org.drip.portfolioconstruction.optimizer

Class Strategy

java.lang.Object

org.drip.portfolioconstruction.core.Block

org.drip.portfolioconstruction.optimizer.Strategy

public class Strategy
extends Block

Strategy holds the Details of a given Strategy.

• 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
Strategy(java.lang.String name, java.lang.String id, java.lang.String description, ObjectiveFunction objectiveFunction, ConstraintHierarchy constraintHierarchy, boolean allowGrandFathering, boolean allowCrossOver, boolean ignoreCompliance)	Strategy Constructor

Method Summary

Modifier and Type	Method	Description
boolean	allowCrossOver()	Indicate if Cross Over is allowed
boolean	allowGrandFathering()	Indicate if Grand-fathering of the "Previous" is to be performed
double[]	constraintAttributes()	Retrieve the Array of Constraint Attributes
ConstraintHierarchy	constraintHierarchy()	Retrieve the Constraint Hierarchy
boolean	ignoreCompliance()	Indicate if Compliance Checks are to be ignored
ObjectiveFunction	objectiveFunction()	Retrieve the Objective Function

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

Strategy

public Strategy(java.lang.String name,
java.lang.String id,
java.lang.String description,
ObjectiveFunction objectiveFunction,
ConstraintHierarchy constraintHierarchy,
boolean allowGrandFathering,
boolean allowCrossOver,
boolean ignoreCompliance)
         throws java.lang.Exception

Strategy Constructor

Parameters:

name - The Constraint Name

id - The Constraint ID

description - The Constraint Description

objectiveFunction - The Objective Function

constraintHierarchy - Constraint Hierarchy

allowGrandFathering - TRUE - Grand-fathering of the "Previous" is to be performed

allowCrossOver - TRUE - Cross-Over is allowed

ignoreCompliance - TRUE - Ignore Compliance

Throws:

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

Method Details

allowGrandFathering

public boolean allowGrandFathering()

Indicate if Grand-fathering of the "Previous" is to be performed

Returns:

TRUE - Grand-fathering of the "Previous" is to be performed

allowCrossOver

public boolean allowCrossOver()

Indicate if Cross Over is allowed

Returns:

TRUE - Cross-Over is allowed

ignoreCompliance

public boolean ignoreCompliance()

Indicate if Compliance Checks are to be ignored

Returns:

TRUE - Compliance Checks are to be ignored

objectiveFunction

public ObjectiveFunction objectiveFunction()

Retrieve the Objective Function

Returns:

The Objective Function

constraintHierarchy

public ConstraintHierarchy constraintHierarchy()

Retrieve the Constraint Hierarchy

Returns:

The Constraint Hierarchy

constraintAttributes

public double[] constraintAttributes()

Retrieve the Array of Constraint Attributes

Returns:

The Array of Constraint Attributes