Package org.drip.portfolioconstruction.optimizer

Core Portfolio Construction Optimizer Suite
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    ConstraintHierarchy
    ConstraintHierarchy holds the Details of a given set of Constraint Terms.
    ConstraintRealization
    ConstraintRealization holds the Realized Set of Values coming out of an Optimizer Run, along with the Bounds.
    ConstraintTerm
    ConstraintTerm holds the Details of a given Constraint Term.
    FormulationTerm
    FormulationTerm holds the Core Objective/Constraint Formulation Terms.
    ObjectiveFunction
    ObjectiveFunction holds the Terms composing the Objective Function and their Weights.
    ObjectiveTerm
    ObjectiveTerm holds the Details of a given Objective Term.
    ObjectiveTermUnit
    ObjectiveTermUnit holds the Details of a Single Objective Term that forms the Strategy.
    Rebalancer
    Rebalancer holds the Details of a given Rebalancing Run.
    RebalancerAnalytics
    RebalancerAnalytics holds the Analytics from a given Rebalancing Run.
    Scope
    Scope holds the Applicability "Zone" for a given Constraint Term.
    SoftConstraint
    SoftConstraint holds the Details of a Soft Constraint.
    Strategy
    Strategy holds the Details of a given Strategy.
    Unit
    Unit specifies the Denomination of the Limits for a given Constraint Term.