HoldingsAllocationControl.java
package org.drip.portfolioconstruction.allocator;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>HoldingsAllocationControl</i> holds the Parameters needed to control the Portfolio Allocation.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AssetAllocationAnalyticsLibrary.md">Asset Allocation Analytics</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/portfolioconstruction/README.md">Portfolio Construction under Allocation Constraints</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/portfolioconstruction/allocator/README.md">MVO Based Portfolio Allocation Construction</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class HoldingsAllocationControl
{
private java.lang.String[] _assetIDArray = null;
private org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings _customRiskUtilitySettings =
null;
private org.drip.portfolioconstruction.allocator.EqualityConstraintSettings
_equalityConstraintSettings = null;
/**
* HoldingsAllocationControl Constructor
*
* @param assetIDArray Array of Asset IDs
* @param customRiskUtilitySettings The Custom Risk Utility Settings
* @param equalityConstraintSettings The Portfolio Equality Constraint Settings
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public HoldingsAllocationControl (
final java.lang.String[] assetIDArray,
final org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings customRiskUtilitySettings,
final org.drip.portfolioconstruction.allocator.EqualityConstraintSettings equalityConstraintSettings)
throws java.lang.Exception
{
if (null == (_assetIDArray = assetIDArray) || 0 == _assetIDArray.length ||
null == (_customRiskUtilitySettings = customRiskUtilitySettings) ||
null == (_equalityConstraintSettings = equalityConstraintSettings))
{
throw new java.lang.Exception ("HoldingsAllocationControl Constructor => Invalid Inputs");
}
}
/**
* Retrieve the Asset ID Array
*
* @return The Asset ID Array
*/
public java.lang.String[] assetIDArray()
{
return _assetIDArray;
}
/**
* Retrieve the Instance of the Custom Risk Utility Settings
*
* @return The Custom Risk Utility Settings
*/
public org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings customRiskUtilitySettings()
{
return _customRiskUtilitySettings;
}
/**
* Retrieve the Instance of the Portfolio Equality Constraint Settings
*
* @return The Portfolio Equality Constraint Settings
*/
public org.drip.portfolioconstruction.allocator.EqualityConstraintSettings equalityConstraintSettings()
{
return _equalityConstraintSettings;
}
/**
* Retrieve the Fully Invested Equality Constraint
* @return The Fully Invested Equality Constraint
*/
public org.drip.function.definition.RdToR1 fullyInvestedConstraint()
{
try
{
return new org.drip.function.rdtor1.AffineMultivariate (
org.drip.function.rdtor1.ObjectiveConstraintVariateSet.Unitary (_assetIDArray.length),
-1.
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Retrieve the Mandatory Returns Constraint
*
* @param assetUniverseStatisticalProperties The Asset Universe Statistical Properties Instance
*
* @return The Mandatory Returns Constraint
*/
public org.drip.function.definition.RdToR1 returnsConstraint (
final org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
assetUniverseStatisticalProperties)
{
if (null == assetUniverseStatisticalProperties)
{
return null;
}
int assetCount = _assetIDArray.length;
double[] assetReturnsArray = new double[assetCount];
for (int assetIndex = 0; assetIndex < assetCount; ++assetIndex)
{
org.drip.portfolioconstruction.params.AssetStatisticalProperties assetStatisticalProperties =
assetUniverseStatisticalProperties.assetStatisticalProperties (_assetIDArray[assetIndex]);
if (null == assetStatisticalProperties)
{
return null;
}
assetReturnsArray[assetIndex] = assetStatisticalProperties.expectedReturn();
}
try
{
return new org.drip.function.rdtor1.AffineMultivariate (
assetReturnsArray,
-1. * _equalityConstraintSettings.returnsConstraint()
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Retrieve the Equality Constraint R<sup>d</sup> To R<sup>1</sup> Corresponding to the Specified
* Constraint Type
*
* @param assetUniverseStatisticalProperties The Asset Universe Statistical Properties Instance
*
* @return The Equality Constraint R<sup>d</sup> To R<sup>1</sup> Corresponding to the Specified
* Constraint Type
*/
public org.drip.function.definition.RdToR1[] equalityConstraintArray (
final org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
assetUniverseStatisticalProperties)
{
int constraintType = _equalityConstraintSettings.constraintType();
if (org.drip.portfolioconstruction.allocator.EqualityConstraintSettings.NO_CONSTRAINT ==
constraintType)
{
return null;
}
java.util.List<org.drip.function.definition.RdToR1> rdToR1ConstraintList = new
java.util.ArrayList<org.drip.function.definition.RdToR1>();
if (0 !=
(org.drip.portfolioconstruction.allocator.EqualityConstraintSettings.FULLY_INVESTED_CONSTRAINT
& constraintType))
{
rdToR1ConstraintList.add (fullyInvestedConstraint());
}
if (0 !=
(org.drip.portfolioconstruction.allocator.EqualityConstraintSettings.RETURNS_CONSTRAINT
& constraintType))
{
org.drip.function.definition.RdToR1 rdToR1ReturnsConstraint = returnsConstraint (
assetUniverseStatisticalProperties
);
if (null == rdToR1ReturnsConstraint)
{
return null;
}
rdToR1ConstraintList.add (rdToR1ReturnsConstraint);
}
int constraintCount = rdToR1ConstraintList.size();
org.drip.function.definition.RdToR1[] equalityConstraintArray =
new org.drip.function.definition.RdToR1[constraintCount];
for (int constraintIndex = 0; constraintIndex < constraintCount; ++constraintIndex)
{
equalityConstraintArray[constraintIndex] = rdToR1ConstraintList.get (constraintIndex);
}
return equalityConstraintArray;
}
/**
* Retrieve the Equality Constraint RHS Corresponding to the Specified Constraint Type
*
* @return The Equality Constraint RHS Corresponding to the Specified Constraint Type
*/
public double[] equalityConstraintRHS()
{
double returnsConstraint = _equalityConstraintSettings.returnsConstraint();
return org.drip.numerical.common.NumberUtil.IsValid (returnsConstraint) ? new double[] {
1.,
returnsConstraint
} : new double[] {
1.
};
}
}