HoldingsAllocationControl.java

  1. package org.drip.portfolioconstruction.allocator;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * 
  14.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  15.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  16.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  17.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  18.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  19.  *      and computational support.
  20.  *  
  21.  *      https://lakshmidrip.github.io/DROP/
  22.  *  
  23.  *  DROP is composed of three modules:
  24.  *  
  25.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  26.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  27.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  28.  * 
  29.  *  DROP Product Core implements libraries for the following:
  30.  *  - Fixed Income Analytics
  31.  *  - Loan Analytics
  32.  *  - Transaction Cost Analytics
  33.  * 
  34.  *  DROP Portfolio Core implements libraries for the following:
  35.  *  - Asset Allocation Analytics
  36.  *  - Asset Liability Management Analytics
  37.  *  - Capital Estimation Analytics
  38.  *  - Exposure Analytics
  39.  *  - Margin Analytics
  40.  *  - XVA Analytics
  41.  * 
  42.  *  DROP Computational Core implements libraries for the following:
  43.  *  - Algorithm Support
  44.  *  - Computation Support
  45.  *  - Function Analysis
  46.  *  - Model Validation
  47.  *  - Numerical Analysis
  48.  *  - Numerical Optimizer
  49.  *  - Spline Builder
  50.  *  - Statistical Learning
  51.  * 
  52.  *  Documentation for DROP is Spread Over:
  53.  * 
  54.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  55.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  56.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  57.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  58.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  59.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  60.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  61.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  62.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  63.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  64.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  65.  * 
  66.  *  Licensed under the Apache License, Version 2.0 (the "License");
  67.  *      you may not use this file except in compliance with the License.
  68.  *   
  69.  *  You may obtain a copy of the License at
  70.  *      http://www.apache.org/licenses/LICENSE-2.0
  71.  *  
  72.  *  Unless required by applicable law or agreed to in writing, software
  73.  *      distributed under the License is distributed on an "AS IS" BASIS,
  74.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  75.  *  
  76.  *  See the License for the specific language governing permissions and
  77.  *      limitations under the License.
  78.  */

  80. /**
  81.  * <i>HoldingsAllocationControl</i> holds the Parameters needed to control the Portfolio Allocation.
  82.  *
  83.  *  <br><br>
  84.  *  <ul>
  85.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  86.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AssetAllocationAnalyticsLibrary.md">Asset Allocation Analytics</a></li>
  87.  *      <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>
  88.  *      <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>
  89.  *  </ul>
  90.  *
  91.  * @author Lakshmi Krishnamurthy
  92.  */

  94. public class HoldingsAllocationControl
  95. {
  96.     private java.lang.String[] _assetIDArray = null;
  97.     private org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings _customRiskUtilitySettings =
  98.         null;
  99.     private org.drip.portfolioconstruction.allocator.EqualityConstraintSettings
  100.         _equalityConstraintSettings = null;

  102.     /**
  103.      * HoldingsAllocationControl Constructor
  104.      * 
  105.      * @param assetIDArray Array of Asset IDs
  106.      * @param customRiskUtilitySettings The Custom Risk Utility Settings
  107.      * @param equalityConstraintSettings The Portfolio Equality Constraint Settings
  108.      * 
  109.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  110.      */

  112.     public HoldingsAllocationControl (
  113.         final java.lang.String[] assetIDArray,
  114.         final org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings customRiskUtilitySettings,
  115.         final org.drip.portfolioconstruction.allocator.EqualityConstraintSettings equalityConstraintSettings)
  116.         throws java.lang.Exception
  117.     {
  118.         if (null == (_assetIDArray = assetIDArray) || 0 == _assetIDArray.length ||
  119.             null == (_customRiskUtilitySettings = customRiskUtilitySettings) ||
  120.             null == (_equalityConstraintSettings = equalityConstraintSettings))
  121.         {
  122.             throw new java.lang.Exception ("HoldingsAllocationControl Constructor => Invalid Inputs");
  123.         }
  124.     }

  126.     /**
  127.      * Retrieve the Asset ID Array
  128.      * 
  129.      * @return The Asset ID Array
  130.      */

  132.     public java.lang.String[] assetIDArray()
  133.     {
  134.         return _assetIDArray;
  135.     }

  137.     /**
  138.      * Retrieve the Instance of the Custom Risk Utility Settings
  139.      * 
  140.      * @return The Custom Risk Utility Settings
  141.      */

  143.     public org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings customRiskUtilitySettings()
  144.     {
  145.         return _customRiskUtilitySettings;
  146.     }

  148.     /**
  149.      * Retrieve the Instance of the Portfolio Equality Constraint Settings
  150.      * 
  151.      * @return The Portfolio Equality Constraint Settings
  152.      */

  154.     public org.drip.portfolioconstruction.allocator.EqualityConstraintSettings equalityConstraintSettings()
  155.     {
  156.         return _equalityConstraintSettings;
  157.     }

  159.     /**
  160.      * Retrieve the Fully Invested Equality Constraint

  162.      * @return The Fully Invested Equality Constraint
  163.      */

  165.     public org.drip.function.definition.RdToR1 fullyInvestedConstraint()
  166.     {
  167.         try
  168.         {
  169.             return new org.drip.function.rdtor1.AffineMultivariate (
  170.                 org.drip.function.rdtor1.ObjectiveConstraintVariateSet.Unitary (_assetIDArray.length),
  171.                 -1.
  172.             );
  173.         }
  174.         catch (java.lang.Exception e)
  175.         {
  176.             e.printStackTrace();
  177.         }

  179.         return null;
  180.     }

  182.     /**
  183.      * Retrieve the Mandatory Returns Constraint
  184.      * 
  185.      * @param assetUniverseStatisticalProperties The Asset Universe Statistical Properties Instance
  186.      * 
  187.      * @return The Mandatory Returns Constraint
  188.      */

  190.     public org.drip.function.definition.RdToR1 returnsConstraint (
  191.         final org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
  192.             assetUniverseStatisticalProperties)
  193.     {
  194.         if (null == assetUniverseStatisticalProperties)
  195.         {
  196.             return null;
  197.         }

  199.         int assetCount = _assetIDArray.length;
  200.         double[] assetReturnsArray = new double[assetCount];

  202.         for (int assetIndex = 0; assetIndex < assetCount; ++assetIndex)
  203.         {
  204.             org.drip.portfolioconstruction.params.AssetStatisticalProperties assetStatisticalProperties =
  205.                 assetUniverseStatisticalProperties.assetStatisticalProperties (_assetIDArray[assetIndex]);

  207.             if (null == assetStatisticalProperties)
  208.             {
  209.                 return null;
  210.             }

  212.             assetReturnsArray[assetIndex] = assetStatisticalProperties.expectedReturn();
  213.         }

  215.         try
  216.         {
  217.             return new org.drip.function.rdtor1.AffineMultivariate (
  218.                 assetReturnsArray,
  219.                 -1. * _equalityConstraintSettings.returnsConstraint()
  220.             );
  221.         }
  222.         catch (java.lang.Exception e)
  223.         {
  224.             e.printStackTrace();
  225.         }

  227.         return null;
  228.     }

  230.     /**
  231.      * Retrieve the Equality Constraint R<sup>d</sup> To R<sup>1</sup> Corresponding to the Specified
  232.      *  Constraint Type
  233.      * 
  234.      * @param assetUniverseStatisticalProperties The Asset Universe Statistical Properties Instance
  235.      * 
  236.      * @return The Equality Constraint R<sup>d</sup> To R<sup>1</sup> Corresponding to the Specified
  237.      *  Constraint Type
  238.      */

  240.     public org.drip.function.definition.RdToR1[] equalityConstraintArray (
  241.         final org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
  242.             assetUniverseStatisticalProperties)
  243.     {
  244.         int constraintType = _equalityConstraintSettings.constraintType();

  246.         if (org.drip.portfolioconstruction.allocator.EqualityConstraintSettings.NO_CONSTRAINT ==
  247.             constraintType)
  248.         {
  249.             return null;
  250.         }

  252.         java.util.List<org.drip.function.definition.RdToR1> rdToR1ConstraintList = new
  253.             java.util.ArrayList<org.drip.function.definition.RdToR1>();

  255.         if (0 !=
  256.             (org.drip.portfolioconstruction.allocator.EqualityConstraintSettings.FULLY_INVESTED_CONSTRAINT
  257.             & constraintType))
  258.         {
  259.             rdToR1ConstraintList.add (fullyInvestedConstraint());
  260.         }

  262.         if (0 !=
  263.             (org.drip.portfolioconstruction.allocator.EqualityConstraintSettings.RETURNS_CONSTRAINT
  264.             & constraintType))
  265.         {
  266.             org.drip.function.definition.RdToR1 rdToR1ReturnsConstraint = returnsConstraint (
  267.                 assetUniverseStatisticalProperties
  268.             );

  270.             if (null == rdToR1ReturnsConstraint)
  271.             {
  272.                 return null;
  273.             }

  275.             rdToR1ConstraintList.add (rdToR1ReturnsConstraint);
  276.         }

  278.         int constraintCount = rdToR1ConstraintList.size();

  280.         org.drip.function.definition.RdToR1[] equalityConstraintArray =
  281.             new org.drip.function.definition.RdToR1[constraintCount];

  283.         for (int constraintIndex = 0; constraintIndex < constraintCount; ++constraintIndex)
  284.         {
  285.             equalityConstraintArray[constraintIndex] = rdToR1ConstraintList.get (constraintIndex);
  286.         }

  288.         return equalityConstraintArray;
  289.     }

  291.     /**
  292.      * Retrieve the Equality Constraint RHS Corresponding to the Specified Constraint Type
  293.      * 
  294.      * @return The Equality Constraint RHS Corresponding to the Specified Constraint Type
  295.      */

  297.     public double[] equalityConstraintRHS()
  298.     {
  299.         double returnsConstraint = _equalityConstraintSettings.returnsConstraint();

  301.         return org.drip.numerical.common.NumberUtil.IsValid (returnsConstraint) ? new double[] {
  302.             1.,
  303.             returnsConstraint
  304.         } : new double[] {
  305.             1.
  306.         };
  307.     }
  308. }
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