Portfolio.java

  1. package org.drip.portfolioconstruction.asset;

  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>Portfolio</i> implements an Instance of the Portfolio of Assets.
  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/asset/README.md">Asset Characteristics, Bounds, Portfolio Benchmarks</a></li>
  89.  *  </ul>
  90.  *
  91.  * @author Lakshmi Krishnamurthy
  92.  */

  94. public class Portfolio
  95. {
  96.     private org.drip.portfolioconstruction.asset.AssetComponent[] _assetComponentArray = null;

  98.     /**
  99.      * Construct a Portfolio Instance from the Array of Asset ID's and their Amounts
  100.      * 
  101.      * @param assetIDArray Array of Asset IDs
  102.      * @param amountArray Array of Amounts
  103.      * 
  104.      * @return The Portfolio Instance
  105.      */

  107.     public static final Portfolio Standard (
  108.         final java.lang.String[] assetIDArray,
  109.         final double[] amountArray)
  110.     {
  111.         if (null == assetIDArray || null == amountArray)
  112.         {
  113.             return null;
  114.         }

  116.         int assetCount = assetIDArray.length;
  117.         org.drip.portfolioconstruction.asset.AssetComponent[] assetComponentArray = 0 == assetCount ?
  118.             null : new org.drip.portfolioconstruction.asset.AssetComponent[assetCount];

  120.         if (0 == assetCount || assetCount != amountArray.length)
  121.         {
  122.             return null;
  123.         }

  125.         try
  126.         {
  127.             for (int assetIndex = 0; assetIndex < assetCount; ++assetIndex)
  128.             {
  129.                 assetComponentArray[assetIndex] = new org.drip.portfolioconstruction.asset.AssetComponent (
  130.                     assetIDArray[assetIndex],
  131.                     amountArray[assetIndex]
  132.                 );
  133.             }

  135.             return new Portfolio (assetComponentArray);
  136.         }
  137.         catch (java.lang.Exception e)
  138.         {
  139.             e.printStackTrace();
  140.         }

  142.         return null;
  143.     }

  145.     /**
  146.      * Portfolio Constructor
  147.      * 
  148.      * @param assetComponentArray Array of the Asset Components
  149.      * 
  150.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  151.      */

  153.     public Portfolio (
  154.         final org.drip.portfolioconstruction.asset.AssetComponent[] assetComponentArray)
  155.         throws java.lang.Exception
  156.     {
  157.         if (null == (_assetComponentArray = assetComponentArray))
  158.         {
  159.             throw new java.lang.Exception ("Portfolio Constructor => Invalid Inputs");
  160.         }

  162.         int assetCount = _assetComponentArray.length;

  164.         if (0 == assetCount)
  165.         {
  166.             throw new java.lang.Exception ("Portfolio Constructor => Invalid Inputs");
  167.         }

  169.         for (int assetIndex = 0; assetIndex < assetCount; ++assetIndex)
  170.         {
  171.             if (null == _assetComponentArray[assetIndex])
  172.             {
  173.                 throw new java.lang.Exception ("Portfolio Constructor => Invalid Inputs");
  174.             }
  175.         }
  176.     }

  178.     /**
  179.      * Retrieve the Array of the Asset Components
  180.      * 
  181.      * @return Array of the Asset Components
  182.      */

  184.     public org.drip.portfolioconstruction.asset.AssetComponent[] assetComponentArray()
  185.     {
  186.         return _assetComponentArray;
  187.     }

  189.     /**
  190.      * Retrieve the Notional of the Portfolio
  191.      * 
  192.      * @return Notional of the Portfolio
  193.      */

  195.     public double notional()
  196.     {
  197.         double notional = 0.;
  198.         int assetCount = _assetComponentArray.length;

  200.         for (int assetIndex = 0; assetIndex < assetCount; ++assetIndex)
  201.         {
  202.             notional += _assetComponentArray[assetIndex].amount();
  203.         }

  205.         return notional;
  206.     }

  208.     /**
  209.      * Retrieve the Array of Asset IDs
  210.      * 
  211.      * @return The Array of Asset IDs
  212.      */

  214.     public java.lang.String[] assetIDArray()
  215.     {
  216.         int assetCount = _assetComponentArray.length;
  217.         java.lang.String[] assetIDArray = new java.lang.String[assetCount];

  219.         for (int assetIndex = 0; assetIndex < assetCount; ++assetIndex)
  220.         {
  221.             assetIDArray[assetIndex] = _assetComponentArray[assetIndex].id();
  222.         }

  224.         return assetIDArray;
  225.     }

  227.     /**
  228.      * Retrieve the Multivariate Meta Instance around the Assets
  229.      * 
  230.      * @return The Multivariate Meta Instance around the Assets
  231.      */

  233.     public org.drip.measure.continuous.MultivariateMeta meta()
  234.     {
  235.         try
  236.         {
  237.             return new org.drip.measure.continuous.MultivariateMeta (assetIDArray());
  238.         }
  239.         catch (java.lang.Exception e)
  240.         {
  241.             e.printStackTrace();
  242.         }

  244.         return null;
  245.     }

  247.     /**
  248.      * Retrieve the Array of Asset Weights
  249.      * 
  250.      * @return The Array of Asset Weights
  251.      */

  253.     public double[] weightArray()
  254.     {
  255.         int assetCount = _assetComponentArray.length;
  256.         double[] weightArray = new double[assetCount];

  258.         for (int assetIndex = 0; assetIndex < assetCount; ++assetIndex)
  259.         {
  260.             weightArray[assetIndex] = _assetComponentArray[assetIndex].amount();
  261.         }

  263.         return weightArray;
  264.     }

  266.     /**
  267.      * Retrieve the Asset Component with the Lowest Weight
  268.      * 
  269.      * @return The Asset Component with the Lowest Weight
  270.      */

  272.     public org.drip.portfolioconstruction.asset.AssetComponent lowestWeightAsset()
  273.     {
  274.         int assetCount = _assetComponentArray.length;
  275.         org.drip.portfolioconstruction.asset.AssetComponent lowestWeightAsset = _assetComponentArray[0];

  277.         double lowestWeight = _assetComponentArray[0].amount();

  279.         for (int assetIndex = 0; assetIndex < assetCount; ++assetIndex)
  280.         {
  281.             double amount = _assetComponentArray[assetIndex].amount();

  283.             if (amount < lowestWeight)
  284.             {
  285.                 lowestWeightAsset = _assetComponentArray[assetIndex];
  286.                 lowestWeight = amount;
  287.             }
  288.         }

  290.         return lowestWeightAsset;
  291.     }

  293.     /**
  294.      * Retrieve the Asset Component with the Highest Weight
  295.      * 
  296.      * @return The Asset Component with the Highest Weight
  297.      */

  299.     public org.drip.portfolioconstruction.asset.AssetComponent highestWeightAsset()
  300.     {
  301.         int assetCount = _assetComponentArray.length;
  302.         org.drip.portfolioconstruction.asset.AssetComponent highestWeightAsset = _assetComponentArray[0];

  304.         double highestWeight = _assetComponentArray[0].amount();

  306.         for (int assetIndex = 0; assetIndex < assetCount; ++assetIndex)
  307.         {
  308.             double amount = _assetComponentArray[assetIndex].amount();

  310.             if (amount > highestWeight)
  311.             {
  312.                 highestWeightAsset = _assetComponentArray[assetIndex];
  313.                 highestWeight = amount;
  314.             }
  315.         }

  317.         return highestWeightAsset;
  318.     }

  320.     /**
  321.      * Retrieve the Portfolio Asset Cardinality
  322.      * 
  323.      * @return The Portfolio Asset Cardinality
  324.      */

  326.     public int cardinality()
  327.     {
  328.         int cardinality = 0;
  329.         int assetCount = _assetComponentArray.length;

  331.         for (int assetIndex = 0; assetIndex < assetCount; ++assetIndex)
  332.         {
  333.             if (0. !=  _assetComponentArray[assetIndex].amount())
  334.             {
  335.                 ++cardinality;
  336.             }
  337.         }

  339.         return cardinality;
  340.     }

  342.     /**
  343.      * Retrieve the Expected Returns of the Portfolio
  344.      * 
  345.      * @param assetUniverseStatisticalProperties The Asset Pool Statistical Properties Instance
  346.      * 
  347.      * @return Expected Returns of the Portfolio
  348.      * 
  349.      * @throws java.lang.Exception Thrown if the Expected Returns cannot be calculated
  350.      */

  352.     public double expectedReturn (
  353.         final org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
  354.             assetUniverseStatisticalProperties)
  355.         throws java.lang.Exception
  356.     {
  357.         int assetCount = _assetComponentArray.length;
  358.         double expectedReturn = 0.;

  360.         for (int assetIndex = 0; assetIndex < assetCount; ++assetIndex)
  361.         {
  362.             org.drip.portfolioconstruction.params.AssetStatisticalProperties assetStatisticalProperties =
  363.                 assetUniverseStatisticalProperties.assetStatisticalProperties
  364.                     (_assetComponentArray[assetIndex].id());

  366.             if (null == assetStatisticalProperties)
  367.             {
  368.                 throw new java.lang.Exception ("Portfolio::expectedReturn => Invalid Inputs");
  369.             }

  371.             expectedReturn += _assetComponentArray[assetIndex].amount() *
  372.                 assetStatisticalProperties.expectedReturn();
  373.         }

  375.         return expectedReturn;
  376.     }

  378.     /**
  379.      * Retrieve the Variance of the Portfolio
  380.      * 
  381.      * @param assetUniverseStatisticalProperties The Asset Pool Statistical Properties Instance
  382.      * 
  383.      * @return Variance of the Portfolio
  384.      * 
  385.      * @throws java.lang.Exception Thrown if the Variance cannot be calculated
  386.      */

  388.     public double variance (
  389.         final org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
  390.             assetUniverseStatisticalProperties)
  391.         throws java.lang.Exception
  392.     {
  393.         double variance = 0.;
  394.         int assetCount = _assetComponentArray.length;

  396.         for (int assetIndexI = 0; assetIndexI < assetCount; ++assetIndexI)
  397.         {
  398.             double amountI = _assetComponentArray[assetIndexI].amount();

  400.             java.lang.String idI = _assetComponentArray[assetIndexI].id();

  402.             org.drip.portfolioconstruction.params.AssetStatisticalProperties assetStatisticalPropertiesI =
  403.                 assetUniverseStatisticalProperties.assetStatisticalProperties (idI);

  405.             if (null == assetStatisticalPropertiesI)
  406.             {
  407.                 throw new java.lang.Exception ("Portfolio::variance => Invalid Inputs");
  408.             }

  410.             double varianceI = assetStatisticalPropertiesI.variance();

  412.             for (int assetIndexJ = 0; assetIndexJ < assetCount; ++assetIndexJ)
  413.             {
  414.                 java.lang.String idJ = _assetComponentArray[assetIndexJ].id();

  416.                 org.drip.portfolioconstruction.params.AssetStatisticalProperties assetStatisticalPropertiesJ
  417.                     = assetUniverseStatisticalProperties.assetStatisticalProperties (idJ);

  419.                 if (null == assetStatisticalPropertiesJ)
  420.                 {
  421.                     throw new java.lang.Exception ("Portfolio::variance => Invalid Inputs");
  422.                 }

  424.                 variance += amountI * _assetComponentArray[assetIndexJ].amount() * java.lang.Math.sqrt (
  425.                     varianceI * assetStatisticalPropertiesJ.variance()
  426.                 ) * (
  427.                     assetIndexI == assetIndexJ ? 1. : assetUniverseStatisticalProperties.correlation (
  428.                         idI,
  429.                         idJ
  430.                     )
  431.                 );
  432.             }
  433.         }

  435.         return variance;
  436.     }
  437. }
Created with JaCoCo 0.7.9.201702052155