TadonkiVialHoldingsAllocation.java
package org.drip.portfolioconstruction.cardinality;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 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>TadonkiVialHoldingsAllocation</i> holds the Results of the Allocation performed using the Tadonki and
* Vial (2004) Heuristic Scheme. The References are:
*
* <br><br>
* <ul>
* <li>
* Chang, T., J., N. Meade, J. E. Beasley, and Y. M. Sharaiha (2000): Heuristics for Cardinality
* Constrained Portfolio Optimization <i>Computers and Operations Research</i> <b>27 (13)</b>
* 1271-1302
* </li>
* <li>
* Chvatal, V. (1973): Edmonds Polytopes in a Hierarchy of Combinatorial Problems <i>Discrete
* Mathematics</i> <b>4 (4)</b> 305-337
* </li>
* <li>
* Jobst, N. J., M. D. Horniman, C. A. Lucas, and G. Mitra (2001): Computational Aspects of
* Alternative Portfolio Selection Models in the Presence of Discrete Asset Choice Constraints
* <i>Quantitative Finance</i> <b>1 (5)</b> 1-13
* </li>
* <li>
* Letchford, A. N. and A. Lodi (2002): Strengthening Chvatal-Gomory Cuts and Gomory Fractional Cuts
* <i>Operations Research Letters</i> <b>30 (2)</b> 74-82
* </li>
* <li>
* Tadonki, C., and J. P. Vial (2004): Portfolio Selection with Cardinality and Bound Constraints
* https://www.cri.ensmp.fr/~tadonki/PaperForWeb/Tadonki_PF.pdf
* </li>
* </ul>
*
* <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 TadonkiVialHoldingsAllocation
extends org.drip.portfolioconstruction.allocator.HoldingsAllocation
{
private org.drip.portfolioconstruction.allocator.HoldingsAllocation _floorPassHoldingsAllocation = null;
private org.drip.portfolioconstruction.allocator.HoldingsAllocation _firstPrunePassHoldingsAllocation =
null;
private org.drip.portfolioconstruction.allocator.HoldingsAllocation _secondPrunePassHoldingsAllocation =
null;
/**
* Generate a Standard Instance of the Tadonki Vial Holdings Allocation
*
* @param holdingsAllocation The Holdings Allocation
*
* @return Tadonki Vial Holdings Allocation
*/
public static final TadonkiVialHoldingsAllocation Standard (
final org.drip.portfolioconstruction.allocator.HoldingsAllocation holdingsAllocation)
{
try
{
return null == holdingsAllocation ? null :
new org.drip.portfolioconstruction.cardinality.TadonkiVialHoldingsAllocation (
holdingsAllocation.optimalPortfolio(),
holdingsAllocation.optimalMetrics()
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* TadonkiVialHoldingsAllocation Constructor
*
* @param optimalPortfolio The Optimal Portfolio
* @param optimalPortfolioMetrics The Optimal Portfolio Metrics
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public TadonkiVialHoldingsAllocation (
final org.drip.portfolioconstruction.asset.Portfolio optimalPortfolio,
final org.drip.portfolioconstruction.asset.PortfolioMetrics optimalPortfolioMetrics)
throws java.lang.Exception
{
super (
optimalPortfolio,
optimalPortfolioMetrics
);
}
/**
* Retrieve the Floor Pass Holdings Allocation
*
* @return The Floor Pass Holdings Allocation
*/
public org.drip.portfolioconstruction.allocator.HoldingsAllocation floorPassHoldingsAllocation()
{
return _floorPassHoldingsAllocation;
}
/**
* Retrieve the First Prune Pass Holdings Allocation
*
* @return The First Prune Pass Holdings Allocation
*/
public org.drip.portfolioconstruction.allocator.HoldingsAllocation firstPrunePassHoldingsAllocation()
{
return _firstPrunePassHoldingsAllocation;
}
/**
* Retrieve the Second Prune Pass Holdings Allocation
*
* @return The Second Prune Pass Holdings Allocation
*/
public org.drip.portfolioconstruction.allocator.HoldingsAllocation secondPrunePassHoldingsAllocation()
{
return _secondPrunePassHoldingsAllocation;
}
/**
* Set the Floor Pass Holdings Allocation
*
* @param floorPassHoldingsAllocation The Floor Pass Holdings Allocation
*
* @return TRUE - The Floor Pass Holdings Allocation successfully set
*/
public boolean setFloorPassHoldingsAllocation (
final org.drip.portfolioconstruction.allocator.HoldingsAllocation floorPassHoldingsAllocation)
{
if (null == floorPassHoldingsAllocation)
{
return false;
}
_floorPassHoldingsAllocation = floorPassHoldingsAllocation;
return true;
}
/**
* Set the First Prune Pass Holdings Allocation
*
* @param firstPrunePassHoldingsAllocation The First Prune Pass Holdings Allocation
*
* @return TRUE - The First Prune Pass Holdings Allocation successfully set
*/
public boolean setFirstPrunePassHoldingsAllocation (
final org.drip.portfolioconstruction.allocator.HoldingsAllocation firstPrunePassHoldingsAllocation)
{
if (null == firstPrunePassHoldingsAllocation)
{
return false;
}
_firstPrunePassHoldingsAllocation = firstPrunePassHoldingsAllocation;
return true;
}
/**
* Set the Second Prune Pass Holdings Allocation
*
* @param secondPrunePassHoldingsAllocation The Second Prune Pass Holdings Allocation
*
* @return TRUE - The Second Prune Pass Holdings Allocation successfully set
*/
public boolean setSecondPrunePassHoldingsAllocation (
final org.drip.portfolioconstruction.allocator.HoldingsAllocation secondPrunePassHoldingsAllocation)
{
if (null == secondPrunePassHoldingsAllocation)
{
return false;
}
_secondPrunePassHoldingsAllocation = secondPrunePassHoldingsAllocation;
return true;
}
}