TadonkiVialHoldingsAllocation.java

  1. package org.drip.portfolioconstruction.cardinality;

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

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

  76. /**
  77.  * <i>TadonkiVialHoldingsAllocation</i> holds the Results of the Allocation performed using the Tadonki and
  78.  *  Vial (2004) Heuristic Scheme. The References are:
  79.  * 
  80.  * <br><br>
  81.  *  <ul>
  82.  *      <li>
  83.  *          Chang, T., J., N. Meade, J. E. Beasley, and Y. M. Sharaiha (2000): Heuristics for Cardinality
  84.  *              Constrained Portfolio Optimization <i>Computers and Operations Research</i> <b>27 (13)</b>
  85.  *              1271-1302
  86.  *      </li>
  87.  *      <li>
  88.  *          Chvatal, V. (1973): Edmonds Polytopes in a Hierarchy of Combinatorial Problems <i>Discrete
  89.  *              Mathematics</i> <b>4 (4)</b> 305-337
  90.  *      </li>
  91.  *      <li>
  92.  *          Jobst, N. J., M. D. Horniman, C. A. Lucas, and G. Mitra (2001): Computational Aspects of
  93.  *              Alternative Portfolio Selection Models in the Presence of Discrete Asset Choice Constraints
  94.  *              <i>Quantitative Finance</i> <b>1 (5)</b> 1-13
  95.  *      </li>
  96.  *      <li>
  97.  *          Letchford, A. N. and A. Lodi (2002): Strengthening Chvatal-Gomory Cuts and Gomory Fractional Cuts
  98.  *              <i>Operations Research Letters</i> <b>30 (2)</b> 74-82
  99.  *      </li>
  100.  *      <li>
  101.  *          Tadonki, C., and J. P. Vial (2004): Portfolio Selection with Cardinality and Bound Constraints
  102.  *              https://www.cri.ensmp.fr/~tadonki/PaperForWeb/Tadonki_PF.pdf
  103.  *      </li>
  104.  *  </ul>
  105.  *
  106.  *  <br><br>
  107.  *  <ul>
  108.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  109.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AssetAllocationAnalyticsLibrary.md">Asset Allocation Analytics</a></li>
  110.  *      <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>
  111.  *      <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>
  112.  *  </ul>
  113.  *
  114.  * @author Lakshmi Krishnamurthy
  115.  */

  117. public class TadonkiVialHoldingsAllocation
  118.     extends org.drip.portfolioconstruction.allocator.HoldingsAllocation
  119. {
  120.     private org.drip.portfolioconstruction.allocator.HoldingsAllocation _floorPassHoldingsAllocation = null;
  121.     private org.drip.portfolioconstruction.allocator.HoldingsAllocation _firstPrunePassHoldingsAllocation =
  122.         null;
  123.     private org.drip.portfolioconstruction.allocator.HoldingsAllocation _secondPrunePassHoldingsAllocation =
  124.         null;

  126.     /**
  127.      * Generate a Standard Instance of the Tadonki Vial Holdings Allocation
  128.      * 
  129.      * @param holdingsAllocation The Holdings Allocation
  130.      * 
  131.      * @return Tadonki Vial Holdings Allocation
  132.      */

  134.     public static final TadonkiVialHoldingsAllocation Standard (
  135.         final org.drip.portfolioconstruction.allocator.HoldingsAllocation holdingsAllocation)
  136.     {
  137.         try
  138.         {
  139.             return null == holdingsAllocation ? null :
  140.                 new org.drip.portfolioconstruction.cardinality.TadonkiVialHoldingsAllocation (
  141.                     holdingsAllocation.optimalPortfolio(),
  142.                     holdingsAllocation.optimalMetrics()
  143.                 );
  144.         }
  145.         catch (java.lang.Exception e)
  146.         {
  147.             e.printStackTrace();
  148.         }

  150.         return null;
  151.     }

  153.     /**
  154.      * TadonkiVialHoldingsAllocation Constructor
  155.      * 
  156.      * @param optimalPortfolio The Optimal Portfolio
  157.      * @param optimalPortfolioMetrics The Optimal Portfolio Metrics
  158.      * 
  159.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  160.      */

  162.     public TadonkiVialHoldingsAllocation (
  163.         final org.drip.portfolioconstruction.asset.Portfolio optimalPortfolio,
  164.         final org.drip.portfolioconstruction.asset.PortfolioMetrics optimalPortfolioMetrics)
  165.         throws java.lang.Exception
  166.     {
  167.         super (
  168.             optimalPortfolio,
  169.             optimalPortfolioMetrics
  170.         );
  171.     }

  173.     /**
  174.      * Retrieve the Floor Pass Holdings Allocation
  175.      * 
  176.      * @return The Floor Pass Holdings Allocation
  177.      */

  179.     public org.drip.portfolioconstruction.allocator.HoldingsAllocation floorPassHoldingsAllocation()
  180.     {
  181.         return _floorPassHoldingsAllocation;
  182.     }

  184.     /**
  185.      * Retrieve the First Prune Pass Holdings Allocation
  186.      * 
  187.      * @return The First Prune Pass Holdings Allocation
  188.      */

  190.     public org.drip.portfolioconstruction.allocator.HoldingsAllocation firstPrunePassHoldingsAllocation()
  191.     {
  192.         return _firstPrunePassHoldingsAllocation;
  193.     }

  195.     /**
  196.      * Retrieve the Second Prune Pass Holdings Allocation
  197.      * 
  198.      * @return The Second Prune Pass Holdings Allocation
  199.      */

  201.     public org.drip.portfolioconstruction.allocator.HoldingsAllocation secondPrunePassHoldingsAllocation()
  202.     {
  203.         return _secondPrunePassHoldingsAllocation;
  204.     }

  206.     /**
  207.      * Set the Floor Pass Holdings Allocation
  208.      * 
  209.      * @param floorPassHoldingsAllocation The Floor Pass Holdings Allocation
  210.      * 
  211.      * @return TRUE - The Floor Pass Holdings Allocation successfully set
  212.      */

  214.     public boolean setFloorPassHoldingsAllocation (
  215.         final org.drip.portfolioconstruction.allocator.HoldingsAllocation floorPassHoldingsAllocation)
  216.     {
  217.         if (null == floorPassHoldingsAllocation)
  218.         {
  219.             return false;
  220.         }

  222.         _floorPassHoldingsAllocation = floorPassHoldingsAllocation;
  223.         return true;
  224.     }

  226.     /**
  227.      * Set the First Prune Pass Holdings Allocation
  228.      * 
  229.      * @param firstPrunePassHoldingsAllocation The First Prune Pass Holdings Allocation
  230.      * 
  231.      * @return TRUE - The First Prune Pass Holdings Allocation successfully set
  232.      */

  234.     public boolean setFirstPrunePassHoldingsAllocation (
  235.         final org.drip.portfolioconstruction.allocator.HoldingsAllocation firstPrunePassHoldingsAllocation)
  236.     {
  237.         if (null == firstPrunePassHoldingsAllocation)
  238.         {
  239.             return false;
  240.         }

  242.         _firstPrunePassHoldingsAllocation = firstPrunePassHoldingsAllocation;
  243.         return true;
  244.     }

  246.     /**
  247.      * Set the Second Prune Pass Holdings Allocation
  248.      * 
  249.      * @param secondPrunePassHoldingsAllocation The Second Prune Pass Holdings Allocation
  250.      * 
  251.      * @return TRUE - The Second Prune Pass Holdings Allocation successfully set
  252.      */

  254.     public boolean setSecondPrunePassHoldingsAllocation (
  255.         final org.drip.portfolioconstruction.allocator.HoldingsAllocation secondPrunePassHoldingsAllocation)
  256.     {
  257.         if (null == secondPrunePassHoldingsAllocation)
  258.         {
  259.             return false;
  260.         }

  262.         _secondPrunePassHoldingsAllocation = secondPrunePassHoldingsAllocation;
  263.         return true;
  264.     }
  265. }
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