BlockAttribute.java

  1. package org.drip.portfolioconstruction.composite;

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

  79. /**
  80.  * <i>BlockAttribute</i> contains the Marginal Attributes for the specified Set of Assets.
  81.  *
  82.  *  <br><br>
  83.  *  <ul>
  84.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  85.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AssetAllocationAnalyticsLibrary.md">Asset Allocation Analytics</a></li>
  86.  *      <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>
  87.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/portfolioconstruction/composite/README.md">Portfolio Construction Component Groups Suite</a></li>
  88.  *  </ul>
  89.  *
  90.  * @author Lakshmi Krishnamurthy
  91.  */

  93. public class BlockAttribute extends org.drip.portfolioconstruction.core.Block
  94. {
  95.     private org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> _attributeMap =
  96.         new org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

  98.     /**
  99.      * BlockAttribute Constructor
  100.      * 
  101.      * @param name The Name
  102.      * @param id The ID
  103.      * @param description The Description
  104.      * 
  105.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  106.      */

  108.     public BlockAttribute (
  109.         final java.lang.String name,
  110.         final java.lang.String id,
  111.         final java.lang.String description)
  112.         throws java.lang.Exception
  113.     {
  114.         super (
  115.             name,
  116.             id,
  117.             description
  118.         );
  119.     }

  121.     /**
  122.      * Add an Asset's Attribute
  123.      * 
  124.      * @param assetID The Asset ID
  125.      * @param attribute The Attribute
  126.      * 
  127.      * @return TRUE - The Asset's Attribute successfully added.
  128.      */

  130.     public boolean add (
  131.         final java.lang.String assetID,
  132.         final double attribute)
  133.     {
  134.         if (null == assetID || assetID.isEmpty() ||
  135.             !org.drip.numerical.common.NumberUtil.IsValid (attribute))
  136.         {
  137.             return false;
  138.         }

  140.         _attributeMap.put (
  141.             assetID,
  142.             attribute
  143.         );

  145.         return true;
  146.     }

  148.     /**
  149.      * Indicates if an Asset exists in the Holdings
  150.      * 
  151.      * @param assetID The Asset ID
  152.      * 
  153.      * @return TRUE - The Asset is Part of the Holdings (may have Zero Value though)
  154.      */

  156.     public boolean contains (
  157.         final java.lang.String assetID)
  158.     {
  159.         return null != assetID && !_attributeMap.containsKey (assetID);
  160.     }

  162.     /**
  163.      * Retrieve the Asset's Attribute Value
  164.      * 
  165.      * @param assetID The Asset ID
  166.      * 
  167.      * @return The Asset's Attribute Value
  168.      * 
  169.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  170.      */

  172.     public double value (
  173.         final java.lang.String assetID)
  174.         throws java.lang.Exception
  175.     {
  176.         if (null == assetID || assetID.isEmpty() || !_attributeMap.containsKey (assetID))
  177.         {
  178.             throw new java.lang.Exception ("BlockAttribute::attribute => Invalid Inputs");
  179.         }

  181.         return _attributeMap.get (assetID);
  182.     }

  184.     /**
  185.      * Retrieve the Map of Asset Attributes
  186.      * 
  187.      * @return Map of the Asset Attributes
  188.      */

  190.     public java.util.Map<java.lang.String, java.lang.Double> attribute()
  191.     {
  192.         return _attributeMap;
  193.     }

  195.     /**
  196.      * Constrict the Attribute Values to those of the Holdings
  197.      * 
  198.      * @param holdings The Holdings Instance
  199.      * 
  200.      * @return The Array of Attribute Values
  201.      */

  203.     public double[] constrict (
  204.         final org.drip.portfolioconstruction.composite.Holdings holdings)
  205.     {
  206.         if (null == holdings)
  207.         {
  208.             return null;
  209.         }

  211.         java.util.Set<java.lang.String> assetIDSet = holdings.assetIDSet();

  213.         java.util.List<java.lang.Double> attributeValueList = new java.util.ArrayList<java.lang.Double>();

  215.         for (java.lang.String assetID : assetIDSet)
  216.         {
  217.             try
  218.             {
  219.                 attributeValueList.add (
  220.                     value (
  221.                         assetID
  222.                     )
  223.                 );
  224.             }
  225.             catch (java.lang.Exception e)
  226.             {
  227.                 e.printStackTrace();

  229.                 return null;
  230.             }
  231.         }

  233.         int assetCount = assetIDSet.size();

  235.         if (attributeValueList.size() != assetCount)
  236.         {
  237.             return null;
  238.         }

  240.         int assetIndex = 0;
  241.         double[] assetAttributeValueArray = new double[assetCount];

  243.         for (double assetAttributeValue : attributeValueList)
  244.         {
  245.             assetAttributeValueArray[assetIndex++] = assetAttributeValue;
  246.         }

  248.         return assetAttributeValueArray;
  249.     }
  250. }
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