Holdings.java
package org.drip.portfolioconstruction.composite;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 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>Holdings</i> is a Portfolio of Holdings in the specified Set of Assets.
*
* <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/composite/README.md">Portfolio Construction Component Groups Suite</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class Holdings extends org.drip.portfolioconstruction.core.Block
{
private java.lang.String _currency = "";
private org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> _quantityMap =
new org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();
/**
* Holdings Constructor
*
* @param name The Asset Name
* @param id The Asset ID
* @param description The Asset Description
* @param currency The Account Currency
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public Holdings (
final java.lang.String name,
final java.lang.String id,
final java.lang.String description,
final java.lang.String currency)
throws java.lang.Exception
{
super (
name,
id,
description
);
if (null == (_currency = currency))
{
throw new java.lang.Exception ("Holdings Constructor => Invalid Inputs");
}
}
/**
* Retrieve the Set of Asset IDs
*
* @return The Set of Asset IDs
*/
public java.util.Set<java.lang.String> assetIDSet()
{
return _quantityMap.keySet();
}
/**
* Retrieve the Map of Holdings Amount
*
* @return The Map of Holdings Amount
*/
public java.util.Map<java.lang.String, java.lang.Double> quantityMap()
{
return _quantityMap;
}
/**
* Add an Asset/Amount Pair
*
* @param assetID The Asset ID
* @param quantity The Amount in the Portfolio
*
* @return TRUE - The Asset/Amount has been successfully added
*/
public boolean add (
final java.lang.String assetID,
final double quantity)
{
if (null == assetID || assetID.isEmpty() ||
!org.drip.numerical.common.NumberUtil.IsValid (quantity))
{
return false;
}
_quantityMap.put (
assetID,
quantity
);
return true;
}
/**
* Indicates if an Asset exists in the Holdings
*
* @param assetID The Asset ID
*
* @return TRUE - The Asset is Part of the Holdings (may have Zero Value though)
*/
public boolean contains (
final java.lang.String assetID)
{
return null != assetID && !_quantityMap.containsKey (assetID);
}
/**
* Retrieves the Holdings Quantity for the Asset (if it exists)
*
* @param assetID The Asset ID
*
* @return The Holdings Quantity for the Asset (if it exists)
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double quantity (
final java.lang.String assetID)
throws java.lang.Exception
{
if (!contains (assetID))
{
throw new java.lang.Exception ("Holdings::quantity => Invalid Inputs");
}
return _quantityMap.get (assetID);
}
/**
* Retrieve the Currency
*
* @return The Currency
*/
public java.lang.String currency()
{
return _currency;
}
/**
* Retrieves the Cash Holdings
*
* @return The Cash Holdings
*/
public double cash()
{
try
{
return quantity ("CASH::" + _currency);
}
catch (java.lang.Exception e)
{
}
return 0.;
}
/**
* Retrieve the Array Form of the Holdings Quantity
*
* @return Array Form of the Holdings Quantity
*/
public double[] toArray()
{
int size = _quantityMap.size();
if (0 == size)
{
return null;
}
int assetIndex = 0;
double[] quantityArray = new double[size];
for (java.util.Map.Entry<java.lang.String, java.lang.Double> quantityMapEntry :
_quantityMap.entrySet())
{
quantityArray[assetIndex++] = quantityMapEntry.getValue();
}
return quantityArray;
}
/**
* Constrict "This" Holdings to those of the Assets in the "Other" Holdings
*
* @param holdingsOther The Other Holdings Instance
*
* @return Constriction of "This" Holdings
*/
public double[] constrict (
final org.drip.portfolioconstruction.composite.Holdings holdingsOther)
{
if (null == holdingsOther)
{
return null;
}
java.util.Set<java.lang.String> assetIDSet = holdingsOther.assetIDSet();
java.util.List<java.lang.Double> quantityList = new java.util.ArrayList<java.lang.Double>();
for (java.lang.String assetID : assetIDSet)
{
try
{
quantityList.add (
contains (
assetID
) ? quantity (
assetID
) : 0.
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
}
int assetCount = assetIDSet.size();
if (quantityList.size() != assetCount)
{
return null;
}
int assetIndex = 0;
double[] assetQuantityArray = new double[assetCount];
for (double quantity : quantityList)
{
assetQuantityArray[assetIndex++] = quantity;
}
return assetQuantityArray;
}
}