Holdings.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>Holdings</i> is a Portfolio of Holdings in 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 Holdings extends org.drip.portfolioconstruction.core.Block
  94. {
  95.     private java.lang.String _currency = "";

  97.     private org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> _quantityMap =
  98.         new org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

  100.     /**
  101.      * Holdings Constructor
  102.      * 
  103.      * @param name The Asset Name
  104.      * @param id The Asset ID
  105.      * @param description The Asset Description
  106.      * @param currency The Account Currency
  107.      * 
  108.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  109.      */

  111.     public Holdings (
  112.         final java.lang.String name,
  113.         final java.lang.String id,
  114.         final java.lang.String description,
  115.         final java.lang.String currency)
  116.         throws java.lang.Exception
  117.     {
  118.         super (
  119.             name,
  120.             id,
  121.             description
  122.         );

  124.         if (null == (_currency = currency))
  125.         {
  126.             throw new java.lang.Exception ("Holdings Constructor => Invalid Inputs");
  127.         }
  128.     }

  130.     /**
  131.      * Retrieve the Set of Asset IDs
  132.      * 
  133.      * @return The Set of Asset IDs
  134.      */

  136.     public java.util.Set<java.lang.String> assetIDSet()
  137.     {
  138.         return _quantityMap.keySet();
  139.     }

  141.     /**
  142.      * Retrieve the Map of Holdings Amount
  143.      * 
  144.      * @return The Map of Holdings Amount
  145.      */

  147.     public java.util.Map<java.lang.String, java.lang.Double> quantityMap()
  148.     {
  149.         return _quantityMap;
  150.     }

  152.     /**
  153.      * Add an Asset/Amount Pair
  154.      * 
  155.      * @param assetID The Asset ID
  156.      * @param quantity The Amount in the Portfolio
  157.      * 
  158.      * @return TRUE - The Asset/Amount has been successfully added
  159.      */

  161.     public boolean add (
  162.         final java.lang.String assetID,
  163.         final double quantity)
  164.     {
  165.         if (null == assetID || assetID.isEmpty() ||
  166.             !org.drip.numerical.common.NumberUtil.IsValid (quantity))
  167.         {
  168.             return false;
  169.         }

  171.         _quantityMap.put (
  172.             assetID,
  173.             quantity
  174.         );

  176.         return true;
  177.     }

  179.     /**
  180.      * Indicates if an Asset exists in the Holdings
  181.      * 
  182.      * @param assetID The Asset ID
  183.      * 
  184.      * @return TRUE - The Asset is Part of the Holdings (may have Zero Value though)
  185.      */

  187.     public boolean contains (
  188.         final java.lang.String assetID)
  189.     {
  190.         return null != assetID && !_quantityMap.containsKey (assetID);
  191.     }

  193.     /**
  194.      * Retrieves the Holdings Quantity for the Asset (if it exists)
  195.      * 
  196.      * @param assetID The Asset ID
  197.      * 
  198.      * @return The Holdings Quantity for the Asset (if it exists)
  199.      * 
  200.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  201.      */

  203.     public double quantity (
  204.         final java.lang.String assetID)
  205.         throws java.lang.Exception
  206.     {
  207.         if (!contains (assetID))
  208.         {
  209.             throw new java.lang.Exception ("Holdings::quantity => Invalid Inputs");
  210.         }

  212.         return _quantityMap.get (assetID);
  213.     }

  215.     /**
  216.      * Retrieve the Currency
  217.      * 
  218.      * @return The Currency
  219.      */

  221.     public java.lang.String currency()
  222.     {
  223.         return _currency;
  224.     }

  226.     /**
  227.      * Retrieves the Cash Holdings
  228.      * 
  229.      * @return The Cash Holdings
  230.      */

  232.     public double cash()
  233.     {
  234.         try
  235.         {
  236.             return quantity ("CASH::" + _currency);
  237.         }
  238.         catch (java.lang.Exception e)
  239.         {
  240.         }

  242.         return 0.;
  243.     }

  245.     /**
  246.      * Retrieve the Array Form of the Holdings Quantity
  247.      * 
  248.      * @return Array Form of the Holdings Quantity
  249.      */

  251.     public double[] toArray()
  252.     {
  253.         int size = _quantityMap.size();

  255.         if (0 == size)
  256.         {
  257.             return null;
  258.         }

  260.         int assetIndex = 0;
  261.         double[] quantityArray = new double[size];

  263.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> quantityMapEntry :
  264.             _quantityMap.entrySet())
  265.         {
  266.             quantityArray[assetIndex++] = quantityMapEntry.getValue();
  267.         }

  269.         return quantityArray;
  270.     }

  272.     /**
  273.      * Constrict "This" Holdings to those of the Assets in the "Other" Holdings
  274.      * 
  275.      * @param holdingsOther The Other Holdings Instance
  276.      * 
  277.      * @return Constriction of "This" Holdings
  278.      */

  280.     public double[] constrict (
  281.         final org.drip.portfolioconstruction.composite.Holdings holdingsOther)
  282.     {
  283.         if (null == holdingsOther)
  284.         {
  285.             return null;
  286.         }

  288.         java.util.Set<java.lang.String> assetIDSet = holdingsOther.assetIDSet();

  290.         java.util.List<java.lang.Double> quantityList = new java.util.ArrayList<java.lang.Double>();

  292.         for (java.lang.String assetID : assetIDSet)
  293.         {
  294.             try
  295.             {
  296.                 quantityList.add (
  297.                     contains (
  298.                         assetID
  299.                     ) ? quantity (
  300.                         assetID
  301.                     ) : 0.
  302.                 );
  303.             }
  304.             catch (java.lang.Exception e)
  305.             {
  306.                 e.printStackTrace();

  308.                 return null;
  309.             }
  310.         }

  312.         int assetCount = assetIDSet.size();

  314.         if (quantityList.size() != assetCount)
  315.         {
  316.             return null;
  317.         }

  319.         int assetIndex = 0;
  320.         double[] assetQuantityArray = new double[assetCount];

  322.         for (double quantity : quantityList)
  323.         {
  324.             assetQuantityArray[assetIndex++] = quantity;
  325.         }

  327.         return assetQuantityArray;
  328.     }
  329. }
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