LimitBudgetTermTransactionCharge.java

  1. package org.drip.portfolioconstruction.constraint;

  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>LimitBudgetTermTransactionCharge</i> holds the Details of a After Transaction Charge Limit Budget
  81.  * Constraint Term.
  82.  *
  83.  *  <br><br>
  84.  *  <ul>
  85.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  86.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AssetAllocationAnalyticsLibrary.md">Asset Allocation Analytics</a></li>
  87.  *      <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>
  88.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/portfolioconstruction/constraint/README.md"> Portfolio Construction Constraint Term Suite</a></li>
  89.  *  </ul>
  90.  * <br><br>
  91.  *
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class LimitBudgetTermTransactionCharge
  96.     extends org.drip.portfolioconstruction.constraint.LimitBudgetTerm
  97. {
  98.     private double[] _initialHoldingsArray = null;
  99.     private org.drip.portfolioconstruction.cost.TransactionCharge[] _transactionChargeArray = null;

  101.     /**
  102.      * LimitBudgetTermTransactionCharge Constructor
  103.      * 
  104.      * @param name Name of the Constraint
  105.      * @param scope Scope of the Constraint - ACCOUNT/ASSET/SET
  106.      * @param unit Unit of the Constraint
  107.      * @param budget Budget Value of the Constraint
  108.      * @param priceArray Array of Asset Prices
  109.      * @param initialHoldingsArray Array of Initial Holdings
  110.      * @param transactionChargeArray Array of Transaction Charge Instances
  111.      * 
  112.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  113.      */

  115.     public LimitBudgetTermTransactionCharge (
  116.         final java.lang.String name,
  117.         final org.drip.portfolioconstruction.optimizer.Scope scope,
  118.         final org.drip.portfolioconstruction.optimizer.Unit unit,
  119.         final double budget,
  120.         final double[] priceArray,
  121.         final double[] initialHoldingsArray,
  122.         final org.drip.portfolioconstruction.cost.TransactionCharge[] transactionChargeArray)
  123.         throws java.lang.Exception
  124.     {
  125.         super (
  126.             name,
  127.             "CT_AFTER_TRANSACTION_CHARGE_BUDGET",
  128.             "Constrains the After Transaction Charge Allocation Budget",
  129.             scope,
  130.             unit,
  131.             budget,
  132.             priceArray
  133.         );

  135.         if (null == (_initialHoldingsArray = initialHoldingsArray) || 0 == _initialHoldingsArray.length ||
  136.             !org.drip.numerical.common.NumberUtil.IsValid (_initialHoldingsArray))
  137.         {
  138.             throw new java.lang.Exception ("LimitBudgetTermTransactionCharge Constructor => Invalid Inputs");
  139.         }

  141.         int assetCount = _initialHoldingsArray.length;

  143.         if (null == (_transactionChargeArray = transactionChargeArray) ||
  144.             assetCount != _transactionChargeArray.length ||
  145.             assetCount != priceArray.length)
  146.         {
  147.             throw new java.lang.Exception ("LimitBudgetTermTransactionCharge Constructor => Invalid Inputs");
  148.         }

  150.         for (int assetIndex = 0; assetIndex < assetCount; ++assetIndex)
  151.         {
  152.             if (null == _transactionChargeArray[assetIndex])
  153.             {
  154.                 throw new java.lang.Exception
  155.                     ("LimitBudgetTermTransactionCharge Constructor => Invalid Inputs");
  156.             }
  157.         }
  158.     }

  160.     /**
  161.      * Retrieve the Array of Transaction Charges
  162.      * 
  163.      * @return The Transaction Charge Array
  164.      */

  166.     public org.drip.portfolioconstruction.cost.TransactionCharge[] transactionChargeArray()
  167.     {
  168.         return _transactionChargeArray;
  169.     }

  171.     @Override public org.drip.function.definition.RdToR1 rdtoR1()
  172.     {
  173.         return new org.drip.function.definition.RdToR1 (null)
  174.         {
  175.             @Override public int dimension()
  176.             {
  177.                 return priceArray().length;
  178.             }

  180.             @Override public double evaluate (
  181.                 final double[] finalHoldingsArray)
  182.                 throws java.lang.Exception
  183.             {
  184.                 double[] priceArray = priceArray();

  186.                 double limitBudgetTransactionCharge = 0.;
  187.                 int assetCount = priceArray.length;

  189.                 if (null == finalHoldingsArray ||
  190.                     !org.drip.numerical.common.NumberUtil.IsValid (finalHoldingsArray) ||
  191.                     finalHoldingsArray.length != assetCount)
  192.                 {
  193.                     throw new java.lang.Exception
  194.                         ("LimitBudgetTermTransactionCharge::rdToR1::evaluate => Invalid Variate Dimension");
  195.                 }

  197.                 for (int assetIndex = 0; assetIndex < assetCount; ++assetIndex)
  198.                 {
  199.                     limitBudgetTransactionCharge += (
  200.                         priceArray[assetIndex] * (
  201.                             finalHoldingsArray[assetIndex] - _initialHoldingsArray[assetIndex]
  202.                         ) - _transactionChargeArray[assetIndex].estimate (
  203.                             _initialHoldingsArray[assetIndex],
  204.                             finalHoldingsArray[assetIndex]
  205.                         )
  206.                     );
  207.                 }

  209.                 return limitBudgetTransactionCharge;
  210.             }
  211.         };
  212.     }
  213. }
Created with JaCoCo 0.7.9.201702052155