LimitChargeTermIssuer.java
package org.drip.portfolioconstruction.constraint;
/*
* -*- 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>LimitChargeTermIssuer</i> constrains the Limit Issuer Transaction Charge Term.
*
* <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/constraint/README.md"> Portfolio Construction Constraint Term Suite</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class LimitChargeTermIssuer
extends org.drip.portfolioconstruction.optimizer.ConstraintTerm
{
private double[] _initialHoldingsArray = null;
private org.drip.portfolioconstruction.cost.TransactionCharge[] _transactionChargeArray = null;
/**
* Construct a Static Instance of LimitChargeTermIssuer
*
* @param name Name of the LimitChargeTermIssuer Constraint
* @param scope Scope of the LimitChargeTermIssuer Constraint
* @param unit Unit of the LimitChargeTermIssuer Constraint
* @param minimum Minimum Value for the LimitChargeTermIssuer Constraint
* @param maximum Maximum Value for the LimitChargeTermIssuer Constraint
* @param initialHoldingsArray Array of Initial Holdings
* @param transactionChargeArray Array of Transaction Charge
*
* @return Instance of LimitChargeTermIssuer
*/
public static final LimitChargeTermIssuer Standard (
final java.lang.String name,
final org.drip.portfolioconstruction.optimizer.Scope scope,
final org.drip.portfolioconstruction.optimizer.Unit unit,
final double minimum,
final double maximum,
final double[] initialHoldingsArray,
final org.drip.portfolioconstruction.cost.TransactionCharge[] transactionChargeArray)
{
try
{
return new LimitChargeTermIssuer (
name,
"CT_LIMIT_TRANSACTION_CHARGE",
"Constrains the Total Transaction Charge",
scope,
unit,
minimum,
maximum,
initialHoldingsArray,
transactionChargeArray
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct a Static Instance of GoldmanSachsShortfall LimitChargeTermIssuer
*
* @param name Name of the LimitChargeTermIssuer Constraint
* @param scope Scope of the LimitChargeTermIssuer Constraint
* @param unit Unit of the LimitChargeTermIssuer Constraint
* @param minimum Minimum Value for the LimitChargeTermIssuer Constraint
* @param maximum Maximum Value for the LimitChargeTermIssuer Constraint
* @param initialHoldingsArray Array of Initial Holdings
* @param goldmanSachsShortfallTransactionChargeArray Array of GoldmanSachsShortfall Transaction Charge
*
* @return Instance of GoldmanSachsShortfall LimitChargeTermIssuer
*/
public static final LimitChargeTermIssuer GoldmanSachsShortfall (
final java.lang.String name,
final org.drip.portfolioconstruction.optimizer.Scope scope,
final org.drip.portfolioconstruction.optimizer.Unit unit,
final double minimum,
final double maximum,
final double[] initialHoldingsArray,
final org.drip.portfolioconstruction.cost.TransactionChargeGoldmanSachsShortfall[]
goldmanSachsShortfallTransactionChargeArray)
{
try
{
return new LimitChargeTermIssuer (
name,
"CT_LIMIT_GOLDMAN_SACHS_SHORTFALL",
"Constrains the Total Transaction Charge using the Goldman Sachs Shortfall Model",
scope,
unit,
minimum,
maximum,
initialHoldingsArray,
goldmanSachsShortfallTransactionChargeArray
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* LimitChargeTermIssuer Constructor
*
* @param name Name of the LimitChargeTermIssuer Constraint
* @param strID ID of the LimitChargeTermIssuer Constraint
* @param strDescription Description of the LimitChargeTermIssuer Constraint
* @param scope Scope of the LimitChargeTermIssuer Constraint
* @param unit Unit of the LimitChargeTermIssuer Constraint
* @param minimum Minimum Value for the LimitChargeTermIssuer Constraint
* @param maximum Maximum Value for the LimitChargeTermIssuer Constraint
* @param initialHoldingsArray Array of Initial Holdings
* @param transactionChargeArray Array of Transaction Charge
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public LimitChargeTermIssuer (
final java.lang.String name,
final java.lang.String strID,
final java.lang.String strDescription,
final org.drip.portfolioconstruction.optimizer.Scope scope,
final org.drip.portfolioconstruction.optimizer.Unit unit,
final double minimum,
final double maximum,
final double[] initialHoldingsArray,
final org.drip.portfolioconstruction.cost.TransactionCharge[] transactionChargeArray)
throws java.lang.Exception
{
super (
name,
strID,
strDescription,
"LIMIT_TRANSACTION_CHARGE",
scope,
unit,
minimum,
maximum
);
if (null == (_initialHoldingsArray = initialHoldingsArray) ||
null == (_transactionChargeArray = transactionChargeArray))
{
throw new java.lang.Exception ("LimitChargeTermIssuer Constructor => Invalid Inputs");
}
int assetCount = _initialHoldingsArray.length;
if (0 == assetCount || assetCount != _transactionChargeArray.length)
{
throw new java.lang.Exception ("LimitChargeTermIssuer Constructor => Invalid Inputs");
}
for (int assetIndex = 0; assetIndex < assetCount; ++assetIndex)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_initialHoldingsArray[assetIndex]) ||
null == _transactionChargeArray[assetIndex])
{
throw new java.lang.Exception ("LimitChargeTermIssuer Constructor => Invalid Inputs");
}
}
}
/**
* Retrieve the Array of Initial Holdings
*
* @return The Initial Holdings Array
*/
public double[] initialHoldingsArray()
{
return _initialHoldingsArray;
}
/**
* Retrieve the Array of Transaction Charges
*
* @return The Transaction Charge Array
*/
public org.drip.portfolioconstruction.cost.TransactionCharge[] transactionChargeArray()
{
return _transactionChargeArray;
}
@Override public org.drip.function.definition.RdToR1 rdtoR1()
{
return new org.drip.function.definition.RdToR1 (null)
{
@Override public int dimension()
{
return _initialHoldingsArray.length;
}
@Override public double evaluate (
final double[] finalHoldingsArray)
throws java.lang.Exception
{
double limitChargeIssuer = 0.;
int assetCount = _initialHoldingsArray.length;
if (null == finalHoldingsArray ||
!org.drip.numerical.common.NumberUtil.IsValid (finalHoldingsArray) ||
finalHoldingsArray.length != assetCount)
{
throw new java.lang.Exception
("LimitChargeTermIssuer::rdToR1::evaluate => Invalid Variate Dimension");
}
for (int assetIndex = 0; assetIndex < assetCount; ++assetIndex)
{
limitChargeIssuer += _transactionChargeArray[assetIndex].estimate (
_initialHoldingsArray[assetIndex],
finalHoldingsArray[assetIndex]
);
}
return limitChargeIssuer;
}
};
}
}