LimitNamesTermIssuerLong.java

  1. package org.drip.portfolioconstruction.constraint;

  2. /*
  3.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  4.  */

  5. /*!
  6.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  7.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  8.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  10.  *
  11.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  12.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  13.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  14.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  15.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  16.  *      and computational support.
  17.  *  
  18.  *      https://lakshmidrip.github.io/DROP/
  19.  *  
  20.  *  DROP is composed of three modules:
  21.  *  
  22.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  23.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  24.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  25.  *
  26.  *  DROP Product Core implements libraries for the following:
  27.  *  - Fixed Income Analytics
  28.  *  - Loan Analytics
  29.  *  - Transaction Cost Analytics
  30.  *
  31.  *  DROP Portfolio Core implements libraries for the following:
  32.  *  - Asset Allocation Analytics
  33.  *  - Asset Liability Management Analytics
  34.  *  - Capital Estimation Analytics
  35.  *  - Exposure Analytics
  36.  *  - Margin Analytics
  37.  *  - XVA Analytics
  38.  *
  39.  *  DROP Computational Core implements libraries for the following:
  40.  *  - Algorithm Support
  41.  *  - Computation Support
  42.  *  - Function Analysis
  43.  *  - Model Validation
  44.  *  - Numerical Analysis
  45.  *  - Numerical Optimizer
  46.  *  - Spline Builder
  47.  *  - Statistical Learning
  48.  *
  49.  *  Documentation for DROP is Spread Over:
  50.  *
  51.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  52.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  53.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  54.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  55.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  56.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  57.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  58.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  59.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  60.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  61.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  62.  *
  63.  *  Licensed under the Apache License, Version 2.0 (the "License");
  64.  *      you may not use this file except in compliance with the License.
  65.  *  
  66.  *  You may obtain a copy of the License at
  67.  *      http://www.apache.org/licenses/LICENSE-2.0
  68.  *  
  69.  *  Unless required by applicable law or agreed to in writing, software
  70.  *      distributed under the License is distributed on an "AS IS" BASIS,
  71.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  72.  *  
  73.  *  See the License for the specific language governing permissions and
  74.  *      limitations under the License.
  75.  */

  76. /**
  77.  * <i>LimitNamesTermIssuerLong</i> holds the Details of Count of the Total Long Active Assets in the
  78.  * Holdings.
  79.  *
  80.  *  <br><br>
  81.  *  <ul>
  82.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  83.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AssetAllocationAnalyticsLibrary.md">Asset Allocation Analytics</a></li>
  84.  *      <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>
  85.  *      <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>
  86.  *  </ul>
  87.  * <br><br>
  88.  *
  89.  * @author Lakshmi Krishnamurthy
  90.  */

  91. public class LimitNamesTermIssuerLong
  92.     extends org.drip.portfolioconstruction.constraint.LimitNamesTermIssuer
  93. {

  94.     /**
  95.      * LimitNamesTermIssuerLong Constructor
  96.      *
  97.      * @param name Name of the LimitNamesTermLong Constraint
  98.      * @param scope Scope of the LimitNamesTermLong Constraint
  99.      * @param unit Unit of the LimitNamesTermLong Constraint
  100.      * @param minimum Minimum of the Constraint
  101.      * @param maximum Maximum of the Constraint
  102.      * @param issuerSelectionArray Array of the Issuer Selection
  103.      *
  104.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  105.      */

  106.     public LimitNamesTermIssuerLong (
  107.         final java.lang.String name,
  108.         final org.drip.portfolioconstruction.optimizer.Scope scope,
  109.         final org.drip.portfolioconstruction.optimizer.Unit unit,
  110.         final double minimum,
  111.         final double maximum,
  112.         final double[] issuerSelectionArray)
  113.         throws java.lang.Exception
  114.     {
  115.         super (
  116.             name,
  117.             "CT_LIMIT_LONG_NAMES",
  118.             "Limits the Total Number of Active Long Names in the Holdings",
  119.             scope,
  120.             unit,
  121.             minimum,
  122.             maximum,
  123.             issuerSelectionArray
  124.         );
  125.     }

  126.     @Override public org.drip.function.definition.RdToR1 rdtoR1()
  127.     {
  128.         return new org.drip.function.definition.RdToR1 (null)
  129.         {
  130.             @Override public int dimension()
  131.             {
  132.                 return issuerSelectionArray().length;
  133.             }

  134.             @Override public double evaluate (
  135.                 final double[] finalHoldingsArray)
  136.                 throws java.lang.Exception
  137.             {
  138.                 double[] issuerSelectionArray = issuerSelectionArray();

  139.                 int nameCount = 0;
  140.                 int assetCount = issuerSelectionArray.length;

  141.                 if (null == finalHoldingsArray ||
  142.                     !org.drip.numerical.common.NumberUtil.IsValid (finalHoldingsArray) ||
  143.                     finalHoldingsArray.length != assetCount)
  144.                 {
  145.                     throw new java.lang.Exception
  146.                         ("LimitNamesTermIssuerLong::rdToR1::evaluate => Invalid Variate Dimension");
  147.                 }

  148.                 for (int assetIndex = 0; assetIndex < assetCount; ++assetIndex)
  149.                 {
  150.                     if (0 < finalHoldingsArray[assetIndex] && 0. != issuerSelectionArray[assetIndex])
  151.                     {
  152.                         ++nameCount;
  153.                     }
  154.                 }

  155.                 return nameCount;
  156.             }
  157.         };
  158.     }
  159. }