Account.java

  1. package org.drip.portfolioconstruction.core;

  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>Account</i> holds the Current Portfolio (if any) along with the Creation/Maintenance Mandate.
  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/core/README.md">Core Portfolio Construction Component Suite</a></li>
  88.  *  </ul>
  89.  * <br><br>
  90.  *
  91.  * @author Lakshmi Krishnamurthy
  92.  */

  94. public class Account
  95.     extends org.drip.portfolioconstruction.core.Block
  96. {
  97.     private org.drip.portfolioconstruction.composite.Holdings _holdings = null;
  98.     private org.drip.portfolioconstruction.composite.AlphaGroup _alphaGroup = null;
  99.     private org.drip.portfolioconstruction.composite.Benchmark _trackingBenchmark = null;
  100.     private org.drip.portfolioconstruction.composite.Benchmark _objectiveBenchmark = null;
  101.     private org.drip.portfolioconstruction.core.TaxAccountingScheme _taxAccountingScheme = null;
  102.     private org.drip.portfolioconstruction.risk.AssetCovariance _assetCovarianceRiskModel = null;
  103.     private org.drip.portfolioconstruction.risk.AlphaUncertaintyGroup _alphaUncertaintyGroup = null;
  104.     private org.drip.portfolioconstruction.composite.TransactionChargeGroup _transactionChargeGroup = null;

  106.     /**
  107.      * Account Constructor
  108.      * 
  109.      * @param name The Account Name
  110.      * @param id The Account ID
  111.      * @param description The Account Description
  112.      * @param holdings The Account Holdings
  113.      * @param taxAccountingScheme The Tax Accounting Scheme
  114.      * 
  115.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  116.      */

  118.     public Account (
  119.         final java.lang.String name,
  120.         final java.lang.String id,
  121.         final java.lang.String description,
  122.         final org.drip.portfolioconstruction.composite.Holdings holdings,
  123.         final org.drip.portfolioconstruction.core.TaxAccountingScheme taxAccountingScheme)
  124.         throws java.lang.Exception
  125.     {
  126.         super (
  127.             name,
  128.             id,
  129.             description
  130.         );

  132.         _holdings = holdings;
  133.         _taxAccountingScheme = taxAccountingScheme;
  134.     }

  136.     /**
  137.      * Retrieve the Holdings
  138.      * 
  139.      * @return The Holdings
  140.      */

  142.     public org.drip.portfolioconstruction.composite.Holdings holdings()
  143.     {
  144.         return _holdings;
  145.     }

  147.     /**
  148.      * Retrieve the Currency
  149.      * 
  150.      * @return The Currency
  151.      */

  153.     public java.lang.String currency()
  154.     {
  155.         return _holdings.currency();
  156.     }

  158.     /**
  159.      * Retrieve the Tracking Benchmark Instance
  160.      * 
  161.      * @return The Tracking Benchmark Instance
  162.      */

  164.     public org.drip.portfolioconstruction.composite.Benchmark trackingBenchmark()
  165.     {
  166.         return _trackingBenchmark;
  167.     }

  169.     /**
  170.      * Retrieve the Objective Benchmark Instance
  171.      * 
  172.      * @return The Objective Benchmark Instance
  173.      */

  175.     public org.drip.portfolioconstruction.composite.Benchmark objectiveBenchmark()
  176.     {
  177.         return _objectiveBenchmark;
  178.     }

  180.     /**
  181.      * Retrieve the Alpha Group Instance
  182.      * 
  183.      * @return The Alpha Group Instance
  184.      */

  186.     public org.drip.portfolioconstruction.composite.AlphaGroup alphaGroup()
  187.     {
  188.         return _alphaGroup;
  189.     }

  191.     /**
  192.      * Retrieve the Alpha Uncertainty Group Instance
  193.      * 
  194.      * @return The Alpha Uncertainty Group Instance
  195.      */

  197.     public org.drip.portfolioconstruction.risk.AlphaUncertaintyGroup alphaUncertaintyGroup()
  198.     {
  199.         return _alphaUncertaintyGroup;
  200.     }

  202.     /**
  203.      * Retrieve the Asset Co-variance Risk Model
  204.      * 
  205.      * @return The Asset Co-variance Risk Model
  206.      */

  208.     public org.drip.portfolioconstruction.risk.AssetCovariance assetCovariance()
  209.     {
  210.         return _assetCovarianceRiskModel;
  211.     }

  213.     /**
  214.      * Retrieve the Transaction Cost Group Instance
  215.      * 
  216.      * @return The Transaction Cost Group Instance
  217.      */

  219.     public org.drip.portfolioconstruction.composite.TransactionChargeGroup transactionChargeGroup()
  220.     {
  221.         return _transactionChargeGroup;
  222.     }

  224.     /**
  225.      * Retrieve the Tax Accounting Scheme
  226.      * 
  227.      * @return The Tax Accounting Scheme
  228.      */

  230.     public org.drip.portfolioconstruction.core.TaxAccountingScheme taxAccountingScheme()
  231.     {
  232.         return _taxAccountingScheme;
  233.     }

  235.     /**
  236.      * Set the Tracking Benchmark Instance
  237.      * 
  238.      * @param trackingBenchmark The Tracking Benchmark
  239.      * 
  240.      * @return The Tracking Benchmark successfully set
  241.      */

  243.     public boolean setTrackingBenchmark (
  244.         final org.drip.portfolioconstruction.composite.Benchmark trackingBenchmark)
  245.     {
  246.         if (null == trackingBenchmark)
  247.         {
  248.             return false;
  249.         }

  251.         _trackingBenchmark = trackingBenchmark;
  252.         return true;
  253.     }

  255.     /**
  256.      * Set the Objective Benchmark Instance
  257.      * 
  258.      * @param objectiveBenchmark The Objective Benchmark
  259.      * 
  260.      * @return The Objective Benchmark successfully set
  261.      */

  263.     public boolean setObjectiveBenchmark (
  264.         final org.drip.portfolioconstruction.composite.Benchmark objectiveBenchmark)
  265.     {
  266.         if (null == objectiveBenchmark)
  267.         {
  268.             return false;
  269.         }

  271.         _objectiveBenchmark = objectiveBenchmark;
  272.         return true;
  273.     }

  275.     /**
  276.      * Set the Alpha Group
  277.      * 
  278.      * @param alphaGroup The Alpha Group Instance
  279.      * 
  280.      * @return The Alpha Group successfully set
  281.      */

  283.     public boolean setAlphaGroup (
  284.         final org.drip.portfolioconstruction.composite.AlphaGroup alphaGroup)
  285.     {
  286.         if (null == alphaGroup)
  287.         {
  288.             return false;
  289.         }

  291.         _alphaGroup = alphaGroup;
  292.         return true;
  293.     }

  295.     /**
  296.      * Set the Alpha Uncertainty Group
  297.      * 
  298.      * @param alphaUncertaintyGroup The Alpha Uncertainty Group Instance
  299.      * 
  300.      * @return The Alpha Uncertainty Group successfully set
  301.      */

  303.     public boolean setAlphaUncertaintyGroup (
  304.         final org.drip.portfolioconstruction.risk.AlphaUncertaintyGroup alphaUncertaintyGroup)
  305.     {
  306.         if (null == alphaUncertaintyGroup)
  307.         {
  308.             return false;
  309.         }

  311.         _alphaUncertaintyGroup = alphaUncertaintyGroup;
  312.         return true;
  313.     }

  315.     /**
  316.      * Set the Asset Co-variance Risk Model
  317.      * 
  318.      * @param assetCovarianceRiskModel The Asset Co-variance Risk Model
  319.      * 
  320.      * @return The Asset Co-variance Risk Model
  321.      */

  323.     public boolean setAssetCovariance (
  324.         final org.drip.portfolioconstruction.risk.AssetCovariance assetCovarianceRiskModel)
  325.     {
  326.         if (null == assetCovarianceRiskModel)
  327.         {
  328.             return false;
  329.         }

  331.         _assetCovarianceRiskModel = assetCovarianceRiskModel;
  332.         return true;
  333.     }

  335.     /**
  336.      * Set the Transaction Cost Group
  337.      * 
  338.      * @param transactionChargeGroup The Transaction Cost Group Instance
  339.      * 
  340.      * @return The Transaction Cost Group successfully set
  341.      */

  343.     public boolean setTransactionCostGroup (
  344.         final org.drip.portfolioconstruction.composite.TransactionChargeGroup transactionChargeGroup)
  345.     {
  346.         if (null == transactionChargeGroup)
  347.         {
  348.             return false;
  349.         }

  351.         _transactionChargeGroup = transactionChargeGroup;
  352.         return true;
  353.     }
  354. }
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