RobustErrorTerm.java

package org.drip.portfolioconstruction.objective;

/*
 * -*- 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 Krishnamurthy0
 * 
 *  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>RobustErrorTerm</i> optimizes the Error in the Target Expected Absolute Return of the Portfolio on the
 * Absence of Benchmark, and the Error in the Benchmark-Adjusted Returns Otherwise.
 *
 *  <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/objective/README.md">Portfolio Construction Objective Term Suite</a></li>
 *  </ul>
 * <br><br>
 *
 * @author Lakshmi Krishnamurthy
 */

public abstract class RobustErrorTerm
    extends org.drip.portfolioconstruction.objective.ReturnsTerm
{
    private double[][] _assetCovarianceMatrix = null;
    private double[][] _alphaUncertaintyMatrix = null;
    private double _confidenceLevel = java.lang.Double.NaN;

    /**
     * RobustErrorTerm Constructor
     * 
     * @param name Name of the Expected Returns Objective Term
     * @param initialHoldingsArray Initial Holdings Array
     * @param alphaArray Asset Alpha Array
     * @param alphaUncertaintyMatrix Alpha Uncertainty Matrix
     * @param assetCovarianceMatrix Asset Co-variance Matrix
     * @param benchmarkConstrictedHoldingsArray Benchmark Constricted Holdings Array
     * @param confidenceLevel Confidence Level (i.e., Eta)
     * 
     * @throws java.lang.Exception Thrown if the Inputs are Invalid
     */

    public RobustErrorTerm (
        final java.lang.String name,
        final double[] initialHoldingsArray,
        final double[] alphaArray,
        final double[][] alphaUncertaintyMatrix,
        final double[][] assetCovarianceMatrix,
        final double[] benchmarkConstrictedHoldingsArray,
        final double confidenceLevel)
        throws java.lang.Exception
    {
        super (
            name,
            "OT_ROBUST",
            "Robust Error Portfolio Returns Objective Term",
            initialHoldingsArray,
            alphaArray,
            benchmarkConstrictedHoldingsArray
        );

        int assetCount = initialHoldingsArray.length;

        if (!org.drip.numerical.common.NumberUtil.IsValid (_confidenceLevel = confidenceLevel) ||
            null == (_alphaUncertaintyMatrix = alphaUncertaintyMatrix) ||
            assetCount != _alphaUncertaintyMatrix.length)
        {
            throw new java.lang.Exception ("RobustErrorTerm Constructor => Invalid Inputs");
        }

        for (int assetIndex = 0; assetIndex < assetCount; ++assetIndex)
        {
            if (null == _alphaUncertaintyMatrix[assetIndex] ||
                !org.drip.numerical.common.NumberUtil.IsValid (_alphaUncertaintyMatrix[assetIndex]) ||
                assetCount != _alphaUncertaintyMatrix[assetIndex].length)
            {
                throw new java.lang.Exception ("RobustErrorTerm Constructor => Invalid Inputs");
            }
        }

        if (null == (_assetCovarianceMatrix = assetCovarianceMatrix) ||
            assetCount != _assetCovarianceMatrix.length)
        {
            throw new java.lang.Exception ("RobustErrorTerm Constructor => Invalid Inputs");
        }

        for (int assetIndex = 0; assetIndex < assetCount; ++assetIndex)
        {
            if (null == _assetCovarianceMatrix[assetIndex] ||
                !org.drip.numerical.common.NumberUtil.IsValid (_assetCovarianceMatrix[assetIndex]) ||
                assetCount != _assetCovarianceMatrix[assetIndex].length)
            {
                throw new java.lang.Exception ("RobustErrorTerm Constructor => Invalid Inputs");
            }
        }
    }

    /**
     * Retrieve the Confidence Level (i.e., Eta)
     * 
     * @return The Confidence Level (i.e., Eta)
     */

    public double confidenceLevel()
    {
        return _confidenceLevel;
    }

    /**
     * Retrieve the Asset Co-variance Matrix
     * 
     * @return The Asset Co-variance Matrix
     */

    public double[][] assetCovariance()
    {
        return _assetCovarianceMatrix;
    }

    /**
     * Retrieve the Alpha Uncertainty Matrix
     * 
     * @return The Alpha Uncertainty Matrix
     */

    public double[][] alphaUncertainty()
    {
        return _alphaUncertaintyMatrix;
    }
}