ConstraintHierarchy.java

  1. package org.drip.portfolioconstruction.optimizer;

  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 Krishnamurthy0
  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>ConstraintHierarchy</i> holds the Details of a given set of Constraint Terms.
  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/optimizer/README.md">Core Portfolio Construction Optimizer Suite</a></li>
  88.  *  </ul>
  89.  * <br><br>
  90.  *
  91.  * @author Lakshmi Krishnamurthy
  92.  */

  94. public class ConstraintHierarchy
  95. {
  96.     public int[] _constraintOrderArray = null;
  97.     private org.drip.portfolioconstruction.optimizer.ConstraintTerm[] _constraintTermArray = null;

  99.     /**
  100.      * Construct a Flat Non-Feudal Instance of ConstraintHierarchy
  101.      * 
  102.      * @param constraintTermArray Array of Constraint Terms
  103.      * 
  104.      * @return Flat Non-Feudal Instance of ConstraintHierarchy
  105.      */

  107.     public static final ConstraintHierarchy NonFeudal (
  108.         final org.drip.portfolioconstruction.optimizer.ConstraintTerm[] constraintTermArray)
  109.     {
  110.         if (null == constraintTermArray)
  111.         {
  112.             return null;
  113.         }

  115.         int constraintCount = constraintTermArray.length;
  116.         int[] constraintOrderArray = new int[constraintCount];

  118.         for (int constraintIndex = 0;
  119.             constraintIndex < constraintCount;
  120.             ++constraintIndex)
  121.         {
  122.             constraintOrderArray[constraintIndex] = 0;
  123.         }

  125.         try
  126.         {
  127.             return new ConstraintHierarchy (
  128.                 constraintTermArray,
  129.                 constraintOrderArray
  130.             );
  131.         }
  132.         catch (java.lang.Exception e)
  133.         {
  134.             e.printStackTrace();
  135.         }

  137.         return null;
  138.     }

  140.     /**
  141.      * ConstraintHierarchy Constructor
  142.      * 
  143.      * @param constraintTermArray Array of Constraint Terms
  144.      * @param constraintOrderArray Array of Constraint Order
  145.      * 
  146.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  147.      */

  149.     public ConstraintHierarchy (
  150.         final org.drip.portfolioconstruction.optimizer.ConstraintTerm[] constraintTermArray,
  151.         final int[] constraintOrderArray)
  152.         throws java.lang.Exception
  153.     {
  154.         if ((null == (_constraintTermArray = constraintTermArray) &&
  155.                 null != (_constraintOrderArray = constraintOrderArray)
  156.             ) && (
  157.                 null != (_constraintTermArray = constraintTermArray) &&
  158.                 null == (_constraintOrderArray = constraintOrderArray)
  159.             )
  160.         )
  161.         {
  162.             throw new java.lang.Exception (
  163.                 "ConstraintHierarchy Constructor => Invalid Inputs"
  164.             );
  165.         }

  167.         int constraintCount = _constraintTermArray.length;

  169.         if (constraintCount != _constraintOrderArray.length)
  170.         {
  171.             throw new java.lang.Exception (
  172.                 "ConstraintHierarchy Constructor => Invalid Inputs"
  173.             );
  174.         }

  176.         for (int constraintIndex = 0;
  177.             constraintIndex < constraintCount;
  178.             ++constraintIndex)
  179.         {
  180.             if (null == _constraintTermArray[constraintIndex])
  181.             {
  182.                 throw new java.lang.Exception (
  183.                     "ConstraintHierarchy Constructor => Invalid Inputs"
  184.                 );
  185.             }
  186.         }
  187.     }

  189.     /**
  190.      * Retrieve the Array of Constraint Term Order
  191.      * 
  192.      * @return The Array of Constraint Term Order
  193.      */

  195.     public int[] constraintOrderArray()
  196.     {
  197.         return _constraintOrderArray;
  198.     }

  200.     /**
  201.      * Retrieve the Array of Constraint Terms
  202.      * 
  203.      * @return The Array of Constraint Terms
  204.      */

  206.     public org.drip.portfolioconstruction.optimizer.ConstraintTerm[] constraintTermArray()
  207.     {
  208.         return _constraintTermArray;
  209.     }

  211.     /**
  212.      * Indicate if the Constraint Array is non-Feudal
  213.      * 
  214.      * @return TRUE - The Constraint Array is non-Feudal
  215.      */

  217.     public boolean nonFeudal()
  218.     {
  219.         if (null == _constraintTermArray)
  220.         {
  221.             return true;
  222.         }

  224.         int constraintCount = _constraintTermArray.length;

  226.         for (int constraintIndex = 0;
  227.             constraintIndex < constraintCount;
  228.             ++constraintIndex)
  229.         {
  230.             if (0 != _constraintOrderArray[constraintIndex])
  231.             {
  232.                 return false;
  233.             }
  234.         }

  236.         return true;
  237.     }
  238. }
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