ReturnsConstrainedAllocationClient.java

package org.drip.sample.service;

import org.drip.json.parser.Converter;
import org.drip.json.simple.JSONObject;
import org.drip.service.env.EnvManager;
import org.drip.service.json.KeyHoleSkeleton;

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

/*!
 * Copyright (C) 2018 Lakshmi Krishnamurthy
 * Copyright (C) 2017 Lakshmi Krishnamurthy
 * Copyright (C) 2016 Lakshmi Krishnamurthy
 * 
 *  This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
 *  	libraries targeting analysts and developers
 *  	https://lakshmidrip.github.io/DRIP/
 *  
 *  DRIP is composed of four main libraries:
 *  
 *  - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
 *  - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
 *  - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
 *  - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
 * 
 *  - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
 *  	Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
 *  	Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
 *  	Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
 *  	Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
 * 
 *  - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
 *  	Incorporator, Holdings Constraint, and Transaction Costs.
 * 
 *  - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
 * 
 *  - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
 * 
 *  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.
 */

/**
 * ReturnsConstrainedAllocationClient demonstrates the Invocation and Examination of the JSON-based
 *  Weight Normalized/Returns Constrained Portfolio Allocation Service Client.
 *
 * @author Lakshmi Krishnamurthy
 */

public class ReturnsConstrainedAllocationClient {

	@SuppressWarnings ("unchecked") public static final void main (
		final String[] astrArgs)
		throws Exception
	{
		EnvManager.InitEnv ("");

		String[] astrAssetName = new String[] {
			"TOK",
			"EWJ",
			"HYG",
			"LQD",
			"EMD",
			"GSG",
			"BWX"
		};

		double[] adblAssetExpectedReturns = new double[] {
			0.008355,
			0.007207,
			0.006279,
			0.002466,
			0.004472,
			0.006821,
			0.001570
		};

		double[][] aadblAssetReturnsCovariance = new double[][] {
			{0.002733, 0.002083, 0.001593, 0.000488, 0.001172, 0.002312, 0.000710},
			{0.002083, 0.002768, 0.001302, 0.000457, 0.001105, 0.001647, 0.000563},
			{0.001593, 0.001302, 0.001463, 0.000639, 0.001050, 0.001110, 0.000519},
			{0.000488, 0.000457, 0.000639, 0.000608, 0.000663, 0.000042, 0.000370},
			{0.001172, 0.001105, 0.001050, 0.000663, 0.001389, 0.000825, 0.000661},
			{0.002312, 0.001647, 0.001110, 0.000042, 0.000825, 0.005211, 0.000749},
			{0.000710, 0.000563, 0.000519, 0.000370, 0.000661, 0.000749, 0.000703}
		};

		double[] adblAssetLowerBound = new double[] {
			0.05,
			0.05,
			0.05,
			0.10,
			0.05,
			0.05,
			0.03
		};

		double[] adblAssetUpperBound = new double[] {
			0.40,
			0.40,
			0.30,
			0.60,
			0.35,
			0.15,
			0.50
		};

		double[][] aadblBound = new double[adblAssetExpectedReturns.length][2];

		for (int i = 0; i < adblAssetExpectedReturns.length; ++i) {
			aadblBound[i][0] = adblAssetLowerBound[i];
			aadblBound[i][1] = adblAssetUpperBound[i];
		}

		double dblPortfolioDesignReturn = 0.005262;

		JSONObject jsonParameters = new JSONObject();

		jsonParameters.put ("AssetSet", Converter.Array (astrAssetName));

		jsonParameters.put ("AssetReturnsMean", Converter.Array (adblAssetExpectedReturns));

		jsonParameters.put ("AssetReturnsCovariance", Converter.Array (aadblAssetReturnsCovariance));

		jsonParameters.put ("PortfolioDesignReturn", dblPortfolioDesignReturn);

		for (int i = 0; i < adblAssetExpectedReturns.length; ++i) {
			jsonParameters.put (astrAssetName[i] + "::LowerBound", aadblBound[i][0]);

			jsonParameters.put (astrAssetName[i] + "::UpperBound", aadblBound[i][1]);
		}

		JSONObject jsonRequest = new JSONObject();

		jsonRequest.put ("API", "PORTFOLIOALLOCATION::RETURNSCONSTRAINEDMEANVARIANCE");

		jsonRequest.put ("Parameters", jsonParameters);

		System.out.println ("\n\t|---------------- JSON REQUEST -----------------|\n");

		System.out.println (jsonRequest.toJSONString());

		System.out.println ("\n\t|---------------- JSON RESPONSE ----------------|\n");

		System.out.println (KeyHoleSkeleton.Thunker (jsonRequest.toJSONString()));
	}
}