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()));
    }
}