ComputeClient.java
package org.drip.service.engine;
/*
* -*- 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 Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
*
* 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>ComputeClient</i> contains the Functionality behind the DROP API Compute Service Client.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/README.md">Environment, Product/Definition Containers, and Scenario/State Manipulation APIs</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/engine/README.md">Compute Engine Request-Response Thunker</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class ComputeClient {
private int _iComputeServerPort = -1;
private java.lang.String _strComputeServerHost = "";
private java.net.Socket _socketComputeServer = null;
/**
* Construct Standard LocalHost-based Instance of the ComputeClient
*
* @return The Standard LocalHost-based Instance of the ComputeClient
*/
public static final ComputeClient Standard()
{
try {
ComputeClient cc = new ComputeClient ("127.0.0.1",
org.drip.service.engine.ComputeServer.DRIP_COMPUTE_ENGINE_PORT);
return cc.initialize() ? cc : null;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* ComputeClient Constructor
*
* @param strComputeServerHost The Compute Server Host
* @param iComputeServerPort The Compute Server Port
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public ComputeClient (
final java.lang.String strComputeServerHost,
final int iComputeServerPort)
throws java.lang.Exception
{
if (null == (_strComputeServerHost = strComputeServerHost) || 0 >= (_iComputeServerPort =
iComputeServerPort))
throw new java.lang.Exception ("ComputeClient Constructor => Invalid Inputs!");
}
/**
* Retrieve the Compute Server Host
*
* @return The Compute Server Host
*/
public java.lang.String computeServerHost()
{
return _strComputeServerHost;
}
/**
* Retrieve the Compute Server Port
*
* @return The Compute Server Port
*/
public int computeServerPort()
{
return _iComputeServerPort;
}
/**
* Establish a Connection to the Compute Server Engine
*
* @return TRUE - Connection to the Compute Server Engine Established
*/
public boolean initialize()
{
try {
_socketComputeServer = new java.net.Socket (_strComputeServerHost, _iComputeServerPort);
return true;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return false;
}
/**
* Invoke a Request on the Compute Server and Retrieve the Response
*
* @param jsonRequest The Input JSON Request
*
* @return The Processed JSON Response
*/
public org.drip.json.simple.JSONObject invoke (
final org.drip.json.simple.JSONObject jsonRequest)
{
if (!org.drip.service.engine.RequestResponseDecorator.AffixRequestHeaders (jsonRequest)) return null;
try {
java.io.PrintWriter pw = new java.io.PrintWriter (_socketComputeServer.getOutputStream(), true);
pw.write (jsonRequest.toJSONString() + "\n");
pw.flush();
java.lang.Object objResponse = org.drip.json.simple.JSONValue.parse (new java.io.BufferedReader
(new java.io.InputStreamReader (_socketComputeServer.getInputStream())).readLine());
return null == objResponse || !(objResponse instanceof org.drip.json.simple.JSONObject) ? null :
(org.drip.json.simple.JSONObject) objResponse;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
@SuppressWarnings ("unchecked") public static final void main (
final java.lang.String[] astrArgs)
throws java.lang.Exception
{
org.drip.service.env.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];
}
org.drip.json.simple.JSONObject jsonParameters = new org.drip.json.simple.JSONObject();
jsonParameters.put ("AssetSet", org.drip.json.parser.Converter.Array (astrAssetName));
jsonParameters.put ("AssetExpectedReturns", org.drip.json.parser.Converter.Array
(adblAssetExpectedReturns));
jsonParameters.put ("AssetReturnsCovariance", org.drip.json.parser.Converter.Array
(aadblAssetReturnsCovariance));
for (int i = 0; i < adblAssetExpectedReturns.length; ++i) {
jsonParameters.put (astrAssetName[i] + "::LowerBound", aadblBound[i][0]);
jsonParameters.put (astrAssetName[i] + "::UpperBound", aadblBound[i][1]);
}
org.drip.json.simple.JSONObject jsonRequest = new org.drip.json.simple.JSONObject();
jsonRequest.put ("API", "PORTFOLIOALLOCATION::BUDGETCONSTRAINEDMEANVARIANCE");
jsonRequest.put ("Parameters", jsonParameters);
System.out.println ("\n\t|---------------- JSON REQUEST -----------------|\n");
System.out.println (jsonRequest.toJSONString());
ComputeClient cc = Standard();
org.drip.json.simple.JSONObject jsonResponse = cc.invoke (jsonRequest);
System.out.println ("\n\t|---------------- JSON RESPONSE ----------------|\n");
System.out.println (jsonResponse.toJSONString());
}
}