ComputeClient.java

  1. package org.drip.service.engine;

  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 Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * 
  14.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  15.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  16.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  17.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  18.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  19.  *      and computational support.
  20.  *  
  21.  *      https://lakshmidrip.github.io/DROP/
  22.  *  
  23.  *  DROP is composed of three modules:
  24.  *  
  25.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  26.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  27.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  28.  * 
  29.  *  DROP Product Core implements libraries for the following:
  30.  *  - Fixed Income Analytics
  31.  *  - Loan Analytics
  32.  *  - Transaction Cost Analytics
  33.  * 
  34.  *  DROP Portfolio Core implements libraries for the following:
  35.  *  - Asset Allocation Analytics
  36.  *  - Asset Liability Management Analytics
  37.  *  - Capital Estimation Analytics
  38.  *  - Exposure Analytics
  39.  *  - Margin Analytics
  40.  *  - XVA Analytics
  41.  * 
  42.  *  DROP Computational Core implements libraries for the following:
  43.  *  - Algorithm Support
  44.  *  - Computation Support
  45.  *  - Function Analysis
  46.  *  - Model Validation
  47.  *  - Numerical Analysis
  48.  *  - Numerical Optimizer
  49.  *  - Spline Builder
  50.  *  - Statistical Learning
  51.  * 
  52.  *  Documentation for DROP is Spread Over:
  53.  * 
  54.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  55.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  56.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  57.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  58.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  59.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  60.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  61.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  62.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  63.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  64.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  65.  * 
  66.  *  Licensed under the Apache License, Version 2.0 (the "License");
  67.  *      you may not use this file except in compliance with the License.
  68.  *   
  69.  *  You may obtain a copy of the License at
  70.  *      http://www.apache.org/licenses/LICENSE-2.0
  71.  *  
  72.  *  Unless required by applicable law or agreed to in writing, software
  73.  *      distributed under the License is distributed on an "AS IS" BASIS,
  74.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  75.  *  
  76.  *  See the License for the specific language governing permissions and
  77.  *      limitations under the License.
  78.  */

  80. /**
  81.  * <i>ComputeClient</i> contains the Functionality behind the DROP API Compute Service Client.
  82.  * 
  83.  * <br><br>
  84.  *  <ul>
  85.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  86.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  87.  *      <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>
  88.  *      <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>
  89.  *  </ul>
  90.  * <br><br>
  91.  *
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class ComputeClient {
  96.     private int _iComputeServerPort = -1;
  97.     private java.lang.String _strComputeServerHost = "";
  98.     private java.net.Socket _socketComputeServer = null;

  100.     /**
  101.      * Construct Standard LocalHost-based Instance of the ComputeClient
  102.      * 
  103.      * @return The Standard LocalHost-based Instance of the ComputeClient
  104.      */

  106.     public static final ComputeClient Standard()
  107.     {
  108.         try {
  109.             ComputeClient cc = new ComputeClient ("127.0.0.1",
  110.                 org.drip.service.engine.ComputeServer.DRIP_COMPUTE_ENGINE_PORT);

  112.             return cc.initialize() ? cc : null;
  113.         } catch (java.lang.Exception e) {
  114.             e.printStackTrace();
  115.         }

  117.         return null;
  118.     }

  120.     /**
  121.      * ComputeClient Constructor
  122.      * 
  123.      * @param strComputeServerHost The Compute Server Host
  124.      * @param iComputeServerPort The Compute Server Port
  125.      * 
  126.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  127.      */

  129.     public ComputeClient (
  130.         final java.lang.String strComputeServerHost,
  131.         final int iComputeServerPort)
  132.         throws java.lang.Exception
  133.     {
  134.         if (null == (_strComputeServerHost = strComputeServerHost) || 0 >= (_iComputeServerPort =
  135.             iComputeServerPort))
  136.             throw new java.lang.Exception ("ComputeClient Constructor => Invalid Inputs!");
  137.     }

  139.     /**
  140.      * Retrieve the Compute Server Host
  141.      * 
  142.      * @return The Compute Server Host
  143.      */

  145.     public java.lang.String computeServerHost()
  146.     {
  147.         return _strComputeServerHost;
  148.     }

  150.     /**
  151.      * Retrieve the Compute Server Port
  152.      * 
  153.      * @return The Compute Server Port
  154.      */

  156.     public int computeServerPort()
  157.     {
  158.         return _iComputeServerPort;
  159.     }

  161.     /**
  162.      * Establish a Connection to the Compute Server Engine
  163.      * 
  164.      * @return TRUE - Connection to the Compute Server Engine Established
  165.      */

  167.     public boolean initialize()
  168.     {
  169.         try {
  170.             _socketComputeServer = new java.net.Socket (_strComputeServerHost, _iComputeServerPort);

  172.             return true;
  173.         } catch (java.lang.Exception e) {
  174.             e.printStackTrace();
  175.         }

  177.         return false;
  178.     }

  180.     /**
  181.      * Invoke a Request on the Compute Server and Retrieve the Response
  182.      * 
  183.      * @param jsonRequest The Input JSON Request
  184.      * 
  185.      * @return The Processed JSON Response
  186.      */

  188.     public org.drip.json.simple.JSONObject invoke (
  189.         final org.drip.json.simple.JSONObject jsonRequest)
  190.     {
  191.         if (!org.drip.service.engine.RequestResponseDecorator.AffixRequestHeaders (jsonRequest)) return null;

  193.         try {
  194.             java.io.PrintWriter pw = new java.io.PrintWriter (_socketComputeServer.getOutputStream(), true);

  196.             pw.write (jsonRequest.toJSONString() + "\n");

  198.             pw.flush();

  200.             java.lang.Object objResponse = org.drip.json.simple.JSONValue.parse (new java.io.BufferedReader
  201.                 (new java.io.InputStreamReader (_socketComputeServer.getInputStream())).readLine());

  203.             return null == objResponse || !(objResponse instanceof org.drip.json.simple.JSONObject) ? null :
  204.                 (org.drip.json.simple.JSONObject) objResponse;
  205.         } catch (java.lang.Exception e) {
  206.             e.printStackTrace();
  207.         }

  209.         return null;
  210.     }

  212.     @SuppressWarnings ("unchecked") public static final void main (
  213.         final java.lang.String[] astrArgs)
  214.         throws java.lang.Exception
  215.     {
  216.         org.drip.service.env.EnvManager.InitEnv ("");

  218.         String[] astrAssetName = new String[] {
  219.             "TOK",
  220.             "EWJ",
  221.             "HYG",
  222.             "LQD",
  223.             "EMD",
  224.             "GSG",
  225.             "BWX"
  226.         };

  228.         double[] adblAssetExpectedReturns = new double[] {
  229.             0.008355,
  230.             0.007207,
  231.             0.006279,
  232.             0.002466,
  233.             0.004472,
  234.             0.006821,
  235.             0.001570
  236.         };

  238.         double[][] aadblAssetReturnsCovariance = new double[][] {
  239.             {0.002733, 0.002083, 0.001593, 0.000488, 0.001172, 0.002312, 0.000710},
  240.             {0.002083, 0.002768, 0.001302, 0.000457, 0.001105, 0.001647, 0.000563},
  241.             {0.001593, 0.001302, 0.001463, 0.000639, 0.001050, 0.001110, 0.000519},
  242.             {0.000488, 0.000457, 0.000639, 0.000608, 0.000663, 0.000042, 0.000370},
  243.             {0.001172, 0.001105, 0.001050, 0.000663, 0.001389, 0.000825, 0.000661},
  244.             {0.002312, 0.001647, 0.001110, 0.000042, 0.000825, 0.005211, 0.000749},
  245.             {0.000710, 0.000563, 0.000519, 0.000370, 0.000661, 0.000749, 0.000703}
  246.         };

  248.         double[] adblAssetLowerBound = new double[] {
  249.             0.05,
  250.             0.05,
  251.             0.05,
  252.             0.10,
  253.             0.05,
  254.             0.05,
  255.             0.03
  256.         };

  258.         double[] adblAssetUpperBound = new double[] {
  259.             0.40,
  260.             0.40,
  261.             0.30,
  262.             0.60,
  263.             0.35,
  264.             0.15,
  265.             0.50
  266.         };

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

  270.         for (int i = 0; i < adblAssetExpectedReturns.length; ++i) {
  271.             aadblBound[i][0] = adblAssetLowerBound[i];
  272.             aadblBound[i][1] = adblAssetUpperBound[i];
  273.         }

  275.         org.drip.json.simple.JSONObject jsonParameters = new org.drip.json.simple.JSONObject();

  277.         jsonParameters.put ("AssetSet", org.drip.json.parser.Converter.Array (astrAssetName));

  279.         jsonParameters.put ("AssetExpectedReturns", org.drip.json.parser.Converter.Array
  280.             (adblAssetExpectedReturns));

  282.         jsonParameters.put ("AssetReturnsCovariance", org.drip.json.parser.Converter.Array
  283.             (aadblAssetReturnsCovariance));

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

  288.             jsonParameters.put (astrAssetName[i] + "::UpperBound", aadblBound[i][1]);
  289.         }

  291.         org.drip.json.simple.JSONObject jsonRequest = new org.drip.json.simple.JSONObject();

  293.         jsonRequest.put ("API", "PORTFOLIOALLOCATION::BUDGETCONSTRAINEDMEANVARIANCE");

  295.         jsonRequest.put ("Parameters", jsonParameters);

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

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

  301.         ComputeClient cc = Standard();

  303.         org.drip.json.simple.JSONObject jsonResponse = cc.invoke (jsonRequest);

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

  307.         System.out.println (jsonResponse.toJSONString());
  308.     }
  309. }
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