diff --git a/Javadoc/allclasses-index.html b/Javadoc/allclasses-index.html index 0189f4755c1..4e429da989e 100644 --- a/Javadoc/allclasses-index.html +++ b/Javadoc/allclasses-index.html @@ -2,10 +2,10 @@ - + All Classes - + @@ -16,7 +16,7 @@ - - + + + + + + +
+ +
+
+ +
+
Package org.drip.portfolioconstruction.lean
+

Class FullSequenceAllocation

+
+
java.lang.Object +
org.drip.portfolioconstruction.lean.FullSequenceAllocation
+
+
+
+
Direct Known Subclasses:
+
FullSequenceAllocationDiagnostics
+
+
+
public class FullSequenceAllocation
+extends java.lang.Object
+
FullSequenceAllocator holds the Results of Optimization from the Initial Holdings and its eventual + Post-Processing. + +

+
+
+
Author:
+
Lakshmi Krishnamurthy
+
+
+
+ +
+
+
    + +
  • +
    +

    Constructor Details

    +
      +
    • +
      +

      FullSequenceAllocation

      +
      public FullSequenceAllocation()
      +
      Empty FullSequenceAllocation Constructor
      +
      +
      • +
    +
    +
    • + +
  • +
    +

    Method Details

    +
      +
    • +
      +

      startingHoldings

      +
      public boolean startingHoldings​(HoldingsContainer startingHoldings)
      +
      Set the Starting Holdings
      +
      +
      Parameters:
      +
      startingHoldings - Starting Holdings
      +
      Returns:
      +
      TRUE - The Starting Holdings successfully set
      +
      +
      +
      • +
    • +
      +

      endingHoldings

      +
      public boolean endingHoldings​(HoldingsContainer endingHoldings)
      +
      Set the Ending Holdings
      +
      +
      Parameters:
      +
      endingHoldings - Ending Holdings
      +
      Returns:
      +
      TRUE - The Ending Holdings successfully set
      +
      +
      +
      • +
    • +
      +

      startingHoldings

      +
      public HoldingsContainer startingHoldings()
      +
      Retrieve the Starting Holdings
      +
      +
      Returns:
      +
      Starting Holdings
      +
      +
      +
      • +
    • +
      +

      endingHoldings

      +
      public HoldingsContainer endingHoldings()
      +
      Retrieve the Ending Holdings
      +
      +
      Returns:
      +
      Starting Holdings
      +
      +
      +
      • +
    • +
      +

      tradesContainer

      +
      public TradesContainer tradesContainer()
      +
      Retrieve the Trades Container
      +
      +
      Returns:
      +
      Trades Container
      +
      +
      +
      • +
    +
    +
    • +
+
+ +
+ +
+
+ + diff --git a/Javadoc/org/drip/portfolioconstruction/lean/FullSequenceAllocationDiagnostics.html b/Javadoc/org/drip/portfolioconstruction/lean/FullSequenceAllocationDiagnostics.html new file mode 100644 index 00000000000..c4d019bca1e --- /dev/null +++ b/Javadoc/org/drip/portfolioconstruction/lean/FullSequenceAllocationDiagnostics.html @@ -0,0 +1,308 @@ + + + + + +FullSequenceAllocationDiagnostics + + + + + + + + + + + + + + +
+ +
+
+ +
+
Package org.drip.portfolioconstruction.lean
+

Class FullSequenceAllocationDiagnostics

+
+
java.lang.Object +
org.drip.portfolioconstruction.lean.FullSequenceAllocation +
org.drip.portfolioconstruction.lean.FullSequenceAllocationDiagnostics
+
+
+
+
+
public class FullSequenceAllocationDiagnostics
+extends FullSequenceAllocation
+
FullSequenceAllocationDiagnostics augments FullSequenceAllocation by holding the Results of + the pre-processed Allocation. + +

+
+
+
Author:
+
Lakshmi Krishnamurthy
+
+
+
+ +
+
+
    + +
  • +
    +

    Field Details

    + +
    +
    • + +
  • +
    +

    Constructor Details

    +
      +
    • +
      +

      FullSequenceAllocationDiagnostics

      +
      public FullSequenceAllocationDiagnostics()
      +
      Empty FullSequenceAllocationDiagnostics Constructor
      +
      +
      • +
    +
    +
    • + +
  • +
    +

    Method Details

    +
      +
    • +
      +

      preFilteredHoldings

      +
      public HoldingsContainer preFilteredHoldings()
      +
      Retrieve the Pre-Filtered Holdings
      +
      +
      Returns:
      +
      Pre-Filtered Holdings
      +
      +
      +
      • +
    • +
      +

      setPreFiltered

      +
      public boolean setPreFiltered​(HoldingsContainer holdingsContainer)
      +
      Set Pre-Filtered Holdings Container
      +
      +
      Parameters:
      +
      holdingsContainer - Pre-Filtered Holdings Container
      +
      Returns:
      +
      Pre-Filtered Holdings Container successfully set
      +
      +
      +
      • +
    +
    +
    • +
+
+ +
+ +
+
+ + diff --git a/Javadoc/org/drip/portfolioconstruction/lean/FullSequenceAllocator.html b/Javadoc/org/drip/portfolioconstruction/lean/FullSequenceAllocator.html new file mode 100644 index 00000000000..4a027cd42d5 --- /dev/null +++ b/Javadoc/org/drip/portfolioconstruction/lean/FullSequenceAllocator.html @@ -0,0 +1,313 @@ + + + + + +FullSequenceAllocator + + + + + + + + + + + + + + +
+ +
+
+ +
+
Package org.drip.portfolioconstruction.lean
+

Class FullSequenceAllocator

+
+
java.lang.Object +
org.drip.portfolioconstruction.lean.FullSequenceAllocator
+
+
+
+
public class FullSequenceAllocator
+extends java.lang.Object
+
FullSequenceAllocator generates an Optimal Portfolio from the Initial Holdings and performs + Post-Processing if necessary. + +

+
+
+
Author:
+
Lakshmi Krishnamurthy
+
+
+
+
    + +
  • +
    +

    Constructor Summary

    +
    + + + + + + + + + + + + + + +
    Constructors
    ConstructorDescription
    FullSequenceAllocator​(Optimizer optimizer, +PostProcessorSettings postProcessorSettings, +boolean diagnosticsOn) +
    FullSequenceAllocator Constructor
    +
    +
    +
    +
    • + +
  • +
    +

    Method Summary

    +
    +
    +
    + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + +
    Modifier and TypeMethodDescription
    FullSequenceAllocationallocate​(HoldingsContainer startingHoldings) +
    Allocate an Instance of Post-processed Target Holdings from the Initial Portfolio
    +
    booleandiagnosticsOn() +
    Indicate if the Diagnostics is turned on
    +
    Optimizeroptimizer() +
    Retrieve the Optimizer
    +
    PostProcessorSettingspostProcessorSettings() +
    Retrieve the Post Processing Settings
    +
    +
    +
    +
    +

    Methods inherited from class java.lang.Object

    +equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
    +
    +
    • +
+
+
+
    + +
  • +
    +

    Constructor Details

    +
      +
    • +
      +

      FullSequenceAllocator

      +
      public FullSequenceAllocator​(Optimizer optimizer, +PostProcessorSettings postProcessorSettings, +boolean diagnosticsOn) + throws java.lang.Exception
      +
      FullSequenceAllocator Constructor
      +
      +
      Parameters:
      +
      optimizer - Optimizer
      +
      postProcessorSettings - Post Processing Settings
      +
      diagnosticsOn - TRUE - Diagnostics is turned on
      +
      Throws:
      +
      java.lang.Exception
      +
      +
      +
      • +
    +
    +
    • + +
  • +
    +

    Method Details

    +
      +
    • +
      +

      optimizer

      +
      public Optimizer optimizer()
      +
      Retrieve the Optimizer
      +
      +
      Returns:
      +
      Optimizer
      +
      +
      +
      • +
    • +
      +

      postProcessorSettings

      +
      public PostProcessorSettings postProcessorSettings()
      +
      Retrieve the Post Processing Settings
      +
      +
      Returns:
      +
      Post Processing Settings
      +
      +
      +
      • +
    • +
      +

      diagnosticsOn

      +
      public boolean diagnosticsOn()
      +
      Indicate if the Diagnostics is turned on
      +
      +
      Returns:
      +
      TRUE - Diagnostics is turned on
      +
      +
      +
      • +
    • +
      +

      allocate

      +
      public FullSequenceAllocation allocate​(HoldingsContainer startingHoldings)
      +
      Allocate an Instance of Post-processed Target Holdings from the Initial Portfolio
      +
      +
      Parameters:
      +
      startingHoldings - Starting Holdings
      +
      Returns:
      +
      Instance of Post-processed Target Holdings
      +
      +
      +
      • +
    +
    +
    • +
+
+ +
+ +
+
+ + diff --git a/Javadoc/org/drip/portfolioconstruction/lean/HoldingsContainer.html b/Javadoc/org/drip/portfolioconstruction/lean/HoldingsContainer.html index 71f5c1d6b8f..27c7a059268 100644 --- a/Javadoc/org/drip/portfolioconstruction/lean/HoldingsContainer.html +++ b/Javadoc/org/drip/portfolioconstruction/lean/HoldingsContainer.html @@ -2,10 +2,10 @@ - + HoldingsContainer - + @@ -16,7 +16,7 @@ - + + + + + + +
+ +
+
+ +
+
Package org.drip.portfolioconstruction.lean
+

Interface Optimizer

+
+
+
+
All Known Implementing Classes:
+
RandomizedOptimizer
+
+
+
public interface Optimizer
+
Optimizer exposes Functionality for optimizing the given Portfolio + +

+
+
+
Author:
+
Lakshmi Krishnamurthy
+
+
+
+
    + +
  • +
    +

    Method Summary

    +
    +
    +
    + + + + + + + + + + + + + + + +
    Modifier and TypeMethodDescription
    HoldingsContaineroptimize​(HoldingsContainer startingHoldingsContainer) +
    Optimize from the Starting Holdings
    +
    +
    +
    +
    +
    • +
+
+
+
    + +
  • +
    +

    Method Details

    +
      +
    • +
      +

      optimize

      +
      HoldingsContainer optimize​(HoldingsContainer startingHoldingsContainer)
      +
      Optimize from the Starting Holdings
      +
      +
      Parameters:
      +
      startingHoldingsContainer - Starting Holdings
      +
      Returns:
      +
      The Optimal Holdings
      +
      +
      +
      • +
    +
    +
    • +
+
+ +
+ +
+
+ + diff --git a/Javadoc/org/drip/portfolioconstruction/lean/PostProcessorSettings.html b/Javadoc/org/drip/portfolioconstruction/lean/PostProcessorSettings.html new file mode 100644 index 00000000000..a2c31da4e9b --- /dev/null +++ b/Javadoc/org/drip/portfolioconstruction/lean/PostProcessorSettings.html @@ -0,0 +1,307 @@ + + + + + +PostProcessorSettings + + + + + + + + + + + + + + +
+ +
+
+ +
+
Package org.drip.portfolioconstruction.lean
+

Class PostProcessorSettings

+
+
java.lang.Object +
org.drip.portfolioconstruction.lean.PostProcessorSettings
+
+
+
+
public class PostProcessorSettings
+extends java.lang.Object
+
PostProcessorSettings holds the Control Settings guiding the Allocation Post-process. + +

+
+
+
Author:
+
Lakshmi Krishnamurthy
+
+
+
+
    + +
  • +
    +

    Constructor Summary

    +
    + + + + + + + + + + + + + + +
    Constructors
    ConstructorDescription
    PostProcessorSettings​(boolean filterSells, +boolean filterBuys) +
    PostProcessorSettings Constructor
    +
    +
    +
    +
    • + +
  • +
    +

    Method Summary

    +
    +
    +
    + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + +
    Modifier and TypeMethodDescription
    static PostProcessorSettingsBuyOnly() +
    Construct a Buy-only Version of PostProcessorSettings
    +
    booleanfilterBuys() +
    Indicate if Buys are to be removed
    +
    booleanfilterSells() +
    Indicate if Sells are to be removed
    +
    static PostProcessorSettingsSellOnly() +
    Construct a Sell-only Version of PostProcessorSettings
    +
    +
    +
    +
    +

    Methods inherited from class java.lang.Object

    +equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
    +
    +
    • +
+
+
+
    + +
  • +
    +

    Constructor Details

    +
      +
    • +
      +

      PostProcessorSettings

      +
      public PostProcessorSettings​(boolean filterSells, +boolean filterBuys) + throws java.lang.Exception
      +
      PostProcessorSettings Constructor
      +
      +
      Parameters:
      +
      filterSells - TRUE - Sells are to be removed
      +
      filterBuys - TRUE - Buys are to be removed
      +
      Throws:
      +
      java.lang.Exception - Thrown if the Inputs are Invalid
      +
      +
      +
      • +
    +
    +
    • + +
  • +
    +

    Method Details

    +
      +
    • +
      +

      BuyOnly

      +
      public static final PostProcessorSettings BuyOnly()
      +
      Construct a Buy-only Version of PostProcessorSettings
      +
      +
      Returns:
      +
      Buy-only Version of PostProcessorSettings
      +
      +
      +
      • +
    • +
      +

      SellOnly

      +
      public static final PostProcessorSettings SellOnly()
      +
      Construct a Sell-only Version of PostProcessorSettings
      +
      +
      Returns:
      +
      Sell-only Version of PostProcessorSettings
      +
      +
      +
      • +
    • +
      +

      filterSells

      +
      public boolean filterSells()
      +
      Indicate if Sells are to be removed
      +
      +
      Returns:
      +
      TRUE - Sells are to be removed
      +
      +
      +
      • +
    • +
      +

      filterBuys

      +
      public boolean filterBuys()
      +
      Indicate if Buys are to be removed
      +
      +
      Returns:
      +
      TRUE - Buys are to be removed
      +
      +
      +
      • +
    +
    +
    • +
+
+ +
+ +
+
+ + diff --git a/Javadoc/org/drip/portfolioconstruction/lean/RandomizedOptimizer.html b/Javadoc/org/drip/portfolioconstruction/lean/RandomizedOptimizer.html new file mode 100644 index 00000000000..b55d17c81e7 --- /dev/null +++ b/Javadoc/org/drip/portfolioconstruction/lean/RandomizedOptimizer.html @@ -0,0 +1,277 @@ + + + + + +RandomizedOptimizer + + + + + + + + + + + + + + +
+ +
+
+ +
+
Package org.drip.portfolioconstruction.lean
+

Class RandomizedOptimizer

+
+
java.lang.Object +
org.drip.portfolioconstruction.lean.RandomizedOptimizer
+
+
+
+
All Implemented Interfaces:
+
Optimizer
+
+
+
public class RandomizedOptimizer
+extends java.lang.Object
+implements Optimizer
+
RandomizedOptimizer generates Random Target Portfolio from the Input Holdings and its Market Value. + +

+
+
+
Author:
+
Lakshmi Krishnamurthy
+
+
+
+
    + +
  • +
    +

    Constructor Summary

    +
    + + + + + + + + + + + + + + +
    Constructors
    ConstructorDescription
    RandomizedOptimizer​(double assetSizeScaler) +
    RandomizedOptimizer Constructor
    +
    +
    +
    +
    • + +
  • +
    +

    Method Summary

    +
    +
    +
    + + + + + + + + + + + + + + + + + + + + +
    Modifier and TypeMethodDescription
    doubleassetSizeScaler() +
    Retrieve the Asset Size Scaler
    +
    HoldingsContaineroptimize​(HoldingsContainer startingHoldingsContainer) +
    Optimize from the Starting Holdings
    +
    +
    +
    +
    +

    Methods inherited from class java.lang.Object

    +equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
    +
    +
    • +
+
+
+
    + +
  • +
    +

    Constructor Details

    +
      +
    • +
      +

      RandomizedOptimizer

      +
      public RandomizedOptimizer​(double assetSizeScaler) + throws java.lang.Exception
      +
      RandomizedOptimizer Constructor
      +
      +
      Parameters:
      +
      assetSizeScaler - Asset Size Scaler
      +
      Throws:
      +
      java.lang.Exception - Thrown if the Inputs are Invalid
      +
      +
      +
      • +
    +
    +
    • + +
  • +
    +

    Method Details

    +
      +
    • +
      +

      assetSizeScaler

      +
      public double assetSizeScaler()
      +
      Retrieve the Asset Size Scaler
      +
      +
      Returns:
      +
      Asset Size Scaler
      +
      +
      +
      • +
    • +
      +

      optimize

      +
      public HoldingsContainer optimize​(HoldingsContainer startingHoldingsContainer)
      +
      Optimize from the Starting Holdings
      +
      +
      Specified by:
      +
      optimize in interface Optimizer
      +
      Parameters:
      +
      startingHoldingsContainer - Starting Holdings
      +
      Returns:
      +
      The Optimal Holdings
      +
      +
      +
      • +
    +
    +
    • +
+
+ +
+ +
+
+ + diff --git a/Javadoc/org/drip/portfolioconstruction/lean/TradesContainer.html b/Javadoc/org/drip/portfolioconstruction/lean/TradesContainer.html new file mode 100644 index 00000000000..6a3a1188376 --- /dev/null +++ b/Javadoc/org/drip/portfolioconstruction/lean/TradesContainer.html @@ -0,0 +1,273 @@ + + + + + +TradesContainer + + + + + + + + + + + + + + +
+ +
+
+ +
+
Package org.drip.portfolioconstruction.lean
+

Class TradesContainer

+
+
java.lang.Object +
org.drip.portfolioconstruction.lean.TradesContainer
+
+
+
+
public class TradesContainer
+extends java.lang.Object
+
TradesContainer implements the container that maintains the Map of Trades. + +

+
+
+
Author:
+
Lakshmi Krishnamurthy
+
+
+
+
    + +
  • +
    +

    Constructor Summary

    +
    + + + + + + + + + + + + + + +
    Constructors
    ConstructorDescription
    TradesContainer​(java.util.Map<java.lang.String,​java.lang.Double> assetQuantityMap) +
    TradesContainer Constructor
    +
    +
    +
    +
    • + +
  • +
    +

    Method Summary

    +
    +
    +
    + + + + + + + + + + + + + + + + + + + + +
    Modifier and TypeMethodDescription
    java.util.Map<java.lang.String,​java.lang.Double>assetQuantityMap() +
    Retrieve the Asset Quantity Map
    +
    static TradesContainerFromStartAndEndHoldings​(HoldingsContainer startingHoldingsContainer, +HoldingsContainer endingHoldingsContainer) +
    Construct a TradesContainer Instance from the Starting and the Ending Holdings
    +
    +
    +
    +
    +

    Methods inherited from class java.lang.Object

    +equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
    +
    +
    • +
+
+
+
    + +
  • +
    +

    Constructor Details

    +
      +
    • +
      +

      TradesContainer

      +
      public TradesContainer​(java.util.Map<java.lang.String,​java.lang.Double> assetQuantityMap) + throws java.lang.Exception
      +
      TradesContainer Constructor
      +
      +
      Parameters:
      +
      assetQuantityMap - Asset Quantity Map
      +
      Throws:
      +
      java.lang.Exception - Thrown if the Inputs are Invalid
      +
      +
      +
      • +
    +
    +
    • + +
  • +
    +

    Method Details

    +
      +
    • +
      +

      FromStartAndEndHoldings

      +
      public static final TradesContainer FromStartAndEndHoldings​(HoldingsContainer startingHoldingsContainer, +HoldingsContainer endingHoldingsContainer)
      +
      Construct a TradesContainer Instance from the Starting and the Ending Holdings
      +
      +
      Parameters:
      +
      startingHoldingsContainer - Starting HoldingsContainer
      +
      endingHoldingsContainer - Ending HoldingsContainer
      +
      Returns:
      +
      TradesContainer Instance
      +
      +
      +
      • +
    • +
      +

      assetQuantityMap

      +
      public java.util.Map<java.lang.String,​java.lang.Double> assetQuantityMap()
      +
      Retrieve the Asset Quantity Map
      +
      +
      Returns:
      +
      Asset Quantity Map
      +
      +
      +
      • +
    +
    +
    • +
+
+ +
+ +
+
+ + diff --git a/Javadoc/org/drip/portfolioconstruction/lean/class-use/FullSequenceAllocation.html b/Javadoc/org/drip/portfolioconstruction/lean/class-use/FullSequenceAllocation.html new file mode 100644 index 00000000000..a7a090ec3bc --- /dev/null +++ b/Javadoc/org/drip/portfolioconstruction/lean/class-use/FullSequenceAllocation.html @@ -0,0 +1,153 @@ + + + + + +Uses of Class org.drip.portfolioconstruction.lean.FullSequenceAllocation + + + + + + + + + + + + + + +
+ +
+
+
+

Uses of Class
org.drip.portfolioconstruction.lean.FullSequenceAllocation

+
+
+ + + + + + + + + + + + + + +
Packages that use FullSequenceAllocation
PackageDescription
org.drip.portfolioconstruction.lean +
"Lean" Portfolio Construction Utilities Suite
+
+
+
+ +
+
+ +
+
+ + diff --git a/Javadoc/org/drip/portfolioconstruction/lean/class-use/FullSequenceAllocationDiagnostics.html b/Javadoc/org/drip/portfolioconstruction/lean/class-use/FullSequenceAllocationDiagnostics.html new file mode 100644 index 00000000000..07198eaff7c --- /dev/null +++ b/Javadoc/org/drip/portfolioconstruction/lean/class-use/FullSequenceAllocationDiagnostics.html @@ -0,0 +1,82 @@ + + + + + +Uses of Class org.drip.portfolioconstruction.lean.FullSequenceAllocationDiagnostics + + + + + + + + + + + + + + +
+ +
+
+
+

Uses of Class
org.drip.portfolioconstruction.lean.FullSequenceAllocationDiagnostics

+
+No usage of org.drip.portfolioconstruction.lean.FullSequenceAllocationDiagnostics
+ +
+
+ + diff --git a/Javadoc/org/drip/portfolioconstruction/lean/class-use/FullSequenceAllocator.html b/Javadoc/org/drip/portfolioconstruction/lean/class-use/FullSequenceAllocator.html new file mode 100644 index 00000000000..a3728e1c8ff --- /dev/null +++ b/Javadoc/org/drip/portfolioconstruction/lean/class-use/FullSequenceAllocator.html @@ -0,0 +1,82 @@ + + + + + +Uses of Class org.drip.portfolioconstruction.lean.FullSequenceAllocator + + + + + + + + + + + + + + +
+ +
+
+
+

Uses of Class
org.drip.portfolioconstruction.lean.FullSequenceAllocator

+
+No usage of org.drip.portfolioconstruction.lean.FullSequenceAllocator
+ +
+
+ + diff --git a/Javadoc/org/drip/portfolioconstruction/lean/class-use/HoldingsContainer.html b/Javadoc/org/drip/portfolioconstruction/lean/class-use/HoldingsContainer.html index 3bbcb8127ac..4fdc5101676 100644 --- a/Javadoc/org/drip/portfolioconstruction/lean/class-use/HoldingsContainer.html +++ b/Javadoc/org/drip/portfolioconstruction/lean/class-use/HoldingsContainer.html @@ -2,10 +2,10 @@ - + Uses of Class org.drip.portfolioconstruction.lean.HoldingsContainer - + @@ -54,7 +54,174 @@

Uses of Class
org.drip.portfolioconstruction.lean.HoldingsContainer

-No usage of org.drip.portfolioconstruction.lean.HoldingsContainer +
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Packages that use HoldingsContainer
PackageDescription
org.drip.portfolioconstruction.lean +
"Lean" Portfolio Construction Utilities Suite
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