Features:

- Holdings Container - unDirty #1 (1, 2, 3) - Holdings Container - unDirty #2 (4, 5, 6) - Holdings Container - unDirty #3 (7, 8, 9) - Holdings Container - unDirty #4 (10, 11) - Holdings Container - unDirty #5 (12, 13) - Holdings Container - Asset Weight Map (14) - Holdings Container - Asset Market Value (15) - Holdings Container - Asset Set #1 (16, 17) - Holdings Container - Asset Set #2 (18, 19) - Holdings Container - Set Cash #1 (20, 21) - Holdings Container - Set Cash #2 (22, 23, 24) - Holdings Container - Set Cash #3 (25, 26, 27) - Holdings Container - Set Cash #4 (28, 29, 30) - Holdings Container - Set Cash #5 (31, 32, 33) - Holdings Container - Set Cash #6 (34) - Lean Portfolio Construction Trades Container (35, 36, 37) - Trades Container - Asset Quantity Map (38, 39, 40) - Holdings Container - Remove Asset #1 (41, 42) - Holdings Container - Remove Asset #2 (43, 44, 45) - Holdings Container - Remove Asset #3 (46, 47, 48) - Holdings Container - Remove Asset #4 (49, 50) - Trades Container - Annotated Constructor #1 (51, 52, 53) - Trades Container - Annotated Constructor #2 (54, 55, 56) - Trades Container - Annotated Constructor #3 (57, 58) - Trades Container - Starting/Ending Holdings #1 (59, 60) - Trades Container - Starting/Ending Holdings #2 (61, 62, 63) - Trades Container - Starting/Ending Holdings #3 (64, 65, 66) - Trades Container - Starting/Ending Holdings #4 (67, 68, 69) - Trades Container - Starting/Ending Holdings #5 (70, 71, 72) - Trades Container - Starting/Ending Holdings #6 (73, 74, 75) - Trades Container - Starting/Ending Holdings #7 (76, 77, 78) - Trades Container - Starting/Ending Holdings #8 (79, 80, 81) - Trades Container - Starting/Ending Holdings #9 (82, 83) - Lean Portfolio Construction Post Processor Settings (84, 85, 86) - Post Processor Settings - Filter Sells #1 (87, 88, 89) - Post Processor Settings - Filter Sells #2 (90, 91) - Post Processor Settings - Constructor #1 (92, 93) - Post Processor Settings - Constructor #2 (94, 95, 96) - Lean Portfolio Construction Allocator Shell (97, 98, 99) - Lean Portfolio Construction Allocator Allocate #1 (100, 101) - Lean Portfolio Construction Allocator Allocate #2 (102, 103) - Lean Portfolio Construction Optimizer Optimize (104, 105) - Construction/Usage of Lean Portfolio Allocator (106, 107, 108) - Lean Allocator Buy Only Allocation (109, 110, 111) - Buy Only Allocation - Main #1 (112, 113, 114) - Buy Only Allocation - Main #2 (115, 116, 117) - Buy Only Allocation - Zero to Hundred (118, 119) - Buy Only Allocation - Random Holdings (120) Bug Fixes/Re-organization: Samples: IdeaDRIP:
lakshmiDRIP · Dec 27, 2024 · d3be21b · d3be21b
1 parent f4cd00c
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diff --git a/ReleaseNotes/04_28_2024.txt b/ReleaseNotes/04_28_2024.txt
@@ -0,0 +1,58 @@
+
+Features:
+
+	- Holdings Container - unDirty #1 (1, 2, 3)
+	- Holdings Container - unDirty #2 (4, 5, 6)
+	- Holdings Container - unDirty #3 (7, 8, 9)
+	- Holdings Container - unDirty #4 (10, 11)
+	- Holdings Container - unDirty #5 (12, 13)
+	- Holdings Container - Asset Weight Map (14)
+	- Holdings Container - Asset Market Value (15)
+	- Holdings Container - Asset Set #1 (16, 17)
+	- Holdings Container - Asset Set #2 (18, 19)
+	- Holdings Container - Set Cash #1 (20, 21)
+	- Holdings Container - Set Cash #2 (22, 23, 24)
+	- Holdings Container - Set Cash #3 (25, 26, 27)
+	- Holdings Container - Set Cash #4 (28, 29, 30)
+	- Holdings Container - Set Cash #5 (31, 32, 33)
+	- Holdings Container - Set Cash #6 (34)
+	- Lean Portfolio Construction Trades Container (35, 36, 37)
+	- Trades Container - Asset Quantity Map (38, 39, 40)
+	- Holdings Container - Remove Asset #1 (41, 42)
+	- Holdings Container - Remove Asset #2 (43, 44, 45)
+	- Holdings Container - Remove Asset #3 (46, 47, 48)
+	- Holdings Container - Remove Asset #4 (49, 50)
+	- Trades Container - Annotated Constructor #1 (51, 52, 53)
+	- Trades Container - Annotated Constructor #2 (54, 55, 56)
+	- Trades Container - Annotated Constructor #3 (57, 58)
+	- Trades Container - Starting/Ending Holdings #1 (59, 60)
+	- Trades Container - Starting/Ending Holdings #2 (61, 62, 63)
+	- Trades Container - Starting/Ending Holdings #3 (64, 65, 66)
+	- Trades Container - Starting/Ending Holdings #4 (67, 68, 69)
+	- Trades Container - Starting/Ending Holdings #5 (70, 71, 72)
+	- Trades Container - Starting/Ending Holdings #6 (73, 74, 75)
+	- Trades Container - Starting/Ending Holdings #7 (76, 77, 78)
+	- Trades Container - Starting/Ending Holdings #8 (79, 80, 81)
+	- Trades Container - Starting/Ending Holdings #9 (82, 83)
+	- Lean Portfolio Construction Post Processor Settings (84, 85, 86)
+	- Post Processor Settings - Filter Sells #1 (87, 88, 89)
+	- Post Processor Settings - Filter Sells #2 (90, 91)
+	- Post Processor Settings - Constructor #1 (92, 93)
+	- Post Processor Settings - Constructor #2 (94, 95, 96)
+	- Lean Portfolio Construction Allocator Shell (97, 98, 99)
+	- Lean Portfolio Construction Allocator Allocate #1 (100, 101)
+	- Lean Portfolio Construction Allocator Allocate #2 (102, 103)
+	- Lean Portfolio Construction Optimizer Optimize (104, 105)
+	- Construction/Usage of Lean Portfolio Allocator (106, 107, 108)
+	- Lean Allocator Buy Only Allocation (109, 110, 111)
+	- Buy Only Allocation - Main #1 (112, 113, 114)
+	- Buy Only Allocation - Main #2 (115, 116, 117)
+	- Buy Only Allocation - Zero to Hundred (118, 119)
+	- Buy Only Allocation - Random Holdings (120)
+
+
+Bug Fixes/Re-organization:
+
+Samples:
+
+IdeaDRIP:
diff --git a/src/main/java/org/drip/portfolioconstruction/lean/HoldingsContainer.java b/src/main/java/org/drip/portfolioconstruction/lean/HoldingsContainer.java
@@ -2,6 +2,7 @@
 package org.drip.portfolioconstruction.lean;
 
 import java.util.Map;
+import java.util.Set;
 
 import org.drip.analytics.support.CaseInsensitiveHashMap;
 import org.drip.numerical.common.NumberUtil;
@@ -95,18 +96,50 @@
 
 public class HoldingsContainer
 {
+	private boolean _dirty = false;
+	private double _cashValue = Double.NaN;
 	private double _marketValue = Double.NaN;
 
 	private Map<String, Double> _assetWeightMap = new CaseInsensitiveHashMap<Double>();
 
 	private Map<String, Double> _assetMarketValueMap = new CaseInsensitiveHashMap<Double>();
 
+	private boolean unDirty()
+	{
+		if (!_dirty || _assetMarketValueMap.isEmpty()) {
+			return false;
+		}
+
+		_dirty = false;
+		_marketValue = 0.;
+
+		_assetWeightMap.clear();
+
+		for (Map.Entry<String, Double> assetMarketValueMapEntry : _assetMarketValueMap.entrySet()) {
+			_marketValue += assetMarketValueMapEntry.getValue();
+		}
+
+		if (0. == _marketValue) {
+			return true;
+		}
+
+		for (Map.Entry<String, Double> assetMarketValueMapEntry : _assetMarketValueMap.entrySet()) {
+			_assetWeightMap.put (
+				assetMarketValueMapEntry.getKey(),
+				assetMarketValueMapEntry.getValue() / _marketValue
+			);
+		}
+
+		return true;
+	}
+
 	/**
 	 * Empty <i>HoldingsContainer</i> Constructor
 	 */
 
 	public HoldingsContainer()
 	{
+		_cashValue = 0.;
 		_marketValue = 0.;
 
 		_assetWeightMap = new CaseInsensitiveHashMap<Double>();
@@ -133,6 +166,8 @@ public Map<String, Double> assetMarketValueMap()
 
 	public Map<String, Double> assetWeightMap()
 	{
+		unDirty();
+
 		return _assetWeightMap;
 	}
 
@@ -144,19 +179,32 @@ public Map<String, Double> assetWeightMap()
 
 	public double marketValue()
 	{
+		unDirty();
+
 		return _marketValue;
 	}
 
 	/**
-	 * Add the Asset and its Market Value to the Holdings
+	 * Retrieve the Holdings Cash Value
+	 * 
+	 * @return Holdings Cash Value
+	 */
+
+	public double cashValue()
+	{
+		return _cashValue;
+	}
+
+	/**
+	 * Set the Asset to its Market Value on the Holdings
 	 * 
 	 * @param assetID Asset ID
 	 * @param assetMarketValue Asset Market Value
 	 * 
-	 * @return TRUE - Asset successfully added to the Holdings
+	 * @return TRUE - Asset successfully set on the Holdings
 	 */
 
-	public boolean add (
+	public boolean setAsset (
 		final String assetID,
 		final double assetMarketValue)
 	{
@@ -166,6 +214,59 @@ public boolean add (
 
 		_assetMarketValueMap.put (assetID, assetMarketValue);
 
+		_dirty = true;
+		return true;
+	}
+
+	/**
+	 * Set the Cash Value on the Holdings
+	 * 
+	 * @param cashValue Cash Value
+	 * 
+	 * @return TRUE - Cash Value successfully set on the Holdings
+	 */
+
+	public boolean setCashValue (
+		final double cashValue)
+	{
+		if (NumberUtil.IsValid (cashValue)) {
+			return false;
+		}
+
+		_cashValue = cashValue;
+		_dirty = true;
+		return true;
+	}
+
+	/**
+	 * Retrieve the Set of Assets
+	 * 
+	 * @return Set of Assets
+	 */
+
+	public Set<String> assetSet()
+	{
+		return _assetMarketValueMap.keySet();
+	}
+
+	/**
+	 * Remove the Asset corresponding to the ID
+	 * 
+	 * @param assetID Asset ID
+	 * 
+	 * @return TRUE - Asset successfully removed
+	 */
+
+	public boolean removeAsset (
+		final String assetID)
+	{
+		if (null == assetID || !_assetMarketValueMap.containsKey (assetID)) {
+			return false;
+		}
+
+		_assetMarketValueMap.remove (assetID);
+
+		_dirty = true;
 		return true;
 	}
 }
diff --git a/src/main/java/org/drip/portfolioconstruction/lean/Optimizer.java b/src/main/java/org/drip/portfolioconstruction/lean/Optimizer.java
@@ -0,0 +1,104 @@
+
+package org.drip.portfolioconstruction.lean;
+
+/*
+ * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
+ */
+
+/*!
+ * Copyright (C) 2024 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,
+ *  	graph builder/navigator, 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
+ *  - Graph Algorithm
+ *  - 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
+ * 
+ *  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>Optimizer</i> exposes Functionality for optimizing the given Portfolio
+ *
+ *	<br><br>
+ *  <ul>
+ *		<li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
+ *		<li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AssetAllocationAnalyticsLibrary.md">Asset Allocation Analytics</a></li>
+ *		<li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/portfolioconstruction/README.md">Portfolio Construction under Allocation Constraints</a></li>
+ *		<li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/portfolioconstruction/lean/README.md">"Lean" Portfolio Construction Utilities Suite</a></li>
+ *  </ul>
+ *
+ * @author Lakshmi Krishnamurthy
+ */
+
+public interface Optimizer
+{
+
+	/**
+	 * Optimize from the Starting Holdings
+	 * 
+	 * @param startingHoldingsContainer Starting Holdings
+	 * 
+	 * @return The Allocated Holdings
+	 */
+
+	public abstract HoldingsContainer optimize (
+		final HoldingsContainer startingHoldingsContainer
+	);
+}