Package nis.svc.opt.api

Interface ProjectReports

All Superinterfaces:

ReportsTables, Types

public interface ProjectReports
extends Types, ReportsTables

Nested Class Summary

Nested Classes

Modifier and Type	Interface	Description
static interface	ProjectReports.AnalysisReport	This contains the bits of the analysis summary report that are common to both initial and optimal portfolios.
static interface	ProjectReports.AnalysisSummaryReport	The Analysis Summary report is where the summary descriptive statistics of a portfolio are compiled.
static interface	ProjectReports.AttributesReport	the Attributes Report is where we get to track what happened with any industry sector or attribute groups, penalties and constraints.
static interface	ProjectReports.ConstraintsReport	The constraints report is where the information about the problem constraints is summarized.
static interface	ProjectReports.HoldingsSummaryReport	The holdings summary report is where the differences between the initial and optimal portfolios are enumerated at the asset specific level.
static interface	ProjectReports.MarginalContributionReport	the marginal contribution report is where we see marginal effects of buying and selling various securities.
static interface	ProjectReports.OptimizationReport	returns the optimization reports
static interface	ProjectReports.OptimizationSummaryReport	The Optimization Summary Report is where the summary results from the optimization are compiled.
static interface	ProjectReports.ReturnDecompositionReport	returns the return decomposition reports.
static interface	ProjectReports.ReturnDecompositionSummaryReport	The return decomposition summary report is where the returns are broken down by factor.
static interface	ProjectReports.RiskDecompositionReport	returns the risk decomposition reports.
static interface	ProjectReports.RiskDecompositionSummaryReport	The Risk Decomposition Summary Report is where the tracking error is broken down into it's individual components.
static interface	ProjectReports.RunSummaryReport

Nested classes/interfaces inherited from interface nis.svc.opt.api.ReportsTables

ReportsTables.ConstraintsRow, ReportsTables.ExceptionsRow, ReportsTables.HoldingsSummaryRow, ReportsTables.MarginalContributionRow, ReportsTables.PenaltiesRow, ReportsTables.ReturnDecompositionRow, ReportsTables.RiskDecompositionRow, ReportsTables.SecurityMarginalContributionRow, ReportsTables.VariableRow

Nested classes/interfaces inherited from interface nis.svc.opt.api.Types

Types.ConstraintType, Types.ExceptionHandling, Types.LotsOrderType, Types.PriorMeanType, Types.SwapAdjustmentType, Types.TxnCostType, Types.WashSaleType, Types.WeightingType

Method Summary

Modifier and Type	Method	Description
void	addException(java.lang.String id, java.lang.String portfolio, java.lang.String benchmark, java.lang.String buyList, java.lang.String composites, java.lang.String attributes)
void	addMessage(java.lang.String text)
void	addSecurityMarginalContribution(java.lang.String id, java.lang.String name, double MA, double MTBuy, double MTSell, double MUInd, double MV, double MuBuy, double MuSell, double MFactV, double MResidV, double MSect, double MPen, double ActWt, double ImplRet)
ProjectReports.AnalysisReport	analysis()	returns the project analysis summary reports
ProjectReports.AttributesReport	attributesSummary()	returns the project attributes summary report
ProjectReports.ConstraintsReport	constraints()	returns the project constraints summary report
ReportsTables.ExceptionsRow[]	exceptions()	returns the exceptions summary report.
ProjectReports.HoldingsSummaryReport	holdings()	returns the project holdings summary report
ProjectReports.MarginalContributionReport	marginalContributions()	returns the project largest/smallest marginal contribution report.
default java.lang.String[]	messages()	A helper to return the optimization messages from the last run from the underlying engine.
ProjectReports.OptimizationReport	optimization()	returns the project optimization summary reports
ProjectReports.ReturnDecompositionReport	returnDecomposition()	returns the project return decomposition summary reports
ProjectReports.RiskDecompositionReport	riskDecomposition()	returns the project risk decomposition summary reports
ProjectReports.RunSummaryReport	runSummary()
ReportsTables.SecurityMarginalContributionRow[]	securityMarginalContributions()	returns the project security marginal contribution report.
SettingsTables.TextRow[]	textMessages()

Method Detail

optimization

ProjectReports.OptimizationReport optimization()

returns the project optimization summary reports

Returns:

optimization report

analysis

ProjectReports.AnalysisReport analysis()

returns the project analysis summary reports

Returns:

analysis summary report

riskDecomposition

ProjectReports.RiskDecompositionReport riskDecomposition()

returns the project risk decomposition summary reports

Returns:

risk decomposition summaries

returnDecomposition

ProjectReports.ReturnDecompositionReport returnDecomposition()

returns the project return decomposition summary reports

Returns:

return decomposition reports

holdings

ProjectReports.HoldingsSummaryReport holdings()

returns the project holdings summary report

Returns:

holding summary report

securityMarginalContributions

ReportsTables.SecurityMarginalContributionRow[] securityMarginalContributions()

returns the project security marginal contribution report. an array of security marginal contribution row objects. there a record for every asset in the problem. this reports the derivative with respect to every security of every term in the objective function.

Returns:

security marginal contribution report

attributesSummary

ProjectReports.AttributesReport attributesSummary()

returns the project attributes summary report

Returns:

attributes summary

marginalContributions

ProjectReports.MarginalContributionReport marginalContributions()

returns the project largest/smallest marginal contribution report.

Returns:

largest/smallest marginal contributions summary.

constraints

ProjectReports.ConstraintsReport constraints()

returns the project constraints summary report

Returns:

constraints summary report

exceptions

ReportsTables.ExceptionsRow[] exceptions()

returns the exceptions summary report. an array of exceptions row objects. lists the assets without risk model coverage. shows whether the asset was in the portfolio, benchmark or buylist.

Returns:

exception summary report.

runSummary

ProjectReports.RunSummaryReport runSummary()

messages

default java.lang.String[] messages()

A helper to return the optimization messages from the last run from the underlying engine.

Returns:

messages

textMessages

SettingsTables.TextRow[] textMessages()

addMessage

void addMessage(java.lang.String text)

addSecurityMarginalContribution

void addSecurityMarginalContribution(java.lang.String id,
                                     java.lang.String name,
                                     double MA,
                                     double MTBuy,
                                     double MTSell,
                                     double MUInd,
                                     double MV,
                                     double MuBuy,
                                     double MuSell,
                                     double MFactV,
                                     double MResidV,
                                     double MSect,
                                     double MPen,
                                     double ActWt,
                                     double ImplRet)

addException

void addException(java.lang.String id,
                  java.lang.String portfolio,
                  java.lang.String benchmark,
                  java.lang.String buyList,
                  java.lang.String composites,
                  java.lang.String attributes)