Package nis.svc.opt.api

Interface ProjectSettings.FactorConstraintSettings

  • Enclosing interface:
    ProjectSettings
    public static interface ProjectSettings.FactorConstraintSettings

    • Method Detail

      • factorMinConstraintType

        void factorMinConstraintType​(Types.ConstraintType type)
        sets the factor minimum constraint type. valid types include "absolute", "relative to initial" and "relative to benchmark"
        Parameters:
        type - factor min constraint type.

      • factorMinConstraintType

        Types.ConstraintType factorMinConstraintType()
        returns the factor minimum constraint type. valid types include "absolute", "relative to initial" and "relative to benchmark"
        Returns:
        factor min constraint type.

      • factorMaxConstraintType

        void factorMaxConstraintType​(Types.ConstraintType type)
        sets the factor maximum constraint type. valid types include "absolute", "relative to initial" and "relative to benchmark"
        Parameters:
        type - factor max constraint type.

      • factorMaxConstraintType

        Types.ConstraintType factorMaxConstraintType()
        returns the factor maximum constraint type. valid types include "absolute", "relative to initial" and "relative to benchmark"
        Returns:
        factor max constraint type.

      • setMinConstraint

        void setMinConstraint​(java.lang.String factorId,
                      double value)
        set individual factor minimum constraint. parameters are factor id and a double. units of the value are in aggregate portfolio factor exposure ... the weighted sum of the portfolio asset exposures to the factor.
        Parameters:
        factorId - factor id
        value - factor minimum constraint

      • setMinConstraints

        void setMinConstraints​(java.lang.String[] factorIds,
                       double[] values)
        sets factor min constraints for the factors identified in the factorID array. units of the value are in aggregate portfolio factor exposure ... the weighted sum of the portfolio asset exposures to the factor.
        Parameters:
        factorIds - factor ids.
        values - factor min constraints.

      • getMinConstraint

        double getMinConstraint​(java.lang.String factorId)
        returns individual factor minimum constraint for the parameterized factor ID. units of the value are in aggregate portfolio factor exposure ... the weighted sum of the portfolio asset exposures to the factor.
        Parameters:
        factorId - factor ids.
        Returns:
        factor min constraint.

      • minConstraints

        SettingsTables.ValueRow[] minConstraints()
        returns an array of min constraint factorID / value pairs. units of the value are in aggregate portfolio factor exposure ... the weighted sum of the portfolio asset exposures to the factor.
        Returns:
        min constraints.

      • minConstraintsClear

        void minConstraintsClear()

      • setMaxConstraint

        void setMaxConstraint​(java.lang.String factorId,
                      double value)
        set individual factor maximum constraint. parameters are factor id and a double. units of the value are in aggregate portfolio factor exposure ... the weighted sum of the portfolio asset exposures to the factor.
        Parameters:
        factorId - factor id.
        value - factor max constraint value.

      • setMaxConstraints

        void setMaxConstraints​(java.lang.String[] factorIds,
                       double[] values)
        sets factor max constraints for the factors identified in the factorID array. units of the value are in aggregate portfolio factor exposure ... the weighted sum of the portfolio asset exposures to the factor.
        Parameters:
        factorIds - factor ids.
        values - factor values.

      • getMaxConstraint

        double getMaxConstraint​(java.lang.String factorId)
        returns individual factor maximum constraint for the parameterized factor ID. units of the value are in aggregate portfolio factor exposure ... the weighted sum of the portfolio asset exposures to the factor.
        Parameters:
        factorId - factor id.
        Returns:
        factor max constraint.

      • maxConstraints

        SettingsTables.ValueRow[] maxConstraints()
        returns an array of factorID / max constraint pairs
        Returns:
        max constraints.

      • maxConstraintsClear

        void maxConstraintsClear()

      • setAlpha

        void setAlpha​(java.lang.String factorId,
              double value)
        sets an alpha for the factor ID specified. units are percent.
        Parameters:
        factorId - factor id.
        value - factor alpha.

      • setAlpha

        void setAlpha​(java.lang.String[] factorIds,
              double[] values)
        sets alphas for each factor ID in the factorIds parameter. value units are in percent.
        Parameters:
        factorIds - factor ids.
        values - factor alphas.

      • alphasClear

        void alphasClear()