Package nis.svc.opt.api

Interface ProjectSettings.OptimizationSettings

  • Enclosing interface:
    ProjectSettings
    public static interface ProjectSettings.OptimizationSettings

    • Method Summary

      All Methods Instance Methods Abstract Methods 
      Modifier and Type Method Description
      int maximumIterations()
      Returns the maximum number of iterations the optimizer can do before quitting.
      void maximumIterations​(int value)
      Sets the maximum number of iterations the optimizer can do before quitting.
      double maximumPrecision()
      Returns the maximum precision parameter in the optimizer.
      void maximumPrecision​(double value)
      Sets the maximum precision parameter in the optimizer.
      java.lang.String optBestBuyId()  
      void optBestBuyId​(java.lang.String value)  
      java.lang.String optBestSellId()  
      void optBestSellId​(java.lang.String value)  
      double systematicRAP()
      Returns the Systematic Risk Acceptance Parameter Value.
      void systematicRAP​(double value)
      Sets the Systematic Risk Acceptance Parameter Value.
      int trackingErrorOptimizations()
      Returns the number of additional optimizations the optimizer is allowed to do to target a tracking error constraint.
      void trackingErrorOptimizations​(int value)
      Sets the number of additional optimizations the optimizer is allowed to do to target a tracking error constraint.
      double unSystematicRAP()
      Returns the asset specific risk acceptance parameter.
      void unSystematicRAP​(double value)
      Sets the asset specific risk acceptance parameter.

    • Method Detail

      • maximumIterations

        int maximumIterations()
        Returns the maximum number of iterations the optimizer can do before quitting. an iteration constitutes a matched pair of trades - buying the asset with the greatest marginal utility and selling the asset with the smallest marginal utility... subject to constraints
        Returns:
        max number of iterations.

      • maximumIterations

        void maximumIterations​(int value)
        Sets the maximum number of iterations the optimizer can do before quitting. an iteration constitutes a matched pair of trades - buying the asset with the greatest marginal utility and selling the asset with the smallest marginal utility... subject to constraints
        Parameters:
        value - max number of iterations

      • maximumPrecision

        double maximumPrecision()
        Returns the maximum precision parameter in the optimizer. the precision parameter defines the minimum incremental utility required to continue iterating. to put another way, once the additional utility gained by the previous iteration falls below the precision, the portfolio is deemed "optimal" and the solution is considered to be found
        Returns:
        max precision

      • maximumPrecision

        void maximumPrecision​(double value)
        Sets the maximum precision parameter in the optimizer. the precision parameter defines the minimum incremental utility required to continue iterating. to put another way, once the additional utility gained by the previous iteration falls below the precision, the portfolio is deemed "optimal" and the solution is considered to be found
        Parameters:
        value - max precision

      • systematicRAP

        double systematicRAP()
        Returns the Systematic Risk Acceptance Parameter Value. This is the coefficient applied to the systematic portion of the risk term in the objective function. the higher the value the more willing the investor is to take on factor risk in his portfolio.
        Returns:
        systematic RAP

      • systematicRAP

        void systematicRAP​(double value)
        Sets the Systematic Risk Acceptance Parameter Value. This is the coefficient applied to the systematic portion of the risk term in the objective function. the higher the value the more willing the investor is to take on factor risk in his portfolio.
        Parameters:
        value - systematic RAP

      • unSystematicRAP

        double unSystematicRAP()
        Returns the asset specific risk acceptance parameter. This is the coefficient applied to the asset specific portion of the risk term in the objective function. the higher the value, the more williong the investor is to take on asset specific risk in his portfolio.
        Returns:
        asset specific RAP

      • unSystematicRAP

        void unSystematicRAP​(double value)
        Sets the asset specific risk acceptance parameter. This is the coefficient applied to the asset specific portion of the risk term in the objective function. the higher the value, the more williong the investor is to take on asset specific risk in his portfolio.
        Parameters:
        value - asset specific RAP

      • trackingErrorOptimizations

        int trackingErrorOptimizations()
        Returns the number of additional optimizations the optimizer is allowed to do to target a tracking error constraint. This parameter is only relevant when a max or min tracking error constraint is set. When a tracking error is targeted, the optimizer searches iteratively for RAP values that will satisfy the tracking error constraints.
        Returns:
        number of tracking error targeting optimizations

      • trackingErrorOptimizations

        void trackingErrorOptimizations​(int value)
        Sets the number of additional optimizations the optimizer is allowed to do to target a tracking error constraint. This parameter is only relevant when a max or min tracking error constraint is set. When a tracking error is targeted, the optimizer searches iteratively for RAP values that will satisfy the tracking error constraints.
        Parameters:
        value - number of tracking error targeting optimizations

      • optBestBuyId

        void optBestBuyId​(java.lang.String value)

      • optBestBuyId

        java.lang.String optBestBuyId()

      • optBestSellId

        void optBestSellId​(java.lang.String value)

      • optBestSellId

        java.lang.String optBestSellId()