Package nis.svc.opt.api

Interface ProjectSettings.PortfolioConstraintSettings

  • Enclosing interface:
    ProjectSettings
    public static interface ProjectSettings.PortfolioConstraintSettings

    • Method Detail

      • maximumTurnover

        void maximumTurnover​(double value)
        sets the maximum percentage portfolio turnover allowed. turnover is buys plus sells. so a 100% change in the portfolio is 100% turnover to sell everything and 100% to buy new securities. an unconstrained long only optimization will have a value of 200% here.
        Parameters:
        value - max turnover in percent.

      • maximumTurnover

        double maximumTurnover()
        returns the maximum percentage portfolio turnover allowed. turnover is buys plus sells. so a 100% change in the portfolio is 100% turnover to sell everything and 100% to buy new securities. an unconstrained long only optimization will have a value of 200% here.
        Returns:
        max turnover in percent

      • maximumTrades

        void maximumTrades​(int value)
        sets the maximum number of trades. this is the number of trades to get from initial to optimal portfolios.
        Parameters:
        value - max number of trades.

      • maximumTrades

        int maximumTrades()
        returns the maximum number of trades. this is the number of trades to get from initial to optimal portfolios.
        Returns:
        max number of trades

      • maximumAssets

        void maximumAssets​(int value)
        sets the maximum number of assets allowed in the optimal portfolio.
        Parameters:
        value - max number of assets.

      • maximumAssets

        int maximumAssets()
        returns the maximum number of assets allowed in the optimal portfolio.
        Returns:
        max number of assets.

      • minimumTrackingError

        void minimumTrackingError​(double value)
        sets the minimum targeted tracking error of the portfolio. this target works in conjunction with the "number of extra optimizations" variable in the optimization settings object. the optimizer searches iteratively for RAP values that will hit the target. max number of iterations is the "number of extra optimizations"
        Parameters:
        value - min tracking error

      • minimumTrackingError

        double minimumTrackingError()
        returns the minimum targeted tracking error of the portfolio. this target works in conjunction with the "number of extra optimizations" variable in the optimization settings object. the optimizer searches iteratively for RAP values that will hit the target. max number of iterations is the "number of extra optimizations"
        Returns:
        min tracking error

      • maximumTrackingError

        void maximumTrackingError​(double value)
        sets the maximum targeted tracking error of the portfolio. this target works in conjunction with the "number of extra optimizations" variable in the optimization settings object. the optimizer searches iteratively for RAP values that will hit the target. max number of iterations is the "number of extra optimizations"
        Parameters:
        value - max tracking error

      • maximumTrackingError

        double maximumTrackingError()
        returns the maximum targeted tracking error of the portfolio. this target works in conjunction with the "number of extra optimizations" variable in the optimization settings object. the optimizer searches iteratively for RAP values that will hit the target. max number of iterations is the "number of extra optimizations"
        Returns:
        max tracking error.

      • baseCurrencySymbol

        void baseCurrencySymbol​(java.lang.String symbol)
        sets the identifier used by the risk model for the base currency of the portfolio.
        Parameters:
        symbol - base currency id.

      • baseCurrencySymbol

        java.lang.String baseCurrencySymbol()
        returns the identifier used by the risk model for the base currency of the portfolio.
        Returns:
        base currency id.

      • costAmortization

        void costAmortization​(double value)
        sets the cost amortization percentage. This is a scaling variable for the transaction and tax cost terms of the objective function. 100% means the optimizer considers the full brunt of these costs.
        Parameters:
        value - percentage of costs applied to optimization.

      • costAmortization

        double costAmortization()
        returns the cost amortization percentage. This is a scaling variable for the transaction and tax cost terms of the objective function. 100% means the optimizer considers the full brunt of these costs.
        Returns:
        percentage of costs applied to optimization.

      • multiPeriodApproximation

        void multiPeriodApproximation​(boolean value)
        sets the multi period approximation option
        Parameters:
        value - true if enabled; false if not.

      • multiPeriodApproximation

        boolean multiPeriodApproximation()
        returns the multi period approximation option
        Returns:
        true if enabled; false if not

      • adjustmentFrequency

        void adjustmentFrequency​(int value)
        sets the adjustment frequency. used only if multi period approximation is enabled.
        Parameters:
        value - adjustment frequency.

      • adjustmentFrequency

        int adjustmentFrequency()
        returns the adjustment frequency. used only if multi period approximation is enabled.
        Returns:
        adjustment frequency

      • enableIssuerRisk

        boolean enableIssuerRisk()
        returns the issuer risk option status.
        Returns:
        true if enabled; false if not.

      • enableIssuerRisk

        void enableIssuerRisk​(boolean value)
        sets the issuer risk option status.
        Parameters:
        value - true if enabled; false if not.