Features:

- Random Upper Alpha-numeric (1, 2, 3) - R^d Random Sequence - CUSIP #1 (66, 67) - R^d Random Sequence - CUSIP #2 (68, 69, 70) - R^d Random Sequence - CUSIP #3 (71, 72, 73) Bug Fixes/Re-organization: Samples: - Buy Only Allocator - Scaled Market Value (4, 5) - Buy Only Allocator - Random Holdings #1 (6, 7) - Buy Only Allocator - Random Holdings #2 (8, 9, 10) - Post Processor Settings - Buy Only #1 (11, 12) - Post Processor Settings - Buy Only #2 (13, 14, 15) - Post Processor Settings - Buy Only #3 (16, 17) - Post Processor Settings - Sell Only #1 (18, 19) - Post Processor Settings - Sell Only #2 (20, 21) - Post Processor Settings - Sell Only #3 (22, 23, 24) - Buy Only Allocation - Random CUSIP #1 (25, 26, 27) - Buy Only Allocation - Random CUSIP #2 (28, 29) - Random Discrete Digits Generator #1 (30, 31) - Random Discrete Digits Generator #2 (32, 33) - Random Discrete Digits Generator - Digit #1 (34, 35) - Random Discrete Digits Generator - Digit #2 (36, 37) - Random Discrete Digits Generator - Upper Alpha (38, 39) - Random Discrete Digits Generator - Alpha-numeric #1 (40, 41) - Random Discrete Digits Generator - Alpha-numeric #2 (42, 43, 44) - Random Discrete Digits Generator - Alpha-numeric #3 (45, 46) - Random Discrete Digits Generator - Alpha-numeric #4 (47, 48) - Random Discrete Digits Generator - Alpha-numeric #5 (49, 50) - Random Discrete Digits Generator - Alpha-numeric #6 (51, 52) - Random Discrete Digits Generator - Alpha-numeric #7 (53, 54, 55) - Random Discrete Digits Generator - Alpha-numeric #8 (56, 57, 58) - Random Discrete Digits Generator - Alpha-numeric #9 (59, 60) - Random Discrete Digits Generator - Alpha-numeric #10 (61, 62) - Random Discrete Digits Generator - Alpha-numeric #11 (63, 64, 65) - Random Discrete Digits Generator - CUSIP #1 (74, 75) - Random Discrete Digits Generator - CUSIP #2 (76, 77, 78) - Random Discrete Digits Generator - CUSIP #3 (79, 80, 81) - Random Discrete Digits Generator - CUSIP #4 (82, 83, 84) - Random Discrete Digits Generator - CUSIP #5 (85, 86, 87) - Buy Only Allocation - Full Sequence Allocator (88, 89) - Full Sequence Allocator - Diagnostics On #1 (90, 91, 92) - Full Sequence Allocator - Diagnostics On #2 (93, 94) - Full Sequence Allocator - Diagnostics On #3 (95, 96) - Full Sequence Allocation - Starting Holdings #1 (97, 98, 99) - Full Sequence Allocation - Starting Holdings #2 (100, 101, 102) - Full Sequence Allocation - Starting Holdings #3 (103, 104) - Full Sequence Allocation - Ending Holdings #1 (105, 106) - Full Sequence Allocation - Ending Holdings #2 (107, 108, 109) - Full Sequence Allocation - Ending Holdings #3 (110, 111, 112) - Full Sequence Allocation Diagnostics Constructor (113) - Full Sequence Allocation - Allocate #1 (115, 116) - Full Sequence Allocation - Allocate #2 (117, 118, 119) - Buy Only Allocation Run (120) IdeaDRIP:
lakshmiDRIP · Jan 1, 2025 · 6628e94 · 6628e94
1 parent daf7b65
commit 6628e94
Show file tree

Hide file tree

Showing 8 changed files with 384 additions and 73 deletions.
diff --git a/ReleaseNotes/05_01_2024.txt b/ReleaseNotes/05_01_2024.txt
@@ -0,0 +1,62 @@
+
+Features:
+
+	- Random Upper Alpha-numeric (1, 2, 3)
+	- R^d Random Sequence - CUSIP #1 (66, 67)
+	- R^d Random Sequence - CUSIP #2 (68, 69, 70)
+	- R^d Random Sequence - CUSIP #3 (71, 72, 73)
+
+
+Bug Fixes/Re-organization:
+
+Samples:
+
+	- Buy Only Allocator - Scaled Market Value (4, 5)
+	- Buy Only Allocator - Random Holdings #1 (6, 7)
+	- Buy Only Allocator - Random Holdings #2 (8, 9, 10)
+	- Post Processor Settings - Buy Only #1 (11, 12)
+	- Post Processor Settings - Buy Only #2 (13, 14, 15)
+	- Post Processor Settings - Buy Only #3 (16, 17)
+	- Post Processor Settings - Sell Only #1 (18, 19)
+	- Post Processor Settings - Sell Only #2 (20, 21)
+	- Post Processor Settings - Sell Only #3 (22, 23, 24)
+	- Buy Only Allocation - Random CUSIP #1 (25, 26, 27)
+	- Buy Only Allocation - Random CUSIP #2 (28, 29)
+	- Random Discrete Digits Generator #1 (30, 31)
+	- Random Discrete Digits Generator #2 (32, 33)
+	- Random Discrete Digits Generator - Digit #1 (34, 35)
+	- Random Discrete Digits Generator - Digit #2 (36, 37)
+	- Random Discrete Digits Generator - Upper Alpha (38, 39)
+	- Random Discrete Digits Generator - Alpha-numeric #1 (40, 41)
+	- Random Discrete Digits Generator - Alpha-numeric #2 (42, 43, 44)
+	- Random Discrete Digits Generator - Alpha-numeric #3 (45, 46)
+	- Random Discrete Digits Generator - Alpha-numeric #4 (47, 48)
+	- Random Discrete Digits Generator - Alpha-numeric #5 (49, 50)
+	- Random Discrete Digits Generator - Alpha-numeric #6 (51, 52)
+	- Random Discrete Digits Generator - Alpha-numeric #7 (53, 54, 55)
+	- Random Discrete Digits Generator - Alpha-numeric #8 (56, 57, 58)
+	- Random Discrete Digits Generator - Alpha-numeric #9 (59, 60)
+	- Random Discrete Digits Generator - Alpha-numeric #10 (61, 62)
+	- Random Discrete Digits Generator - Alpha-numeric #11 (63, 64, 65)
+	- Random Discrete Digits Generator - CUSIP #1 (74, 75)
+	- Random Discrete Digits Generator - CUSIP #2 (76, 77, 78)
+	- Random Discrete Digits Generator - CUSIP #3 (79, 80, 81)
+	- Random Discrete Digits Generator - CUSIP #4 (82, 83, 84)
+	- Random Discrete Digits Generator - CUSIP #5 (85, 86, 87)
+	- Buy Only Allocation - Full Sequence Allocator (88, 89)
+	- Full Sequence Allocator - Diagnostics On #1 (90, 91, 92)
+	- Full Sequence Allocator - Diagnostics On #2 (93, 94)
+	- Full Sequence Allocator - Diagnostics On #3 (95, 96)
+	- Full Sequence Allocation - Starting Holdings #1 (97, 98, 99)
+	- Full Sequence Allocation - Starting Holdings #2 (100, 101, 102)
+	- Full Sequence Allocation - Starting Holdings #3 (103, 104)
+	- Full Sequence Allocation - Ending Holdings #1 (105, 106)
+	- Full Sequence Allocation - Ending Holdings #2 (107, 108, 109)
+	- Full Sequence Allocation - Ending Holdings #3 (110, 111, 112)
+	- Full Sequence Allocation Diagnostics Constructor (113)
+	- Full Sequence Allocation - Allocate #1 (115, 116)
+	- Full Sequence Allocation - Allocate #2 (117, 118, 119)
+	- Buy Only Allocation Run (120)
+
+
+IdeaDRIP:
diff --git a/src/main/java/org/drip/measure/crng/RdRandomSequence.java b/src/main/java/org/drip/measure/crng/RdRandomSequence.java
@@ -109,25 +109,44 @@ public static final int RandomDigit()
 	}
 
 	/**
-	 * Generate a Random Alphabet
+	 * Generate a Random Upper-case Alphabet
 	 * 
-	 * @return Random Alphabet
+	 * @return Random Upper-case Alphabet
 	 */
 
-	public static final char RandomAlphabet()
+	public static final char RandomUpperAlpha()
 	{
-		return (char) (26. * Math.random() + (int) 'a');
+		return (char) (26. * Math.random() + (int) 'A');
 	}
 
 	/**
-	 * Generate a Random Alpha-numeric Character
+	 * Generate a Random Upper Alpha-numeric Character
 	 * 
-	 * @return Random Alpha-numeric Character
+	 * @return Random Upper Alpha-numeric Character
 	 */
 
-	public static final char RandomAlphaNumeric()
+	public static final char RandomUpperAlphaNumeric()
 	{
-		return (char) (36. * Math.random() + (int) 'a');
+		int ascii = (int) (36. * Math.random());
+
+		return (char) (ascii + (10 > ascii ? (int) '0' : (int) 'A' - 10));
+	}
+
+	/**
+	 * Generate a Random CUSIP
+	 * 
+	 * @return The CUSIP
+	 */
+
+	public static final String RandomCUSIP()
+	{
+		String cusip = "XS0" + RdRandomSequence.RandomDigit();
+
+		for (int i = 0; i < 6; ++i) {
+			cusip += RdRandomSequence.RandomUpperAlphaNumeric();
+		}
+
+		return cusip;
 	}
 
 	/**

diff --git a/src/main/java/org/drip/portfolioconstruction/lean/FullSequenceAllocation.java b/src/main/java/org/drip/portfolioconstruction/lean/FullSequenceAllocation.java
@@ -94,22 +94,49 @@ public class FullSequenceAllocation
 	private HoldingsContainer _startingHoldings = null;
 
 	/**
-	 * <i>FullSequenceAllocation</i> Constructor
+	 * Empty <i>FullSequenceAllocation</i> Constructor
+	 */
+
+	public FullSequenceAllocation()
+	{
+	}
+
+	/**
+	 * Set the Starting Holdings
 	 * 
 	 * @param startingHoldings Starting Holdings
+	 * 
+	 * @return TRUE - The Starting Holdings successfully set
+	 */
+
+	public boolean startingHoldings (
+		final HoldingsContainer startingHoldings)
+	{
+		if (null == startingHoldings) {
+			return false;
+		}
+
+		_startingHoldings = startingHoldings;
+		return true;
+	}
+
+	/**
+	 * Set the Ending Holdings
+	 * 
 	 * @param endingHoldings Ending Holdings
 	 * 
-	 * @throws Exception Thrown if the Inputs are Invalid
+	 * @return TRUE - The Ending Holdings successfully set
 	 */
 
-	public FullSequenceAllocation (
-		final HoldingsContainer startingHoldings,
+	public boolean endingHoldings (
 		final HoldingsContainer endingHoldings)
-		throws Exception
 	{
-		if (null == (_startingHoldings = startingHoldings) || null == (_endingHoldings = endingHoldings)) {
-			throw new Exception ("FullSequenceAllocation Constructor => Invalid Inputs");
+		if (null == endingHoldings) {
+			return false;
 		}
+
+		_endingHoldings = endingHoldings;
+		return true;
 	}
 
 	/**

diff --git a/src/main/java/org/drip/portfolioconstruction/lean/FullSequenceAllocationDiagnostics.java b/src/main/java/org/drip/portfolioconstruction/lean/FullSequenceAllocationDiagnostics.java
@@ -91,81 +91,43 @@
 
 public class FullSequenceAllocationDiagnostics extends FullSequenceAllocation
 {
-	public HoldingsContainer _buyFilteredHoldings = null;
-	public HoldingsContainer _sellFilteredHoldings = null;
+	public HoldingsContainer _preFilteredHoldings = null;
 
 	/**
-	 * <i>FullSequenceAllocationDiagnostics</i> Constructor
-	 * 
-	 * @param startingHoldings Starting Holdings
-	 * @param endingHoldings Ending Holdings
-	 * 
-	 * @throws Exception Thrown if the Inputs are Invalid
-	 */
-
-	public FullSequenceAllocationDiagnostics (
-		final HoldingsContainer startingHoldings,
-		final HoldingsContainer endingHoldings)
-		throws Exception
-	{
-		super (startingHoldings, endingHoldings);
-	}
-
-	/**
-	 * Retrieve the Buy-Filtered Holdings
-	 * 
-	 * @return Buy-Filtered Holdings
-	 */
-
-	public HoldingsContainer buyFilteredHoldings()
-	{
-		return _buyFilteredHoldings;
-	}
-
-	/**
-	 * Retrieve the Sell-Filtered Holdings
-	 * 
-	 * @return Sell-Filtered Holdings
+	 * Empty <i>FullSequenceAllocationDiagnostics</i> Constructor
 	 */
 
-	public HoldingsContainer sellFilteredHoldings()
+	public FullSequenceAllocationDiagnostics()
 	{
-		return _sellFilteredHoldings;
+		super();
 	}
 
 	/**
-	 * Set <i>Buy Filtered</i> Holdings Container
-	 * 
-	 * @param holdingsContainer <i>Buy Filtered</i> Holdings Container
+	 * Retrieve the Pre-Filtered Holdings
 	 * 
-	 * @return <i>Buy Filtered</i> Holdings Container successfully set
+	 * @return Pre-Filtered Holdings
 	 */
 
-	public boolean setBuyFiltered (
-		final HoldingsContainer holdingsContainer)
+	public HoldingsContainer preFilteredHoldings()
 	{
-		if (null == holdingsContainer) {
-			return false;
-		}
-
-		return null != (_buyFilteredHoldings = holdingsContainer.clone());
+		return _preFilteredHoldings;
 	}
 
 	/**
-	 * Set <i>Sell Filtered</i> Holdings Container
+	 * Set <i>Pre-Filtered</i> Holdings Container
 	 * 
-	 * @param holdingsContainer <i>Sell Filtered</i> Holdings Container
+	 * @param holdingsContainer <i>Pre-Filtered</i> Holdings Container
 	 * 
-	 * @return <i>Sell Filtered</i> Holdings Container successfully set
+	 * @return <i>Pre-Filtered</i> Holdings Container successfully set
 	 */
 
-	public boolean setSellFiltered (
+	public boolean setPreFiltered (
 		final HoldingsContainer holdingsContainer)
 	{
 		if (null == holdingsContainer) {
 			return false;
 		}
 
-		return null != (_sellFilteredHoldings = holdingsContainer.clone());
+		return null != (_preFilteredHoldings = holdingsContainer.clone());
 	}
 }
diff --git a/src/main/java/org/drip/portfolioconstruction/lean/FullSequenceAllocator.java b/src/main/java/org/drip/portfolioconstruction/lean/FullSequenceAllocator.java
@@ -93,6 +93,7 @@
 public class FullSequenceAllocator
 {
 	private Optimizer _optimizer = null;
+	private boolean _diagnosticsOn = false;
 	private PostProcessorSettings _postProcessorSettings = null;
 
 	/**
@@ -136,6 +137,17 @@ public PostProcessorSettings postProcessorSettings()
 		return _postProcessorSettings;
 	}
 
+	/**
+	 * Indicate if the Diagnostics is turned on
+	 * 
+	 * @return TRUE - Diagnostics is turned on
+	 */
+
+	public boolean diagnosticsOn()
+	{
+		return _diagnosticsOn;
+	}
+
 	/**
 	 * Allocate an Instance of Post-processed Target Holdings from the Initial Portfolio
 	 * 
@@ -147,12 +159,24 @@ public PostProcessorSettings postProcessorSettings()
 	public FullSequenceAllocation allocate (
 		final HoldingsContainer startingHoldings)
 	{
+		FullSequenceAllocation fullSequenceAllocation = _diagnosticsOn ?
+			new FullSequenceAllocationDiagnostics() :
+			new FullSequenceAllocation();
+
+		if (!fullSequenceAllocation.startingHoldings (startingHoldings)) {
+			return null;
+		}
+
 		HoldingsContainer endingHoldings = _optimizer.optimize (startingHoldings);
 
 		if (null == endingHoldings) {
 			return null;
 		}
 
+		if (_diagnosticsOn) {
+			((FullSequenceAllocationDiagnostics) fullSequenceAllocation).setPreFiltered (endingHoldings);
+		}
+
 		if (null != _postProcessorSettings) {
 			Map<String, Double> startingAssetMarketValueMap = startingHoldings.assetMarketValueMap();
 
@@ -183,12 +207,6 @@ public FullSequenceAllocation allocate (
 			}
 		}
 
-		try {
-			return new FullSequenceAllocation (startingHoldings, endingHoldings);
-		} catch (Exception e) {
-			e.printStackTrace();
-		}
-
-		return null;
+		return fullSequenceAllocation.endingHoldings (endingHoldings) ? fullSequenceAllocation : null;
 	}
 }
diff --git a/src/main/java/org/drip/portfolioconstruction/lean/PostProcessorSettings.java b/src/main/java/org/drip/portfolioconstruction/lean/PostProcessorSettings.java
@@ -92,6 +92,40 @@ public class PostProcessorSettings
 	private boolean _filterBuys = false;
 	private boolean _filterSells = false;
 
+	/**
+	 * Construct a Buy-only Version of <i>PostProcessorSettings</i>
+	 * 
+	 * @return Buy-only Version of <i>PostProcessorSettings</i>
+	 */
+
+	public static final PostProcessorSettings BuyOnly()
+	{
+		try {
+			return new PostProcessorSettings (true, false);
+		} catch (Exception e) {
+			e.printStackTrace();
+		}
+
+		return null;
+	}
+
+	/**
+	 * Construct a Sell-only Version of <i>PostProcessorSettings</i>
+	 * 
+	 * @return Sell-only Version of <i>PostProcessorSettings</i>
+	 */
+
+	public static final PostProcessorSettings SellOnly()
+	{
+		try {
+			return new PostProcessorSettings (false, true);
+		} catch (Exception e) {
+			e.printStackTrace();
+		}
+
+		return null;
+	}
+
 	/**
 	 * <i>PostProcessorSettings</i> Constructor
 	 *