Features:

- Full Sequence Allocator - Optimizer #1 (1, 2, 3) - Full Sequence Allocator - Optimizer #2 (4, 5, 6) - Full Sequence Allocator - Optimizer #3 (7, 8) - Lean Portfolio Construction - Randomized Optimizer (9, 10, 11) - Randomized Optimizer - Asset Size Scaler #1 (12, 13) - Randomized Optimizer - Asset Size Scaler #3 (14, 15) - Randomized Optimizer - Annotated Constructor #1 (16, 17, 18) - Randomized Optimizer - Annotated Constructor #2 (19, 20, 21) - Randomized Optimizer - Random To Scale (22, 23) - Randomized Optimizer - Optimize #1 (24, 25) - Randomized Optimizer - Optimize #2 (26, 27, 28) - Randomized Optimizer - Optimize #3 (29, 30, 31) - Randomized Optimizer - Optimize #4 (32, 33, 34) - Randomized Optimizer - Optimize #5 (35, 36, 37) - Post Processor Settings - Filter Buys #1 (38, 39) - Post Processor Settings - Filter Buys #2 (40, 41, 42) - Post Processor Settings - Filter Buys #3 (43, 44) - Full Sequence Allocator - Allocate #1 (45) - Full Sequence Allocator - Allocate #2 (46, 47, 48) - Full Sequence Allocator - Allocate #3 (49, 50, 51) - Full Sequence Allocator - Allocate #4 (52, 53, 54) - Full Sequence Allocator - Allocate #5 (55, 56, 57) - Full Sequence Allocator - Allocate #6 (58, 59, 60) - Full Sequence Allocator - Allocate #7 (61, 62, 63) - Full Sequence Allocator - Allocate #8 (64, 65, 66) - Full Sequence Allocator - Allocate #9 (67, 68, 69) - Full Sequence Allocation Diagnostics Shell (70, 71, 72) - Full Sequence Allocation Diagnostics - Constructor #1 (73, 74, 75) - Full Sequence Allocation Diagnostics - Constructor #2 (76, 77, 78) - Holdings Container - Instance Clone #1 (79, 80, 81) - Holdings Container - Instance Clone #2 (82, 83) - Holdings Container - Instance Clone #3 (84, 85) - Full Sequence Allocation Diagnostics - Buy-filtered #1 (86, 87) - Full Sequence Allocation Diagnostics - Buy-filtered #2 (88, 89, 90) - Full Sequence Allocation Diagnostics - Sell-filtered #1 (91, 92, 93) - Full Sequence Allocation Diagnostics - Sell-filtered #2 (94, 95) - Full Sequence Allocation Diagnostics - Set Buy-filtered Holdings Container #1 (96, 97) - Full Sequence Allocation Diagnostics - Set Buy-filtered Holdings Container #2 (98, 99, 100) - Full Sequence Allocation Diagnostics - Set Sell-filtered Holdings Container #1 (101, 102) - Full Sequence Allocation Diagnostics - Set Sell-filtered Holdings Container #2 (103, 104, 105) - R^d Random Sequence - Digit #1 (109, 110) - R^d Random Sequence - Digit #2 (111, 112) - R^d Random Sequence - Alphabet #1 (113, 114) - R^d Random Sequence - Alphabet #2 (115, 116) - R^d Random Sequence - Alpha-numeric #1 (117, 118) - R^d Random Sequence - Alpha-numeric #2 (119, 120) Bug Fixes/Re-organization: Samples: - Lean Allocator Buy-Only Allocation (106, 107, 108) IdeaDRIP:
lakshmiDRIP · Dec 31, 2024 · daf7b65 · daf7b65
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diff --git a/ReleaseNotes/04_30_2024.txt b/ReleaseNotes/04_30_2024.txt
@@ -0,0 +1,59 @@
+
+Features:
+
+	- Full Sequence Allocator - Optimizer #1 (1, 2, 3)
+	- Full Sequence Allocator - Optimizer #2 (4, 5, 6)
+	- Full Sequence Allocator - Optimizer #3 (7, 8)
+	- Lean Portfolio Construction - Randomized Optimizer (9, 10, 11)
+	- Randomized Optimizer - Asset Size Scaler #1 (12, 13)
+	- Randomized Optimizer - Asset Size Scaler #3 (14, 15)
+	- Randomized Optimizer - Annotated Constructor #1 (16, 17, 18)
+	- Randomized Optimizer - Annotated Constructor #2 (19, 20, 21)
+	- Randomized Optimizer - Random To Scale (22, 23)
+	- Randomized Optimizer - Optimize #1 (24, 25)
+	- Randomized Optimizer - Optimize #2 (26, 27, 28)
+	- Randomized Optimizer - Optimize #3 (29, 30, 31)
+	- Randomized Optimizer - Optimize #4 (32, 33, 34)
+	- Randomized Optimizer - Optimize #5 (35, 36, 37)
+	- Post Processor Settings - Filter Buys #1 (38, 39)
+	- Post Processor Settings - Filter Buys #2 (40, 41, 42)
+	- Post Processor Settings - Filter Buys #3 (43, 44)
+	- Full Sequence Allocator - Allocate #1 (45)
+	- Full Sequence Allocator - Allocate #2 (46, 47, 48)
+	- Full Sequence Allocator - Allocate #3 (49, 50, 51)
+	- Full Sequence Allocator - Allocate #4 (52, 53, 54)
+	- Full Sequence Allocator - Allocate #5 (55, 56, 57)
+	- Full Sequence Allocator - Allocate #6 (58, 59, 60)
+	- Full Sequence Allocator - Allocate #7 (61, 62, 63)
+	- Full Sequence Allocator - Allocate #8 (64, 65, 66)
+	- Full Sequence Allocator - Allocate #9 (67, 68, 69)
+	- Full Sequence Allocation Diagnostics Shell (70, 71, 72)
+	- Full Sequence Allocation Diagnostics - Constructor #1 (73, 74, 75)
+	- Full Sequence Allocation Diagnostics - Constructor #2 (76, 77, 78)
+	- Holdings Container - Instance Clone #1 (79, 80, 81)
+	- Holdings Container - Instance Clone #2 (82, 83)
+	- Holdings Container - Instance Clone #3 (84, 85)
+	- Full Sequence Allocation Diagnostics - Buy-filtered #1 (86, 87)
+	- Full Sequence Allocation Diagnostics - Buy-filtered #2 (88, 89, 90)
+	- Full Sequence Allocation Diagnostics - Sell-filtered #1 (91, 92, 93)
+	- Full Sequence Allocation Diagnostics - Sell-filtered #2 (94, 95)
+	- Full Sequence Allocation Diagnostics - Set Buy-filtered Holdings Container #1 (96, 97)
+	- Full Sequence Allocation Diagnostics - Set Buy-filtered Holdings Container #2 (98, 99, 100)
+	- Full Sequence Allocation Diagnostics - Set Sell-filtered Holdings Container #1 (101, 102)
+	- Full Sequence Allocation Diagnostics - Set Sell-filtered Holdings Container #2 (103, 104, 105)
+	- R^d Random Sequence - Digit #1 (109, 110)
+	- R^d Random Sequence - Digit #2 (111, 112)
+	- R^d Random Sequence - Alphabet #1 (113, 114)
+	- R^d Random Sequence - Alphabet #2 (115, 116)
+	- R^d Random Sequence - Alpha-numeric #1 (117, 118)
+	- R^d Random Sequence - Alpha-numeric #2 (119, 120)
+
+
+Bug Fixes/Re-organization:
+
+Samples:
+
+	- Lean Allocator Buy-Only Allocation (106, 107, 108)
+
+
+IdeaDRIP:
diff --git a/src/main/java/org/drip/measure/crng/RdRandomSequence.java b/src/main/java/org/drip/measure/crng/RdRandomSequence.java
@@ -97,6 +97,39 @@
 public class RdRandomSequence
 {
 
+	/**
+	 * Generate a Random Digit
+	 * 
+	 * @return Random Digit
+	 */
+
+	public static final int RandomDigit()
+	{
+		return (int) (10. * Math.random());
+	}
+
+	/**
+	 * Generate a Random Alphabet
+	 * 
+	 * @return Random Alphabet
+	 */
+
+	public static final char RandomAlphabet()
+	{
+		return (char) (26. * Math.random() + (int) 'a');
+	}
+
+	/**
+	 * Generate a Random Alpha-numeric Character
+	 * 
+	 * @return Random Alpha-numeric Character
+	 */
+
+	public static final char RandomAlphaNumeric()
+	{
+		return (char) (36. * Math.random() + (int) 'a');
+	}
+
 	/**
 	 * Construct a 1D Array of Random Elements up to the Maximum Value
 	 * 

diff --git a/src/main/java/org/drip/portfolioconstruction/lean/FullSequenceAllocationDiagnostics.java b/src/main/java/org/drip/portfolioconstruction/lean/FullSequenceAllocationDiagnostics.java
@@ -0,0 +1,171 @@
+
+package org.drip.portfolioconstruction.lean;
+
+/*
+ * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
+ */
+
+/*!
+ * Copyright (C) 2024 Lakshmi Krishnamurthy
+ * 
+ *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
+ *  	asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
+ *  	analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
+ *  	equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
+ *  	numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
+ *  	graph builder/navigator, and computational support.
+ *  
+ *  	https://lakshmidrip.github.io/DROP/
+ *  
+ *  DROP is composed of three modules:
+ *  
+ *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
+ *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
+ *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
+ * 
+ * 	DROP Product Core implements libraries for the following:
+ * 	- Fixed Income Analytics
+ * 	- Loan Analytics
+ * 	- Transaction Cost Analytics
+ * 
+ * 	DROP Portfolio Core implements libraries for the following:
+ * 	- Asset Allocation Analytics
+ *  - Asset Liability Management Analytics
+ * 	- Capital Estimation Analytics
+ * 	- Exposure Analytics
+ * 	- Margin Analytics
+ * 	- XVA Analytics
+ * 
+ * 	DROP Computational Core implements libraries for the following:
+ * 	- Algorithm Support
+ * 	- Computation Support
+ * 	- Function Analysis
+ *  - Graph Algorithm
+ *  - Model Validation
+ * 	- Numerical Analysis
+ * 	- Numerical Optimizer
+ * 	- Spline Builder
+ *  - Statistical Learning
+ * 
+ * 	Documentation for DROP is Spread Over:
+ * 
+ * 	- Main                     => https://lakshmidrip.github.io/DROP/
+ * 	- Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
+ * 	- GitHub                   => https://github.com/lakshmiDRIP/DROP
+ * 	- Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
+ * 	- Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
+ * 	- Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
+ * 	- Release Versions         => https://lakshmidrip.github.io/DROP/version.html
+ * 	- Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
+ * 	- Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
+ * 
+ *  Licensed under the Apache License, Version 2.0 (the "License");
+ *   	you may not use this file except in compliance with the License.
+ *   
+ *  You may obtain a copy of the License at
+ *  	http://www.apache.org/licenses/LICENSE-2.0
+ *  
+ *  Unless required by applicable law or agreed to in writing, software
+ *  	distributed under the License is distributed on an "AS IS" BASIS,
+ *  	WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ *  
+ *  See the License for the specific language governing permissions and
+ *  	limitations under the License.
+ */
+
+/**
+ * <i>FullSequenceAllocationDiagnostics</i> augments <i>FullSequenceAllocation</i> by holding the Results of
+ * 	the pre-processed Allocation.
+ *
+ *	<br><br>
+ *  <ul>
+ *		<li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
+ *		<li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AssetAllocationAnalyticsLibrary.md">Asset Allocation Analytics</a></li>
+ *		<li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/portfolioconstruction/README.md">Portfolio Construction under Allocation Constraints</a></li>
+ *		<li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/portfolioconstruction/lean/README.md">"Lean" Portfolio Construction Utilities Suite</a></li>
+ *  </ul>
+ *
+ * @author Lakshmi Krishnamurthy
+ */
+
+
+public class FullSequenceAllocationDiagnostics extends FullSequenceAllocation
+{
+	public HoldingsContainer _buyFilteredHoldings = null;
+	public HoldingsContainer _sellFilteredHoldings = 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
+	 */
+
+	public HoldingsContainer sellFilteredHoldings()
+	{
+		return _sellFilteredHoldings;
+	}
+
+	/**
+	 * Set <i>Buy Filtered</i> Holdings Container
+	 * 
+	 * @param holdingsContainer <i>Buy Filtered</i> Holdings Container
+	 * 
+	 * @return <i>Buy Filtered</i> Holdings Container successfully set
+	 */
+
+	public boolean setBuyFiltered (
+		final HoldingsContainer holdingsContainer)
+	{
+		if (null == holdingsContainer) {
+			return false;
+		}
+
+		return null != (_buyFilteredHoldings = holdingsContainer.clone());
+	}
+
+	/**
+	 * Set <i>Sell Filtered</i> Holdings Container
+	 * 
+	 * @param holdingsContainer <i>Sell Filtered</i> Holdings Container
+	 * 
+	 * @return <i>Sell Filtered</i> Holdings Container successfully set
+	 */
+
+	public boolean setSellFiltered (
+		final HoldingsContainer holdingsContainer)
+	{
+		if (null == holdingsContainer) {
+			return false;
+		}
+
+		return null != (_sellFilteredHoldings = holdingsContainer.clone());
+	}
+}
diff --git a/src/main/java/org/drip/portfolioconstruction/lean/FullSequenceAllocator.java b/src/main/java/org/drip/portfolioconstruction/lean/FullSequenceAllocator.java
@@ -1,6 +1,8 @@
 
 package org.drip.portfolioconstruction.lean;
 
+import java.util.Map;
+
 /*
  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  */
@@ -90,20 +92,39 @@
 
 public class FullSequenceAllocator
 {
+	private Optimizer _optimizer = null;
 	private PostProcessorSettings _postProcessorSettings = null;
 
 	/**
 	 * <i>FullSequenceAllocator</i> Constructor
 	 * 
-	 * @param postProcessorSettings Post Processing Settings Instance
+	 * @param optimizer Optimizer
+	 * @param postProcessorSettings Post Processing Settings
 	 */
 
 	public FullSequenceAllocator (
+		final Optimizer optimizer,
 		final PostProcessorSettings postProcessorSettings)
+		throws Exception
 	{
+		if (null == (_optimizer = optimizer)) {
+			throw new Exception ("FullSequenceAllocator Constructor => Invalid Inputs");
+		}
+
 		_postProcessorSettings = postProcessorSettings;
 	}
 
+	/**
+	 * Retrieve the Optimizer
+	 * 
+	 * @return Optimizer
+	 */
+
+	public Optimizer optimizer()
+	{
+		return _optimizer;
+	}
+
 	/**
 	 * Retrieve the Post Processing Settings
 	 * 
@@ -114,4 +135,60 @@ public PostProcessorSettings postProcessorSettings()
 	{
 		return _postProcessorSettings;
 	}
+
+	/**
+	 * Allocate an Instance of Post-processed Target Holdings from the Initial Portfolio
+	 * 
+	 * @param startingHoldings Starting Holdings
+	 * 
+	 * @return Instance of Post-processed Target Holdings
+	 */
+
+	public FullSequenceAllocation allocate (
+		final HoldingsContainer startingHoldings)
+	{
+		HoldingsContainer endingHoldings = _optimizer.optimize (startingHoldings);
+
+		if (null == endingHoldings) {
+			return null;
+		}
+
+		if (null != _postProcessorSettings) {
+			Map<String, Double> startingAssetMarketValueMap = startingHoldings.assetMarketValueMap();
+
+			Map<String, Double> endingAssetMarketValueMap = endingHoldings.assetMarketValueMap();
+
+			if (_postProcessorSettings.filterSells()) {
+				for (String assetID : endingAssetMarketValueMap.keySet()) {
+					double startingAssetMarketValue = startingAssetMarketValueMap.containsKey (assetID) ?
+						startingAssetMarketValueMap.get (assetID) : 0.;
+
+					double tradeAmount = endingAssetMarketValueMap.get (assetID) - startingAssetMarketValue;
+
+					if (0. > tradeAmount) {
+						endingHoldings.setAsset (assetID, startingAssetMarketValue);
+					}
+				}
+			} else if (_postProcessorSettings.filterBuys()) {
+				for (String assetID : endingAssetMarketValueMap.keySet()) {
+					double startingAssetMarketValue = startingAssetMarketValueMap.containsKey (assetID) ?
+						startingAssetMarketValueMap.get (assetID) : 0.;
+
+					double tradeAmount = endingAssetMarketValueMap.get (assetID) - startingAssetMarketValue;
+
+					if (0. < tradeAmount) {
+						endingHoldings.setAsset (assetID, startingAssetMarketValue);
+					}
+				}
+			}
+		}
+
+		try {
+			return new FullSequenceAllocation (startingHoldings, endingHoldings);
+		} catch (Exception e) {
+			e.printStackTrace();
+		}
+
+		return null;
+	}
 }