com.qfs.analytics.optimizer

Interface IOptimizer<AssetIDType,RequirementIDType>

Type Parameters:

AssetIDType - type of the asset object

RequirementIDType - type of the requirement object

All Known Implementing Classes:

AGraphOptimizer, CollateralOptimizer

public interface IOptimizer<AssetIDType,RequirementIDType>

Interface for an optimizer class which takes inventory, requirements, costs, and limits and finds an optimal set of allocations for those inputs. TODO comment on thread safety and interruptability

Author:

Quartet FS

Nested Class Summary

Nested Classes

Modifier and Type	Interface and Description
static class	IOptimizer.State

Method Summary

Modifier and Type	Method and Description
Map<RequirementIDType,List<IOptimLimit>>	getAllocationLimitsReached() Get a list of allocation limits that have been reached after the optimization was run.
List<String>	getAuditTrails() Retrieve the audit trail record of the optimizer run.
IOptimConfig<AssetIDType,RequirementIDType>	getConfig() Returns the configuration object used to initialize the optimizer.
List<Exception>	getExceptions() Get a list of exceptions that have come from the optimizer.
List<IOptimLimit>	getGlobalLimitsReached() Get a list of global limits that have been reached after the optimization was run.
Collection<OptimAllocation<AssetIDType,RequirementIDType>>	getInventoryAllocations() Returns all allocations in a collection of OptimAllocation objects, which have information about assetId, requirementId, cost, and quantity.
Map<RequirementIDType,OptimAllocation<AssetIDType,RequirementIDType>>	getInventoryAllocations(AssetIDType inventoryId) For an inventoryId, get a map of the requirements which that inventory has been allocated to and an OptimAllocation object, which has information about cost and quantity.
void	init(IOptimConfig<AssetIDType,RequirementIDType> config) Configure this optimizer instance, with the constraints on the optimization problem specified by the parameters of this method.
void	init(Map<AssetIDType,Double> inventory, Map<RequirementIDType,Double> requirements, Map<RequirementIDType,Map<AssetIDType,ICost>> cost, Map<RequirementIDType,Set<IOptimLimit>> allocationLimits, Set<IOptimLimit> globalLimits, List<Set<AssetIDType>> linkedAssets) Deprecated.
void	optimize() Optimize the problem starting from scratch.
void	optimize(Collection<OptimAllocation<AssetIDType,RequirementIDType>> existingAllocations) Optimize the problem starting from a set of existing allocations.
void	setAudit(boolean audit) Enable an audit trail to allow for verification of the results of the optimizer.
void	setDebug(boolean debug) Enable debug mode to give more information to what's happening in the optimizer.

Method Detail

init

void init(IOptimConfig<AssetIDType,RequirementIDType> config)

Configure this optimizer instance, with the constraints on the optimization problem specified by the parameters of this method. Sets up anything that must be done before the optimize() method is called.

Parameters:

config - - should contain any parameters necessary as input to the optimizer

init

@Deprecated
void init(Map<AssetIDType,Double> inventory,
                      Map<RequirementIDType,Double> requirements,
                      Map<RequirementIDType,Map<AssetIDType,ICost>> cost,
                      Map<RequirementIDType,Set<IOptimLimit>> allocationLimits,
                      Set<IOptimLimit> globalLimits,
                      List<Set<AssetIDType>> linkedAssets)

Deprecated.

Configure this optimizer instance, with the constraints on the optimization problem specified by the parameters of this method. Sets up anything that must be done before the optimize() method is called. TODO If init has already been called...

Parameters:

inventory - Contain the available assets and their quantity in USDE (or any other common unit) in the inventory

requirements - Contains the positions and their collateral requirements in USDE (or any other common unit)

cost - Asset eligibility and cost. The map contains an entry for each position (or group of positions under the same allocation rules), with a schedule of eligible assets and their respective allocation costs for each asset/asset type. If an asset is not listed in the map associated with a position, it is not eligible for pledging towards that collateral requirement
Map: Position -> [Map: Asset -> Cost]

allocationLimits - Limits. The map contains an entry for each position (or group of positions under the same allocation rules), with a schedule of allocation limits of single assets or a groups of assets collectively. If the Limit is <=1.0, then it is interpreted as percent of the requirement for that position. Otherwise it is interpreted as the absolute limit in USDE (or the same common unit inventory/requirements are expressed in)
Map: Position -> [Map: Set of Assets -> Allocation Limit]

optimize

void optimize()

Optimize the problem starting from scratch.

optimize

void optimize(Collection<OptimAllocation<AssetIDType,RequirementIDType>> existingAllocations)

Optimize the problem starting from a set of existing allocations.

Parameters:

existingAllocations -

getInventoryAllocations

Collection<OptimAllocation<AssetIDType,RequirementIDType>> getInventoryAllocations()

Returns all allocations in a collection of OptimAllocation objects, which have information about assetId, requirementId, cost, and quantity.

Returns an empty Collection if nothing is found

Returns:

Collection

getInventoryAllocations

Map<RequirementIDType,OptimAllocation<AssetIDType,RequirementIDType>> getInventoryAllocations(AssetIDType inventoryId)

For an inventoryId, get a map of the requirements which that inventory has been allocated to and an OptimAllocation object, which has information about cost and quantity.

Returns an empty map if nothing is found.

Parameters:

inventoryId -

Returns:

Map of requirementId to ResultObject

getGlobalLimitsReached

List<IOptimLimit> getGlobalLimitsReached()

Get a list of global limits that have been reached after the optimization was run.

Returns:

List

getAllocationLimitsReached

Map<RequirementIDType,List<IOptimLimit>> getAllocationLimitsReached()

Get a list of allocation limits that have been reached after the optimization was run.

Returns:

Map>

getConfig

IOptimConfig<AssetIDType,RequirementIDType> getConfig()

Returns the configuration object used to initialize the optimizer.

Returns:

IOptimConfig object

setDebug

void setDebug(boolean debug)

Enable debug mode to give more information to what's happening in the optimizer.

Parameters:

debug -

setAudit

void setAudit(boolean audit)

Enable an audit trail to allow for verification of the results of the optimizer.

Parameters:

audit -

getAuditTrails

List<String> getAuditTrails()

Retrieve the audit trail record of the optimizer run.

Returns:

getExceptions

List<Exception> getExceptions()

Get a list of exceptions that have come from the optimizer.

Returns:

List