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Domain specific (finance) additions to oj! Algorithms
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/*
* Copyright 1997-2022 Optimatika
*
* Permission is hereby granted, free of charge, to any person obtaining a copy
* of this software and associated documentation files (the "Software"), to deal
* in the Software without restriction, including without limitation the rights
* to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
* copies of the Software, and to permit persons to whom the Software is
* furnished to do so, subject to the following conditions:
*
* The above copyright notice and this permission notice shall be included in
* all copies or substantial portions of the Software.
*
* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
* IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
* FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
* AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
* LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
* OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
* SOFTWARE.
*/
package org.ojalgo.finance.business;
import java.math.BigDecimal;
import java.util.List;
import org.ojalgo.function.constant.BigMath;
import org.ojalgo.type.BusinessObject;
public interface Change extends BusinessObject, QuantityPriceAmountStructure {
static BigDecimal countChangesWithSameInstrumentCategory(final Change aChange) {
int retVal = 0;
final InstrumentCategory tmpCategory = aChange.getEffectiveCategory();
for (final Change tmpChange : aChange.getWorkSetPortfolio().getChanges()) {
if (tmpCategory.equals(tmpChange.getEffectiveCategory())) {
retVal++;
}
}
return new BigDecimal(retVal);
}
static BigDecimal getActiveChange(final Change aChange) {
BigDecimal retVal = BigMath.ZERO;
for (final Change tmpChange : aChange.getMatchingChanges()) {
retVal = BigMath.ADD.invoke(retVal, Change.getTransactionAmount(tmpChange));
}
return retVal;
}
static BigDecimal getCurrentAmount(final Change aChange) {
final Holding tmpHolding = aChange.getHolding();
if (tmpHolding != null) {
final BigDecimal tmpPrice = aChange.getPrice();
if (tmpPrice != null) {
return BigMath.MULTIPLY.invoke(Change.getCurrentQuantity(aChange), tmpPrice);
} else {
return tmpHolding.getAmount();
}
} else {
return BigMath.ZERO;
}
}
static BigDecimal getCurrentQuantity(final Change aChange) {
final Holding tmpHolding = aChange.getHolding();
if (tmpHolding != null) {
return tmpHolding.getQuantity();
} else {
return BigMath.ZERO;
}
}
static BigDecimal getCurrentWeight(final Change aChange) {
BigDecimal retVal = BigMath.ZERO;
final BigDecimal tmpCurrentPortfolioAmount = aChange.getWorkSetPortfolio().getCurrentAmount();
if (tmpCurrentPortfolioAmount.signum() != 0) {
retVal = BigMath.DIVIDE.invoke(Change.getCurrentAmount(aChange), tmpCurrentPortfolioAmount);
}
return retVal;
}
static InstrumentCategory getEffectiveCategory(final Change aChange) {
return WorkSetInstrument.getEffectiveCategory(aChange.getWorkSetInstrument());
}
static BigDecimal getFutureAmount(final Change aChange) {
return BigMath.ADD.invoke(Change.getCurrentAmount(aChange), Change.getTransactionAmount(aChange));
}
static BigDecimal getFutureQuantity(final Change aChange) {
return BigMath.ADD.invoke(Change.getCurrentQuantity(aChange), Change.getTransactionQuantity(aChange));
}
static BigDecimal getFutureWeight(final Change aChange) {
BigDecimal retVal = BigMath.ZERO;
final BigDecimal tmpFuturePortfolioAmount = aChange.getWorkSetPortfolio().getFutureAmount();
if (tmpFuturePortfolioAmount.signum() != 0) {
retVal = BigMath.DIVIDE.invoke(Change.getFutureAmount(aChange), tmpFuturePortfolioAmount);
}
return retVal;
}
static String getInstrumentName(final Change aChange) {
String retVal = null;
final WorkSetInstrument tmpInstrumentIdentifier = aChange.getWorkSetInstrument();
if (tmpInstrumentIdentifier.getInstrument() != null) {
retVal = tmpInstrumentIdentifier.getInstrument().getName();
} else if (tmpInstrumentIdentifier.getInstrumentCategory() != null) {
retVal = tmpInstrumentIdentifier.getInstrumentCategory().getName();
} else {
final WorkSet tmpWorkSet = aChange.getWorkSetPortfolio().getWorkSet();
if (tmpWorkSet.getBuyInstrument() != null) {
retVal = tmpWorkSet.getBuyInstrument().getName();
} else if (tmpWorkSet.getBuyInstrumentCategory() != null) {
retVal = tmpWorkSet.getBuyInstrumentCategory().getName();
} else if (tmpWorkSet.getSellInstrument() != null) {
retVal = tmpWorkSet.getSellInstrument().getName();
}
}
return retVal;
}
static BigDecimal getLowerLimit(final Change aChange) {
BigDecimal retVal = BigMath.ZERO;
final WorkSetPortfolio tmpWorkSetPortfolio = aChange.getWorkSetPortfolio();
tmpWorkSetPortfolio.getCurrentAmount();
final BigDecimal tmpNewPortfVal = tmpWorkSetPortfolio.getAdjustedFutureAmount();
final BigDecimal tmpCurWeight = Change.getCurrentWeight(aChange);
if (tmpNewPortfVal.signum() != 0) {
if (Change.isLocked(aChange)) {
retVal = tmpCurWeight;
} else if (Change.isForcedToSell(aChange)) {
if (tmpWorkSetPortfolio.getWorkSet().getSellShare() != null) {
retVal = BigMath.DIVIDE.invoke(BigMath.MULTIPLY.invoke(aChange.getHolding().getAmount(),
BigMath.SUBTRACT.invoke(BigMath.ONE, tmpWorkSetPortfolio.getWorkSet().getSellShare())), tmpNewPortfVal);
} else {
// It's not specified how much you have to sell
if ((Change.isDefault(aChange))) {
retVal = aChange.getLimit().getTarget().subtract(aChange.getLimit().getPrecision());
} else {
retVal = aChange.getLimit().getLower();
}
}
} else if (Change.isForcedToBuy(aChange)) {
retVal = tmpCurWeight; // It's not specified how much you have to buy
} else if (Change.isAllowedToSell(aChange)) {
if (tmpWorkSetPortfolio.getWorkSet().isFreeToIgnoreProfiles()) {
retVal = BigMath.ZERO;
} else {
if ((Change.isDefault(aChange))) {
retVal = aChange.getLimit().getTarget().subtract(aChange.getLimit().getPrecision()).min(tmpCurWeight);
} else {
retVal = aChange.getLimit().getLower().min(tmpCurWeight);
}
}
} else {
retVal = tmpCurWeight;
}
}
return retVal;
}
static List getPortfolioChanges(final Change aChange) {
return aChange.getWorkSetPortfolio().getChanges();
}
static BigDecimal getPortfolioCurrentAmount(final Change aChange) {
BigDecimal retVal = BigMath.ZERO;
for (final Change tmpChange : Change.getPortfolioChanges(aChange)) {
retVal = BigMath.ADD.invoke(retVal, Change.getCurrentAmount(tmpChange));
}
return retVal;
}
static BigDecimal getPortfolioFutureAmount(final Change aChange) {
BigDecimal retVal = BigMath.ZERO;
for (final Change tmpChange : Change.getPortfolioChanges(aChange)) {
retVal = BigMath.ADD.invoke(retVal, Change.getFutureAmount(tmpChange));
}
return retVal;
}
static BigDecimal getTargetWeight(final Change aChange) {
final List tmpPortfolioChanges = aChange.getWorkSetPortfolio().getChanges();
final BigDecimal tmpTargetWeight = aChange.getLimit().getTarget();
BigDecimal tmpFreeWeight = tmpTargetWeight;
BigDecimal tmpLockedWeight = BigMath.ZERO;
int tmpFreeCount = 0;
int tmpLockedCount = 0;
final InstrumentCategory tmpThisCatgeory = Change.getEffectiveCategory(aChange);
for (final Change tmpChange : tmpPortfolioChanges) {
if (Change.getEffectiveCategory(tmpChange).equals(tmpThisCatgeory)) {
if (tmpChange.getWorkSetInstrument().isLocked()) {
tmpLockedWeight = BigMath.ADD.invoke(tmpLockedWeight, Change.getCurrentWeight(tmpChange));
tmpLockedCount++;
} else {
tmpFreeCount++;
}
}
}
if (tmpLockedWeight.signum() != 0) {
tmpFreeWeight = BigMath.SUBTRACT.invoke(tmpFreeWeight, tmpLockedWeight);
}
if ((tmpFreeCount == 0) || (tmpLockedCount == 0)) {
return BigMath.DIVIDE.invoke(tmpTargetWeight, new BigDecimal(tmpFreeCount + tmpLockedCount));
} else {
if (aChange.getWorkSetInstrument().isLocked()) {
return Change.getCurrentWeight(aChange);
} else {
return BigMath.DIVIDE.invoke(tmpFreeWeight, new BigDecimal(tmpFreeCount));
}
}
}
static BigDecimal getTransactionAmount(final Change aChange) {
BigDecimal retVal = aChange.getAmount();
final BigDecimal tmpSuggestedWeight = aChange.getSuggestedWeight();
if ((retVal == null) && (tmpSuggestedWeight != null)) {
final BigDecimal tmpAdjustedFutureAmount = aChange.getWorkSetPortfolio().getAdjustedFutureAmount();
retVal = BigMath.SUBTRACT.invoke(BigMath.MULTIPLY.invoke(tmpAdjustedFutureAmount, tmpSuggestedWeight), Change.getCurrentAmount(aChange));
}
if (retVal == null) {
if (aChange.getQuantity() != null) {
retVal = BigMath.MULTIPLY.invoke(aChange.getQuantity(), Change.getTransactionPrice(aChange));
} else if (aChange.getSellShare() != null) {
retVal = BigMath.MULTIPLY.invoke(Change.getTransactionQuantity(aChange), Change.getTransactionPrice(aChange));
} else {
retVal = BigMath.ZERO;
}
}
return retVal;
}
static String getTransactionDirection(final Change aChange) {
final int tmpSignum = Change.getTransactionAmount(aChange).signum();
switch (tmpSignum) {
case 1:
return "K";
case -1:
return "S";
default:
return "_";
}
}
static BigDecimal getTransactionPrice(final Change aChange) {
final WorkSetInstrument tmpWorkSetInstrument = aChange.getWorkSetInstrument();
BigDecimal retVal = tmpWorkSetInstrument.getPrice();
if (retVal == null) {
final Holding tmpHolding = aChange.getHolding();
if (tmpHolding != null) {
retVal = tmpHolding.getPrice();
} else {
final Instrument tmpInstrument = tmpWorkSetInstrument.getInstrument();
if (tmpInstrument != null) {
retVal = tmpInstrument.getPrice();
} else {
retVal = BigMath.ONE;
}
}
}
return retVal;
}
static BigDecimal getTransactionQuantity(final Change aChange) {
BigDecimal retVal = aChange.getQuantity();
if ((retVal == null) && (aChange.getSellShare() != null)) {
retVal = BigMath.MULTIPLY.invoke(Change.getCurrentQuantity(aChange), aChange.getSellShare());
}
if (retVal == null) {
if (aChange.getAmount() != null) {
retVal = BigMath.DIVIDE.invoke(aChange.getAmount(), Change.getTransactionPrice(aChange));
} else if (aChange.getSuggestedWeight() != null) {
retVal = BigMath.DIVIDE.invoke(Change.getTransactionAmount(aChange), Change.getTransactionPrice(aChange));
} else {
retVal = BigMath.ZERO;
}
}
return retVal;
}
static BigDecimal getTransactionSellShare(final Change aChange) {
BigDecimal retVal = aChange.getSellShare();
if ((retVal == null) && (Change.getTransactionQuantity(aChange).signum() < 0) && (Change.getCurrentQuantity(aChange).signum() != 0)) {
retVal = BigMath.DIVIDE.invoke(Change.getTransactionQuantity(aChange), Change.getCurrentQuantity(aChange));
}
return retVal;
}
static String getTransactionType(final Change aChange) {
String retVal = aChange.getType();
if (retVal == null) {
if (Change.getTransactionAmount(aChange).signum() != 0) {
final WorkSetPortfolio tmpWorkSetPortfolio = aChange.getWorkSetPortfolio();
retVal = tmpWorkSetPortfolio.getTransactionType();
} else {
retVal = "_";
}
}
return retVal;
}
/**
* How large is the transaction in relation to the portfolio current/market value.
*/
static BigDecimal getTransactionWeight(final Change aChange) {
return BigMath.DIVIDE.invoke(Change.getTransactionAmount(aChange), aChange.getWorkSetPortfolio().getCurrentAmount());
}
static BigDecimal getUpperLimit(final Change aChange) {
BigDecimal retVal = BigMath.ONE;
final WorkSetPortfolio tmpWorkSetPortfolio = aChange.getWorkSetPortfolio();
tmpWorkSetPortfolio.getCurrentAmount();
final BigDecimal tmpNewPortfVal = tmpWorkSetPortfolio.getAdjustedFutureAmount();
final BigDecimal tmpCurWeight = Change.getCurrentWeight(aChange);
if (tmpNewPortfVal.signum() != 0) {
if (Change.isLocked(aChange)) {
retVal = tmpCurWeight;
} else if (Change.isForcedToSell(aChange)) {
if (tmpWorkSetPortfolio.getWorkSet().getSellShare() != null) {
retVal = BigMath.DIVIDE.invoke(BigMath.MULTIPLY.invoke(aChange.getHolding().getAmount(),
BigMath.SUBTRACT.invoke(BigMath.ONE, tmpWorkSetPortfolio.getWorkSet().getSellShare())), tmpNewPortfVal);
} else {
retVal = tmpCurWeight;
}
} else if (Change.isForcedToBuy(aChange)) {
if (tmpWorkSetPortfolio.getWorkSet().isFreeToIgnoreProfiles()) {
retVal = BigMath.ONE;
} else {
// retVal = aChange.getLimit().getUpper().max(tmpCurWeight); // It's not specified how much you have to buy
retVal = aChange.getLimit().getTarget().add(aChange.getLimit().getPrecision());
}
if (retVal.signum() == 0) {
retVal = BigMath.ONE;
}
} else if (Change.isAllowedToBuy(aChange)) {
if (tmpWorkSetPortfolio.getWorkSet().isFreeToIgnoreProfiles()) {
retVal = BigMath.ONE;
} else if (aChange.getWorkSetInstrument().isDefault()) {
retVal = aChange.getLimit().getUpper().max(tmpCurWeight);
} else {
retVal = aChange.getLimit().getTarget().add(aChange.getLimit().getPrecision()).max(tmpCurWeight);
}
} else {
retVal = tmpCurWeight;
}
}
return retVal;
}
static boolean isAllowedToBuy(final Change aChange) {
final WorkSet tmpWorkSet = aChange.getWorkSetPortfolio().getWorkSet();
return !Change.isForcedToSell(aChange)
&& (Change.isForcedToBuy(aChange) || ((tmpWorkSet.getBuyInstrument() == null) && (tmpWorkSet.getBuyInstrumentCategory() == null)));
}
static boolean isAllowedToSell(final Change aChange) {
final WorkSet tmpWorkSet = aChange.getWorkSetPortfolio().getWorkSet();
return !Change.isForcedToBuy(aChange) && (Change.isForcedToSell(aChange) || (tmpWorkSet.getSellInstrument() == null));
}
static boolean isAmountChange(final Change aChange) {
boolean retVal = !Change.isWeightChange(aChange);
if (retVal) {
retVal = (aChange.getAmount() != null) && (aChange.getAmount().signum() >= 0);
}
return retVal;
}
static boolean isDefault(final Change aChange) {
final Instrument tmpInstrument = aChange.getWorkSetInstrument().getInstrument();
return (tmpInstrument != null) && tmpInstrument.isDefault();
}
static boolean isForcedToBuy(final Change aChange) {
final WorkSetInstrument tmpChangeInstrumentIdentifier = aChange.getWorkSetInstrument();
final WorkSetPortfolio tmpWorkSetPortfolio = aChange.getWorkSetPortfolio();
final Instrument tmpWorkSetBuyInstrument = tmpWorkSetPortfolio.getWorkSet().getBuyInstrument();
if ((tmpWorkSetBuyInstrument != null) && tmpWorkSetBuyInstrument.equals(tmpChangeInstrumentIdentifier.getInstrument())) {
return true;
} else {
final InstrumentCategory tmpWorkSetBuyInstrumentCategory = tmpWorkSetPortfolio.getWorkSet().getBuyInstrumentCategory();
if ((tmpWorkSetBuyInstrumentCategory != null) && tmpWorkSetBuyInstrumentCategory.equals(tmpChangeInstrumentIdentifier.getInstrumentCategory())) {
return true;
} else {
return false;
}
}
}
/**
* @return true if the {@linkplain WorkSet} defines a {@linkplain WorkSet#getSellInstrument()} and that
* instrument equals the instrument of aChange.
*/
static boolean isForcedToSell(final Change aChange) {
final WorkSetInstrument tmpChangeInstrumentIdentifier = aChange.getWorkSetInstrument();
final WorkSetPortfolio tmpWorkSetPortfolio = aChange.getWorkSetPortfolio();
final Instrument tmpWorkSetSellInstrument = tmpWorkSetPortfolio.getWorkSet().getSellInstrument();
if ((tmpWorkSetSellInstrument != null) && tmpWorkSetSellInstrument.equals(tmpChangeInstrumentIdentifier.getInstrument())) {
return true;
} else {
return false;
}
}
static Boolean isLocked(final Change aChange) {
return aChange.getWorkSetInstrument().isLocked();
}
static boolean isQuantityChange(final Change aChange) {
boolean retVal = !Change.isWeightChange(aChange);
if (retVal) {
retVal = (aChange.getQuantity() != null) && (aChange.getQuantity().signum() < 0);
}
return retVal;
}
static boolean isWeightChange(final Change aChange) {
return aChange.getSuggestedWeight() != null;
}
static String toDisplayString(final Change aChange) {
return Change.getInstrumentName(aChange) + "@" + WorkSetPortfolio.toDisplayString(aChange.getWorkSetPortfolio());
}
BigDecimal getCurrentAmount();
InstrumentCategory getEffectiveCategory();
BigDecimal getFutureAmount();
/**
* May return null; there may not be a corresponding holding
*/
Holding getHolding();
Limit getLimit();
/**
* List of changes (regardless of work set) with the same portfolio and instrument/category, but with
* different work set. The list should not include "this" and is rather likely to be an empty list.
*/
List getMatchingChanges();
BigDecimal getSellShare();
BigDecimal getSuggestedWeight();
BigDecimal getTransactionAmount();
/**
* @return "O" eller "E"
*/
String getType();
WorkSetInstrument getWorkSetInstrument();
WorkSetPortfolio getWorkSetPortfolio();
boolean isLocked();
}
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