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InvestmentAllocation: add parametrization
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@ge0ffrey
ge0ffrey committed Jun 2, 2015
1 parent dfea900 commit 6ddff9b
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Showing 7 changed files with 158 additions and 84 deletions.
156 changes: 80 additions & 76 deletions optaplanner-examples/data/investmentallocation/unsolved/irrinki_1.xml
View file
@@ -1,223 +1,227 @@
<IaInvestmentAllocationSolution id="1">
<InvestmentAllocationSolution id="1">
<id>0</id>
<assetClassList id="2">
<IaAssetClass id="3">
<parametrization id="2">
<id>0</id>
<standardDeviationMillisMaximum>95</standardDeviationMillisMaximum>
</parametrization>
<assetClassList id="3">
<AssetClass id="4">
<id>1</id>
<name>UK Equities</name>
<expectedReturnMillis>100</expectedReturnMillis>
<standardDeviationRiskMillis>150</standardDeviationRiskMillis>
<correlationMillisMap class="linked-hash-map" id="4">
<correlationMillisMap class="linked-hash-map" id="5">
<entry>
<IaAssetClass reference="3"/>
<AssetClass reference="4"/>
<long>1000</long>
</entry>
<entry>
<IaAssetClass id="5">
<AssetClass id="6">
<id>2</id>
<name>Ex-UK Equities</name>
<expectedReturnMillis>80</expectedReturnMillis>
<standardDeviationRiskMillis>120</standardDeviationRiskMillis>
<correlationMillisMap class="linked-hash-map" id="6">
<correlationMillisMap class="linked-hash-map" id="7">
<entry>
<IaAssetClass reference="3"/>
<AssetClass reference="4"/>
<long>760</long>
</entry>
<entry>
<IaAssetClass reference="5"/>
<AssetClass reference="6"/>
<long>1000</long>
</entry>
<entry>
<IaAssetClass id="7">
<AssetClass id="8">
<id>3</id>
<name>Intermediate Bond</name>
<expectedReturnMillis>40</expectedReturnMillis>
<standardDeviationRiskMillis>70</standardDeviationRiskMillis>
<correlationMillisMap class="linked-hash-map" id="8">
<correlationMillisMap class="linked-hash-map" id="9">
<entry>
<IaAssetClass reference="3"/>
<AssetClass reference="4"/>
<long>350</long>
</entry>
<entry>
<IaAssetClass reference="5"/>
<AssetClass reference="6"/>
<long>40</long>
</entry>
<entry>
<IaAssetClass reference="7"/>
<AssetClass reference="8"/>
<long>1000</long>
</entry>
<entry>
<IaAssetClass id="9">
<AssetClass id="10">
<id>4</id>
<name>Long-Term Bonds</name>
<expectedReturnMillis>45</expectedReturnMillis>
<standardDeviationRiskMillis>80</standardDeviationRiskMillis>
<correlationMillisMap class="linked-hash-map" id="10">
<correlationMillisMap class="linked-hash-map" id="11">
<entry>
<IaAssetClass reference="3"/>
<AssetClass reference="4"/>
<long>500</long>
</entry>
<entry>
<IaAssetClass reference="5"/>
<AssetClass reference="6"/>
<long>300</long>
</entry>
<entry>
<IaAssetClass reference="7"/>
<AssetClass reference="8"/>
<long>870</long>
</entry>
<entry>
<IaAssetClass reference="9"/>
<AssetClass reference="10"/>
<long>1000</long>
</entry>
<entry>
<IaAssetClass id="11">
<AssetClass id="12">
<id>5</id>
<name>Intermediate Bond</name>
<expectedReturnMillis>50</expectedReturnMillis>
<standardDeviationRiskMillis>90</standardDeviationRiskMillis>
<correlationMillisMap class="linked-hash-map" id="12">
<correlationMillisMap class="linked-hash-map" id="13">
<entry>
<IaAssetClass reference="3"/>
<AssetClass reference="4"/>
<long>240</long>
</entry>
<entry>
<IaAssetClass reference="5"/>
<AssetClass reference="6"/>
<long>360</long>
</entry>
<entry>
<IaAssetClass reference="7"/>
<AssetClass reference="8"/>
<long>620</long>
</entry>
<entry>
<IaAssetClass reference="9"/>
<AssetClass reference="10"/>
<long>520</long>
</entry>
<entry>
<IaAssetClass reference="11"/>
<AssetClass reference="12"/>
<long>1000</long>
</entry>
<entry>
<IaAssetClass id="13">
<AssetClass id="14">
<id>6</id>
<name>Real Estate</name>
<expectedReturnMillis>70</expectedReturnMillis>
<standardDeviationRiskMillis>100</standardDeviationRiskMillis>
<correlationMillisMap class="linked-hash-map" id="14">
<correlationMillisMap class="linked-hash-map" id="15">
<entry>
<IaAssetClass reference="3"/>
<AssetClass reference="4"/>
<long>300</long>
</entry>
<entry>
<IaAssetClass reference="5"/>
<AssetClass reference="6"/>
<long>250</long>
</entry>
<entry>
<IaAssetClass reference="7"/>
<AssetClass reference="8"/>
<long>-50</long>
</entry>
<entry>
<IaAssetClass reference="9"/>
<AssetClass reference="10"/>
<long>-20</long>
</entry>
<entry>
<IaAssetClass reference="11"/>
<AssetClass reference="12"/>
<long>200</long>
</entry>
<entry>
<IaAssetClass reference="13"/>
<AssetClass reference="14"/>
<long>1000</long>
</entry>
</correlationMillisMap>
</IaAssetClass>
</AssetClass>
<long>200</long>
</entry>
</correlationMillisMap>
</IaAssetClass>
</AssetClass>
<long>520</long>
</entry>
<entry>
<IaAssetClass reference="13"/>
<AssetClass reference="14"/>
<long>-20</long>
</entry>
</correlationMillisMap>
</IaAssetClass>
</AssetClass>
<long>870</long>
</entry>
<entry>
<IaAssetClass reference="11"/>
<AssetClass reference="12"/>
<long>620</long>
</entry>
<entry>
<IaAssetClass reference="13"/>
<AssetClass reference="14"/>
<long>-50</long>
</entry>
</correlationMillisMap>
</IaAssetClass>
</AssetClass>
<long>40</long>
</entry>
<entry>
<IaAssetClass reference="9"/>
<AssetClass reference="10"/>
<long>300</long>
</entry>
<entry>
<IaAssetClass reference="11"/>
<AssetClass reference="12"/>
<long>360</long>
</entry>
<entry>
<IaAssetClass reference="13"/>
<AssetClass reference="14"/>
<long>250</long>
</entry>
</correlationMillisMap>
</IaAssetClass>
</AssetClass>
<long>760</long>
</entry>
<entry>
<IaAssetClass reference="7"/>
<AssetClass reference="8"/>
<long>350</long>
</entry>
<entry>
<IaAssetClass reference="9"/>
<AssetClass reference="10"/>
<long>500</long>
</entry>
<entry>
<IaAssetClass reference="11"/>
<AssetClass reference="12"/>
<long>240</long>
</entry>
<entry>
<IaAssetClass reference="13"/>
<AssetClass reference="14"/>
<long>300</long>
</entry>
</correlationMillisMap>
</IaAssetClass>
<IaAssetClass reference="5"/>
<IaAssetClass reference="7"/>
<IaAssetClass reference="9"/>
<IaAssetClass reference="11"/>
<IaAssetClass reference="13"/>
</AssetClass>
<AssetClass reference="6"/>
<AssetClass reference="8"/>
<AssetClass reference="10"/>
<AssetClass reference="12"/>
<AssetClass reference="14"/>
</assetClassList>
<assetClassAllocationList id="15">
<IaAssetClassAllocation id="16">
<assetClassAllocationList id="16">
<AssetClassAllocation id="17">
<id>1</id>
<assetClass reference="3"/>
</IaAssetClassAllocation>
<IaAssetClassAllocation id="17">
<assetClass reference="4"/>
</AssetClassAllocation>
<AssetClassAllocation id="18">
<id>2</id>
<assetClass reference="5"/>
</IaAssetClassAllocation>
<IaAssetClassAllocation id="18">
<assetClass reference="6"/>
</AssetClassAllocation>
<AssetClassAllocation id="19">
<id>3</id>
<assetClass reference="7"/>
</IaAssetClassAllocation>
<IaAssetClassAllocation id="19">
<assetClass reference="8"/>
</AssetClassAllocation>
<AssetClassAllocation id="20">
<id>4</id>
<assetClass reference="9"/>
</IaAssetClassAllocation>
<IaAssetClassAllocation id="20">
<assetClass reference="10"/>
</AssetClassAllocation>
<AssetClassAllocation id="21">
<id>5</id>
<assetClass reference="11"/>
</IaAssetClassAllocation>
<IaAssetClassAllocation id="21">
<assetClass reference="12"/>
</AssetClassAllocation>
<AssetClassAllocation id="22">
<id>6</id>
<assetClass reference="13"/>
</IaAssetClassAllocation>
<assetClass reference="14"/>
</AssetClassAllocation>
</assetClassAllocationList>
</IaInvestmentAllocationSolution>
</InvestmentAllocationSolution>
2 changes: 1 addition & 1 deletion ...amples/src/main/java/org/optaplanner/examples/investmentallocation/domain/AssetClass.java
View file
Expand Up @@ -22,7 +22,7 @@
import org.optaplanner.examples.common.domain.AbstractPersistable;
import org.optaplanner.examples.investmentallocation.domain.util.InvestmentAllocationNumericUtil;

@XStreamAlias("IaAssetClass")
@XStreamAlias("AssetClass")
public class AssetClass extends AbstractPersistable {

private String name;
Expand Down
2 changes: 1 addition & 1 deletion .../main/java/org/optaplanner/examples/investmentallocation/domain/AssetClassAllocation.java
View file
Expand Up @@ -23,7 +23,7 @@
import org.optaplanner.examples.investmentallocation.domain.util.InvestmentAllocationNumericUtil;

@PlanningEntity()
@XStreamAlias("IaAssetClassAllocation")
@XStreamAlias("AssetClassAllocation")
public class AssetClassAllocation extends AbstractPersistable {

private AssetClass assetClass;
Expand Down
23 changes: 20 additions & 3 deletions ...va/org/optaplanner/examples/investmentallocation/domain/InvestmentAllocationSolution.java
View file
Expand Up @@ -35,16 +35,25 @@
import org.optaplanner.persistence.xstream.impl.score.XStreamScoreConverter;

@PlanningSolution
@XStreamAlias("IaInvestmentAllocationSolution")
@XStreamAlias("InvestmentAllocationSolution")
public class InvestmentAllocationSolution extends AbstractPersistable implements Solution<HardSoftLongScore> {

private InvestmentParametrization parametrization;
private List<AssetClass> assetClassList;

private List<AssetClassAllocation> assetClassAllocationList;

@XStreamConverter(value = XStreamScoreConverter.class, types = {HardSoftLongScoreDefinition.class})
private HardSoftLongScore score;

public InvestmentParametrization getParametrization() {
return parametrization;
}

public void setParametrization(InvestmentParametrization parametrization) {
this.parametrization = parametrization;
}

public List<AssetClass> getAssetClassList() {
return assetClassList;
}
Expand Down Expand Up @@ -81,6 +90,7 @@ public CountableValueRange<Long> getQuantityMillisRange() {

public Collection<? extends Object> getProblemFacts() {
List<Object> facts = new ArrayList<Object>();
facts.add(parametrization);
facts.addAll(assetClassList);
// Do not add the planning entity's (assetClassAllocationList) because that will be done automatically
return facts;
Expand All @@ -101,6 +111,14 @@ public long calculateExpectedReturnMicros() {
* Not incremental
*/
public long calculateStandardDeviationMicros() {
long squaredFemtos = calculateStandardDeviationSquaredFemtos();
return (long) Math.sqrt(squaredFemtos / 1000L);
}

/**
* Not incremental
*/
public long calculateStandardDeviationSquaredFemtos() {
long totalFemtos = 0L;
for (AssetClassAllocation a : assetClassAllocationList) {
for (AssetClassAllocation b : assetClassAllocationList) {
Expand All @@ -115,8 +133,7 @@ public long calculateStandardDeviationMicros() {
}
}
}
long totalPicos = totalFemtos / 1000L;
return (long) Math.sqrt(totalPicos);
return totalFemtos;
}

}

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