Features:

Bug Fixes/Clean-up:

Samples:

	- Agency Product Code Coverage (1, 2)
	- Algo Service Code Coverage #1 (3, 4)
	- Algo Service Code Coverage #2 (5, 6)
	- Algo Service Code Coverage #3 (7)
	- ALM Portfolio Construction Code Coverage #1 (8, 9)
	- ALM Portfolio Construction Code Coverage #2 (10, 11)
	- ALM Portfolio Construction Code Coverage #3 (12)
	- Almgren 2003 Execution Code Coverage #1 (13, 14)
	- Almgren 2003 Execution Code Coverage #2 (15, 16)
	- Almgren 2003 Execution Code Coverage #3 (17, 18)
	- Almgren 2003 Execution Code Coverage #4 (19)
	- Almgren 2009 Execution Code Coverage #1 (20, 21)
	- Almgren 2009 Execution Code Coverage #2 (22, 23)
	- Almgren 2009 Execution Code Coverage #3 (24, 25)
	- Almgren 2009 Execution Code Coverage #4 (26, 27)
	- Almgren 2009 Execution Code Coverage #5 (28)
	- Almgren 2012 Execution Code Coverage #1 (29, 30)
	- Almgren 2012 Execution Code Coverage #2 (31, 32)
	- Almgren 2012 Execution Code Coverage #3 (33, 34)
	- Almgren 2012 Execution Code Coverage #4 (35, 36)
	- Almgren Chriss Execution Code Coverage #1 (37, 38)
	- Almgren Chriss Execution Code Coverage #2 (39, 40)
	- Almgren Chriss Execution Code Coverage #3 (41, 42)
	- Almgren Chriss Execution Code Coverage #4 (43)
	- Asset Allocation Portfolio Construction Code Coverage #1 (44, 45)
	- Asset Allocation Portfolio Construction Code Coverage #2 (46, 47)
	- Asset Allocation Portfolio Construction Code Coverage #3 (48)
	- Asset Allocation Excel Portfolio Construction Code Coverage #1 (49, 50)
	- Asset Allocation Excel Portfolio Construction Code Coverage #2 (51, 52)
	- Asset Allocation Excel Portfolio Construction Code Coverage #3 (53, 54)
	- Asset Allocation Excel Portfolio Construction Code Coverage #4 (55, 56)
	- Asset Allocation Excel Portfolio Construction Code Coverage #5 (57, 58)
	- Asset Allocation Excel Portfolio Construction Code Coverage #6 (59, 60)
	- Asset Allocation Excel Portfolio Construction Code Coverage #7 (61, 62)
	- Asset Allocation Excel Portfolio Construction Code Coverage #8 (63, 64)
	- Asset Allocation Excel Portfolio Construction Code Coverage #9 (65, 66)

ReleaseNotes/11_27_2017.txt

@@ -0,0 +1,43 @@
+
+Features:
+
+Bug Fixes/Clean-up:
+
+Samples:
+
+ - Agency Product Code Coverage (1, 2)
+ - Algo Service Code Coverage #1 (3, 4)
+ - Algo Service Code Coverage #2 (5, 6)
+ - Algo Service Code Coverage #3 (7)
+ - ALM Portfolio Construction Code Coverage #1 (8, 9)
+ - ALM Portfolio Construction Code Coverage #2 (10, 11)
+ - ALM Portfolio Construction Code Coverage #3 (12)
+ - Almgren 2003 Execution Code Coverage #1 (13, 14)
+ - Almgren 2003 Execution Code Coverage #2 (15, 16)
+ - Almgren 2003 Execution Code Coverage #3 (17, 18)
+ - Almgren 2003 Execution Code Coverage #4 (19)
+ - Almgren 2009 Execution Code Coverage #1 (20, 21)
+ - Almgren 2009 Execution Code Coverage #2 (22, 23)
+ - Almgren 2009 Execution Code Coverage #3 (24, 25)
+ - Almgren 2009 Execution Code Coverage #4 (26, 27)
+ - Almgren 2009 Execution Code Coverage #5 (28)
+ - Almgren 2012 Execution Code Coverage #1 (29, 30)
+ - Almgren 2012 Execution Code Coverage #2 (31, 32)
+ - Almgren 2012 Execution Code Coverage #3 (33, 34)
+ - Almgren 2012 Execution Code Coverage #4 (35, 36)
+ - Almgren Chriss Execution Code Coverage #1 (37, 38)
+ - Almgren Chriss Execution Code Coverage #2 (39, 40)
+ - Almgren Chriss Execution Code Coverage #3 (41, 42)
+ - Almgren Chriss Execution Code Coverage #4 (43)
+ - Asset Allocation Portfolio Construction Code Coverage #1 (44, 45)
+ - Asset Allocation Portfolio Construction Code Coverage #2 (46, 47)
+ - Asset Allocation Portfolio Construction Code Coverage #3 (48)
+ - Asset Allocation Excel Portfolio Construction Code Coverage #1 (49, 50)
+ - Asset Allocation Excel Portfolio Construction Code Coverage #2 (51, 52)
+ - Asset Allocation Excel Portfolio Construction Code Coverage #3 (53, 54)
+ - Asset Allocation Excel Portfolio Construction Code Coverage #4 (55, 56)
+ - Asset Allocation Excel Portfolio Construction Code Coverage #5 (57, 58)
+ - Asset Allocation Excel Portfolio Construction Code Coverage #6 (59, 60)
+ - Asset Allocation Excel Portfolio Construction Code Coverage #7 (61, 62)
+ - Asset Allocation Excel Portfolio Construction Code Coverage #8 (63, 64)
+ - Asset Allocation Excel Portfolio Construction Code Coverage #9 (65, 66)

src/main/java/org/drip/regression/core/RegressionEngine.java

@@ -170,7 +170,7 @@ protected RegressionEngine (
  * 
  * @param rs Regressor Set
  * 
- * @return TRUE => Regressor Set successfully added
+ * @return TRUE - Regressor Set successfully added
  */
 
  protected final boolean addRegressorSet (

src/test/java/org/drip/coverage/execution/Almgren2003.java

@@ -0,0 +1,84 @@
+
+package org.drip.coverage.execution;
+
+import org.drip.sample.almgren2003.ConstantLiquidityVolatility;
+import org.drip.sample.almgren2003.ConstantTradingEnhancedVolatility;
+import org.drip.sample.almgren2003.ContinuousTrajectoryConcaveImpact;
+import org.drip.sample.almgren2003.ContinuousTrajectoryConvexImpact;
+import org.drip.sample.almgren2003.ContinuousTrajectoryLinearImpact;
+import org.drip.sample.almgren2003.LinearLiquidityVolatility;
+import org.drip.sample.almgren2003.PowerLawOptimalTrajectory;
+
+import org.junit.Test;
+
+/*
+ * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
+ */
+
+/*!
+ * Copyright (C) 2018 Lakshmi Krishnamurthy
+ * Copyright (C) 2017 Lakshmi Krishnamurthy
+ * 
+ * This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
+ * libraries targeting analysts and developers
+ * https://lakshmidrip.github.io/DRIP/
+ * 
+ * DRIP is composed of four main libraries:
+ * 
+ * - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
+ * - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
+ * - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
+ * - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
+ * 
+ * - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
+ * Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
+ * Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
+ * Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
+ * Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
+ * 
+ * - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
+ * Incorporator, Holdings Constraint, and Transaction Costs.
+ * 
+ * - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
+ * 
+ * - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
+ * 
+ * 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.
+ */
+
+/**
+ * Almgren2003 holds the JUnit Code Coverage Tests for the Almgren2003 Execution Module.
+ *
+ * @author Lakshmi Krishnamurthy
+ */
+
+public class Almgren2003
+{
+ @Test public void codeCoverageTest() throws Exception
+ {
+ ConstantLiquidityVolatility.main (null);
+
+ ConstantTradingEnhancedVolatility.main (null);
+
+ ContinuousTrajectoryConcaveImpact.main (null);
+
+ ContinuousTrajectoryConvexImpact.main (null);
+
+ ContinuousTrajectoryLinearImpact.main (null);
+
+ LinearLiquidityVolatility.main (null);
+
+ PowerLawOptimalTrajectory.main (null);
+ }
+}

src/test/java/org/drip/coverage/execution/Almgren2009.java

@@ -0,0 +1,90 @@
+
+package org.drip.coverage.execution;
+
+import org.drip.sample.almgren2009.AdaptiveOptimalCostTrajectory;
+import org.drip.sample.almgren2009.AdaptiveOptimalHJBTrajectory;
+import org.drip.sample.almgren2009.AdaptiveOptimalRollingHorizonTrajectory;
+import org.drip.sample.almgren2009.AdaptiveOptimalStaticTrajectory;
+import org.drip.sample.almgren2009.CoordinatedMarketStateTrajectory;
+import org.drip.sample.almgren2009.EnhancedEulerScheme;
+import org.drip.sample.almgren2009.HighUrgencyTrajectoryComparison;
+import org.drip.sample.almgren2009.LowUrgencyTrajectoryComparison;
+import org.drip.sample.almgren2009.StaticContinuousOptimalTrajectory;
+
+import org.junit.Test;
+
+/*
+ * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
+ */
+
+/*!
+ * Copyright (C) 2018 Lakshmi Krishnamurthy
+ * Copyright (C) 2017 Lakshmi Krishnamurthy
+ * 
+ * This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
+ * libraries targeting analysts and developers
+ * https://lakshmidrip.github.io/DRIP/
+ * 
+ * DRIP is composed of four main libraries:
+ * 
+ * - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
+ * - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
+ * - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
+ * - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
+ * 
+ * - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
+ * Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
+ * Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
+ * Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
+ * Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
+ * 
+ * - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
+ * Incorporator, Holdings Constraint, and Transaction Costs.
+ * 
+ * - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
+ * 
+ * - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
+ * 
+ * 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.
+ */
+
+/**
+ * Almgren2009 holds the JUnit Code Coverage Tests for the Almgren2009 Execution Module.
+ *
+ * @author Lakshmi Krishnamurthy
+ */
+
+public class Almgren2009
+{
+ @Test public void codeCoverageTest() throws Exception
+ {
+ AdaptiveOptimalCostTrajectory.main (null);
+
+ AdaptiveOptimalHJBTrajectory.main (null);
+
+ AdaptiveOptimalRollingHorizonTrajectory.main (null);
+
+ AdaptiveOptimalStaticTrajectory.main (null);
+
+ CoordinatedMarketStateTrajectory.main (null);
+
+ HighUrgencyTrajectoryComparison.main (null);
+
+ LowUrgencyTrajectoryComparison.main (null);
+
+ EnhancedEulerScheme.main (null);
+
+ StaticContinuousOptimalTrajectory.main (null);
+ }
+}

src/test/java/org/drip/coverage/execution/Almgren2012.java

@@ -0,0 +1,87 @@
+
+package org.drip.coverage.execution;
+
+import org.drip.sample.almgren2012.AdaptiveStaticInitialHoldings;
+import org.drip.sample.almgren2012.AdaptiveStaticInitialTradeRate;
+import org.drip.sample.almgren2012.AdaptiveZeroInitialHoldings;
+import org.drip.sample.almgren2012.AdaptiveZeroInitialTradeRate;
+import org.drip.sample.almgren2012.RollingHorizonOptimalHoldings;
+import org.drip.sample.almgren2012.RollingHorizonOptimalTradeRate;
+import org.drip.sample.almgren2012.StaticOptimalTrajectoryHoldings;
+import org.drip.sample.almgren2012.StaticOptimalTrajectoryTradeRate;
+
+import org.junit.Test;
+
+/*
+ * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
+ */
+
+/*!
+ * Copyright (C) 2018 Lakshmi Krishnamurthy
+ * Copyright (C) 2017 Lakshmi Krishnamurthy
+ * 
+ * This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
+ * libraries targeting analysts and developers
+ * https://lakshmidrip.github.io/DRIP/
+ * 
+ * DRIP is composed of four main libraries:
+ * 
+ * - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
+ * - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
+ * - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
+ * - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
+ * 
+ * - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
+ * Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
+ * Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
+ * Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
+ * Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
+ * 
+ * - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
+ * Incorporator, Holdings Constraint, and Transaction Costs.
+ * 
+ * - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
+ * 
+ * - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
+ * 
+ * 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.
+ */
+
+/**
+ * Almgren2012 holds the JUnit Code Coverage Tests for the Almgren2012 Execution Module.
+ *
+ * @author Lakshmi Krishnamurthy
+ */
+
+public class Almgren2012
+{
+ @Test public void codeCoverageTest() throws Exception
+ {
+ AdaptiveStaticInitialHoldings.main (null);
+
+ AdaptiveStaticInitialTradeRate.main (null);
+
+ AdaptiveZeroInitialHoldings.main (null);
+
+ AdaptiveZeroInitialTradeRate.main (null);
+
+ RollingHorizonOptimalHoldings.main (null);
+
+ RollingHorizonOptimalTradeRate.main (null);
+
+ StaticOptimalTrajectoryHoldings.main (null);
+
+ StaticOptimalTrajectoryTradeRate.main (null);
+ }
+}