diff --git a/.gradle/3.5/taskHistory/fileHashes.bin b/.gradle/3.5/taskHistory/fileHashes.bin index dfae04139aa0..72be3282fd21 100644 Binary files a/.gradle/3.5/taskHistory/fileHashes.bin and b/.gradle/3.5/taskHistory/fileHashes.bin differ diff --git a/.gradle/3.5/taskHistory/fileSnapshots.bin b/.gradle/3.5/taskHistory/fileSnapshots.bin index cb815325b312..6f98fb345b12 100644 Binary files a/.gradle/3.5/taskHistory/fileSnapshots.bin and b/.gradle/3.5/taskHistory/fileSnapshots.bin differ diff --git a/.gradle/3.5/taskHistory/taskHistory.bin b/.gradle/3.5/taskHistory/taskHistory.bin index d2af7ad63b96..1bd8916813a9 100644 Binary files a/.gradle/3.5/taskHistory/taskHistory.bin and b/.gradle/3.5/taskHistory/taskHistory.bin differ diff --git a/.gradle/3.5/taskHistory/taskHistory.lock b/.gradle/3.5/taskHistory/taskHistory.lock index e5db942165fc..a088c354796c 100644 Binary files a/.gradle/3.5/taskHistory/taskHistory.lock and b/.gradle/3.5/taskHistory/taskHistory.lock differ diff --git a/ReleaseNotes/11_27_2017.txt b/ReleaseNotes/11_27_2017.txt new file mode 100644 index 000000000000..b1136f3bff0b --- /dev/null +++ b/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) diff --git a/src/main/java/org/drip/regression/core/RegressionEngine.java b/src/main/java/org/drip/regression/core/RegressionEngine.java index 220b382143ef..543e369e549c 100644 --- a/src/main/java/org/drip/regression/core/RegressionEngine.java +++ b/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 ( diff --git a/src/test/java/org/drip/coverage/execution/Almgren2003.java b/src/test/java/org/drip/coverage/execution/Almgren2003.java new file mode 100644 index 000000000000..b8efcf0643ce --- /dev/null +++ b/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); + } +} diff --git a/src/test/java/org/drip/coverage/execution/Almgren2009.java b/src/test/java/org/drip/coverage/execution/Almgren2009.java new file mode 100644 index 000000000000..8808eed5cf00 --- /dev/null +++ b/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); + } +} diff --git a/src/test/java/org/drip/coverage/execution/Almgren2012.java b/src/test/java/org/drip/coverage/execution/Almgren2012.java new file mode 100644 index 000000000000..b240973fb188 --- /dev/null +++ b/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); + } +} diff --git a/src/test/java/org/drip/coverage/execution/AlmgrenChriss.java b/src/test/java/org/drip/coverage/execution/AlmgrenChriss.java new file mode 100644 index 000000000000..39d3e28a0ca0 --- /dev/null +++ b/src/test/java/org/drip/coverage/execution/AlmgrenChriss.java @@ -0,0 +1,84 @@ + +package org.drip.coverage.execution; + +import org.drip.sample.almgrenchriss.EfficientFrontierNoDrift; +import org.drip.sample.almgrenchriss.EfficientFrontierWithDrift; +import org.drip.sample.almgrenchriss.OptimalSerialCorrelationImpact; +import org.drip.sample.almgrenchriss.OptimalTrajectoryNoDrift; +import org.drip.sample.almgrenchriss.OptimalTrajectoryWithDrift; +import org.drip.sample.almgrenchriss.TrajectoryComparisonNoDrift; +import org.drip.sample.almgrenchriss.TrajectoryComparisonWithDrift; + +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. + */ + +/** + * AlmgrenChriss holds the JUnit Code Coverage Tests for the Almgren Chriss Execution Module. + * + * @author Lakshmi Krishnamurthy + */ + +public class AlmgrenChriss +{ + @Test public void codeCoverageTest() throws Exception + { + EfficientFrontierNoDrift.main (null); + + EfficientFrontierWithDrift.main (null); + + OptimalSerialCorrelationImpact.main (null); + + OptimalTrajectoryNoDrift.main (null); + + OptimalTrajectoryWithDrift.main (null); + + TrajectoryComparisonNoDrift.main (null); + + TrajectoryComparisonWithDrift.main (null); + } +} diff --git a/src/test/java/org/drip/coverage/execution/package-info.java b/src/test/java/org/drip/coverage/execution/package-info.java new file mode 100644 index 000000000000..3db85c42e7fd --- /dev/null +++ b/src/test/java/org/drip/coverage/execution/package-info.java @@ -0,0 +1,8 @@ + +/** + * Execution Module Code Coverage Estimation Suite + * + * @author Lakshmi Krishnamurthy + */ + +package org.drip.coverage.execution; diff --git a/src/test/java/org/drip/coverage/portfolioconstruction/ALM.java b/src/test/java/org/drip/coverage/portfolioconstruction/ALM.java new file mode 100644 index 000000000000..19453b4b9671 --- /dev/null +++ b/src/test/java/org/drip/coverage/portfolioconstruction/ALM.java @@ -0,0 +1,78 @@ + +package org.drip.coverage.portfolioconstruction; + +import org.drip.sample.alm.NetLiabilityCliffDependence; +import org.drip.sample.alm.NetLiabilityConsumptionDependence; +import org.drip.sample.alm.NetLiabilityDiscountDependence; +import org.drip.sample.alm.NetLiabilityStreamEstimator; +import org.drip.sample.alm.NetLiabilityTaxYieldDependence; + +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. + */ + +/** + * ALM holds the JUnit Code Coverage Tests for the ALM Portfolio Construction Module. + * + * @author Lakshmi Krishnamurthy + */ + +public class ALM +{ + @Test public void codeCoverageTest() throws Exception + { + NetLiabilityCliffDependence.main (null); + + NetLiabilityConsumptionDependence.main (null); + + NetLiabilityDiscountDependence.main (null); + + NetLiabilityStreamEstimator.main (null); + + NetLiabilityTaxYieldDependence.main (null); + } +} diff --git a/src/test/java/org/drip/coverage/portfolioconstruction/AssetAllocation.java b/src/test/java/org/drip/coverage/portfolioconstruction/AssetAllocation.java new file mode 100644 index 000000000000..8c1ae63a4188 --- /dev/null +++ b/src/test/java/org/drip/coverage/portfolioconstruction/AssetAllocation.java @@ -0,0 +1,79 @@ + +package org.drip.coverage.portfolioconstruction; + +import org.drip.sample.assetallocation.BudgetConstrainedVarianceMinimizer; +import org.drip.sample.assetallocation.DualConstrainedVariateConvergence; +import org.drip.sample.assetallocation.ReturnsConstrainedVarianceMinimizer; +import org.drip.sample.assetallocation.RiskTolerantVarianceMinimizer; +import org.drip.sample.assetallocation.VanillaVarianceMinimizer; + +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. + */ + +/** + * AssetAllocation holds the JUnit Code Coverage Tests for the Asset Allocation Portfolio Construction + * Module. + * + * @author Lakshmi Krishnamurthy + */ + +public class AssetAllocation +{ + @Test public void codeCoverageTest() throws Exception + { + BudgetConstrainedVarianceMinimizer.main (null); + + DualConstrainedVariateConvergence.main (null); + + ReturnsConstrainedVarianceMinimizer.main (null); + + RiskTolerantVarianceMinimizer.main (null); + + VanillaVarianceMinimizer.main (null); + } +} diff --git a/src/test/java/org/drip/coverage/portfolioconstruction/AssetAllocationExcel.java b/src/test/java/org/drip/coverage/portfolioconstruction/AssetAllocationExcel.java new file mode 100644 index 000000000000..879aa0bea0a2 --- /dev/null +++ b/src/test/java/org/drip/coverage/portfolioconstruction/AssetAllocationExcel.java @@ -0,0 +1,117 @@ + +package org.drip.coverage.portfolioconstruction; + +import org.drip.sample.assetallocationexcel.CMVMonthlyReconciler01; +import org.drip.sample.assetallocationexcel.CMVMonthlyReconciler02; +import org.drip.sample.assetallocationexcel.CMVMonthlyReconciler03; +import org.drip.sample.assetallocationexcel.CMVMonthlyReconciler04; +import org.drip.sample.assetallocationexcel.CMVMonthlyReconciler05; +import org.drip.sample.assetallocationexcel.CMVMonthlyReconciler06; +import org.drip.sample.assetallocationexcel.CMVMonthlyReconciler07; +import org.drip.sample.assetallocationexcel.CMVMonthlyReconciler08; +import org.drip.sample.assetallocationexcel.CMVMonthlyReconciler09; +import org.drip.sample.assetallocationexcel.CMVMonthlyReconciler10; +import org.drip.sample.assetallocationexcel.CMVReconciler1; +import org.drip.sample.assetallocationexcel.CMVReconciler3; +import org.drip.sample.assetallocationexcel.CMVReconciler4; +import org.drip.sample.assetallocationexcel.CMVReconciler5; +import org.drip.sample.assetallocationexcel.CMVReconciler6; +import org.drip.sample.assetallocationexcel.CMVReconciler7; +import org.drip.sample.assetallocationexcel.CMVReconciler8; + +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. + */ + +/** + * AssetAllocationExcel holds the JUnit Code Coverage Tests for Excel Comparisons of Asset Allocation + * Portfolio Construction Module. + * + * @author Lakshmi Krishnamurthy + */ + +public class AssetAllocationExcel +{ + @Test public void codeCoverageTest() throws Exception + { + CMVMonthlyReconciler01.main (null); + + CMVMonthlyReconciler02.main (null); + + CMVMonthlyReconciler03.main (null); + + CMVMonthlyReconciler04.main (null); + + CMVMonthlyReconciler05.main (null); + + CMVMonthlyReconciler06.main (null); + + CMVMonthlyReconciler07.main (null); + + CMVMonthlyReconciler08.main (null); + + CMVMonthlyReconciler09.main (null); + + CMVMonthlyReconciler10.main (null); + + CMVReconciler1.main (null); + + // CMVReconciler2.main (null); + + CMVReconciler3.main (null); + + CMVReconciler4.main (null); + + CMVReconciler5.main (null); + + CMVReconciler6.main (null); + + CMVReconciler7.main (null); + + CMVReconciler8.main (null); + } +} diff --git a/src/test/java/org/drip/coverage/portfolioconstruction/package-info.java b/src/test/java/org/drip/coverage/portfolioconstruction/package-info.java new file mode 100644 index 000000000000..3c0c3506321e --- /dev/null +++ b/src/test/java/org/drip/coverage/portfolioconstruction/package-info.java @@ -0,0 +1,8 @@ + +/** + * Portfolio Construction Module Code Coverage Estimation Suite + * + * @author Lakshmi Krishnamurthy + */ + +package org.drip.coverage.portfolioconstruction; diff --git a/src/test/java/org/drip/coverage/product/Agency.java b/src/test/java/org/drip/coverage/product/Agency.java index 9a419daa350f..dcf7c321b314 100644 --- a/src/test/java/org/drip/coverage/product/Agency.java +++ b/src/test/java/org/drip/coverage/product/Agency.java @@ -53,15 +53,14 @@ */ /** - * Agency holds the JUnit Code Coverage Tests for the Agency Product. - * + * Agency holds the JUnit Code Coverage Tests for the Agency Product Module. * * @author Lakshmi Krishnamurthy */ public class Agency { - @Test public void agencyFixedBullet1() throws Exception + @Test public void codeCoverageTest() throws Exception { AgencyFixedBullet1.main (null); diff --git a/src/test/java/org/drip/coverage/product/package-info.java b/src/test/java/org/drip/coverage/product/package-info.java index 7548ecffe6ac..e4e2299ccb0d 100644 --- a/src/test/java/org/drip/coverage/product/package-info.java +++ b/src/test/java/org/drip/coverage/product/package-info.java @@ -1,6 +1,6 @@ /** - * Product Code Coverage Estimation Suite + * Product Module Code Coverage Estimation Suite * * @author Lakshmi Krishnamurthy */ diff --git a/src/test/java/org/drip/coverage/service/Algo.java b/src/test/java/org/drip/coverage/service/Algo.java new file mode 100644 index 000000000000..2dca58e0062f --- /dev/null +++ b/src/test/java/org/drip/coverage/service/Algo.java @@ -0,0 +1,78 @@ + +package org.drip.coverage.service; + +import org.drip.sample.algo.C1ArrayTranslateShuffle; +import org.drip.sample.algo.R1ArrayInSituSort; +import org.drip.sample.algo.R2ArrayPathwiseProcessing; +import org.drip.sample.algo.SubMatrixSetExtraction; +import org.drip.sample.algo.SubStringSetExtraction; + +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. + */ + +/** + * Algo holds the JUnit Code Coverage Tests for the Algo Service Module. + * + * @author Lakshmi Krishnamurthy + */ + +public class Algo +{ + @Test public void codeCoverageTest() throws Exception + { + C1ArrayTranslateShuffle.main (null); + + R1ArrayInSituSort.main (null); + + R2ArrayPathwiseProcessing.main (null); + + SubMatrixSetExtraction.main (null); + + SubStringSetExtraction.main (null); + } +} diff --git a/src/test/java/org/drip/coverage/service/package-info.java b/src/test/java/org/drip/coverage/service/package-info.java new file mode 100644 index 000000000000..21033441f5a0 --- /dev/null +++ b/src/test/java/org/drip/coverage/service/package-info.java @@ -0,0 +1,8 @@ + +/** + * Service Module Code Coverage Estimation Suite + * + * @author Lakshmi Krishnamurthy + */ + +package org.drip.coverage.service;