Code Samples - Using VDL to Create Custom Views

The following files constitute an app to which modifications are applied as the chapter unfolds. They correspond to the state of the app at the end of the Getting Started chapter, but without the Tableau view, which is not easily presented as source code. If you are using Xpress Workbench, organize and assemble them according to the following folder structure:

foliodata.vdl

<vdl version="4.1">
  <vdl-page>
    <vdl-section heading="Welcome to Portfolio Optimization"
                 heading-level="1">
      <vdl-section heading="Return per share"
                   heading-level="2">
        <vdl-form>
          <vdl-field entity="changeShare"
                     options-set="SHARES"
                     label="Choose share">
          </vdl-field>
          <vdl-field entity="RET"
                     indices="=scenario.entities.changeShare.value"
                     label="Estimated ROI">
            <vdl-validate pass="=value >= 0">ROI must be zero or greater.
            </vdl-validate>
            <vdl-tooltip title="Estimated ROI"
                         content="Specify the expected percentage return on investment">
           </vdl-field>
         </vdl-form>
        <vdl-execute-button caption="Run scenario"></vdl-execute-button>
      </vdl-section>
      <vdl-section heading="Optimal result" heading-level="2">
        <span vdl-text="Calculated optimal return: "></span>
        <span vdl-text="=insight.Formatter.formatNumber(scenario.entities.Return.value, '.##')">
        </span>
      </vdl-section>
      <vdl-section heading="Recommended share allocations"
                   heading-level="3">
        <vdl-table page-mode="paged" page-size="5"
                   show-filter="true"
                   column-filter="true">
          <vdl-table-column entity="frac"></vdl-table-column>
          <vdl-table-column entity="RET"></vdl-table-column>
        </vdl-table>
      </vdl-section> 
    </vdl-section>
  </vdl-page>
</vdl>

folio.dat

! Data file for `folio*.mos'

RET: [("treasury") 5 ("hardware") 17 ("theater") 26 ("telecom") 12     
      ("brewery") 8 ("highways") 9 ("cars") 7 ("bank") 6
      ("software") 31 ("electronics") 21 ]

DEV: [("treasury") 0.1 ("hardware") 19 ("theater") 28 ("telecom") 22
      ("brewery") 4 ("highways") 3.5 ("cars") 5 ("bank") 0.5 
      ("software") 25 ("electronics") 16 ]

NAMES:  ["treasury" "hardware" "theater" "telecom" "brewery" "highways" "cars" "bank" "software" "electronics"]

COUNTRY: ["Canada" "USA" "USA" "USA" "UK" "France" "Germany" "Luxemburg" "India" "Japan"]

RISK: ["hardware" "theater" "telecom" "software" "electronics"]

NA: ["treasury" "hardware" "theater" "telecom"]

caution.txt

cautionText:"** Text to be replaced **"

foliodata.mos

model "Portfolio optimization with LP"
 uses "mminsight"                    ! For Xpress Insight
 uses "mmxprs"                       ! Use Xpress-Optimizer

 parameters
  DATAFILE= "folio.dat"              ! File with problem data
  OUTFILE= "result.dat"              ! Output file 
  MAXRISK = 1/3                      ! Max. investment into high-risk values
  MAXVAL = 0.3                       ! Max. investment per share
  MINAM = 0.5                        ! Min. investment into N.-American values
 end-parameters

 declarations
 !@insight.manage input
 !@insight.alias Set of all shares
  SHARES: set of string              ! Set of shares
  
  !@insight.manage input
  !@insight.alias Set of high risk shares
  RISK: set of string                ! Set of high-risk values among shares
  
  !@insight.manage input
  !@insight.alias Set of all North American shares
  NA: set of string                  ! Set of shares issued in N.-America
  
  !@insight.manage input
  !@insight.alias ROI
  RET: array(SHARES) of real         ! Estimated return in investment
  changeShare: string
 end-declarations

 forward procedure datainput
 
 case insightgetmode of
  INSIGHT_MODE_LOAD: do
   datainput
   exit(0)
  end-do
  INSIGHT_MODE_RUN: 
   insightpopulate
  else
   datainput
  end-case
  
 procedure datainput 
  initializations from DATAFILE
   RISK RET NA
  end-initializations
  changeShare:="brewery"
 end-procedure
 
 declarations
  !@insight.manage result
  !@insight.alias Outcomes
  frac: array(SHARES) of mpvar       ! Fraction of capital used per share
 end-declarations

! Objective: total return
 Return:= sum(s in SHARES) RET(s)*frac(s) 

! Limit the percentage of high-risk values
 sum(s in RISK) frac(s) <= MAXRISK

! Minimum amount of North-American values
 sum(s in NA) frac(s) >= MINAM

! Spend all the capital
 sum(s in SHARES) frac(s) = 1
 
! Upper bounds on the investment per share
 forall(s in SHARES) frac(s) <= MAXVAL

! Solve the problem
 insightmaximize(Return)

! Solution printing to a file
 fopen(OUTFILE, F_OUTPUT)
 writeln("Total return: ", getobjval)
 forall(s in SHARES) 
  writeln(strfmt(s,-12), ": \t", strfmt(getsol(frac(s))*100,5,2), "%")
 fclose(F_OUTPUT) 
 
end-model 

foliodata.xml

<?xml version="1.0" encoding="UTF-8"?>
<model-companion xmlns="http://www.fico.com/xpress/optimization-modeler/model-companion" version="3.0">
  <client>
    <view-group title="Portfolio Optimization">
        <vdl-view title="Portfolio" path="foliodata.vdl"></vdl-view>
    </view-group>
  </client>
</model-companion>