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="4.7">
    <vdl-page>
        <vdl-section heading="Welcome to Portfolio Optimization" heading-level="1">
            <vdl-row>
                <vdl-column heading="INPUT DATA" heading-level="4" size="6">
                    <vdl-table page-mode="paged" page-size="5">
                        <vdl-table-column entity="RET" editable="true"></vdl-table-column>
                    </vdl-table>
                </vdl-column>
                <vdl-column heading="CONFIGURE THE BASIS FOR YOUR DECISION" heading-level="4" size="6">

                    <vdl-form>
                        <vdl-field label="Max investment per share" parameter="MAXVAL" size="4"></vdl-field>
                        <vdl-field label="Max investment in high risk shares" size="4" parameter="MAXRISK"></vdl-field>
                    </vdl-form>
                    <vdl-execute-button caption="Run Optimization" mode="RUN"></vdl-execute-button>
                </vdl-column>
            </vdl-row>
            <vdl-row>
                <vdl-column heading="RESULTS" heading-level="4" size="6">
                    <span vdl-text="Calculated optimal return:  "></span>
                    <span vdl-text="=insight.Formatter.formatNumber(scenario.entities.Return.value,'00.##')"></span>
                    <vdl-table show-filter="true" column-filter="true" page-size="5" page-mode="paged">
                        <vdl-table-column set="SHARES"></vdl-table-column>
                        <vdl-table-column entity="frac"></vdl-table-column>
                    </vdl-table>
                </vdl-column>
                <vdl-column heading="SCENARIO COMPARISON" heading-level="4" size="6">
                    <ol>
                        <li vdl-repeat="=s, scenarioIndex in scenarios"><span vdl-text="=s.props.name"></span></li>
                    </ol>
                    <vdl-chart>
                        <vdl-chart-series entity="frac" type="pie"></vdl-chart-series>
                    </vdl-chart>
                </vdl-column>
            </vdl-row>
        </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

    public 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 Estimated ROI per share
        RET: array(SHARES) of real ! Estimated return in investment
        !@insight.manage input
        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

    public declarations
        !@insight.manage result
        !@insight.alias Outcomes
        frac: array(SHARES) of mpvar ! Fraction of capital used per share
        !@insight.alias Return
        Return: linctr   ! Objective fuction: total return
    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>