| foliorun.c |
/********************************************************
Mosel Library Example Problems
==============================
file foliorun.c
```````````````
Loading and running a BIM file.
(c) 2008 Fair Isaac Corporation
author: S.Heipcke, Aug. 2003
********************************************************/
#include <stdio.h>
#include "xprm_rt.h"
int main(int argc, char *argv[])
{
XPRMmodel model;
int result;
XPRMinit(); /* Initialize Mosel */
model = XPRMloadmod("foliodata.bim", NULL); /* Load compiled model */
XPRMrunmod(model, &result, NULL);
XPRMunloadmod(model);
return 0;
}
|
|
| folioexec.c |
/********************************************************
Mosel Library Example Problems
==============================
file folioexec.c
````````````````
Executing a Mosel model.
(c) 2008 Fair Isaac Corporation
author: S.Heipcke, Aug. 2003
********************************************************/
#include <stdio.h>
#include "xprm_mc.h"
int main(int argc, char *argv[])
{
int result;
XPRMinit(); /* Initialize Mosel */
/* Execute = compile/load/run a model */
XPRMexecmod(NULL, "foliodata.mos", NULL, &result, NULL);
return 0;
}
|
|
| folioparam.c |
/********************************************************
Mosel Library Example Problems
==============================
file folioparam.c
`````````````````
Parameterized model execution.
(c) 2008 Fair Isaac Corporation
author: S.Heipcke, Aug. 2003
********************************************************/
#include <stdio.h>
#include "xprm_mc.h"
int main(int argc, char *argv[])
{
XPRMmodel model;
int result;
char params[128];
XPRMinit(); /* Initialize Mosel */
sprintf(params, "OUTFILE=result2.dat,MAXRISK=0.4,MAXVAL=0.25");
/* Execute = compile/load/run a model */
XPRMexecmod(NULL, "foliodata.mos", params, &result, &model);
XPRMunloadmod(model);
return 0;
}
|
|
| foliomat.c |
/********************************************************
Mosel Library Example Problems
==============================
file foliomat.c
```````````````
Exporting a matrix.
(c) 2008 Fair Isaac Corporation
author: S.Heipcke, Aug. 2003
********************************************************/
#include <stdio.h>
#include "xprm_mc.h"
int main(int argc, char *argv[])
{
int result, type;
XPRMmodel model;
XPRMalltypes rvalue;
XPRMlinctr obj;
XPRMinit(); /* Initialize Mosel */
/* Execute = compile/load/run a model */
XPRMexecmod(NULL, "foliodata.mos", NULL, &result, &model);
/* Retrieve a model object by its name */
type = XPRMfindident(model, "Return", &rvalue);
if((XPRM_TYP(type)!=XPRM_TYP_LINCTR)|| /* Check the type: */
(XPRM_STR(type)!=XPRM_STR_REF)) /* it must be a reference to a linear
constraint */
return 1;
obj = rvalue.linctr; /* Store the objective function reference */
XPRMexportprob(model, "p", "folio", obj);
return 0;
}
|
|
| folioobj.c |
/********************************************************
Mosel Library Example Problems
==============================
file folioobj.c
```````````````
Accessing model results.
(c) 2008 Fair Isaac Corporation
author: S.Heipcke, Aug. 2003
********************************************************/
#include <stdio.h>
#include "xprm_mc.h"
int main(int argc, char *argv[])
{
XPRMmodel model;
XPRMalltypes rvalue, itemname;
XPRMarray varr;
XPRMmpvar x;
XPRMset set;
int result, indices[1], type;
XPRMinit(); /* Initialize Mosel */
/* Execute = compile/load/run a model */
XPRMexecmod(NULL, "foliodata.mos", NULL, &result, &model);
/* Test whether a solution is found
and print the objective value */
if((XPRMgetprobstat(model)&XPRM_PBRES)==XPRM_PBOPT)
printf("Objective value: %g\n", XPRMgetobjval(model));
/* Retrieve the decision variables */
type=XPRMfindident(model,"frac",&rvalue); /* Get model object 'frac' */
if((XPRM_TYP(type)!=XPRM_TYP_MPVAR)|| /* Check the type: */
(XPRM_STR(type)!=XPRM_STR_ARR)) /* it must be an `mpvar' array */
return 1;
varr = rvalue.array;
/* Retrieve the index names */
type = XPRMfindident(model,"SHARES",&rvalue); /* Get model object 'SHARES'*/
if((XPRM_TYP(type)!=XPRM_TYP_STRING)|| /* Check the type: */
(XPRM_STR(type)!=XPRM_STR_SET)) /* it must be a set of strings */
return 2;
set = rvalue.set;
XPRMgetfirstarrentry(varr, indices); /* Get the first entry of array varr
(we know that the array is dense
and has a single dimension) */
do /* Print out the solution */
{
XPRMgetarrval(varr,indices,&x); /* Get a variable from varr */
printf("%s:\t%g%%\n", XPRMgetelsetval(set, indices[0], &itemname)->string,
XPRMgetvsol(model,x)*100); /* Print the solution value */
} while(!XPRMgetnextarrentry(varr, indices)); /* Get the next index */
return 0;
}
|
|
| foliorun.cs |
/********************************************************
Mosel Library Example Problems
==============================
file foliorun.cs
````````````````
Loading and running a BIM file.
(c) 2009 Fair Isaac Corporation
author: J.Farmer, Jun. 2009
********************************************************/
using System;
using Mosel;
namespace mosel_getting_started {
public class foliorun
{
public static void Main(string[] args)
{
XPRM mosel;
XPRMModel mod;
mosel = XPRM.Init(); // Initialize Mosel
mod = mosel.LoadModel("foliodata.bim"); // Load compiled model
mod.Run();
Console.WriteLine("`foliodata' returned: " + mod.Result);
}
}
}
|
|
| folioexec.cs |
/********************************************************
Mosel Library Example Problems
==============================
file folioexec.cs
`````````````````
Compiling, loading and running a model file.
(c) 2009 Fair Isaac Corporation
author: J.Farmer, Jun. 2009
********************************************************/
using Mosel;
using System;
namespace mosel_getting_started {
public class folioexec
{
public static void Main(string[] args)
{
XPRM mosel;
XPRMModel mod;
mosel = XPRM.Init(); // Initialize Mosel
mosel.Compile("foliodata.mos"); // Compile the model
mod = mosel.LoadModel("foliodata.bim"); // Load compiled model
mod.Run(); // Run the model
Console.WriteLine("`foliodata' returned: " + mod.Result);
}
}
}
|
|
| folioparam.cs |
/********************************************************
Mosel Library Example Problems
==============================
file folioparam.cs
``````````````````
Parameterized model execution.
(c) 2009 Fair Isaac Corporation
author: J.Farmer, Jun. 2009
********************************************************/
using System;
using Mosel;
namespace mosel_getting_started {
public class folioparam
{
public static void Main(string[] args)
{
XPRM mosel;
XPRMModel mod;
mosel = XPRM.Init(); // Initialize Mosel
mosel.Compile("foliodata.mos"); // Compile the model
mod = mosel.LoadModel("foliodata.bim"); // Load compiled model
// Set the run-time parameters
mod.ExecParams = "OUTFILE=result2.dat,MAXRISK=0.4,MAXVAL=0.25";
mod.Run(); // Run the model
Console.WriteLine("`foliodata' returned: " + mod.Result);
}
}
}
|
|
| foliomat.cs |
/********************************************************
Mosel Library Example Problems
==============================
file foliomat.cs
````````````````
Exporting a matrix.
(c) 2009 Fair Isaac Corporation
author: J.Farmer, Jun. 2009
********************************************************/
using Mosel;
namespace mosel_getting_started {
public class foliomat
{
public static void Main(string[] args)
{
XPRM mosel;
XPRMModel mod;
mosel = XPRM.Init(); // Initialize Mosel
mosel.Compile("foliodata.mos"); // Compile the model
mod = mosel.LoadModel("foliodata.bim"); // Load compiled model
mod.Run(); // Run the model
mod.ExportProblem("p", "folio");
}
}
}
|
|
| folioobj.cs |
/********************************************************
Mosel Library Example Problems
==============================
file folioobj.cs
````````````````
Accessing model results.
(c) 2009 Fair Isaac Corporation
author: J.Farmer, Jun. 2009
********************************************************/
using Mosel;
using System;
namespace mosel_getting_started {
public class folioobj
{
public static void Main(string[] args)
{
XPRM mosel;
XPRMModel model;
XPRMArray varr;
XPRMMPVar x;
XPRMSet shares;
int[] indices;
mosel = XPRM.Init(); // Initialize Mosel
mosel.Compile("foliodata.mos"); // Compile the model
model = mosel.LoadModel("foliodata.bim"); // Load compiled model
model.Run(); // Run the model
// Test whether a solution is found
// and print the objective value
if(model.ProblemStatus==XPRMProblemStatus.PB_OPTIMAL)
Console.WriteLine("Objective value: " + model.ObjectiveValue);
// Retrieve the decision variables
varr=(XPRMArray)model.FindIdentifier("frac"); // Get model object 'frac',
// it must be an array
// Retrieve the index names
shares=(XPRMSet)model.FindIdentifier("SHARES"); // Get model object 'SHARES',
// it must be a set
indices = varr.FirstIndex; // Get the first entry of array varr
// (we know that the array is dense)
do
{
x = varr.Get(indices).AsMPVar(); // Get a variable from varr
Console.WriteLine(shares.Get(indices[0]) + ":\t" + x.Solution*100 + "%");
// Print the solution value
} while(varr.NextIndex(indices)); // Get the next index
}
}
}
|
|
| foliorun.java |
/********************************************************
Mosel Library Example Problems
==============================
file foliorun.java
``````````````````
Loading and running a BIM file.
(c) 2008 Fair Isaac Corporation
author: S.Heipcke, Mar. 2006
********************************************************/
import com.dashoptimization.*;
public class foliorun
{
public static void main(String[] args) throws Exception
{
XPRM mosel;
XPRMModel mod;
mosel = new XPRM(); // Initialize Mosel
mod = mosel.loadModel("foliodata.bim"); // Load compiled model
mod.run();
System.out.println("`foliodata' returned: " + mod.getResult());
}
}
|
|
| folioexec.java |
/********************************************************
Mosel Library Example Problems
==============================
file folioexec.java
```````````````````
Compiling, loading and running a model file.
(c) 2008 Fair Isaac Corporation
author: S.Heipcke, Mar. 2006
********************************************************/
import com.dashoptimization.*;
public class folioexec
{
public static void main(String[] args) throws Exception
{
XPRM mosel;
XPRMModel mod;
mosel = new XPRM(); // Initialize Mosel
mosel.compile("foliodata.mos"); // Compile the model
mod = mosel.loadModel("foliodata.bim"); // Load compiled model
mod.run(); // Run the model
System.out.println("`foliodata' returned: " + mod.getResult());
}
}
|
|
| folioparam.java |
/********************************************************
Mosel Library Example Problems
==============================
file folioparam.java
````````````````````
Parameterized model execution.
(c) 2008 Fair Isaac Corporation
author: S.Heipcke, Mar. 2006
********************************************************/
import com.dashoptimization.*;
public class folioparam
{
public static void main(String[] args) throws Exception
{
XPRM mosel;
XPRMModel mod;
mosel = new XPRM(); // Initialize Mosel
mosel.compile("foliodata.mos"); // Compile the model
mod = mosel.loadModel("foliodata.bim"); // Load compiled model
// Set the run-time parameters
mod.execParams = "OUTFILE=result2.dat,MAXRISK=0.4,MAXVAL=0.25";
mod.run(); // Run the model
System.out.println("`foliodata' returned: " + mod.getResult());
}
}
|
|
| foliomat.java |
/********************************************************
Mosel Library Example Problems
==============================
file foliomat.java
``````````````````
Exporting a matrix.
(c) 2008 Fair Isaac Corporation
author: S.Heipcke, Mar. 2006
********************************************************/
import com.dashoptimization.*;
public class foliomat
{
public static void main(String[] args) throws Exception
{
XPRM mosel;
XPRMModel mod;
mosel = new XPRM(); // Initialize Mosel
mosel.compile("foliodata.mos"); // Compile the model
mod = mosel.loadModel("foliodata.bim"); // Load compiled model
mod.run(); // Run the model
mod.exportProblem("p", "folio");
}
}
|
|
| folioobj.java |
/********************************************************
Mosel Library Example Problems
==============================
file folioobj.java
``````````````````
Accessing model results.
(c) 2008 Fair Isaac Corporation
author: S.Heipcke, Mar. 2006
********************************************************/
import com.dashoptimization.*;
public class folioobj
{
public static void main(String[] args) throws Exception
{
XPRM mosel;
XPRMModel model;
XPRMArray varr, darr;
XPRMMPVar x;
XPRMSet set;
int[] indices;
mosel = new XPRM(); // Initialize Mosel
mosel.compile("foliodata.mos"); // Compile the model
model = mosel.loadModel("foliodata.bim"); // Load compiled model
model.run(); // Run the model
// Test whether a solution is found
// and print the objective value
if(model.getProblemStatus()==XPRMModel.PB_OPTIMAL)
System.out.println("Objective value: " + model.getObjectiveValue());
// Retrieve the decision variables
varr=(XPRMArray)model.findIdentifier("frac"); // Get model object 'frac',
// it must be an array
// Retrieve the index names
set=(XPRMSet)model.findIdentifier("SHARES"); // Get model object 'SHARES',
// it must be a set
indices = varr.getFirstIndex(); // Get the first entry of array varr
// (we know that the array is dense)
do
{
x = varr.get(indices).asMPVar(); // Get a variable from varr
System.out.println(set.get(indices[0]) + ":\t" + x.getSolution()*100 + "%");
// Print the solution value
} while(varr.nextIndex(indices)); // Get the next index
}
}
|
|
| foliorun.bas |
Attribute VB_Name = "Module1"
Option Explicit
' ********************************************************
' Mosel Library Example Problems
' ==============================
' file foliorun.bas
' `````````````````
' Loading and running a BIM file.
'
' (c) 2008 Fair Isaac Corporation
' author: S.Heipcke, Aug. 2003
' ********************************************************
Sub Main()
Dim result As Long
Dim model
' Initialize Mosel
XPRMinit
' Load compiled model
model = XPRMloadmod("foliodata.bim", "")
XPRMrunmod model, result, ""
XPRMunloadmod (model)
model = XPRM_NULL
End Sub
|
|
| folioexec.bas |
Attribute VB_Name = "Module1"
Option Explicit
' ********************************************************
' Mosel Library Example Problems
' ==============================
' file folioexec.bas
' ``````````````````
' Executing a Mosel model.
'
' (c) 2008 Fair Isaac Corporation
' author: S.Heipcke, Aug. 2003
' ********************************************************
Sub Main()
Dim result As Long
Dim model
' Initialize Mosel
XPRMinit
' Execute = compile/load/run a model
XPRMexecmod "", "foliodata.mos", "", result, model
XPRMunloadmod (model)
model = XPRM_NULL
End Sub
|
|
| folioparam.bas |
Attribute VB_Name = "Module1"
Option Explicit
' ********************************************************
' Mosel Library Example Problems
' ==============================
' file folioparam.bas
' ```````````````````
' Parameterized model execution.
'
' (c) 2008 Fair Isaac Corporation
' author: S.Heipcke, Aug. 2003
' ********************************************************
Sub Main()
Dim result As Long
Dim model
' Initialize Mosel
XPRMinit
' Execute = compile/load/run a model
XPRMexecmod "", "foliodata.mos", "OUTFILE=result2.dat,MAXRISK=0.4,MAXVAL=0.25", result, model
XPRMunloadmod (model)
model = XPRM_NULL
End Sub
|
|
| foliodata.mos |
(!******************************************************
Mosel Example Problems
======================
file foliodata.mos
``````````````````
Modeling a small LP problem
to perform portfolio optimization.
-- Parameters, data input from file,
result output to file --
(c) 2008 Fair Isaac Corporation
author: S.Heipcke, Aug. 2003, rev. June 2018
*******************************************************!)
model "Portfolio optimization with LP"
uses "mmxprs"
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
SHARES: set of string ! Set of shares
RISK: set of string ! Set of high-risk values among shares
NA: set of string ! Set of shares issued in N.-America
RET: array(SHARES) of real ! Estimated return in investment
end-declarations
initializations from DATAFILE
RISK RET NA
end-initializations
public declarations
frac: array(SHARES) of mpvar ! Fraction of capital used per share
Return: linctr ! Objective function
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
maximize(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
|
|
| folioexcel.mos |
(!******************************************************
Mosel Example Problems
======================
file folioexcel.mos
```````````````````
Modeling a small LP problem
to perform portfolio optimization.
-- Parameters, data input from Excel,
result output to Excel --
(c) 2008 Fair Isaac Corporation
author: S.Heipcke, Feb. 2007
*******************************************************!)
model "Portfolio optimization with LP (Excel)"
uses "mmxprs", "mmsheet"
parameters
DATAFILE = "folio.xls" ! Spreadsheet with problem data
DBDATA = "foliodata" ! Spreadsheet range with problem data
DBSOL = "folioresult" ! Range for solution data
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
SHARES: set of string ! Set of shares
RET: array(SHARES) of real ! Estimated return in investment
RISK: array(SHARES) of boolean ! List of high-risk values among shares
NA: array(SHARES) of boolean ! List of shares issued in N.-America
end-declarations
! Data input from spreadsheet
initializations from "mmsheet.excel:" + DATAFILE
[RET,RISK,NA] as DBDATA
end-initializations
declarations
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 SHARES | RISK(s)) frac(s) <= MAXRISK
! Minimum amount of North-American values
sum(s in SHARES | NA(s)) 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
maximize(Return)
! Solution printing
writeln("Total return: ", getobjval)
forall(s in SHARES)
writeln(strfmt(s,-12), ": \t", strfmt(getsol(frac(s))*100,5,2), "%")
! Solution output to spreadsheet
declarations
Solfrac: array(SHARES) of real ! Solution values
end-declarations
forall(s in SHARES) Solfrac(s):= getsol(frac(s))*100
initializations to "mmsheet.excel:" + DATAFILE
Solfrac as "grow;"+DBSOL
end-initializations
end-model
|
|
| folioinsight.mos |
(!******************************************************
Mosel Example Problems
======================
file folioinsight.mos
`````````````````````
Modeling a small LP problem
to perform portfolio optimization.
-- Insight deployment version of foliodata.mos --
(c) 2012 Fair Isaac Corporation
author: S.Heipcke, Oct. 2012, rev. Nov. 2016
*******************************************************!)
model "Portfolio optimization"
uses "mmxprs" ! Use Xpress Optimizer
uses "mminsight" ! Use Xpress Insight
version 1.0.0
parameters
DATAFILE= "folio.dat" ! File with problem data
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
SHARES: set of string ! Set of shares
RISK: set of string ! Set of high-risk values among shares
NA: set of string ! Set of shares issued in N.-America
RET: array(SHARES) of real ! Estimated return in investment
end-declarations
procedure readdata
initializations from DATAFILE
RISK RET NA
end-initializations
end-procedure
case insightgetmode of
INSIGHT_MODE_RUN:
insightpopulate ! Inject scenario data
INSIGHT_MODE_NONE: ! Read in data for baseline
readdata
INSIGHT_MODE_LOAD: do
readdata
exit(0) ! Stop here in 'load data' mode
end-do
else
writeln_("Unknown run mode")
exit(1)
end-case
public declarations
frac: array(SHARES) of mpvar ! Fraction of capital used per share
Return, LimitRisk, LimitAM, TotalOne: linctr ! Constraints
end-declarations
! Objective: total return
Return:= sum(s in SHARES) RET(s)*frac(s)
! Limit the percentage of high-risk values
LimitRisk:= sum(s in RISK) frac(s) <= MAXRISK
! Minimum amount of North-American values
LimitAM:= sum(s in NA) frac(s) >= MINAM
! Spend all the capital
TotalOne:= sum(s in SHARES) frac(s) = 1
! Upper bounds on the investment per share
forall(s in SHARES) frac(s) <= MAXVAL
! Solve the problem through Insight
insightmaximize(Return)
! Solution printing
writeln("Total return: ", getobjval)
end-model
|
|
| folioinsightxml.mos |
(!******************************************************
Mosel Example Problems
======================
file folioinsightxml.mos
````````````````````````
Modeling a small LP problem
to perform portfolio optimization.
-- Insight deployment version of foliodata.mos,
saving solution values into a Mosel array --
(c) 2012 Fair Isaac Corporation
author: S.Heipcke, Oct. 2012, rev. July 2017
*******************************************************!)
model "Portfolio optimization"
uses "mmxprs" ! Use Xpress Optimizer
uses "mminsight" ! Use Xpress Insight
version 1.0.0
parameters
DATAFILE= "folio.dat" ! File with problem data
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
forward procedure readdata
!@insight.manage=input
public declarations
!@insight.alias Shares
SHARES: set of string ! Set of shares
!@insight.alias High-risk values
RISK: set of string ! Set of high-risk values among shares
!@insight.alias Shares issued in N.-America
NA: set of string ! Set of shares issued in N.-America
!@insight.alias Estimated return in investment
RET: array(SHARES) of real ! Estimated return in investment
end-declarations
!@insight.resultdata.delete=on-queue
case insightgetmode of
INSIGHT_MODE_RUN:
insightpopulate ! Inject scenario data
INSIGHT_MODE_NONE: ! Read in data for baseline
readdata
INSIGHT_MODE_LOAD: do
readdata
exit(0) ! Stop here in 'load data' mode
end-do
else
writeln_("Unknown run mode")
exit(1)
end-case
procedure readdata
initializations from DATAFILE
RISK RET NA
end-initializations
end-procedure
!@insight.manage=result
public declarations
!@insight.alias Fraction used
frac: array(SHARES) of mpvar ! Fraction of capital used per share
Return: linctr !@insight.alias Total return
LimitRisk: linctr !@insight.alias Max. percentage of high-risk values
LimitAM: linctr !@insight.alias Min. percentage of North-American values
!@insight.hidden=true
TotalOne: linctr !@insight.alias Spend all the capital
!@insight.alias Constraints
CTRS: set of string ! Constraint names
!@insight.alias Value
CTRINFO: set of string ! Constraint info type
!@insight.alias Evaluation of constraints and bounds
CtrSol: dynamic array(CTRS,CTRINFO) of real ! Solution values
!@insight.alias Summary constraint activity
CtrSolSum: dynamic array(CTRS) of real
! TotalReturn: array(range) of real
end-declarations
! Objective: total return
Return:= sum(s in SHARES) RET(s)*frac(s)
! Limit the percentage of high-risk values
LimitRisk:= sum(s in RISK) frac(s) <= MAXRISK
! Minimum amount of North-American values
LimitAM:= sum(s in NA) frac(s) >= MINAM
! Spend all the capital
TotalOne:= sum(s in SHARES) frac(s) = 1
! Upper bounds on the investment per share
forall(s in SHARES) frac(s) <= MAXVAL
! Solve the problem through Insight
insightmaximize(Return)
! Save solution values for GUI display
CtrSol::("Limit high risk shares", ["Activity","Lower limit","Upper limit"])
[LimitRisk.act,0,MAXRISK]
CtrSol::("Limit North-American", ["Activity","Lower limit","Upper limit"])
[LimitAM.act,MINAM,1]
forall(s in SHARES | frac(s).sol>0) do
CtrSol("Limit per value: "+s,"Activity"):= frac(s).sol
CtrSol("Limit per value: "+s,"Upper limit"):= MAXVAL
CtrSol("Limit per value: "+s,"Lower limit"):= 0
end-do
CtrSolSum("Total return"):=getsol(Return)
CtrSolSum("Total high risk shares"):=LimitRisk.act
CtrSolSum("Total North-American"):=LimitAM.act
CtrSolSum("Largest position"):=max(s in SHARES) frac(s).sol
end-model
|
|
| folio.vdl |
<vdl version="4.7">
<!-- Optional: number formatting function -->
<script>
function formatRender(data) {
return insight.Formatter.formatNumber(data, '0.#%');
}
</script>
<vdl-page class="compact">
<!-- 'vdl' and 'vdl-page' tags must always be present -->
<!-- 'header' element: container for any vdl elements that are not part
of the page layout -->
<vdl-header>
<vdl-action-group name="runModel">
<vdl-action-execute mode="RUN"></vdl-action-execute>
</vdl-action-group>
</vdl-header>
<!-- Structural element 'section': print header text for a section -->
<vdl-section heading="Configuration">
<vdl-row>
<vdl-column size="5">
<vdl-form>
<vdl-field label="Maximum investment into high-risk values" size="3" label-size="9" parameter="MAXRISK" type="number"></vdl-field>
<vdl-field label="Maximum investment per share" type="number" size="3" label-size="9" parameter="MAXVAL"></vdl-field>
<vdl-field label="Minimum investment into North-American values" type="number" size="3" label-size="9" parameter="MINAM"></vdl-field>
</vdl-form>
</vdl-column>
<vdl-column size="4">
<vdl-table>
<vdl-table-column entity="RET" editable="true"></vdl-table-column>
</vdl-table>
</vdl-column>
<vdl-column size="3">
<vdl-form>
<!-- 'Run' button to launch optimization -->
<vdl-button vdl-event="click:actions.runModel" label="Run optimization"></vdl-button>
</vdl-form>
</vdl-column>
</vdl-row>
</vdl-section>
<vdl-section heading="Results">
<!-- Display inline text element with objective value -->
<vdl-row>
<vdl-column><span vdl-text="= 'Total expected return: £' +
insight.Formatter.formatNumber(scenario.entities.Return.value, '##.00')"></span></vdl-column>
</vdl-row>
<vdl-row>
<vdl-column size="4" heading="Portfolio composition">
<vdl-table>
<vdl-table-column entity="frac" render="=formatRender"></vdl-table-column>
</vdl-table>
</vdl-column>
<vdl-column size="8" heading="Evaluation of constraints">
<vdl-table>
<vdl-table-column entity="CtrSol" heading="=t.label" vdl-repeat="=t in scenario.entities.CTRINFO">
<vdl-index-filter set="CTRINFO" value="=t.value"></vdl-index-filter>
</vdl-table-column>
</vdl-table>
</vdl-column>
</vdl-row>
<vdl-row>
<vdl-column size="4" >
<vdl-chart style="width:350px;">
<!-- Filtering out 0-valued entries -->
<script>
function getFracData(frac, shares) {
if (!shares.length || !(frac && frac.toObjectArray && frac.toObjectArray().length)) {
return [];
}
var result = shares
.filter(function(share) {
return frac(share.value).value > 0;
})
.map(function(share) {
return [share.label, frac(share.value).value];
});
return result;
}
</script>
<vdl-chart-series type="pie" data="=getFracData(scenario.entities.frac, scenario.entities.SHARES)"></vdl-chart-series>
<!-- Simple pie chart:-->
<!-- <vdl-chart-series entity="frac" type="pie"></vdl-chart-series>--></vdl-chart>
</vdl-column>
<vdl-column size="8">
<vdl-chart modifier="=function(config) {config.layout.xaxis.tickangle = 5; return config; }" style="width:700px;">
<vdl-chart-series entity="CtrSol" type="line" series-set="CTRINFO" heading="=t.label"></vdl-chart-series>
<vdl-chart-axis axis="x" type="category"></vdl-chart-axis>
</vdl-chart>
</vdl-column>
</vdl-row>
</vdl-section>
</vdl-page>
</vdl>
|
|
| foliocompare.vdl |
<vdl version="4.7">
<vdl-page> <!-- 'vdl' and 'vdl-page' must always be present -->
<!-- Structural element 'section': print header text for a section -->
<vdl-section heading="Comparison of scenario results">
<vdl-row>
<vdl-column>
<p><span vdl-text="Viewing "></span><span vdl-text="=scenarios.length"></span><span vdl-text=" scenario(s)."></span></p>
</vdl-column>
</vdl-row>
<vdl-row>
<!-- Display the solution values of constraints -->
<vdl-column heading="Constraints and objective" size="6">
<vdl-table>
<vdl-table-column set="CTRS"></vdl-table-column>
<vdl-table-column entity="CtrSolSum" heading="='Results ' + s.props.name" vdl-repeat="=s,i in scenarios" scenario="=i"></vdl-table-column>
</vdl-table>
</vdl-column>
<!-- Display the 'frac' solution values -->
<vdl-column heading="Portfolio composition" size="6">
<vdl-table>
<vdl-table-column entity="frac" heading="=s.props.name" vdl-repeat="=s,i in scenarios" scenario="=i"></vdl-table-column>
</vdl-table>
</vdl-column>
</vdl-row>
<vdl-row>
<!-- Display the objective values in a bar chart -->
<vdl-column heading="Expected total return" size="6">
<vdl-chart>
<vdl-preload entities="CtrSolSum" scenarios="all"></vdl-preload>
<script>
function getData(scenarios) {
return scenarios.map(function(s) {
return [s.props().name, s.entities.CtrSolSum()('Total return').value];
});
}
</script>
<vdl-chart-series data="=getData(scenarios)"></vdl-chart-series>
<!-- Alternative formulation using a new array 'TotalReturn'
<vdl-preload entities="TotalReturn" scenarios="all"></vdl-preload>
<script>
function getData(scenarios) {
return scenarios.map(function (s) {
return [s.props().name, s.entities.TotalReturn().value];
});
}
</script>
<vdl-chart-series data="=getData(scenarios)"></vdl-chart-series>
-->
</vdl-chart>
</vdl-column>
</vdl-row>
</vdl-section>
</vdl-page>
</vdl>
|
|
| folioinsightxml.xml |
<?xml version="1.0" encoding="iso-8859-1"?>
<model-companion xmlns="http://www.fico.com/xpress/optimization-modeler/model-companion" version="3.0">
<client>
<view-group title="Main">
<vdl-view title="Portfolio data" default="true" path="folio.vdl" />
<vdl-view title="Scenario comparison" default="false" path="foliocompare.vdl"/>
</view-group>
</client>
</model-companion>
|
|
