Package com.opttek.optquest
Class COptQuestProjectVariable
java.lang.Object
com.opttek.optquest.COptQuestVariable
com.opttek.optquest.COptQuestContinuousVariable
com.opttek.optquest.COptQuestProjectVariable
 Direct Known Subclasses:
COptQuestDiscountRateVariable
The COptQuestProjectVariable class defines a portfolio project variable that is
used in portfolio optimization. A COptQuestProjectVariable is defined for each
project in the portfolio.
Typically, a project decision variable is defined with a lower bound of 0 and an upper bound of 1 and its value represents the percentage of investment in that project.
Portfolio optimization supports 3 types of project investment.
For case 2, the lower bound is set to 0 and the
For case 3, the project is defined with a low bound of 0, a high bound of 1 and an exclusive range of 0 to 1. (0 and 1 will be included as possible solutions.)
A COptQuestProjectVariable has a set of observations that are either simulated values or sampled values. If there is only one observation, it represents a single known value for the project. Note that some statistics, such as standard deviation, require more than one observation.
The observation values sent to the OptQuest Engine can be either: Net Present Values (NPV) or cash flow by period.
If the measure used is NPV, the project's NPV for each observation can be calculated. Other measures such as Internal Rate of Return (IRR) and Pay Back Period (PBP), require the cash flow for each period. If you are using Internal Rate of Return or Pay Back Period, you should set the cash flow observations for each period.
Portfolio analysis of Net Present Value can use either NPV observations or cash flow by period observations. If the portfolio analysis only uses Net Present Value, it is more efficient to use the NPV observation. However, if different measures are used in the portfolio analysis, the Cash Flow by period per observation can be used for all measures, including NPV.
Observations can be associated with the COptQuestProjectVariable by calling the
The
The
Typically, a project decision variable is defined with a lower bound of 0 and an upper bound of 1 and its value represents the percentage of investment in that project.
Portfolio optimization supports 3 types of project investment.
 Case 1: The project can be funded at any level between the lower bound and the upper bound.
 Case 2: The project must be funded above a certain percentage or not at all.
 Case 3: The project must be funded 100% or not at all.
For case 2, the lower bound is set to 0 and the
SetExclusiveRange(double, double)
method is used to define the range of variables that must be excluded from the
solution. For example, if a project's funding can be 0 or any value greater than
.25 (25%), you would define the lower bound as 0, the upper bound as 1 and define
an exclusive range between 0 and .25. (0 and .25 will be included as possible
solutions.)For case 3, the project is defined with a low bound of 0, a high bound of 1 and an exclusive range of 0 to 1. (0 and 1 will be included as possible solutions.)
A COptQuestProjectVariable has a set of observations that are either simulated values or sampled values. If there is only one observation, it represents a single known value for the project. Note that some statistics, such as standard deviation, require more than one observation.
The observation values sent to the OptQuest Engine can be either: Net Present Values (NPV) or cash flow by period.
If the measure used is NPV, the project's NPV for each observation can be calculated. Other measures such as Internal Rate of Return (IRR) and Pay Back Period (PBP), require the cash flow for each period. If you are using Internal Rate of Return or Pay Back Period, you should set the cash flow observations for each period.
Portfolio analysis of Net Present Value can use either NPV observations or cash flow by period observations. If the portfolio analysis only uses Net Present Value, it is more efficient to use the NPV observation. However, if different measures are used in the portfolio analysis, the Cash Flow by period per observation can be used for all measures, including NPV.
Observations can be associated with the COptQuestProjectVariable by calling the
SetObservations(int, double[])
method.
The observations are used to calculate statistical measures and in searching for possible solutions. The
SetNumberOfPeriods(int)
method sets the
number of periods in the project. Project variables in an optimization do not need
to have the same numbers of periods, however, periods between project variables
must correspond to the same period number. The
SetPeriodObservations(int, int, double[])
method sets the observations
for a particular period. It is not necessary to set observations for every period.
If there are no observations for a particular period of a project, the OptQuest
Engine assumes the cash flow for that period was zero. This is useful for projects
that start after the first period or end before the last period.
Constructor Summary
ConstructorDescriptionDefault constructorCOptQuestProjectVariable
(double lowerBound, double upperBound) Constructor that assigns the lower bound and the upper bound for the project.COptQuestProjectVariable
(String name, double lowerBound, double upperBound) 
Method Summary
Modifier and TypeMethodDescriptionint
Returns the number of elements in the observations array.int
Returns the number of periods for project.double
GetObservationAt
(int index) Returns the value of the observation at the specified index.double[]
Returns the array of observations set in the SetObservations() methoddouble
GetPeriodObservationAt
(int periodNum, int index) Returns the value of the observations for the specified period and indexdouble[]
GetPeriodObservations
(int periodNum) Returns the array of observations for the requested period.void
SetNumberOfPeriods
(int numPeriods) Sets the number of periods in the project.void
SetObservations
(int numObservations, double[] observations) Sets the observations for the project.void
SetPeriodObservations
(int numObservations, int periodNum, double[] observations) Sets the observations by period for a portfolio optimization.Methods inherited from class com.opttek.optquest.COptQuestVariable
equals, GetDOELowerBound, GetDOEUpperBound, GetExclusiveLowerBoundAt, GetExclusiveUpperBoundAt, getID, GetLowerBound, GetName, GetNumberOfExclusiveRanges, GetStepSize, GetSuggestedValue, GetUpperBound, getVarRange, hashCode, isZeroOne, SetExclusiveRange, SetLowerBound, SetName, SetUpperBound

Constructor Details

COptQuestProjectVariable

COptQuestProjectVariable
public COptQuestProjectVariable(double lowerBound, double upperBound) Constructor that assigns the lower bound and the upper bound for the project. Parameters:
lowerBound
 typically 0 representing 0%upperBound
 typically 1 representing 100%

COptQuestProjectVariable
public COptQuestProjectVariable()Default constructor


Method Details

SetObservations
public void SetObservations(int numObservations, double[] observations) Sets the observations for the project. Parameters:
numObservations
  number of entries in the observations arrayobservations
  array representing the observations for the project.

GetNumberOfObservations
public int GetNumberOfObservations()Returns the number of elements in the observations array. Returns:
  number of observations. Value was set by the SetObservations() method.

GetObservations
public double[] GetObservations()Returns the array of observations set in the SetObservations() method Returns:
 array of doubles representing the observations for this project.

GetObservationAt
public double GetObservationAt(int index) Returns the value of the observation at the specified index. Parameters:
index
  value between 0 and the number of observations 1 Returns:
 the value of the observation at the specified index.

GetPeriodObservationAt
public double GetPeriodObservationAt(int periodNum, int index) Returns the value of the observations for the specified period and index Parameters:
periodNum
  value between 1 and the total number of periods.index
  value between 0 and the number of observations 1 Returns:
 the value of the observation at the specified period and index

SetNumberOfPeriods
Sets the number of periods in the project. Parameters:
numPeriods
  value > 0 Throws:
COptQuestException
 if a problem is encountered

GetNumberOfPeriods
public int GetNumberOfPeriods()Returns the number of periods for project. Value was set by the SetNumberOfPeriods() method. Returns:
 the number of periods.

SetPeriodObservations
public void SetPeriodObservations(int numObservations, int periodNum, double[] observations) throws COptQuestException Sets the observations by period for a portfolio optimization. Parameters:
numObservations
  number of elements in the observations arrayperiodNum
  identifies the period number. The value must be between 1 and the value set by the SetNumberOfPeriods() method.observations
  array representing the observations for the project. Throws:
COptQuestException
 if the number of observations for this period differs from the setting for another period.

GetPeriodObservations
Returns the array of observations for the requested period. The observations for the period were set by the SetPeriodObservations() method. Returns null if no observations were defined for this period. Parameters:
periodNum
  Number from 1 to number of periods set by SetNumberOfPeriods(); Returns:
 array of observations
 Throws:
COptQuestException
 if a bad number of periods is specified
