added constraints class

alphamind/portfolio/constraints.py

+# -*- coding: utf-8 -*-
+"""
+Created on 2017-7-21
+
+@author: cheng.li
+"""
+
+from math import inf
+import numpy as np
+from typing import Tuple
+
+
+class Constraints(object):
+
+    def __init__(self,
+                 risk_exp: np.ndarray,
+                 risk_names: np.ndarray):
+        self.risk_exp = risk_exp
+        self.risk_names = risk_names
+        self.risk_maps = dict(zip(risk_names, range(len(risk_names))))
+        self.lower_bounds = -inf * np.ones(len(risk_names))
+        self.upper_bounds = inf * np.ones(len(risk_names))
+
+    def set_constraints(self, tag: str, lower_bound: float, upper_bound: float):
+        index = self.risk_maps[tag]
+        self.lower_bounds[index] = lower_bound
+        self.upper_bounds[index] = upper_bound
+
+    def risk_targets(self) -> Tuple[np.ndarray, np.ndarray]:
+        return self.lower_bounds, self.upper_bounds
+
+
+if __name__ == '__main__':
+    risk_exp = np.array([[1.0, 2.0],
+                         [3.0, 4.0]])
+    risk_names = np.array(['a', 'b'])
+
+    cons = Constraints(risk_exp, risk_names)
+
+    cons.set_constraints('b', 0.0, 0.1)
+    print(cons.risk_targets())
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