# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR Description. See the 
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General 
# Public License along with this library; if not, write to the 
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston, 
# MA 02111-1307 USA

# Copyrights (C)
# for this R-port: 
#   1999 - Diethelm Wuertz, GPL
#   2007 - Rmetrics Foundation, GPL
#   Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# for code accessed (or partly included) from other sources:
#   see Rmetric's copyright and license files


################################################################################
# FUNCTION:                     PORTFOLIO SPECIFICATION CLASS:
#  portfolioSpec                 Specifies a portfolio
################################################################################


portfolioSpec <- 
    function(
    model = list(
        type = "MV",                     # Alternatives: "LPM", "CVaR"
        optimize = "minRisk",            # Alternatives: "maxReturn"
        estimator = "covEstimator",      # Alternatives: "shrinkEstimator", ...
                                         #               "lpmEstimator", ...
        tailRisk = list(),  
        params = list(alpha = 0.05, a = 1)),
    portfolio = list(
        weights = NULL, 
        targetReturn = NULL, 
        targetRisk = NULL,
        riskFreeRate = 0, 
        nFrontierPoints = 50,
        status = 0),
    optim = list(
        solver = "solveRquadprog",        # Alt: "solveRdonlp2" "solveRlpSolve"
        trace = FALSE))
{   
    # A function implemented by Rmetrics

    # Description:
    #   Specifies a portfolio to be optimized
    
    # Example:
    #   portfolioSpec(portfolio = list(targetReturn = 1.5))
    
    # FUNCTION:
    
    # Compose Checklists:
    # model.type = c("MV", "CVaR")
    # model.estimator.mean = "mean"
    # model.estimator.cov = c("cov", "mcd", "Mcd", "shrink")
    # optim.solver = c("quadprog", "Rdonlp2", "lpSolve")
    # optim.trace = FALSE
    
    # Check Arguments:
    # stopifnot(model$type %in% model.type)
    # stopifnot(model$estimator[1] %in% model.estimator.mean)
    # stopifnot(model$estimator[2] %in% model.estimator.cov)
    # stopifnot(optim$solver %in% optim.solver)
    
    # Model Slot:
    Model = list(
        type = "MV", 
        optimize = "minRisk",
        estimator = "covEstimator",
        tailRisk = NULL,
        params = list())
    model$type = model$type[1]
    Model[(Names <- names(model))] <- model
    
    # Portfolio Slot:
    Portfolio = list(
        weights = NULL, 
        targetReturn = NULL, 
        targetRisk = NULL, 
        riskFreeRate = 0, 
        nFrontierPoints = 50,
        status = 0)
    Portfolio[(Names <- names(portfolio))] <- portfolio
    
    # Check Portfolio - weights, targetReturn, targetRisk:
    # ... at least two of them must be set to NULL!
    checkPortfolio = 0
    if(!is.null(portfolio$weights)) checkPortfolio = checkPortfolio + 1
    if(!is.null(portfolio$targetReturn)) checkPortfolio = checkPortfolio + 1
    stopifnot(checkPortfolio <= 1)
  
    # Optim Slot:
    Optim = list(
        solver = "solveRquadprog", 
        trace = FALSE)
    Optim[(Names <- names(optim))] <- optim
    
    # Return Value:
    new("fPFOLIOSPEC", 
        model = Model,
        portfolio = Portfolio,
        optim = Optim)    
} 


################################################################################