uarc&larc update

config-stable_prr3_t.yml

@@ -133,6 +133,7 @@ portfolios: # 投组模块
     cpi-expect: 2
     max-w: 0.75
     uarc-index: 3
+    larc-index: 3
     matrix-rtn-days: 20 # 计算回报率矩阵时，回报率滚动天数
     asset-count: [5,5] # 投组资产个数。e.g. count 或 [min, max] 分别表示 最大最小都为count 或 最小为min 最大为max，另外这里也可以类似上面给不同风险等级分别配置
     mpt: # mpt计算相关

portfolios/solver.py

@@ -347,12 +347,15 @@ class ARCSolver(DefaultSolver):
 
     @property
     def LARC(self):
+        if not self._config.get('larc-index'):
             return self._config['LARC']
+        cash_uarc = self.compute_cash_uarc
+        LARC = self._config['LARC']
+        LARC[self._config['larc-index']] = cash_uarc
+        return LARC
 
     @property
-    def UARC(self):
-        if not self._config.get('uarc-index'):
-            return self._config['UARC']
+    def compute_cash_uarc(self):
         ecos = self._datum.get_datums(ticker=['CPI YOY Index', 'FDTR Index'])
         cpi_id = [data['id'] for data in ecos if data['bloombergTicker'] == 'CPI YOY Index']
         fdtr_id = [data['id'] for data in ecos if data['bloombergTicker'] == 'FDTR Index']
@@ -363,6 +366,13 @@ class ARCSolver(DefaultSolver):
             self._config['fix-w'] + self._config['fdtr-w'] * fdtr + abs(cpi - self._config['cpi-expect']) *
             self._config['cpiyoy-w'], 2)
         cash_uarc = self._config['max-w'] if cash_uarc > self._config['max-w'] else cash_uarc
+        return cash_uarc
+
+    @property
+    def UARC(self):
+        if not self._config.get('uarc-index'):
+            return self._config['UARC']
+        cash_uarc = self.compute_cash_uarc
         UARC = self._config['UARC']
         UARC[self._config['uarc-index']] = cash_uarc
         return UARC