org.ojalgo.finance
Class BlackLittermanModel

java.lang.Object
  org.ojalgo.finance.BlackLittermanModel

Deprecated. Since Version 24. Use the org.ojalgo.finance.portfolio package instead.

@Deprecated
public final class BlackLittermanModel
extends Object

BlackLittermanModel

Author:

apete

Nested Class Summary

static class	BlackLittermanModel.InstrumentData Deprecated.
static class	BlackLittermanModel.View Deprecated. View/Opinion.

Constructor Summary

BlackLittermanModel(BasicMatrix aCovariancesMtrx, BasicMatrix aMarketWeightsMtrx, BigDecimal aRiskAversion)
Deprecated.

BlackLittermanModel(MarketEquilibrium aMarket, BasicMatrix aMarketWeightsMtrx)
Deprecated.

Method Summary

void	addView(BlackLittermanModel.View aView) Deprecated.
void	addViewFromDescriptor(org.ojalgo.finance.PortfolioDescriptor aDescriptor) Deprecated.
void	addViewWithBalancedConfidence(List<BigDecimal> someWeights, BigDecimal aReturn) Deprecated.
void	addViewWithStandardDeviation(List<BigDecimal> someWeights, BigDecimal aReturn, BigDecimal aStdDev) Deprecated.
void	addViewWithVariance(List<BigDecimal> someWeights, BigDecimal aReturn, BigDecimal aVariance) Deprecated.
BigDecimal	calculateMarketReturn(List<BigDecimal> someWeights) Deprecated.
BigDecimal	calculateStandardDeviation(List<BigDecimal> aWeightsMtrx) Deprecated.
BigDecimal	calculateVariance(List<BigDecimal> aWeightsMtrx) Deprecated.
BasicMatrix	getAdjustedViewConfidences() Deprecated.
BasicMatrix	getAdjustedViewReturns() Deprecated.
BasicMatrix	getCovariances() Deprecated.
BigDecimal	getMarketReturn() Deprecated.
BasicMatrix	getMarketReturns() Deprecated.
BigDecimal	getMarketStandardDeviation() Deprecated.
BigDecimal	getMarketVariance() Deprecated.
BasicMatrix	getMarketWeights() Deprecated.
BigDecimal	getMeanReturn() Deprecated. The mean/expected return of this asset.
BigDecimal	getModifiedReturn() Deprecated.
BasicMatrix	getModifiedReturns() Deprecated.
BigDecimal	getModifiedStandardDeviation() Deprecated.
BigDecimal	getModifiedVariance() Deprecated.
BasicMatrix	getModifiedWeights() Deprecated.
BigDecimal	getNormalisedReturn() Deprecated.
BigDecimal	getNormalisedStandardDeviation() Deprecated.
BigDecimal	getNormalisedVariance() Deprecated.
BasicMatrix	getNormalisedWeights() Deprecated.
BigDecimal	getOptimisedReturn() Deprecated.
BigDecimal	getOptimisedStandardDeviation() Deprecated.
BigDecimal	getOptimisedVariance() Deprecated.
BasicMatrix	getOptimisedWeights() Deprecated.
List<BigDecimal>	getPortfolio() Deprecated.
BigDecimal	getReturnVariance() Deprecated.
BigDecimal	getRiskAversion() Deprecated.
List<BlackLittermanModel.InstrumentData>	getRowExtractors() Deprecated.
String[]	getSymbols() Deprecated.
BasicMatrix	getViewConfidences() Deprecated.
BasicMatrix	getViewReturns() Deprecated.
BasicMatrix	getViews() Deprecated.
BigDecimal	getWeightOnViews() Deprecated.
List<BigDecimal>	getWeights() Deprecated.
void	setRiskAversion(BasicMatrix aWeightsVctr, BasicMatrix aReturnsVctr) Deprecated.
void	setRiskAversion(BigDecimal aFactor) Deprecated.
void	setWeightOnViews(BigDecimal aWeight) Deprecated.

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BlackLittermanModel

public BlackLittermanModel(BasicMatrix aCovariancesMtrx,
                           BasicMatrix aMarketWeightsMtrx,
                           BigDecimal aRiskAversion)

Deprecated.

BlackLittermanModel

public BlackLittermanModel(MarketEquilibrium aMarket,
                           BasicMatrix aMarketWeightsMtrx)

Deprecated.

Method Detail

addView

public void addView(BlackLittermanModel.View aView)

Deprecated.

addViewFromDescriptor

public void addViewFromDescriptor(org.ojalgo.finance.PortfolioDescriptor aDescriptor)

Deprecated.

addViewWithBalancedConfidence

public void addViewWithBalancedConfidence(List<BigDecimal> someWeights,
                                          BigDecimal aReturn)

Deprecated.

addViewWithStandardDeviation

public void addViewWithStandardDeviation(List<BigDecimal> someWeights,
                                         BigDecimal aReturn,
                                         BigDecimal aStdDev)

Deprecated.

addViewWithVariance

public void addViewWithVariance(List<BigDecimal> someWeights,
                                BigDecimal aReturn,
                                BigDecimal aVariance)

Deprecated.

calculateMarketReturn

public BigDecimal calculateMarketReturn(List<BigDecimal> someWeights)

Deprecated.

calculateStandardDeviation

public BigDecimal calculateStandardDeviation(List<BigDecimal> aWeightsMtrx)

Deprecated.

calculateVariance

public BigDecimal calculateVariance(List<BigDecimal> aWeightsMtrx)

Deprecated.

getAdjustedViewConfidences

public BasicMatrix getAdjustedViewConfidences()

Deprecated.

getAdjustedViewReturns

public BasicMatrix getAdjustedViewReturns()

Deprecated.

getCovariances

public BasicMatrix getCovariances()

Deprecated.

getMarketReturn

public BigDecimal getMarketReturn()

Deprecated.

See Also:

getMarketReturn(), getModifiedReturn(), getNormalisedReturn(), getOptimisedReturn()

getMarketReturns

public BasicMatrix getMarketReturns()

Deprecated.

See Also:

getMarketReturns(), getModifiedReturns()

getMarketStandardDeviation

public BigDecimal getMarketStandardDeviation()

Deprecated.

getMarketVariance

public BigDecimal getMarketVariance()

Deprecated.

See Also:

getMarketVariance(), getModifiedVariance(), getNormalisedVariance(), getOptimisedVariance()

getMarketWeights

public BasicMatrix getMarketWeights()

Deprecated.

See Also:

getMarketWeights(), getModifiedWeights(), getNormalisedWeights(), getOptimisedWeights()

getMeanReturn

public BigDecimal getMeanReturn()

Deprecated.

The mean/expected return of this asset. May return either the absolute or excess return of the asset. The context in which an instance is used should make it clear which.

getModifiedReturn

public BigDecimal getModifiedReturn()

Deprecated.

See Also:

getMarketReturn(), getModifiedReturn(), getNormalisedReturn(), getOptimisedReturn()

getModifiedReturns

public BasicMatrix getModifiedReturns()

Deprecated.

Returns:

B-L equilibrium excess returns

See Also:

getMarketReturns(), getModifiedReturns()

getModifiedStandardDeviation

public BigDecimal getModifiedStandardDeviation()

Deprecated.

getModifiedVariance

public BigDecimal getModifiedVariance()

Deprecated.

See Also:

getMarketVariance(), getModifiedVariance(), getNormalisedVariance(), getOptimisedVariance()

getModifiedWeights

public BasicMatrix getModifiedWeights()

Deprecated.

Returns:

B-L portfolio weights

See Also:

getMarketWeights(), getModifiedWeights(), getNormalisedWeights(), getOptimisedWeights()

getNormalisedReturn

public BigDecimal getNormalisedReturn()

Deprecated.

See Also:

getMarketReturn(), getModifiedReturn(), getNormalisedReturn(), getOptimisedReturn()

getNormalisedStandardDeviation

public BigDecimal getNormalisedStandardDeviation()

Deprecated.

getNormalisedVariance

public BigDecimal getNormalisedVariance()

Deprecated.

See Also:

getMarketVariance(), getModifiedVariance(), getNormalisedVariance(), getOptimisedVariance()

getNormalisedWeights

public BasicMatrix getNormalisedWeights()

Deprecated.

See Also:

getMarketWeights(), getModifiedWeights(), getNormalisedWeights(), getOptimisedWeights()

getOptimisedReturn

public BigDecimal getOptimisedReturn()

Deprecated.

See Also:

getMarketReturn(), getModifiedReturn(), getNormalisedReturn(), getOptimisedReturn()

getOptimisedStandardDeviation

public BigDecimal getOptimisedStandardDeviation()

Deprecated.

getOptimisedVariance

public BigDecimal getOptimisedVariance()

Deprecated.

See Also:

getMarketVariance(), getModifiedVariance(), getNormalisedVariance(), getOptimisedVariance()

getOptimisedWeights

public BasicMatrix getOptimisedWeights()

Deprecated.

See Also:

getMarketWeights(), getModifiedWeights(), getNormalisedWeights(), getOptimisedWeights()

getPortfolio

public List<BigDecimal> getPortfolio()

Deprecated.

getReturnVariance

public BigDecimal getReturnVariance()

Deprecated.

getRiskAversion

public BigDecimal getRiskAversion()

Deprecated.

getRowExtractors

public List<BlackLittermanModel.InstrumentData> getRowExtractors()

Deprecated.

getSymbols

public String[] getSymbols()

Deprecated.

getViewConfidences

public BasicMatrix getViewConfidences()

Deprecated.

getViewReturns

public BasicMatrix getViewReturns()

Deprecated.

getViews

public BasicMatrix getViews()

Deprecated.

getWeightOnViews

public BigDecimal getWeightOnViews()

Deprecated.

getWeights

public List<BigDecimal> getWeights()

Deprecated.

setRiskAversion

public void setRiskAversion(BasicMatrix aWeightsVctr,
                            BasicMatrix aReturnsVctr)

Deprecated.

setRiskAversion

public void setRiskAversion(BigDecimal aFactor)

Deprecated.

setWeightOnViews

public void setWeightOnViews(BigDecimal aWeight)

Deprecated.