org.ojalgo.finance

Class FinanceUtils

java.lang.Object

org.ojalgo.finance.FinanceUtils

public abstract class FinanceUtils
extends Object

Method Summary

Modifier and Type	Method and Description
static double	calculateValueAtRisk(double expRet, double stdDev, double confidence, double time)
static GeometricBrownianMotion	estimateExcessDiffusionProcess(CalendarDateSeries<?> priceSeries, CalendarDateSeries<?> riskFreeInterestRateSeries, CalendarDateUnit timeUnit)
static CalendarDateSeries<RandomNumber>	forecast(CalendarDateSeries<? extends Number> series, int pointCount, CalendarDateUnit timeUnit, boolean includeOriginalSeries)
static CalendarDateSeries<BigDecimal>	makeCalendarPriceSeries(double[] prices, Calendar startCalendar, CalendarDateUnit resolution)
static <V extends Number> BasicMatrix	makeCovarianceMatrix(Collection<CalendarDateSeries<V>> timeSeriesCollection)
static <N extends Number> PrimitiveMatrix	makeCovarianceMatrix(List<CalendarDateSeries<N>> listOfTimeSeries, boolean mayBeMissingValues)
static CalendarDateSeries<BigDecimal>	makeDatePriceSeries(double[] prices, Date startDate, CalendarDateUnit resolution)
static SampleSet	makeExcessGrowthRateSampleSet(CalendarDateSeries<?> priceSeries, CalendarDateSeries<?> riskFreeInterestRateSeries)
static CalendarDateSeries<Double>	makeNormalisedExcessPrice(CalendarDateSeries<?> priceSeries, CalendarDateSeries<?> riskFreeInterestRateSeries)
static double	toAnnualReturnFromGrowthFactor(double growthFactor, CalendarDateUnit growthFactorUnit) GrowthRate = ln(GrowthFactor)
static double	toAnnualReturnFromGrowthRate(double growthRate, CalendarDateUnit growthRateUnit) AnnualReturn = exp(GrowthRate * GrowthRateUnitsPerYear) - 1.0
static PrimitiveMatrix	toCorrelations(Access2D<?> covariances)
static PrimitiveMatrix	toCorrelations(Access2D<?> covariances, boolean clean) Will extract the correlation coefficients from the input covariance matrix.
static PrimitiveMatrix	toCovariances(Access1D<?> volatilities, Access2D<?> correlations) Vill constract a covariance matrix from the standard deviations (volatilities) and correlation coefficient,
static double	toGrowthFactorFromAnnualReturn(double annualReturn, CalendarDateUnit growthFactorUnit) GrowthFactor = exp(GrowthRate)
static double	toGrowthRateFromAnnualReturn(double annualReturn, CalendarDateUnit growthRateUnit) GrowthRate = ln(1.0 + InterestRate) / GrowthRateUnitsPerYear
static PrimitiveMatrix	toVolatilities(Access2D<?> covariances)
static PrimitiveMatrix	toVolatilities(Access2D<?> covariances, boolean clean) Will extract the standard deviations (volatilities) from the input covariance matrix.

Methods inherited from class java.lang.Object

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

Method Detail

calculateValueAtRisk

public static double calculateValueAtRisk(double expRet,
                                          double stdDev,
                                          double confidence,
                                          double time)

estimateExcessDiffusionProcess

public static GeometricBrownianMotion estimateExcessDiffusionProcess(CalendarDateSeries<?> priceSeries,
                                                                     CalendarDateSeries<?> riskFreeInterestRateSeries,
                                                                     CalendarDateUnit timeUnit)

forecast

public static CalendarDateSeries<RandomNumber> forecast(CalendarDateSeries<? extends Number> series,
                                                        int pointCount,
                                                        CalendarDateUnit timeUnit,
                                                        boolean includeOriginalSeries)

makeCalendarPriceSeries

public static CalendarDateSeries<BigDecimal> makeCalendarPriceSeries(double[] prices,
                                                                     Calendar startCalendar,
                                                                     CalendarDateUnit resolution)

makeCovarianceMatrix

public static <V extends Number> BasicMatrix makeCovarianceMatrix(Collection<CalendarDateSeries<V>> timeSeriesCollection)

Parameters:

timeSeriesCollection -

Returns:

Annualised covariances

makeCovarianceMatrix

public static <N extends Number> PrimitiveMatrix makeCovarianceMatrix(List<CalendarDateSeries<N>> listOfTimeSeries,
                                                                      boolean mayBeMissingValues)

Parameters:

listOfTimeSeries - An ordered collection of time series

mayBeMissingValues - Individual series may be missing some values - try to fix this or not

Returns:

Annualised covariances

makeDatePriceSeries

public static CalendarDateSeries<BigDecimal> makeDatePriceSeries(double[] prices,
                                                                 Date startDate,
                                                                 CalendarDateUnit resolution)

makeExcessGrowthRateSampleSet

public static SampleSet makeExcessGrowthRateSampleSet(CalendarDateSeries<?> priceSeries,
                                                      CalendarDateSeries<?> riskFreeInterestRateSeries)

Parameters:

priceSeries - A series of prices

riskFreeInterestRateSeries - A series of interest rates (risk free return expressed in %, 5.0 means 5.0% annualized risk free return)

Returns:

A sample set of price growth rates adjusted for risk free return

makeNormalisedExcessPrice

public static CalendarDateSeries<Double> makeNormalisedExcessPrice(CalendarDateSeries<?> priceSeries,
                                                                   CalendarDateSeries<?> riskFreeInterestRateSeries)

Parameters:

priceSeries - A series of prices

riskFreeInterestRateSeries - A series of interest rates (risk free return expressed in %, 5.0 means 5.0% annualized risk free return)

Returns:

A sample set of price growth rates adjusted for risk free return

toAnnualReturnFromGrowthFactor

public static double toAnnualReturnFromGrowthFactor(double growthFactor,
                                                    CalendarDateUnit growthFactorUnit)

GrowthRate = ln(GrowthFactor)

Parameters:

growthFactor - A growth factor per unit (day, week, month, year...)

growthFactorUnit - A growth factor unit

Returns:

Annualised return (percentage per year)

toAnnualReturnFromGrowthRate

public static double toAnnualReturnFromGrowthRate(double growthRate,
                                                  CalendarDateUnit growthRateUnit)

AnnualReturn = exp(GrowthRate * GrowthRateUnitsPerYear) - 1.0

Parameters:

growthRate - A growth rate per unit (day, week, month, year...)

growthRateUnit - A growth rate unit

Returns:

Annualised return (percentage per year)

toCorrelations

public static PrimitiveMatrix toCorrelations(Access2D<?> covariances)

toCorrelations

public static PrimitiveMatrix toCorrelations(Access2D<?> covariances,
                                             boolean clean)

Will extract the correlation coefficients from the input covariance matrix. If "cleaning" is enabled small and negative eigenvalues of the covariance matrix will be replaced with a new minimal value.

toCovariances

public static PrimitiveMatrix toCovariances(Access1D<?> volatilities,
                                            Access2D<?> correlations)

Vill constract a covariance matrix from the standard deviations (volatilities) and correlation coefficient,

toGrowthFactorFromAnnualReturn

public static double toGrowthFactorFromAnnualReturn(double annualReturn,
                                                    CalendarDateUnit growthFactorUnit)

GrowthFactor = exp(GrowthRate)

Parameters:

annualReturn - Annualised return (percentage per year)

growthFactorUnit - A growth factor unit

Returns:

A growth factor per unit (day, week, month, year...)

toGrowthRateFromAnnualReturn

public static double toGrowthRateFromAnnualReturn(double annualReturn,
                                                  CalendarDateUnit growthRateUnit)

GrowthRate = ln(1.0 + InterestRate) / GrowthRateUnitsPerYear

Parameters:

annualReturn - Annualised return (percentage per year)

growthRateUnit - A growth rate unit

Returns:

A growth rate per unit (day, week, month, year...)

toVolatilities

public static PrimitiveMatrix toVolatilities(Access2D<?> covariances)

toVolatilities

public static PrimitiveMatrix toVolatilities(Access2D<?> covariances,
                                             boolean clean)

Will extract the standard deviations (volatilities) from the input covariance matrix. If "cleaning" is enabled small variances will be replaced with a new minimal value.