org.ojalgo.finance.portfolio
Class EquilibriumModel

java.lang.Object
  org.ojalgo.finance.portfolio.FinancePortfolio
      org.ojalgo.finance.portfolio.EquilibriumModel

Direct Known Subclasses:

BlackLittermanModel, FixedReturnsPortfolio, FixedWeightsPortfolio, MarkowitzModel

public abstract class EquilibriumModel
extends FinancePortfolio

Method Summary

Scalar<?>	calculatePortfolioReturn(FinancePortfolio aWeightsPortfolio)
Scalar<?>	calculatePortfolioVariance(FinancePortfolio aWeightsPortfolio)
BasicMatrix	getAssetReturns()
BasicMatrix	getAssetWeights()
BasicMatrix	getCovariances()
BigDecimal	getImpliedRiskAversion(BasicMatrix aWeightsVctr, BasicMatrix aReturnsVctr) Deprecated. v32 Use #calculateImpliedRiskAversion(BasicMatrix,BasicMatrix) instead
MarketEquilibrium	getMarketEquilibrium()
double	getMeanReturn() The mean/expected return of this instrument.
double	getReturnVariance() The instrument's return variance.
Scalar<?>	getRiskAppetite()
Scalar<?>	getRiskAversion()
String[]	getSymbols()
List<BigDecimal>	getWeights() This method returns a list of the weights of the Portfolio's contained assets.
void	setRiskAversion(Number aFactor)
Array2D<Double>	toCorrelations()
List<SimpleAsset>	toSimpleAssets()
SimplePortfolio	toSimplePortfolio()

Methods inherited from class org.ojalgo.finance.portfolio.FinancePortfolio

forecast, getConformance, getMeanReturn, getReturnVariance, getSharpeRatio, getValueAtRisk, getVolatility, getVolatility, normalise, shift, toString

Methods inherited from class java.lang.Object

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

Method Detail

calculatePortfolioReturn

public final Scalar<?> calculatePortfolioReturn(FinancePortfolio aWeightsPortfolio)

calculatePortfolioVariance

public final Scalar<?> calculatePortfolioVariance(FinancePortfolio aWeightsPortfolio)

getAssetReturns

public final BasicMatrix getAssetReturns()

getAssetWeights

public final BasicMatrix getAssetWeights()

getCovariances

public final BasicMatrix getCovariances()

getImpliedRiskAversion

@Deprecated
public final BigDecimal getImpliedRiskAversion(BasicMatrix aWeightsVctr,
                                                          BasicMatrix aReturnsVctr)

Deprecated. v32 Use #calculateImpliedRiskAversion(BasicMatrix,BasicMatrix) instead

getMarketEquilibrium

public final MarketEquilibrium getMarketEquilibrium()

getMeanReturn

public final double getMeanReturn()

Description copied from class: FinancePortfolio

The mean/expected return of this instrument. May return either the absolute or excess return of the instrument. The context in which an instance is used should make it clear which. Calling FinancePortfolio.shift(Number) with an appropriate argument will transform between absolute and excess return.

Specified by:

getMeanReturn in class FinancePortfolio

getReturnVariance

public final double getReturnVariance()

Description copied from class: FinancePortfolio

The instrument's return variance. Subclasses must override either FinancePortfolio.getReturnVariance() or FinancePortfolio.getVolatility().

Overrides:

getReturnVariance in class FinancePortfolio

getRiskAppetite

public final Scalar<?> getRiskAppetite()

getRiskAversion

public final Scalar<?> getRiskAversion()

getSymbols

public final String[] getSymbols()

getWeights

public final List<BigDecimal> getWeights()

Description copied from class: FinancePortfolio

This method returns a list of the weights of the Portfolio's contained assets. An asset weight is NOT restricted to being a share/percentage - it can be anything. Most subclasses do however assume that the list of asset weights are shares/percentages that sum up to 100%. Calling FinancePortfolio.normalise() will transform any set of weights to that form.

Specified by:

getWeights in class FinancePortfolio

setRiskAversion

public final void setRiskAversion(Number aFactor)

toCorrelations

public final Array2D<Double> toCorrelations()

toSimpleAssets

public final List<SimpleAsset> toSimpleAssets()

toSimplePortfolio

public final SimplePortfolio toSimplePortfolio()