org.ojalgo.finance.portfolio
Class EquilibriumWeightsPortfolio

java.lang.Object
  org.ojalgo.finance.portfolio.EquilibriumWeightsPortfolio

All Implemented Interfaces:

FinancePortfolio

public final class EquilibriumWeightsPortfolio
extends Object

Constructor Summary

EquilibriumWeightsPortfolio(org.ojalgo.finance.portfolio.CovarianceBasedModel aCovarianceBasedModel, BasicMatrix aPortfolio)

EquilibriumWeightsPortfolio(MarketEquilibrium aMarketEquilibrium, BasicMatrix aPortfolio)

Method Summary

void	calibrate(BasicMatrix aReturnsVctr)
void	calibrate(org.ojalgo.finance.portfolio.CovarianceBasedModel aPortfolio)
void	calibrate(List<BigDecimal> aReturnsList)
BasicMatrix	getAssetReturns()
BasicMatrix	getAssetWeights()
BasicMatrix	getCovariances()
BigDecimal	getImpliedRiskAversion(BasicMatrix aWeightsVctr, BasicMatrix aReturnsVctr)
BigDecimal	getMeanReturn() The mean/expected return of this instrument.
BigDecimal	getReturnVariance() Subclasses must override either getReturnVariance() or getVolatility().
BigDecimal	getRiskAversion()
String[]	getSymbols()
BigDecimal	getVolatility() Subclasses must override either getReturnVariance() or getVolatility().
List<BigDecimal>	getWeights() This method returns a list of the weights of the Portfolio's contained assets.
void	setRiskAversion(BigDecimal aFactor)

Methods inherited from class java.lang.Object

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

Constructor Detail

EquilibriumWeightsPortfolio

public EquilibriumWeightsPortfolio(org.ojalgo.finance.portfolio.CovarianceBasedModel aCovarianceBasedModel,
                                   BasicMatrix aPortfolio)

EquilibriumWeightsPortfolio

public EquilibriumWeightsPortfolio(MarketEquilibrium aMarketEquilibrium,
                                   BasicMatrix aPortfolio)

Method Detail

calibrate

public void calibrate(BasicMatrix aReturnsVctr)

calibrate

public void calibrate(org.ojalgo.finance.portfolio.CovarianceBasedModel aPortfolio)

calibrate

public void calibrate(List<BigDecimal> aReturnsList)

getAssetReturns

public final BasicMatrix getAssetReturns()

getAssetWeights

public final BasicMatrix getAssetWeights()

getCovariances

public final BasicMatrix getCovariances()

getImpliedRiskAversion

public final BigDecimal getImpliedRiskAversion(BasicMatrix aWeightsVctr,
                                               BasicMatrix aReturnsVctr)

getMeanReturn

public final BigDecimal getMeanReturn()

Description copied from interface: 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.

getReturnVariance

public final BigDecimal getReturnVariance()

Subclasses must override either getReturnVariance() or getVolatility().

Specified by:

getReturnVariance in interface FinancePortfolio

getRiskAversion

public final BigDecimal getRiskAversion()

getSymbols

public final String[] getSymbols()

getWeights

public final List<BigDecimal> getWeights()

Description copied from interface: FinancePortfolio

This method returns a list of the weights of the Portfolio's contained assets.

setRiskAversion

public final void setRiskAversion(BigDecimal aFactor)

getVolatility

public BigDecimal getVolatility()

Subclasses must override either getReturnVariance() or getVolatility().

Specified by:

getVolatility in interface FinancePortfolio