FinancePortfolio (oj! Algorithms 43.0 API)

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

All Implemented Interfaces:

Comparable<FinancePortfolio>

Direct Known Subclasses:

BlackLittermanModel, EfficientFrontier, FixedReturnsPortfolio, FixedWeightsPortfolio, MarkowitzModel, SimpleAsset, SimplePortfolio
```
public abstract class FinancePortfolio
extends Object
implements Comparable<FinancePortfolio>
```
A FinancePortfolio is primarily a set of portfolio asset weights.

Author:

apete

Nested Class Summary

Nested Classes
Modifier and Type Class and Description

static interface FinancePortfolio.Context

Nested Classes
Modifier and Type	Class and Description
`static interface`	`FinancePortfolio.Context`

Field Summary

Fields
Modifier and Type Field and Description

protected static BasicMatrix.Factory<PrimitiveMatrix> MATRIX_FACTORY

Fields
Modifier and Type	Field and Description
`protected static BasicMatrix.Factory<PrimitiveMatrix>`	`MATRIX_FACTORY`

Constructor Summary

Constructors
Modifier Constructor and Description

protected FinancePortfolio()

Constructors
Modifier	Constructor and Description
`protected`	`FinancePortfolio()`

Method Summary

All Methods Instance Methods Abstract Methods Concrete Methods
Modifier and Type	Method and Description
`int`	`compareTo(FinancePortfolio reference)`
`GeometricBrownianMotion`	`forecast()`
`double`	`getConformance(FinancePortfolio reference)`
`double`	`getLossProbability()`
`double`	`getLossProbability(Number timePeriod)`
`abstract double`	`getMeanReturn()` The mean/expected return of this instrument.
`double`	`getReturnVariance()` The instrument's return variance.
`double`	`getSharpeRatio()`
`double`	`getSharpeRatio(Number riskFreeReturn)`
`double`	`getValueAtRisk(Number confidenceLevel, Number timePeriod)` Value at Risk (VaR) is the maximum loss not exceeded with a given probability defined as the confidence level, over a given period of time.
`double`	`getValueAtRisk95()`
`double`	`getVolatility()` Volatility refers to the standard deviation of the change in value of an asset with a specific time horizon.
`abstract List<BigDecimal>`	`getWeights()` This method returns a list of the weights of the Portfolio's contained assets.
`FinancePortfolio`	`normalise()` Normalised weights Portfolio
`FinancePortfolio`	`normalise(NumberContext weightsContext)` Normalised weights Portfolio
`protected abstract void`	`reset()`
`String`	`toString()`

Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

- Field Detail
  - MATRIX_FACTORY
```
protected static final BasicMatrix.Factory<PrimitiveMatrix> MATRIX_FACTORY
```
- Constructor Detail
  - FinancePortfolio
```
protected FinancePortfolio()
```
- Method Detail
  - compareTo
```
public final int compareTo(FinancePortfolio reference)
```
    Specified by:
    
    compareTo in interface Comparable<FinancePortfolio>
  - forecast
```
public final GeometricBrownianMotion forecast()
```
  - getConformance
```
public final double getConformance(FinancePortfolio reference)
```
  - getLossProbability
```
public final double getLossProbability()
```
  - getLossProbability
```
public final double getLossProbability(Number timePeriod)
```
  - getMeanReturn
```
public abstract double getMeanReturn()
```
    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. return.
  - getReturnVariance
```
public double getReturnVariance()
```
    The instrument's return variance. Subclasses must override either getReturnVariance() or getVolatility().
  - getSharpeRatio
```
public final double getSharpeRatio()
```
  - getSharpeRatio
```
public final double getSharpeRatio(Number riskFreeReturn)
```
  - getValueAtRisk
```
public final double getValueAtRisk(Number confidenceLevel,
                                   Number timePeriod)
```
    Value at Risk (VaR) is the maximum loss not exceeded with a given probability defined as the confidence level, over a given period of time.
  - getValueAtRisk95
```
public final double getValueAtRisk95()
```
  - getVolatility
```
public double getVolatility()
```
    Volatility refers to the standard deviation of the change in value of an asset with a specific time horizon. It is often used to quantify the risk of the asset over that time period. Subclasses must override either getReturnVariance() or getVolatility().
  - getWeights
```
public abstract List<BigDecimal> getWeights()
```
    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 normalise() will transform any set of weights to that form.
  - normalise
```
public final FinancePortfolio normalise()
```
    Normalised weights Portfolio
  - normalise
```
public final FinancePortfolio normalise(NumberContext weightsContext)
```
    Normalised weights Portfolio
  - toString
```
public String toString()
```
    Overrides:
    
    toString in class Object
  - reset
```
protected abstract void reset()
```

Class FinancePortfolio

Nested Class Summary

Field Summary

Constructor Summary

Method Summary

Methods inherited from class java.lang.Object

Field Detail

MATRIX_FACTORY

Constructor Detail

FinancePortfolio

Method Detail

compareTo

forecast

getConformance

getLossProbability

getLossProbability

getMeanReturn

getReturnVariance

getSharpeRatio

getSharpeRatio

getValueAtRisk

getValueAtRisk95

getVolatility

getWeights

normalise

normalise

toString

reset