org.ojalgo.finance.portfolio

Class PortfolioContext

java.lang.Object

org.ojalgo.finance.portfolio.PortfolioContext

All Implemented Interfaces:

FinancePortfolio.Context

public class PortfolioContext
extends Object
implements FinancePortfolio.Context

Constructor Summary

Constructors

Constructor and Description
PortfolioContext(Access1D<?> assetReturns, Access1D<?> assetVolatilities, Access2D<?> correlations)
PortfolioContext(Access1D<?> assetReturns, Access2D<?> covariances)

Method Summary

Modifier and Type	Method and Description
double	calculatePortfolioReturn(FinancePortfolio weightsPortfolio)
double	calculatePortfolioVariance(FinancePortfolio weightsPortfolio)
PrimitiveMatrix	getAssetReturns()
PrimitiveMatrix	getAssetVolatilities()
PrimitiveMatrix	getCorrelations()
PrimitiveMatrix	getCovariances()
int	size()

Methods inherited from class java.lang.Object

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

Constructor Detail

PortfolioContext

public PortfolioContext(Access1D<?> assetReturns,
                        Access1D<?> assetVolatilities,
                        Access2D<?> correlations)

PortfolioContext

public PortfolioContext(Access1D<?> assetReturns,
                        Access2D<?> covariances)

Method Detail

calculatePortfolioReturn

public double calculatePortfolioReturn(FinancePortfolio weightsPortfolio)

Specified by:

calculatePortfolioReturn in interface FinancePortfolio.Context

calculatePortfolioVariance

public double calculatePortfolioVariance(FinancePortfolio weightsPortfolio)

Specified by:

calculatePortfolioVariance in interface FinancePortfolio.Context

getAssetReturns

public PrimitiveMatrix getAssetReturns()

Specified by:

getAssetReturns in interface FinancePortfolio.Context

getAssetVolatilities

public PrimitiveMatrix getAssetVolatilities()

Specified by:

getAssetVolatilities in interface FinancePortfolio.Context

getCorrelations

public PrimitiveMatrix getCorrelations()

Specified by:

getCorrelations in interface FinancePortfolio.Context

getCovariances

public PrimitiveMatrix getCovariances()

Specified by:

getCovariances in interface FinancePortfolio.Context

size

public int size()

Specified by:

size in interface FinancePortfolio.Context