org.ojalgo.finance.portfolio

Class SimplePortfolio

java.lang.Object

org.ojalgo.finance.portfolio.FinancePortfolio

org.ojalgo.finance.portfolio.SimplePortfolio

All Implemented Interfaces:

Comparable<FinancePortfolio>, FinancePortfolio.Context

public final class SimplePortfolio
extends FinancePortfolio
implements FinancePortfolio.Context

Nested Class Summary

Nested classes/interfaces inherited from class org.ojalgo.finance.portfolio.FinancePortfolio

FinancePortfolio.Context

Field Summary

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

MATRIX_FACTORY

Constructor Summary

Constructors

Constructor and Description
SimplePortfolio(Access2D<?> correlationsMatrix, List<SimpleAsset> someAssets)
SimplePortfolio(double[] someWeights)
SimplePortfolio(FinancePortfolio.Context portfolioContext, FinancePortfolio weightsPortfolio)
SimplePortfolio(List<SimpleAsset> someAssets)
SimplePortfolio(Number... someWeights)

Method Summary

Modifier and Type	Method and Description
double	calculatePortfolioReturn(FinancePortfolio weightsPortfolio)
double	calculatePortfolioVariance(FinancePortfolio weightsPortfolio)
BasicMatrix	getAssetReturns()
BasicMatrix	getAssetVolatilities()
double	getCorrelation(int row, int col)
BasicMatrix	getCorrelations()
double	getCovariance(int row, int col)
BasicMatrix	getCovariances()
double	getMeanReturn() The mean/expected return of this instrument.
double	getMeanReturn(int index)
double	getReturnVariance() The instrument's return variance.
double	getReturnVariance(int index)
PortfolioSimulator	getSimulator()
double	getVolatility(int index)
BigDecimal	getWeight(int index)
List<BigDecimal>	getWeights() This method returns a list of the weights of the Portfolio's contained assets.
protected void	reset()
int	size()

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

compareTo, forecast, getConformance, getLossProbability, getLossProbability, getSharpeRatio, getSharpeRatio, getValueAtRisk, getValueAtRisk95, getVolatility, normalise, normalise, toString

Methods inherited from class java.lang.Object

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

Constructor Detail

SimplePortfolio

public SimplePortfolio(Access2D<?> correlationsMatrix,
                       List<SimpleAsset> someAssets)

SimplePortfolio

public SimplePortfolio(FinancePortfolio.Context portfolioContext,
                       FinancePortfolio weightsPortfolio)

SimplePortfolio

public SimplePortfolio(double[] someWeights)

SimplePortfolio

public SimplePortfolio(List<SimpleAsset> someAssets)

SimplePortfolio

public SimplePortfolio(Number... someWeights)

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 BasicMatrix getAssetReturns()

Specified by:

getAssetReturns in interface FinancePortfolio.Context

getAssetVolatilities

public BasicMatrix getAssetVolatilities()

Specified by:

getAssetVolatilities in interface FinancePortfolio.Context

getCorrelation

public double getCorrelation(int row,
                             int col)

getCorrelations

public BasicMatrix getCorrelations()

Specified by:

getCorrelations in interface FinancePortfolio.Context

getCovariance

public double getCovariance(int row,
                            int col)

getCovariances

public BasicMatrix getCovariances()

Specified by:

getCovariances in interface FinancePortfolio.Context

getMeanReturn

public 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. return.

Specified by:

getMeanReturn in class FinancePortfolio

getMeanReturn

public double getMeanReturn(int index)

getReturnVariance

public 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

getReturnVariance

public double getReturnVariance(int index)

getSimulator

public PortfolioSimulator getSimulator()

getVolatility

public double getVolatility(int index)

getWeight

public BigDecimal getWeight(int index)

getWeights

public 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

size

public int size()

Specified by:

size in interface FinancePortfolio.Context

reset

protected void reset()

Specified by:

reset in class FinancePortfolio