org.ojalgo.finance.portfolio
Class StrategicTransformation

java.lang.Object
  org.ojalgo.finance.portfolio.MeanVarianceAsset
      org.ojalgo.finance.portfolio.CovarianceBasedModel
          org.ojalgo.finance.portfolio.StrategicTransformation

All Implemented Interfaces:

FinancePortfolio

public final class StrategicTransformation
extends CovarianceBasedModel

Field Summary

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

DEBUG

Constructor Summary

StrategicTransformation(BlackLittermanModel aBlackLittermanModel, BasicMatrix someStrategicWeights)

StrategicTransformation(BlackLittermanModel aBlackLittermanModel, FinancePortfolio aStrategicPortfolio)

StrategicTransformation(BlackLittermanModel aBlackLittermanModel, List<BigDecimal> someStrategicWeights)

Method Summary

BigDecimal	getChangeMultiplier() Inverse Risk Aversion Conversion Factor
BigDecimal	getConformance()

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

getCovariances, getImpliedRiskAversion, getInstrumentReturns, getInstrumentWeights, getMeanReturn, getReturnVariance, getRiskAversion, getSymbols, getWeights, setRiskAversion

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

getVaR90, getVaR95, getVaR98, getVaR99, getVolatility

Methods inherited from class java.lang.Object

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

Constructor Detail

StrategicTransformation

public StrategicTransformation(BlackLittermanModel aBlackLittermanModel,
                               BasicMatrix someStrategicWeights)

StrategicTransformation

public StrategicTransformation(BlackLittermanModel aBlackLittermanModel,
                               FinancePortfolio aStrategicPortfolio)

StrategicTransformation

public StrategicTransformation(BlackLittermanModel aBlackLittermanModel,
                               List<BigDecimal> someStrategicWeights)

Method Detail

getChangeMultiplier

public final BigDecimal getChangeMultiplier()

Inverse Risk Aversion Conversion Factor

getConformance

public final BigDecimal getConformance()