org.ojalgo.finance.portfolio.simulator

Class PortfolioSimulator

java.lang.Object

org.ojalgo.finance.portfolio.simulator.PortfolioSimulator

public class PortfolioSimulator
extends Object

Constructor Summary

Constructors

Constructor and Description
PortfolioSimulator(Access2D<?> correlations, List<GeometricBrownianMotion> assetProcesses)

Method Summary

Modifier and Type	Method and Description
RandomProcess.SimulationResults	simulate(int aNumberOfRealisations, int aNumberOfSteps, double aStepSize)
RandomProcess.SimulationResults	simulate(int aNumberOfRealisations, int aNumberOfSteps, double aStepSize, int rebalancingInterval)

Methods inherited from class java.lang.Object

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

Constructor Detail

PortfolioSimulator

public PortfolioSimulator(Access2D<?> correlations,
                          List<GeometricBrownianMotion> assetProcesses)

Method Detail

simulate

public RandomProcess.SimulationResults simulate(int aNumberOfRealisations,
                                                int aNumberOfSteps,
                                                double aStepSize)

simulate

public RandomProcess.SimulationResults simulate(int aNumberOfRealisations,
                                                int aNumberOfSteps,
                                                double aStepSize,
                                                int rebalancingInterval)