Class EquilibriumModel
java.lang.Object
org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
org.ojalgo.data.domain.finance.portfolio.EquilibriumModel
- All Implemented Interfaces:
Comparable<FinancePortfolio>
,FinancePortfolio.Context
- Direct Known Subclasses:
BlackLittermanModel
,FixedReturnsPortfolio
,FixedWeightsPortfolio
,OptimisedPortfolio
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Nested Class Summary
Nested classes/interfaces inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
FinancePortfolio.Context
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Field Summary
FieldsModifier and TypeFieldDescriptionprivate MatrixR064
private MatrixR064
private MatrixR064
private final MarketEquilibrium
private Scalar
<?> private Scalar
<?> Fields inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
MATRIX_FACTORY
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Constructor Summary
ConstructorsModifierConstructorDescriptionprotected
EquilibriumModel
(FinancePortfolio.Context portfolioContext) protected
EquilibriumModel
(MarketEquilibrium marketEquilibrium) -
Method Summary
Modifier and TypeMethodDescriptionprotected abstract MatrixR064
protected final MatrixR064
calculateAssetReturns
(MatrixR064 aWeightsVctr) protected abstract MatrixR064
protected final MatrixR064
calculateAssetWeights
(MatrixR064 aReturnsVctr) final double
calculatePortfolioReturn
(FinancePortfolio weightsPortfolio) protected final Scalar
<?> calculatePortfolioReturn
(MatrixR064 aWeightsVctr, MatrixR064 aReturnsVctr) final double
calculatePortfolioVariance
(FinancePortfolio weightsPortfolio) protected final Scalar
<?> calculatePortfolioVariance
(MatrixR064 aWeightsVctr) protected final void
calibrate
(MatrixR064 aWeightsVctr, MatrixR064 aReturnsVctr) final MatrixR064
final MatrixR064
final MatrixR064
final MatrixR064
final MatrixR064
final MarketEquilibrium
final double
The mean/expected return of this instrument.final double
The instrument's return variance.final Scalar
<?> final String[]
final List
<BigDecimal> This method returns a list of the weights of the Portfolio's contained assets.(package private) final boolean
protected void
reset()
final void
setRiskAversion
(Comparable<?> factor) int
size()
final List
<SimpleAsset> final SimplePortfolio
toString()
Methods inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
compareTo, forecast, getConformance, getLossProbability, getLossProbability, getSharpeRatio, getSharpeRatio, getValueAtRisk, getValueAtRisk95, getVolatility, normalise, normalise
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Field Details
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myAssetReturns
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myAssetVolatilities
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myAssetWeights
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myMarketEquilibrium
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myMeanReturn
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myReturnVariance
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Constructor Details
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EquilibriumModel
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EquilibriumModel
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Method Details
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calculatePortfolioReturn
- Specified by:
calculatePortfolioReturn
in interfaceFinancePortfolio.Context
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calculatePortfolioVariance
- Specified by:
calculatePortfolioVariance
in interfaceFinancePortfolio.Context
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getAssetReturns
- Specified by:
getAssetReturns
in interfaceFinancePortfolio.Context
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getAssetVolatilities
- Specified by:
getAssetVolatilities
in interfaceFinancePortfolio.Context
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getAssetWeights
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getCorrelations
- Specified by:
getCorrelations
in interfaceFinancePortfolio.Context
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getCovariances
- Specified by:
getCovariances
in interfaceFinancePortfolio.Context
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getMarketEquilibrium
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getMeanReturn
public final 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 classFinancePortfolio
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getReturnVariance
public final double getReturnVariance()Description copied from class:FinancePortfolio
The instrument's return variance. Subclasses must override either FinancePortfolio.getReturnVariance() or FinancePortfolio.getVolatility().- Overrides:
getReturnVariance
in classFinancePortfolio
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getRiskAversion
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getSymbols
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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 classFinancePortfolio
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setRiskAversion
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size
public int size()- Specified by:
size
in interfaceFinancePortfolio.Context
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toSimpleAssets
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toSimplePortfolio
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toString
- Overrides:
toString
in classFinancePortfolio
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calculateAssetReturns
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calculateAssetReturns
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calculateAssetWeights
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calculateAssetWeights
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calculatePortfolioReturn
protected final Scalar<?> calculatePortfolioReturn(MatrixR064 aWeightsVctr, MatrixR064 aReturnsVctr) -
calculatePortfolioVariance
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calibrate
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reset
protected void reset()- Specified by:
reset
in classFinancePortfolio
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isDefaultRiskAversion
final boolean isDefaultRiskAversion()
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