Class SimplePortfolio
- java.lang.Object
-
- org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
-
- org.ojalgo.data.domain.finance.portfolio.SimplePortfolio
-
- All Implemented Interfaces:
java.lang.Comparable<FinancePortfolio>
,FinancePortfolio.Context
public final class SimplePortfolio extends FinancePortfolio implements FinancePortfolio.Context
-
-
Nested Class Summary
-
Nested classes/interfaces inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
FinancePortfolio.Context
-
-
Field Summary
Fields Modifier and Type Field Description private MatrixR064
myAssetReturns
private MatrixR064
myAssetVolatilities
private MatrixR064
myAssetWeights
private java.util.List<SimpleAsset>
myComponents
private MatrixR064
myCorrelations
private MatrixR064
myCovariances
private java.lang.Comparable<?>
myMeanReturn
private java.lang.Comparable<?>
myReturnVariance
private java.util.List<java.math.BigDecimal>
myWeights
-
Fields inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
MATRIX_FACTORY
-
-
Constructor Summary
Constructors Constructor Description SimplePortfolio(double[] someWeights)
SimplePortfolio(java.lang.Comparable<?>... someWeights)
SimplePortfolio(java.util.List<SimpleAsset> someAssets)
SimplePortfolio(FinancePortfolio.Context portfolioContext, FinancePortfolio weightsPortfolio)
SimplePortfolio(Access2D<?> correlationsMatrix, java.util.List<SimpleAsset> someAssets)
-
Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description double
calculatePortfolioReturn(FinancePortfolio weightsPortfolio)
double
calculatePortfolioVariance(FinancePortfolio weightsPortfolio)
MatrixR064
getAssetReturns()
MatrixR064
getAssetVolatilities()
(package private) MatrixR064
getAssetWeights()
double
getCorrelation(int row, int col)
MatrixR064
getCorrelations()
double
getCovariance(int row, int col)
MatrixR064
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)
java.math.BigDecimal
getWeight(int index)
java.util.List<java.math.BigDecimal>
getWeights()
This method returns a list of the weights of the Portfolio's contained assets.protected void
reset()
int
size()
(package private) static java.util.List<SimpleAsset>
toSimpleAssets(double[] someWeights)
(package private) static java.util.List<SimpleAsset>
toSimpleAssets(java.lang.Comparable<?>[] someWeights)
-
Methods inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
compareTo, forecast, getConformance, getLossProbability, getLossProbability, getSharpeRatio, getSharpeRatio, getValueAtRisk, getValueAtRisk95, getVolatility, normalise, normalise, toString
-
-
-
-
Field Detail
-
myAssetReturns
private transient MatrixR064 myAssetReturns
-
myAssetVolatilities
private transient MatrixR064 myAssetVolatilities
-
myAssetWeights
private transient MatrixR064 myAssetWeights
-
myComponents
private final java.util.List<SimpleAsset> myComponents
-
myCorrelations
private final MatrixR064 myCorrelations
-
myCovariances
private transient MatrixR064 myCovariances
-
myMeanReturn
private transient java.lang.Comparable<?> myMeanReturn
-
myReturnVariance
private transient java.lang.Comparable<?> myReturnVariance
-
myWeights
private transient java.util.List<java.math.BigDecimal> myWeights
-
-
Constructor Detail
-
SimplePortfolio
public SimplePortfolio(Access2D<?> correlationsMatrix, java.util.List<SimpleAsset> someAssets)
-
SimplePortfolio
public SimplePortfolio(java.lang.Comparable<?>... someWeights)
-
SimplePortfolio
public SimplePortfolio(FinancePortfolio.Context portfolioContext, FinancePortfolio weightsPortfolio)
-
SimplePortfolio
public SimplePortfolio(double[] someWeights)
-
SimplePortfolio
public SimplePortfolio(java.util.List<SimpleAsset> someAssets)
-
-
Method Detail
-
toSimpleAssets
static java.util.List<SimpleAsset> toSimpleAssets(java.lang.Comparable<?>[] someWeights)
-
toSimpleAssets
static java.util.List<SimpleAsset> toSimpleAssets(double[] someWeights)
-
calculatePortfolioReturn
public double calculatePortfolioReturn(FinancePortfolio weightsPortfolio)
- Specified by:
calculatePortfolioReturn
in interfaceFinancePortfolio.Context
-
calculatePortfolioVariance
public double calculatePortfolioVariance(FinancePortfolio weightsPortfolio)
- Specified by:
calculatePortfolioVariance
in interfaceFinancePortfolio.Context
-
getAssetReturns
public MatrixR064 getAssetReturns()
- Specified by:
getAssetReturns
in interfaceFinancePortfolio.Context
-
getAssetVolatilities
public MatrixR064 getAssetVolatilities()
- Specified by:
getAssetVolatilities
in interfaceFinancePortfolio.Context
-
getCorrelation
public double getCorrelation(int row, int col)
-
getCorrelations
public MatrixR064 getCorrelations()
- Specified by:
getCorrelations
in interfaceFinancePortfolio.Context
-
getCovariance
public double getCovariance(int row, int col)
-
getCovariances
public MatrixR064 getCovariances()
- Specified by:
getCovariances
in interfaceFinancePortfolio.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 classFinancePortfolio
-
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 classFinancePortfolio
-
getReturnVariance
public double getReturnVariance(int index)
-
getSimulator
public PortfolioSimulator getSimulator()
-
getVolatility
public double getVolatility(int index)
-
getWeight
public java.math.BigDecimal getWeight(int index)
-
getWeights
public java.util.List<java.math.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 classFinancePortfolio
-
size
public int size()
- Specified by:
size
in interfaceFinancePortfolio.Context
-
reset
protected void reset()
- Specified by:
reset
in classFinancePortfolio
-
getAssetWeights
MatrixR064 getAssetWeights()
-
-