Class FinancePortfolio

    • Constructor Detail

      • FinancePortfolio

        protected FinancePortfolio()
    • Method Detail

      • getConformance

        public final double getConformance​(FinancePortfolio reference)
      • getLossProbability

        public final double getLossProbability()
      • getLossProbability

        public final double getLossProbability​(java.lang.Number timePeriod)
      • getMeanReturn

        public abstract double getMeanReturn()
        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.
      • getSharpeRatio

        public final double getSharpeRatio()
      • getSharpeRatio

        public final double getSharpeRatio​(java.lang.Number riskFreeReturn)
      • getValueAtRisk

        public final double getValueAtRisk​(java.lang.Number confidenceLevel,
                                           java.lang.Number timePeriod)
        Value at Risk (VaR) is the maximum loss not exceeded with a given probability defined as the confidence level, over a given period of time.
      • getValueAtRisk95

        public final double getValueAtRisk95()
      • getVolatility

        public double getVolatility()
        Volatility refers to the standard deviation of the change in value of an asset with a specific time horizon. It is often used to quantify the risk of the asset over that time period. Subclasses must override either getReturnVariance() or getVolatility().
      • getWeights

        public abstract java.util.List<java.math.BigDecimal> getWeights()
        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 normalise() will transform any set of weights to that form.
      • normalise

        public final FinancePortfolio normalise()
        Normalised weights Portfolio
      • toString

        public java.lang.String toString()
        Overrides:
        toString in class java.lang.Object
      • reset

        protected abstract void reset()