Class FixedWeightsPortfolio
- java.lang.Object
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- org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
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- org.ojalgo.data.domain.finance.portfolio.EquilibriumModel
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- org.ojalgo.data.domain.finance.portfolio.FixedWeightsPortfolio
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- All Implemented Interfaces:
java.lang.Comparable<FinancePortfolio>
,FinancePortfolio.Context
public final class FixedWeightsPortfolio extends EquilibriumModel
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Nested Class Summary
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Nested classes/interfaces inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
FinancePortfolio.Context
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Field Summary
Fields Modifier and Type Field Description private MatrixR064
myWeights
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Fields inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
MATRIX_FACTORY
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Constructor Summary
Constructors Modifier Constructor Description FixedWeightsPortfolio(FinancePortfolio.Context aContext, FinancePortfolio weightsPortfolio)
private
FixedWeightsPortfolio(MarketEquilibrium aMarketEquilibrium)
FixedWeightsPortfolio(MarketEquilibrium aMarketEquilibrium, MatrixR064 assetWeightsInColumn)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description protected MatrixR064
calculateAssetReturns()
protected MatrixR064
calculateAssetWeights()
void
calibrate(java.util.List<? extends java.lang.Comparable<?>> targetReturns)
void
calibrate(FinancePortfolio.Context targetReturns)
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Methods inherited from class org.ojalgo.data.domain.finance.portfolio.EquilibriumModel
calculateAssetReturns, calculateAssetWeights, calculatePortfolioReturn, calculatePortfolioReturn, calculatePortfolioVariance, calculatePortfolioVariance, calibrate, getAssetReturns, getAssetVolatilities, getAssetWeights, getCorrelations, getCovariances, getMarketEquilibrium, getMeanReturn, getReturnVariance, getRiskAversion, getSymbols, getWeights, isDefaultRiskAversion, reset, setRiskAversion, size, toSimpleAssets, toSimplePortfolio, toString
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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 Detail
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myWeights
private final MatrixR064 myWeights
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Constructor Detail
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FixedWeightsPortfolio
public FixedWeightsPortfolio(FinancePortfolio.Context aContext, FinancePortfolio weightsPortfolio)
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FixedWeightsPortfolio
public FixedWeightsPortfolio(MarketEquilibrium aMarketEquilibrium, MatrixR064 assetWeightsInColumn)
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FixedWeightsPortfolio
private FixedWeightsPortfolio(MarketEquilibrium aMarketEquilibrium)
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Method Detail
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calibrate
public void calibrate(FinancePortfolio.Context targetReturns)
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calibrate
public void calibrate(java.util.List<? extends java.lang.Comparable<?>> targetReturns)
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calculateAssetReturns
protected MatrixR064 calculateAssetReturns()
- Specified by:
calculateAssetReturns
in classEquilibriumModel
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calculateAssetWeights
protected MatrixR064 calculateAssetWeights()
- Specified by:
calculateAssetWeights
in classEquilibriumModel
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