Class SimplePortfolio
java.lang.Object
org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
org.ojalgo.data.domain.finance.portfolio.SimplePortfolio
- All Implemented Interfaces:
Comparable<FinancePortfolio>
,FinancePortfolio.Context
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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 List
<SimpleAsset> private final MatrixR064
private MatrixR064
private Comparable
<?> private Comparable
<?> private List
<BigDecimal> Fields inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
MATRIX_FACTORY
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Constructor Summary
ConstructorsConstructorDescriptionSimplePortfolio
(double[] someWeights) SimplePortfolio
(Comparable<?>... someWeights) SimplePortfolio
(List<SimpleAsset> someAssets) SimplePortfolio
(FinancePortfolio.Context portfolioContext, FinancePortfolio weightsPortfolio) SimplePortfolio
(Access2D<?> correlationsMatrix, List<SimpleAsset> someAssets) -
Method Summary
Modifier and TypeMethodDescriptiondouble
calculatePortfolioReturn
(FinancePortfolio weightsPortfolio) double
calculatePortfolioVariance
(FinancePortfolio weightsPortfolio) (package private) MatrixR064
double
getCorrelation
(int row, int col) double
getCovariance
(int row, int col) double
The mean/expected return of this instrument.double
getMeanReturn
(int index) double
The instrument's return variance.double
getReturnVariance
(int index) double
getVolatility
(int index) getWeight
(int index) This method returns a list of the weights of the Portfolio's contained assets.protected void
reset()
int
size()
(package private) static List
<SimpleAsset> toSimpleAssets
(double[] someWeights) (package private) static List
<SimpleAsset> toSimpleAssets
(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
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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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myComponents
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myCorrelations
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myCovariances
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myMeanReturn
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myReturnVariance
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myWeights
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Constructor Details
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SimplePortfolio
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SimplePortfolio
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SimplePortfolio
public SimplePortfolio(FinancePortfolio.Context portfolioContext, FinancePortfolio weightsPortfolio) -
SimplePortfolio
public SimplePortfolio(double[] someWeights) -
SimplePortfolio
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Method Details
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toSimpleAssets
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toSimpleAssets
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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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getCorrelation
public double getCorrelation(int row, int col) -
getCorrelations
- Specified by:
getCorrelations
in interfaceFinancePortfolio.Context
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getCovariance
public double getCovariance(int row, int col) -
getCovariances
- Specified by:
getCovariances
in interfaceFinancePortfolio.Context
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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
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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
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getReturnVariance
public double getReturnVariance(int index) -
getSimulator
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getVolatility
public double getVolatility(int index) -
getWeight
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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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size
public int size()- Specified by:
size
in interfaceFinancePortfolio.Context
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reset
protected void reset()- Specified by:
reset
in classFinancePortfolio
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getAssetWeights
MatrixR064 getAssetWeights()
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