Class FinancePortfolio
java.lang.Object
org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
- All Implemented Interfaces:
Comparable<FinancePortfolio>
- Direct Known Subclasses:
BlackLittermanModel.View
,EquilibriumModel
,NormalisedPortfolio
,SimpleAsset
,SimplePortfolio
A FinancePortfolio is primarily a set of portfolio asset weights.
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Nested Class Summary
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Field Summary
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Constructor Summary
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Method Summary
Modifier and TypeMethodDescriptionfinal int
compareTo
(FinancePortfolio reference) final GeometricBrownianMotion
forecast()
final double
getConformance
(FinancePortfolio reference) final double
final double
getLossProbability
(Number timePeriod) abstract double
The mean/expected return of this instrument.double
The instrument's return variance.final double
final double
getSharpeRatio
(Number riskFreeReturn) final double
getValueAtRisk
(Number confidenceLevel, 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.final double
double
Volatility refers to the standard deviation of the change in value of an asset with a specific time horizon.abstract List
<BigDecimal> This method returns a list of the weights of the Portfolio's contained assets.final FinancePortfolio
Normalised weights Portfoliofinal FinancePortfolio
normalise
(NumberContext weightsContext) Normalised weights Portfolioprotected abstract void
reset()
toString()
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Field Details
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MATRIX_FACTORY
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Constructor Details
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FinancePortfolio
protected FinancePortfolio()
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Method Details
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compareTo
- Specified by:
compareTo
in interfaceComparable<FinancePortfolio>
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forecast
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getConformance
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getLossProbability
public final double getLossProbability() -
getLossProbability
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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. -
getReturnVariance
public double getReturnVariance()The instrument's return variance. Subclasses must override either getReturnVariance() or getVolatility(). -
getSharpeRatio
public final double getSharpeRatio() -
getSharpeRatio
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getValueAtRisk
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
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
Normalised weights Portfolio -
normalise
Normalised weights Portfolio -
toString
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reset
protected abstract void reset()
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