Class FinancePortfolio
- java.lang.Object
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- org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
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- All Implemented Interfaces:
java.lang.Comparable<FinancePortfolio>
- Direct Known Subclasses:
BlackLittermanModel.View
,EquilibriumModel
,NormalisedPortfolio
,SimpleAsset
,SimplePortfolio
public abstract class FinancePortfolio extends java.lang.Object implements java.lang.Comparable<FinancePortfolio>
A FinancePortfolio is primarily a set of portfolio asset weights.
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Nested Class Summary
Nested Classes Modifier and Type Class Description static interface
FinancePortfolio.Context
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Field Summary
Fields Modifier and Type Field Description protected static MatrixR064.Factory
MATRIX_FACTORY
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Constructor Summary
Constructors Modifier Constructor Description protected
FinancePortfolio()
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Method Summary
All Methods Instance Methods Abstract Methods Concrete Methods Modifier and Type Method Description int
compareTo(FinancePortfolio reference)
GeometricBrownianMotion
forecast()
double
getConformance(FinancePortfolio reference)
double
getLossProbability()
double
getLossProbability(java.lang.Number timePeriod)
abstract double
getMeanReturn()
The mean/expected return of this instrument.double
getReturnVariance()
The instrument's return variance.double
getSharpeRatio()
double
getSharpeRatio(java.lang.Number riskFreeReturn)
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.double
getValueAtRisk95()
double
getVolatility()
Volatility refers to the standard deviation of the change in value of an asset with a specific time horizon.abstract java.util.List<java.math.BigDecimal>
getWeights()
This method returns a list of the weights of the Portfolio's contained assets.FinancePortfolio
normalise()
Normalised weights PortfolioFinancePortfolio
normalise(NumberContext weightsContext)
Normalised weights Portfolioprotected abstract void
reset()
java.lang.String
toString()
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Field Detail
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MATRIX_FACTORY
protected static final MatrixR064.Factory MATRIX_FACTORY
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Method Detail
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compareTo
public final int compareTo(FinancePortfolio reference)
- Specified by:
compareTo
in interfacejava.lang.Comparable<FinancePortfolio>
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forecast
public final GeometricBrownianMotion forecast()
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getConformance
public final double getConformance(FinancePortfolio reference)
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getLossProbability
public final double getLossProbability()
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getLossProbability
public final double getLossProbability(java.lang.Number timePeriod)
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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.
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getReturnVariance
public double getReturnVariance()
The instrument's return variance. Subclasses must override either getReturnVariance() or getVolatility().
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getSharpeRatio
public final double getSharpeRatio()
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getSharpeRatio
public final double getSharpeRatio(java.lang.Number riskFreeReturn)
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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.
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getValueAtRisk95
public final double getValueAtRisk95()
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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().
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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.
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normalise
public final FinancePortfolio normalise()
Normalised weights Portfolio
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normalise
public final FinancePortfolio normalise(NumberContext weightsContext)
Normalised weights Portfolio
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toString
public java.lang.String toString()
- Overrides:
toString
in classjava.lang.Object
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reset
protected abstract void reset()
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