Class BlackLittermanModel.View
java.lang.Object
org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
org.ojalgo.data.domain.finance.portfolio.BlackLittermanModel.View
- All Implemented Interfaces:
Comparable<FinancePortfolio>
- Enclosing class:
BlackLittermanModel
View/Forecast/Opinion
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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 BigDecimal
private final BlackLittermanModel
private BigDecimal
private BigDecimal
private final List
<BigDecimal> Fields inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
MATRIX_FACTORY
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Constructor Summary
ConstructorsModifierConstructorDescriptionprivate
View()
View
(BlackLittermanModel aModel, List<BigDecimal> someWeights) -
Method Summary
Modifier and TypeMethodDescriptiondouble
The mean/expected return of this instrument.double
The instrument's return variance.This method returns a list of the weights of the Portfolio's contained assets.protected void
reset()
protected void
setMeanReturn
(BigDecimal aMeanReturn) protected void
setReturnVariance
(BigDecimal aReturnVariance) protected void
setScale
(BigDecimal aScale) 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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myMeanReturn
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myModel
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myReturnVariance
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myScale
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myWeights
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Constructor Details
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View
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View
private View()
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Method Details
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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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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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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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reset
protected void reset()- Specified by:
reset
in classFinancePortfolio
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setMeanReturn
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setReturnVariance
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setScale
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