Uses of Class
org.ojalgo.matrix.MatrixR064
Packages that use MatrixR064
Package
Description
Classes in this package relate to modelling of financial investment portfolios, and Modern Portfolio
Theory.
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Uses of MatrixR064 in org.ojalgo.data.domain.finance
Methods in org.ojalgo.data.domain.finance that return MatrixR064Modifier and TypeMethodDescriptionstatic <V extends Comparable<V>>
MatrixR064FinanceUtils.makeCovarianceMatrix
(Collection<CalendarDateSeries<V>> timeSeriesCollection) static <N extends Comparable<N>>
MatrixR064FinanceUtils.makeCovarianceMatrix
(List<CalendarDateSeries<N>> listOfTimeSeries, boolean mayBeMissingValues) static MatrixR064
FinanceUtils.toCorrelations
(Access2D<?> covariances) static MatrixR064
FinanceUtils.toCorrelations
(Access2D<?> covariances, boolean clean) Will extract the correlation coefficients from the input covariance matrix.static MatrixR064
FinanceUtils.toCovariances
(Access1D<?> volatilities, Access2D<?> correlations) Vill constract a covariance matrix from the standard deviations (volatilities) and correlation coefficient,static MatrixR064
FinanceUtils.toVolatilities
(Access2D<?> covariances) static MatrixR064
FinanceUtils.toVolatilities
(Access2D<?> covariances, boolean clean) Will extract the standard deviations (volatilities) from the input covariance matrix. -
Uses of MatrixR064 in org.ojalgo.data.domain.finance.portfolio
Fields in org.ojalgo.data.domain.finance.portfolio declared as MatrixR064Modifier and TypeFieldDescriptionprivate MatrixR064
EquilibriumModel.myAssetReturns
private final MatrixR064
PortfolioContext.myAssetReturns
private MatrixR064
SimplePortfolio.myAssetReturns
private MatrixR064
EquilibriumModel.myAssetVolatilities
private MatrixR064
PortfolioContext.myAssetVolatilities
private MatrixR064
SimplePortfolio.myAssetVolatilities
private MatrixR064
EquilibriumModel.myAssetWeights
private MatrixR064
SimplePortfolio.myAssetWeights
private MatrixR064
PortfolioContext.myCorrelations
private final MatrixR064
SimplePortfolio.myCorrelations
private final MatrixR064
MarketEquilibrium.myCovariances
private MatrixR064
PortfolioContext.myCovariances
private MatrixR064
SimplePortfolio.myCovariances
private final MatrixR064
OptimisedPortfolio.myExpectedExcessReturns
private final MatrixR064
BlackLittermanModel.myOriginalWeights
private final MatrixR064
FixedReturnsPortfolio.myReturns
private final MatrixR064
FixedWeightsPortfolio.myWeights
Methods in org.ojalgo.data.domain.finance.portfolio that return MatrixR064Modifier and TypeMethodDescriptionprotected MatrixR064
BlackLittermanModel.calculateAssetReturns()
protected abstract MatrixR064
EquilibriumModel.calculateAssetReturns()
protected final MatrixR064
EquilibriumModel.calculateAssetReturns
(MatrixR064 aWeightsVctr) protected MatrixR064
FixedReturnsPortfolio.calculateAssetReturns()
protected MatrixR064
FixedWeightsPortfolio.calculateAssetReturns()
MarketEquilibrium.calculateAssetReturns
(MatrixR064 assetWeights) If the input vector of asset weights are the weights of the market portfolio, then the ouput is the equilibrium excess returns.protected final MatrixR064
OptimisedPortfolio.calculateAssetReturns()
protected MatrixR064
BlackLittermanModel.calculateAssetWeights()
protected MatrixR064
EfficientFrontier.calculateAssetWeights()
protected abstract MatrixR064
EquilibriumModel.calculateAssetWeights()
protected final MatrixR064
EquilibriumModel.calculateAssetWeights
(MatrixR064 aReturnsVctr) protected MatrixR064
FixedReturnsPortfolio.calculateAssetWeights()
protected MatrixR064
FixedWeightsPortfolio.calculateAssetWeights()
MarketEquilibrium.calculateAssetWeights
(MatrixR064 assetReturns) If the input vector of returns are the equilibrium excess returns then the output is the market portfolio weights.protected MatrixR064
MarkowitzModel.calculateAssetWeights()
Constrained optimisation.BlackLittermanContext.getAssetReturns()
final MatrixR064
EquilibriumModel.getAssetReturns()
FinancePortfolio.Context.getAssetReturns()
PortfolioContext.getAssetReturns()
SimplePortfolio.getAssetReturns()
BlackLittermanContext.getAssetVolatilities()
final MatrixR064
EquilibriumModel.getAssetVolatilities()
FinancePortfolio.Context.getAssetVolatilities()
PortfolioContext.getAssetVolatilities()
SimplePortfolio.getAssetVolatilities()
final MatrixR064
EquilibriumModel.getAssetWeights()
(package private) MatrixR064
SimplePortfolio.getAssetWeights()
BlackLittermanContext.getCorrelations()
final MatrixR064
EquilibriumModel.getCorrelations()
FinancePortfolio.Context.getCorrelations()
PortfolioContext.getCorrelations()
SimplePortfolio.getCorrelations()
BlackLittermanContext.getCovariances()
final MatrixR064
EquilibriumModel.getCovariances()
FinancePortfolio.Context.getCovariances()
MarketEquilibrium.getCovariances()
PortfolioContext.getCovariances()
SimplePortfolio.getCovariances()
protected MatrixR064
BlackLittermanModel.getOriginalReturns()
protected MatrixR064
BlackLittermanModel.getOriginalWeights()
protected MatrixR064
BlackLittermanModel.getViewPortfolios()
protected MatrixR064
BlackLittermanModel.getViewReturns()
Scaled by risk aversion factor.protected MatrixR064
BlackLittermanModel.getViewVariances()
Scaled by tau / weight on viewsprotected final MatrixR064
OptimisedPortfolio.handle
(Optimisation.Result optimisationResult) MarketEquilibrium.toCorrelations()
Methods in org.ojalgo.data.domain.finance.portfolio with parameters of type MatrixR064Modifier and TypeMethodDescriptionprotected final MatrixR064
EquilibriumModel.calculateAssetReturns
(MatrixR064 aWeightsVctr) MarketEquilibrium.calculateAssetReturns
(MatrixR064 assetWeights) If the input vector of asset weights are the weights of the market portfolio, then the ouput is the equilibrium excess returns.protected final MatrixR064
EquilibriumModel.calculateAssetWeights
(MatrixR064 aReturnsVctr) MarketEquilibrium.calculateAssetWeights
(MatrixR064 assetReturns) If the input vector of returns are the equilibrium excess returns then the output is the market portfolio weights.(package private) Scalar
<?> MarketEquilibrium.calculateImpliedRiskAversion
(MatrixR064 assetWeights, MatrixR064 assetReturns) Will calculate the risk aversion factor that is the best fit for an observed pair of market portfolio weights and equilibrium/historical excess returns.protected final Scalar
<?> EquilibriumModel.calculatePortfolioReturn
(MatrixR064 aWeightsVctr, MatrixR064 aReturnsVctr) static Scalar
<?> MarketEquilibrium.calculatePortfolioReturn
(MatrixR064 assetWeights, MatrixR064 assetReturns) Calculates the portfolio return using the input asset weights and returns.(package private) Scalar
<?> MarkowitzModel.calculatePortfolioReturn
(Access1D<?> weightsVctr, MatrixR064 returnsVctr) protected final Scalar
<?> EquilibriumModel.calculatePortfolioVariance
(MatrixR064 aWeightsVctr) Scalar
<?> MarketEquilibrium.calculatePortfolioVariance
(MatrixR064 assetWeights) Calculates the portfolio variance using the input instrument weights.(package private) BigDecimal
BlackLittermanModel.calculateVariance
(MatrixR064 weights) protected final void
EquilibriumModel.calibrate
(MatrixR064 aWeightsVctr, MatrixR064 aReturnsVctr) void
MarketEquilibrium.calibrate
(MatrixR064 assetWeights, MatrixR064 assetReturns) Will set the risk aversion factor to the best fit for an observed pair of market portfolio asset weights and equilibrium/historical excess returns.Constructors in org.ojalgo.data.domain.finance.portfolio with parameters of type MatrixR064ModifierConstructorDescriptionBlackLittermanModel
(MarketEquilibrium marketEquilibrium, MatrixR064 originalWeights) EfficientFrontier
(MarketEquilibrium marketEquilibrium, MatrixR064 expectedExcessReturns) EfficientFrontier
(MatrixR064 covarianceMatrix, MatrixR064 expectedExcessReturns) FixedReturnsPortfolio
(MarketEquilibrium aMarketEquilibrium, MatrixR064 returnsVector) FixedWeightsPortfolio
(MarketEquilibrium aMarketEquilibrium, MatrixR064 assetWeightsInColumn) MarkowitzModel
(MarketEquilibrium marketEquilibrium, MatrixR064 expectedExcessReturns) MarkowitzModel
(MatrixR064 covarianceMatrix, MatrixR064 expectedExcessReturns) (package private)
OptimisedPortfolio
(MarketEquilibrium marketEquilibrium, MatrixR064 expectedExcessReturns) (package private)
OptimisedPortfolio
(MatrixR064 covarianceMatrix, MatrixR064 expectedExcessReturns) -
Uses of MatrixR064 in org.ojalgo.matrix
Methods in org.ojalgo.matrix that return MatrixR064Modifier and TypeMethodDescriptionMatrixC128.getArgument()
MatrixC128.getImaginary()
MatrixC128.getModulus()
MatrixC128.getReal()
(package private) MatrixR064
MatrixR064.DenseReceiver.instantiate
(MatrixStore<Double> store) (package private) MatrixR064
MatrixR064.SparseReceiver.instantiate
(MatrixStore<Double> store) (package private) MatrixR064
MatrixR064.newInstance
(ElementsSupplier<Double> store)