Class NormalisedPortfolio
java.lang.Object
org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
org.ojalgo.data.domain.finance.portfolio.NormalisedPortfolio
- All Implemented Interfaces:
Comparable<FinancePortfolio>
Normalised weights Portfolio
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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 final FinancePortfolio
private BigDecimal
private final NumberContext
Fields inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
MATRIX_FACTORY
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Constructor Summary
ConstructorsModifierConstructorDescriptionprivate
(package private)
NormalisedPortfolio
(FinancePortfolio basePortfolio, NumberContext weightsContext) -
Method Summary
Modifier and TypeMethodDescriptiondouble
The mean/expected return of this instrument.private BigDecimal
double
Volatility refers to the standard deviation of the change in value of an asset with a specific time horizon.This method returns a list of the weights of the Portfolio's contained assets.protected void
reset()
Methods inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
compareTo, forecast, getConformance, getLossProbability, getLossProbability, getReturnVariance, getSharpeRatio, getSharpeRatio, getValueAtRisk, getValueAtRisk95, normalise, normalise, toString
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Field Details
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myBasePortfolio
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myTotalWeight
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myWeightsContext
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Constructor Details
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NormalisedPortfolio
private NormalisedPortfolio() -
NormalisedPortfolio
NormalisedPortfolio(FinancePortfolio basePortfolio, NumberContext weightsContext)
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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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getVolatility
public double getVolatility()Description copied from class:FinancePortfolio
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 FinancePortfolio.getReturnVariance() or FinancePortfolio.getVolatility().- Overrides:
getVolatility
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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getTotalWeight
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reset
protected void reset()- Specified by:
reset
in classFinancePortfolio
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