Module ojalgo

Package org.ojalgo.data.domain.finance.portfolio.simulator

Class PortfolioSimulator

java.lang.Object

org.ojalgo.data.domain.finance.portfolio.simulator.PortfolioSimulator

public class PortfolioSimulator
extends java.lang.Object

Field Summary

Fields

Modifier and Type	Field	Description
private Process1D<GeometricBrownianMotion>	myProcess

Constructor Summary

Constructors

Modifier	Constructor	Description
private	PortfolioSimulator()
	PortfolioSimulator(Access2D<?> correlations, java.util.List<GeometricBrownianMotion> assetProcesses)

Method Summary

Modifier and Type	Method	Description
RandomProcess.SimulationResults	simulate(int aNumberOfRealisations, int aNumberOfSteps, double aStepSize)
RandomProcess.SimulationResults	simulate(int aNumberOfRealisations, int aNumberOfSteps, double aStepSize, int rebalancingInterval)
(package private) RandomProcess.SimulationResults	simulate(int aNumberOfRealisations, int aNumberOfSteps, double aStepSize, java.lang.Integer rebalancingInterval)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

myProcess

private Process1D<GeometricBrownianMotion> myProcess

Constructor Detail

PortfolioSimulator

public PortfolioSimulator(Access2D<?> correlations,
                          java.util.List<GeometricBrownianMotion> assetProcesses)

PortfolioSimulator

private PortfolioSimulator()

Method Detail

simulate

public RandomProcess.SimulationResults simulate(int aNumberOfRealisations,
                                                int aNumberOfSteps,
                                                double aStepSize)

simulate

public RandomProcess.SimulationResults simulate(int aNumberOfRealisations,
                                                int aNumberOfSteps,
                                                double aStepSize,
                                                int rebalancingInterval)

simulate

RandomProcess.SimulationResults simulate(int aNumberOfRealisations,
                                         int aNumberOfSteps,
                                         double aStepSize,
                                         java.lang.Integer rebalancingInterval)