Module ojalgo

Package org.ojalgo.data.domain.finance

Class FinanceUtils

java.lang.Object

org.ojalgo.data.domain.finance.FinanceUtils

public abstract class FinanceUtils
extends java.lang.Object

Constructor Summary

Constructors

Modifier	Constructor	Description
private	FinanceUtils()

Method Summary

Modifier and Type	Method	Description
static double	calculateValueAtRisk(double expRet, double stdDev, double confidence, double time)
private static <K extends java.lang.Comparable<? super K>> void	copyValues(CalendarDateSeries<java.math.BigDecimal> series, CalendarDate firstKey, double[] values)
static GeometricBrownianMotion	estimateExcessDiffusionProcess(CalendarDateSeries<?> priceSeries, CalendarDateSeries<?> riskFreeInterestRateSeries, CalendarDateUnit timeUnit)
static CalendarDateSeries<RandomNumber>	forecast(CalendarDateSeries<? extends java.lang.Comparable<?>> series, int pointCount, CalendarDateUnit timeUnit, boolean includeOriginalSeries)
static CalendarDateSeries<java.math.BigDecimal>	makeCalendarPriceSeries(double[] prices, java.util.Calendar startCalendar, CalendarDateUnit resolution)
static <V extends java.lang.Comparable<V>> MatrixR064	makeCovarianceMatrix(java.util.Collection<CalendarDateSeries<V>> timeSeriesCollection)
static <N extends java.lang.Comparable<N>> MatrixR064	makeCovarianceMatrix(java.util.List<CalendarDateSeries<N>> listOfTimeSeries, boolean mayBeMissingValues)
static CalendarDateSeries<java.math.BigDecimal>	makeDatePriceSeries(double[] prices, java.util.Date startDate, CalendarDateUnit resolution)
static SampleSet	makeExcessGrowthRateSampleSet(CalendarDateSeries<?> priceSeries, CalendarDateSeries<?> riskFreeInterestRateSeries)
static CalendarDateSeries<java.lang.Double>	makeNormalisedExcessPrice(CalendarDateSeries<?> priceSeries, CalendarDateSeries<?> riskFreeInterestRateSeries)
static double	toAnnualReturnFromGrowthFactor(double growthFactor, CalendarDateUnit growthFactorUnit)	GrowthRate = ln(GrowthFactor)
static double	toAnnualReturnFromGrowthRate(double growthRate, CalendarDateUnit growthRateUnit)	AnnualReturn = exp(GrowthRate * GrowthRateUnitsPerYear) - 1.0
static MatrixR064	toCorrelations(Access2D<?> covariances)
static MatrixR064	toCorrelations(Access2D<?> covariances, boolean clean)	Will extract the correlation coefficients from the input covariance matrix.
static MatrixR064	toCovariances(Access1D<?> volatilities, Access2D<?> correlations)	Vill constract a covariance matrix from the standard deviations (volatilities) and correlation coefficient,
static double	toGrowthFactorFromAnnualReturn(double annualReturn, CalendarDateUnit growthFactorUnit)	GrowthFactor = exp(GrowthRate)
static double	toGrowthRateFromAnnualReturn(double annualReturn, CalendarDateUnit growthRateUnit)	GrowthRate = ln(1.0 + InterestRate) / GrowthRateUnitsPerYear
static MatrixR064	toVolatilities(Access2D<?> covariances)
static MatrixR064	toVolatilities(Access2D<?> covariances, boolean clean)	Will extract the standard deviations (volatilities) from the input covariance matrix.

Methods inherited from class java.lang.Object

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

Constructor Detail

FinanceUtils

private FinanceUtils()

Method Detail

calculateValueAtRisk

public static double calculateValueAtRisk(double expRet,
                                          double stdDev,
                                          double confidence,
                                          double time)

estimateExcessDiffusionProcess

public static GeometricBrownianMotion estimateExcessDiffusionProcess(CalendarDateSeries<?> priceSeries,
                                                                     CalendarDateSeries<?> riskFreeInterestRateSeries,
                                                                     CalendarDateUnit timeUnit)

forecast

public static CalendarDateSeries<RandomNumber> forecast(CalendarDateSeries<? extends java.lang.Comparable<?>> series,
                                                        int pointCount,
                                                        CalendarDateUnit timeUnit,
                                                        boolean includeOriginalSeries)

makeCalendarPriceSeries

public static CalendarDateSeries<java.math.BigDecimal> makeCalendarPriceSeries(double[] prices,
                                                                               java.util.Calendar startCalendar,
                                                                               CalendarDateUnit resolution)

makeCovarianceMatrix

public static <V extends java.lang.Comparable<V>> MatrixR064 makeCovarianceMatrix(java.util.Collection<CalendarDateSeries<V>> timeSeriesCollection)

Returns:

Annualised covariances

makeCovarianceMatrix

public static <N extends java.lang.Comparable<N>> MatrixR064 makeCovarianceMatrix(java.util.List<CalendarDateSeries<N>> listOfTimeSeries,
                                                                                  boolean mayBeMissingValues)

Parameters:

listOfTimeSeries - An ordered collection of time series

mayBeMissingValues - Individual series may be missing some values - try to fix this or not

Returns:

Annualised covariances

makeDatePriceSeries

public static CalendarDateSeries<java.math.BigDecimal> makeDatePriceSeries(double[] prices,
                                                                           java.util.Date startDate,
                                                                           CalendarDateUnit resolution)

makeExcessGrowthRateSampleSet

public static SampleSet makeExcessGrowthRateSampleSet(CalendarDateSeries<?> priceSeries,
                                                      CalendarDateSeries<?> riskFreeInterestRateSeries)

Parameters:

priceSeries - A series of prices

riskFreeInterestRateSeries - A series of interest rates (risk free return expressed in %, 5.0 means 5.0% annualized risk free return)

Returns:

A sample set of price growth rates adjusted for risk free return

makeNormalisedExcessPrice

public static CalendarDateSeries<java.lang.Double> makeNormalisedExcessPrice(CalendarDateSeries<?> priceSeries,
                                                                             CalendarDateSeries<?> riskFreeInterestRateSeries)

Parameters:

priceSeries - A series of prices

riskFreeInterestRateSeries - A series of interest rates (risk free return expressed in %, 5.0 means 5.0% annualized risk free return)

Returns:

A sample set of price growth rates adjusted for risk free return

toAnnualReturnFromGrowthFactor

public static double toAnnualReturnFromGrowthFactor(double growthFactor,
                                                    CalendarDateUnit growthFactorUnit)

GrowthRate = ln(GrowthFactor)

Parameters:

growthFactor - A growth factor per unit (day, week, month, year...)

growthFactorUnit - A growth factor unit

Returns:

Annualised return (percentage per year)

toAnnualReturnFromGrowthRate

public static double toAnnualReturnFromGrowthRate(double growthRate,
                                                  CalendarDateUnit growthRateUnit)

AnnualReturn = exp(GrowthRate * GrowthRateUnitsPerYear) - 1.0

Parameters:

growthRate - A growth rate per unit (day, week, month, year...)

growthRateUnit - A growth rate unit

Returns:

Annualised return (percentage per year)

toCorrelations

public static MatrixR064 toCorrelations(Access2D<?> covariances)

toCorrelations

public static MatrixR064 toCorrelations(Access2D<?> covariances,
                                        boolean clean)

Will extract the correlation coefficients from the input covariance matrix. If "cleaning" is enabled small and negative eigenvalues of the covariance matrix will be replaced with a new minimal value.

toCovariances

public static MatrixR064 toCovariances(Access1D<?> volatilities,
                                       Access2D<?> correlations)

Vill constract a covariance matrix from the standard deviations (volatilities) and correlation coefficient,

toGrowthFactorFromAnnualReturn

public static double toGrowthFactorFromAnnualReturn(double annualReturn,
                                                    CalendarDateUnit growthFactorUnit)

GrowthFactor = exp(GrowthRate)

Parameters:

annualReturn - Annualised return (percentage per year)

growthFactorUnit - A growth factor unit

Returns:

A growth factor per unit (day, week, month, year...)

toGrowthRateFromAnnualReturn

public static double toGrowthRateFromAnnualReturn(double annualReturn,
                                                  CalendarDateUnit growthRateUnit)

GrowthRate = ln(1.0 + InterestRate) / GrowthRateUnitsPerYear

Parameters:

annualReturn - Annualised return (percentage per year)

growthRateUnit - A growth rate unit

Returns:

A growth rate per unit (day, week, month, year...)

toVolatilities

public static MatrixR064 toVolatilities(Access2D<?> covariances)

toVolatilities

public static MatrixR064 toVolatilities(Access2D<?> covariances,
                                        boolean clean)

Will extract the standard deviations (volatilities) from the input covariance matrix. If "cleaning" is enabled small variances will be replaced with a new minimal value.

copyValues

private static <K extends java.lang.Comparable<? super K>> void copyValues(CalendarDateSeries<java.math.BigDecimal> series,
                                                                           CalendarDate firstKey,
                                                                           double[] values)