Module ojalgo

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

Class NormalisedPortfolio

java.lang.Object

org.ojalgo.data.domain.finance.portfolio.FinancePortfolio

org.ojalgo.data.domain.finance.portfolio.NormalisedPortfolio

All Implemented Interfaces:

java.lang.Comparable<FinancePortfolio>

final class NormalisedPortfolio
extends FinancePortfolio

Normalised weights Portfolio

Nested Class Summary

Nested classes/interfaces inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio

FinancePortfolio.Context

Field Summary

Fields

Modifier and Type	Field	Description
private FinancePortfolio	myBasePortfolio
private java.math.BigDecimal	myTotalWeight
private NumberContext	myWeightsContext

Fields inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio

MATRIX_FACTORY

Constructor Summary

Constructors

Modifier	Constructor	Description
private	NormalisedPortfolio()
(package private)	NormalisedPortfolio(FinancePortfolio basePortfolio, NumberContext weightsContext)

Method Summary

Modifier and Type	Method	Description
double	getMeanReturn()	The mean/expected return of this instrument.
private java.math.BigDecimal	getTotalWeight()
double	getVolatility()	Volatility refers to the standard deviation of the change in value of an asset with a specific time horizon.
java.util.List<java.math.BigDecimal>	getWeights()	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

Methods inherited from class java.lang.Object

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

Field Detail

myBasePortfolio

private final FinancePortfolio myBasePortfolio

myTotalWeight

private transient java.math.BigDecimal myTotalWeight

myWeightsContext

private final NumberContext myWeightsContext

Constructor Detail

NormalisedPortfolio

private NormalisedPortfolio()

NormalisedPortfolio

NormalisedPortfolio(FinancePortfolio basePortfolio,
                    NumberContext weightsContext)

Method Detail

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 class FinancePortfolio

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 class FinancePortfolio

getWeights

public java.util.List<java.math.BigDecimal> 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 class FinancePortfolio

getTotalWeight

private java.math.BigDecimal getTotalWeight()

reset

protected void reset()

Specified by:

reset in class FinancePortfolio