Module ojalgo

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

Class PortfolioContext

java.lang.Object

org.ojalgo.data.domain.finance.portfolio.PortfolioContext

All Implemented Interfaces:

FinancePortfolio.Context

public class PortfolioContext
extends java.lang.Object
implements FinancePortfolio.Context

Field Summary

Fields

Modifier and Type	Field	Description
private MatrixR064	myAssetReturns
private MatrixR064	myAssetVolatilities
private MatrixR064	myCorrelations
private MatrixR064	myCovariances

Constructor Summary

Constructors

Modifier	Constructor	Description
private	PortfolioContext()
	PortfolioContext(Access1D<?> assetReturns, Access1D<?> assetVolatilities, Access2D<?> correlations)
	PortfolioContext(Access1D<?> assetReturns, Access2D<?> covariances)

Method Summary

Modifier and Type	Method	Description
double	calculatePortfolioReturn(FinancePortfolio weightsPortfolio)
double	calculatePortfolioVariance(FinancePortfolio weightsPortfolio)
MatrixR064	getAssetReturns()
MatrixR064	getAssetVolatilities()
MatrixR064	getCorrelations()
MatrixR064	getCovariances()
int	size()

Methods inherited from class java.lang.Object

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

Field Detail

myAssetReturns

private final MatrixR064 myAssetReturns

myAssetVolatilities

private MatrixR064 myAssetVolatilities

myCorrelations

private MatrixR064 myCorrelations

myCovariances

private MatrixR064 myCovariances

Constructor Detail

PortfolioContext

public PortfolioContext(Access1D<?> assetReturns,
                        Access1D<?> assetVolatilities,
                        Access2D<?> correlations)

PortfolioContext

public PortfolioContext(Access1D<?> assetReturns,
                        Access2D<?> covariances)

PortfolioContext

private PortfolioContext()

Method Detail

calculatePortfolioReturn

public double calculatePortfolioReturn(FinancePortfolio weightsPortfolio)

Specified by:

calculatePortfolioReturn in interface FinancePortfolio.Context

calculatePortfolioVariance

public double calculatePortfolioVariance(FinancePortfolio weightsPortfolio)

Specified by:

calculatePortfolioVariance in interface FinancePortfolio.Context

getAssetReturns

public MatrixR064 getAssetReturns()

Specified by:

getAssetReturns in interface FinancePortfolio.Context

getAssetVolatilities

public MatrixR064 getAssetVolatilities()

Specified by:

getAssetVolatilities in interface FinancePortfolio.Context

getCorrelations

public MatrixR064 getCorrelations()

Specified by:

getCorrelations in interface FinancePortfolio.Context

getCovariances

public MatrixR064 getCovariances()

Specified by:

getCovariances in interface FinancePortfolio.Context

size

public int size()

Specified by:

size in interface FinancePortfolio.Context