Module ojalgo

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

Class BlackLittermanModel.View

java.lang.Object

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

org.ojalgo.data.domain.finance.portfolio.BlackLittermanModel.View

All Implemented Interfaces:

Comparable<FinancePortfolio>

Enclosing class:

BlackLittermanModel

private static final class BlackLittermanModel.View
extends FinancePortfolio

View/Forecast/Opinion

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 BigDecimal	myMeanReturn
private final BlackLittermanModel	myModel
private BigDecimal	myReturnVariance
private BigDecimal	myScale
private final List<BigDecimal>	myWeights

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

MATRIX_FACTORY

Constructor Summary

Constructors

Modifier	Constructor	Description
private	View()
	View(BlackLittermanModel aModel, List<BigDecimal> someWeights)

Method Summary

Modifier and Type	Method	Description
double	getMeanReturn()	The mean/expected return of this instrument.
double	getReturnVariance()	The instrument's return variance.
List<BigDecimal>	getWeights()	This method returns a list of the weights of the Portfolio's contained assets.
protected void	reset()
protected void	setMeanReturn(BigDecimal aMeanReturn)
protected void	setReturnVariance(BigDecimal aReturnVariance)
protected void	setScale(BigDecimal aScale)

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

compareTo, forecast, getConformance, getLossProbability, getLossProbability, getSharpeRatio, getSharpeRatio, getValueAtRisk, getValueAtRisk95, getVolatility, normalise, normalise, toString

Methods inherited from class java.lang.Object

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

Field Details

myMeanReturn

private BigDecimal myMeanReturn

myModel

private final BlackLittermanModel myModel

myReturnVariance

private BigDecimal myReturnVariance

myScale

private BigDecimal myScale

myWeights

private final List<BigDecimal> myWeights

Constructor Details

View

public View(BlackLittermanModel aModel,
 List<BigDecimal> someWeights)

View

private View()

Method Details

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

getReturnVariance

public double getReturnVariance()

Description copied from class: FinancePortfolio

The instrument's return variance. Subclasses must override either FinancePortfolio.getReturnVariance() or FinancePortfolio.getVolatility().

Overrides:

getReturnVariance in class FinancePortfolio

getWeights

public List<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

reset

protected void reset()

Specified by:

reset in class FinancePortfolio

setMeanReturn

protected void setMeanReturn(BigDecimal aMeanReturn)

setReturnVariance

protected void setReturnVariance(BigDecimal aReturnVariance)

setScale

protected void setScale(BigDecimal aScale)