Module ojalgo

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

Class FixedWeightsPortfolio

java.lang.Object

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

org.ojalgo.data.domain.finance.portfolio.EquilibriumModel

org.ojalgo.data.domain.finance.portfolio.FixedWeightsPortfolio

All Implemented Interfaces:

Comparable<FinancePortfolio>, FinancePortfolio.Context

public final class FixedWeightsPortfolio
extends EquilibriumModel

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 final MatrixR064	myWeights

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

MATRIX_FACTORY

Constructor Summary

Constructors

Modifier	Constructor	Description
	FixedWeightsPortfolio(FinancePortfolio.Context aContext, FinancePortfolio weightsPortfolio)
private	FixedWeightsPortfolio(MarketEquilibrium aMarketEquilibrium)
	FixedWeightsPortfolio(MarketEquilibrium aMarketEquilibrium, MatrixR064 assetWeightsInColumn)

Method Summary

Modifier and Type	Method	Description
protected MatrixR064	calculateAssetReturns()
protected MatrixR064	calculateAssetWeights()
void	calibrate(List<? extends Comparable<?>> targetReturns)
void	calibrate(FinancePortfolio.Context targetReturns)

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

calculateAssetReturns, calculateAssetWeights, calculatePortfolioReturn, calculatePortfolioReturn, calculatePortfolioVariance, calculatePortfolioVariance, calibrate, getAssetReturns, getAssetVolatilities, getAssetWeights, getCorrelations, getCovariances, getMarketEquilibrium, getMeanReturn, getReturnVariance, getRiskAversion, getSymbols, getWeights, isDefaultRiskAversion, reset, setRiskAversion, size, toSimpleAssets, toSimplePortfolio, toString

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

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

Methods inherited from class java.lang.Object

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

Field Details

myWeights

private final MatrixR064 myWeights

Constructor Details

FixedWeightsPortfolio

public FixedWeightsPortfolio(FinancePortfolio.Context aContext,
 FinancePortfolio weightsPortfolio)

FixedWeightsPortfolio

public FixedWeightsPortfolio(MarketEquilibrium aMarketEquilibrium,
 MatrixR064 assetWeightsInColumn)

FixedWeightsPortfolio

private FixedWeightsPortfolio(MarketEquilibrium aMarketEquilibrium)

Method Details

calibrate

public void calibrate(FinancePortfolio.Context targetReturns)

calibrate

public void calibrate(List<? extends Comparable<?>> targetReturns)

calculateAssetReturns

protected MatrixR064 calculateAssetReturns()

Specified by:

calculateAssetReturns in class EquilibriumModel

calculateAssetWeights

protected MatrixR064 calculateAssetWeights()

Specified by:

calculateAssetWeights in class EquilibriumModel