Class BlackLittermanContext

java.lang.Object

org.ojalgo.data.domain.finance.portfolio.BlackLittermanContext

All Implemented Interfaces:

FinancePortfolio.Context

final class BlackLittermanContext
extends Object
implements FinancePortfolio.Context

Constructor Summary

Constructors

Constructor	Description
BlackLittermanContext()

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 Object

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

Constructor Details

BlackLittermanContext

public BlackLittermanContext()

Method Details

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