Class FinancePortfolio

java.lang.Object
org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
All Implemented Interfaces:
Comparable<FinancePortfolio>
Direct Known Subclasses:
BlackLittermanModel.View, EquilibriumModel, NormalisedPortfolio, SimpleAsset, SimplePortfolio
public abstract class FinancePortfolio extends Object implements Comparable<FinancePortfolio>
A FinancePortfolio is primarily a set of portfolio asset weights.

  • Field Details

  • Constructor Details

    • FinancePortfolio

      protected FinancePortfolio()

  • Method Details

    • compareTo

      public final int compareTo(FinancePortfolio reference)
      Specified by:
      compareTo in interface Comparable<FinancePortfolio>

    • forecast

      public final GeometricBrownianMotion forecast()

    • getConformance

      public final double getConformance(FinancePortfolio reference)

    • getLossProbability

      public final double getLossProbability()

    • getLossProbability

      public final double getLossProbability(Number timePeriod)

    • getMeanReturn

      public abstract double getMeanReturn()
      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.

    • getReturnVariance

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

    • getSharpeRatio

      public final double getSharpeRatio()

    • getSharpeRatio

      public final double getSharpeRatio(Number riskFreeReturn)

    • getValueAtRisk

      public final double getValueAtRisk(Number confidenceLevel, Number timePeriod)
      Value at Risk (VaR) is the maximum loss not exceeded with a given probability defined as the confidence level, over a given period of time.

    • getValueAtRisk95

      public final double getValueAtRisk95()

    • getVolatility

      public double getVolatility()
      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 getReturnVariance() or getVolatility().

    • getWeights

      public abstract List<BigDecimal> getWeights()
      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 normalise() will transform any set of weights to that form.

    • normalise

      public final FinancePortfolio normalise()
      Normalised weights Portfolio

    • normalise

      public final FinancePortfolio normalise(NumberContext weightsContext)
      Normalised weights Portfolio

    • toString

      public String toString()
      Overrides:
      toString in class Object

    • reset

      protected abstract void reset()