Class FixedReturnsPortfolio

java.lang.Object

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

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

org.ojalgo.data.domain.finance.portfolio.FixedReturnsPortfolio

All Implemented Interfaces:

Comparable<FinancePortfolio>, FinancePortfolio.Context

public final class FixedReturnsPortfolio
extends EquilibriumModel

Nested Class Summary

Nested classes/interfaces inherited from class FinancePortfolio

FinancePortfolio.Context

Field Summary

Fields

Modifier and Type	Field	Description
private final MatrixR064	myReturns

Fields inherited from class FinancePortfolio

MATRIX_FACTORY

Constructor Summary

Constructors

Modifier	Constructor	Description
	FixedReturnsPortfolio(FinancePortfolio.Context aContext)
private	FixedReturnsPortfolio(MarketEquilibrium aMarketEquilibrium)
	FixedReturnsPortfolio(MarketEquilibrium aMarketEquilibrium, MatrixR064 returnsVector)

Method Summary

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

Methods inherited from class 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 FinancePortfolio

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

Methods inherited from class Object

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

Field Details

myReturns

private final MatrixR064 myReturns

Constructor Details

FixedReturnsPortfolio

public FixedReturnsPortfolio(FinancePortfolio.Context aContext)

FixedReturnsPortfolio

public FixedReturnsPortfolio(MarketEquilibrium aMarketEquilibrium,
 MatrixR064 returnsVector)

FixedReturnsPortfolio

private FixedReturnsPortfolio(MarketEquilibrium aMarketEquilibrium)

Method Details

calibrate

public void calibrate(FinancePortfolio targetWeights)

calibrate

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

calculateAssetReturns

protected MatrixR064 calculateAssetReturns()

Specified by:

calculateAssetReturns in class EquilibriumModel

calculateAssetWeights

protected MatrixR064 calculateAssetWeights()

Specified by:

calculateAssetWeights in class EquilibriumModel