Class SimplePortfolio

java.lang.Object

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

org.ojalgo.data.domain.finance.portfolio.SimplePortfolio

All Implemented Interfaces:

Comparable<FinancePortfolio>, FinancePortfolio.Context

public final class SimplePortfolio
extends FinancePortfolio
implements FinancePortfolio.Context

Nested Class Summary

Nested classes/interfaces inherited from class FinancePortfolio

FinancePortfolio.Context

Field Summary

Fields

Modifier and Type	Field	Description
private MatrixR064	myAssetReturns
private MatrixR064	myAssetVolatilities
private MatrixR064	myAssetWeights
private final List<SimpleAsset>	myComponents
private final MatrixR064	myCorrelations
private MatrixR064	myCovariances
private Comparable<?>	myMeanReturn
private Comparable<?>	myReturnVariance
private List<BigDecimal>	myWeights

Fields inherited from class FinancePortfolio

MATRIX_FACTORY

Constructor Summary

Constructors

Constructor	Description
SimplePortfolio(double[] someWeights)
SimplePortfolio(Comparable<?>... someWeights)
SimplePortfolio(List<SimpleAsset> someAssets)
SimplePortfolio(FinancePortfolio.Context portfolioContext, FinancePortfolio weightsPortfolio)
SimplePortfolio(Access2D<?> correlationsMatrix, List<SimpleAsset> someAssets)

Method Summary

Modifier and Type	Method	Description
double	calculatePortfolioReturn(FinancePortfolio weightsPortfolio)
double	calculatePortfolioVariance(FinancePortfolio weightsPortfolio)
MatrixR064	getAssetReturns()
MatrixR064	getAssetVolatilities()
(package private) MatrixR064	getAssetWeights()
double	getCorrelation(int row, int col)
MatrixR064	getCorrelations()
double	getCovariance(int row, int col)
MatrixR064	getCovariances()
double	getMeanReturn()	The mean/expected return of this instrument.
double	getMeanReturn(int index)
double	getReturnVariance()	The instrument's return variance.
double	getReturnVariance(int index)
PortfolioSimulator	getSimulator()
double	getVolatility(int index)
BigDecimal	getWeight(int index)
List<BigDecimal>	getWeights()	This method returns a list of the weights of the Portfolio's contained assets.
protected void	reset()
int	size()
(package private) static List<SimpleAsset>	toSimpleAssets(double[] someWeights)
(package private) static List<SimpleAsset>	toSimpleAssets(Comparable<?>[] someWeights)

Methods inherited from class FinancePortfolio

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

Methods inherited from class Object

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

Field Details

myAssetReturns

private transient MatrixR064 myAssetReturns

myAssetVolatilities

private transient MatrixR064 myAssetVolatilities

myAssetWeights

private transient MatrixR064 myAssetWeights

myComponents

private final List<SimpleAsset> myComponents

myCorrelations

private final MatrixR064 myCorrelations

myCovariances

private transient MatrixR064 myCovariances

myMeanReturn

private transient Comparable<?> myMeanReturn

myReturnVariance

private transient Comparable<?> myReturnVariance

myWeights

private transient List<BigDecimal> myWeights

Constructor Details

SimplePortfolio

public SimplePortfolio(Access2D<?> correlationsMatrix,
 List<SimpleAsset> someAssets)

SimplePortfolio

public SimplePortfolio(Comparable<?>... someWeights)

SimplePortfolio

public SimplePortfolio(FinancePortfolio.Context portfolioContext,
 FinancePortfolio weightsPortfolio)

SimplePortfolio

public SimplePortfolio(double[] someWeights)

SimplePortfolio

public SimplePortfolio(List<SimpleAsset> someAssets)

Method Details

toSimpleAssets

static List<SimpleAsset> toSimpleAssets(Comparable<?>[] someWeights)

toSimpleAssets

static List<SimpleAsset> toSimpleAssets(double[] someWeights)

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

getCorrelation

public double getCorrelation(int row,
 int col)

getCorrelations

public MatrixR064 getCorrelations()

Specified by:

getCorrelations in interface FinancePortfolio.Context

getCovariance

public double getCovariance(int row,
 int col)

getCovariances

public MatrixR064 getCovariances()

Specified by:

getCovariances in interface FinancePortfolio.Context

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

getMeanReturn

public double getMeanReturn(int index)

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

getReturnVariance

public double getReturnVariance(int index)

getSimulator

public PortfolioSimulator getSimulator()

getVolatility

public double getVolatility(int index)

getWeight

public BigDecimal getWeight(int index)

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

size

public int size()

Specified by:

size in interface FinancePortfolio.Context

reset

protected void reset()

Specified by:

reset in class FinancePortfolio

getAssetWeights

MatrixR064 getAssetWeights()