Class EquilibriumModel

java.lang.Object

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

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

All Implemented Interfaces:

Comparable<FinancePortfolio>, FinancePortfolio.Context

Direct Known Subclasses:

BlackLittermanModel, FixedReturnsPortfolio, FixedWeightsPortfolio, OptimisedPortfolio

abstract class EquilibriumModel
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 MarketEquilibrium	myMarketEquilibrium
private Scalar<?>	myMeanReturn
private Scalar<?>	myReturnVariance

Fields inherited from class FinancePortfolio

MATRIX_FACTORY

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	EquilibriumModel(FinancePortfolio.Context portfolioContext)
protected	EquilibriumModel(MarketEquilibrium marketEquilibrium)

Method Summary

Modifier and Type	Method	Description
protected abstract MatrixR064	calculateAssetReturns()
protected final MatrixR064	calculateAssetReturns(MatrixR064 aWeightsVctr)
protected abstract MatrixR064	calculateAssetWeights()
protected final MatrixR064	calculateAssetWeights(MatrixR064 aReturnsVctr)
final double	calculatePortfolioReturn(FinancePortfolio weightsPortfolio)
protected final Scalar<?>	calculatePortfolioReturn(MatrixR064 aWeightsVctr, MatrixR064 aReturnsVctr)
final double	calculatePortfolioVariance(FinancePortfolio weightsPortfolio)
protected final Scalar<?>	calculatePortfolioVariance(MatrixR064 aWeightsVctr)
protected final void	calibrate(MatrixR064 aWeightsVctr, MatrixR064 aReturnsVctr)
final MatrixR064	getAssetReturns()
final MatrixR064	getAssetVolatilities()
final MatrixR064	getAssetWeights()
final MatrixR064	getCorrelations()
final MatrixR064	getCovariances()
final MarketEquilibrium	getMarketEquilibrium()
final double	getMeanReturn()	The mean/expected return of this instrument.
final double	getReturnVariance()	The instrument's return variance.
final Scalar<?>	getRiskAversion()
final String[]	getSymbols()
final List<BigDecimal>	getWeights()	This method returns a list of the weights of the Portfolio's contained assets.
(package private) final boolean	isDefaultRiskAversion()
protected void	reset()
final void	setRiskAversion(Comparable<?> factor)
int	size()
final List<SimpleAsset>	toSimpleAssets()
final SimplePortfolio	toSimplePortfolio()
String	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

myAssetReturns

private transient MatrixR064 myAssetReturns

myAssetVolatilities

private transient MatrixR064 myAssetVolatilities

myAssetWeights

private transient MatrixR064 myAssetWeights

myMarketEquilibrium

private final MarketEquilibrium myMarketEquilibrium

myMeanReturn

private transient Scalar<?> myMeanReturn

myReturnVariance

private transient Scalar<?> myReturnVariance

Constructor Details

EquilibriumModel

protected EquilibriumModel(FinancePortfolio.Context portfolioContext)

EquilibriumModel

protected EquilibriumModel(MarketEquilibrium marketEquilibrium)

Method Details

calculatePortfolioReturn

public final double calculatePortfolioReturn(FinancePortfolio weightsPortfolio)

Specified by:

calculatePortfolioReturn in interface FinancePortfolio.Context

calculatePortfolioVariance

public final double calculatePortfolioVariance(FinancePortfolio weightsPortfolio)

Specified by:

calculatePortfolioVariance in interface FinancePortfolio.Context

getAssetReturns

public final MatrixR064 getAssetReturns()

Specified by:

getAssetReturns in interface FinancePortfolio.Context

getAssetVolatilities

public final MatrixR064 getAssetVolatilities()

Specified by:

getAssetVolatilities in interface FinancePortfolio.Context

getAssetWeights

public final MatrixR064 getAssetWeights()

getCorrelations

public final MatrixR064 getCorrelations()

Specified by:

getCorrelations in interface FinancePortfolio.Context

getCovariances

public final MatrixR064 getCovariances()

Specified by:

getCovariances in interface FinancePortfolio.Context

getMarketEquilibrium

public final MarketEquilibrium getMarketEquilibrium()

getMeanReturn

public final 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

getReturnVariance

public final 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

getRiskAversion

public final Scalar<?> getRiskAversion()

getSymbols

public final String[] getSymbols()

getWeights

public final 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

setRiskAversion

public final void setRiskAversion(Comparable<?> factor)

size

public int size()

Specified by:

size in interface FinancePortfolio.Context

toSimpleAssets

public final List<SimpleAsset> toSimpleAssets()

toSimplePortfolio

public final SimplePortfolio toSimplePortfolio()

toString

public String toString()

Overrides:

toString in class FinancePortfolio

calculateAssetReturns

protected abstract MatrixR064 calculateAssetReturns()

calculateAssetReturns

protected final MatrixR064 calculateAssetReturns(MatrixR064 aWeightsVctr)

calculateAssetWeights

protected abstract MatrixR064 calculateAssetWeights()

calculateAssetWeights

protected final MatrixR064 calculateAssetWeights(MatrixR064 aReturnsVctr)

calculatePortfolioReturn

protected final Scalar<?> calculatePortfolioReturn(MatrixR064 aWeightsVctr,
 MatrixR064 aReturnsVctr)

calculatePortfolioVariance

protected final Scalar<?> calculatePortfolioVariance(MatrixR064 aWeightsVctr)

calibrate

protected final void calibrate(MatrixR064 aWeightsVctr,
 MatrixR064 aReturnsVctr)

reset

protected void reset()

Specified by:

reset in class FinancePortfolio

isDefaultRiskAversion

final boolean isDefaultRiskAversion()