Uses of Class
org.ojalgo.matrix.MatrixR064

Packages that use MatrixR064

Package	Description
org.ojalgo.data.domain.finance
org.ojalgo.data.domain.finance.portfolio	Classes in this package relate to modelling of financial investment portfolios, and Modern Portfolio Theory.
org.ojalgo.matrix

Uses of MatrixR064 in org.ojalgo.data.domain.finance

Methods in org.ojalgo.data.domain.finance that return MatrixR064

Modifier and Type	Method	Description
static <V extends Comparable<V>> MatrixR064	FinanceUtils.makeCovarianceMatrix(Collection<CalendarDateSeries<V>> timeSeriesCollection)
static <N extends Comparable<N>> MatrixR064	FinanceUtils.makeCovarianceMatrix(List<CalendarDateSeries<N>> listOfTimeSeries, boolean mayBeMissingValues)
static MatrixR064	FinanceUtils.toCorrelations(Access2D<?> covariances)
static MatrixR064	FinanceUtils.toCorrelations(Access2D<?> covariances, boolean clean)	Will extract the correlation coefficients from the input covariance matrix.
static MatrixR064	FinanceUtils.toCovariances(Access1D<?> volatilities, Access2D<?> correlations)	Vill constract a covariance matrix from the standard deviations (volatilities) and correlation coefficient,
static MatrixR064	FinanceUtils.toVolatilities(Access2D<?> covariances)
static MatrixR064	FinanceUtils.toVolatilities(Access2D<?> covariances, boolean clean)	Will extract the standard deviations (volatilities) from the input covariance matrix.

Uses of MatrixR064 in org.ojalgo.data.domain.finance.portfolio

Fields in org.ojalgo.data.domain.finance.portfolio declared as MatrixR064

Modifier and Type	Field	Description
private MatrixR064	EquilibriumModel.myAssetReturns
private final MatrixR064	PortfolioContext.myAssetReturns
private MatrixR064	SimplePortfolio.myAssetReturns
private MatrixR064	EquilibriumModel.myAssetVolatilities
private MatrixR064	PortfolioContext.myAssetVolatilities
private MatrixR064	SimplePortfolio.myAssetVolatilities
private MatrixR064	EquilibriumModel.myAssetWeights
private MatrixR064	SimplePortfolio.myAssetWeights
private MatrixR064	PortfolioContext.myCorrelations
private final MatrixR064	SimplePortfolio.myCorrelations
private final MatrixR064	MarketEquilibrium.myCovariances
private MatrixR064	PortfolioContext.myCovariances
private MatrixR064	SimplePortfolio.myCovariances
private final MatrixR064	OptimisedPortfolio.myExpectedExcessReturns
private final MatrixR064	BlackLittermanModel.myOriginalWeights
private final MatrixR064	FixedReturnsPortfolio.myReturns
private final MatrixR064	FixedWeightsPortfolio.myWeights

Methods in org.ojalgo.data.domain.finance.portfolio that return MatrixR064

Modifier and Type	Method	Description
protected MatrixR064	BlackLittermanModel.calculateAssetReturns()
protected abstract MatrixR064	EquilibriumModel.calculateAssetReturns()
protected final MatrixR064	EquilibriumModel.calculateAssetReturns(MatrixR064 aWeightsVctr)
protected MatrixR064	FixedReturnsPortfolio.calculateAssetReturns()
protected MatrixR064	FixedWeightsPortfolio.calculateAssetReturns()
MatrixR064	MarketEquilibrium.calculateAssetReturns(MatrixR064 assetWeights)	If the input vector of asset weights are the weights of the market portfolio, then the ouput is the equilibrium excess returns.
protected final MatrixR064	OptimisedPortfolio.calculateAssetReturns()
protected MatrixR064	BlackLittermanModel.calculateAssetWeights()
protected MatrixR064	EfficientFrontier.calculateAssetWeights()
protected abstract MatrixR064	EquilibriumModel.calculateAssetWeights()
protected final MatrixR064	EquilibriumModel.calculateAssetWeights(MatrixR064 aReturnsVctr)
protected MatrixR064	FixedReturnsPortfolio.calculateAssetWeights()
protected MatrixR064	FixedWeightsPortfolio.calculateAssetWeights()
MatrixR064	MarketEquilibrium.calculateAssetWeights(MatrixR064 assetReturns)	If the input vector of returns are the equilibrium excess returns then the output is the market portfolio weights.
protected MatrixR064	MarkowitzModel.calculateAssetWeights()	Constrained optimisation.
MatrixR064	BlackLittermanContext.getAssetReturns()
final MatrixR064	EquilibriumModel.getAssetReturns()
MatrixR064	FinancePortfolio.Context.getAssetReturns()
MatrixR064	PortfolioContext.getAssetReturns()
MatrixR064	SimplePortfolio.getAssetReturns()
MatrixR064	BlackLittermanContext.getAssetVolatilities()
final MatrixR064	EquilibriumModel.getAssetVolatilities()
MatrixR064	FinancePortfolio.Context.getAssetVolatilities()
MatrixR064	PortfolioContext.getAssetVolatilities()
MatrixR064	SimplePortfolio.getAssetVolatilities()
final MatrixR064	EquilibriumModel.getAssetWeights()
(package private) MatrixR064	SimplePortfolio.getAssetWeights()
MatrixR064	BlackLittermanContext.getCorrelations()
final MatrixR064	EquilibriumModel.getCorrelations()
MatrixR064	FinancePortfolio.Context.getCorrelations()
MatrixR064	PortfolioContext.getCorrelations()
MatrixR064	SimplePortfolio.getCorrelations()
MatrixR064	BlackLittermanContext.getCovariances()
final MatrixR064	EquilibriumModel.getCovariances()
MatrixR064	FinancePortfolio.Context.getCovariances()
MatrixR064	MarketEquilibrium.getCovariances()
MatrixR064	PortfolioContext.getCovariances()
MatrixR064	SimplePortfolio.getCovariances()
protected MatrixR064	BlackLittermanModel.getOriginalReturns()
protected MatrixR064	BlackLittermanModel.getOriginalWeights()
protected MatrixR064	BlackLittermanModel.getViewPortfolios()
protected MatrixR064	BlackLittermanModel.getViewReturns()	Scaled by risk aversion factor.
protected MatrixR064	BlackLittermanModel.getViewVariances()	Scaled by tau / weight on views
protected final MatrixR064	OptimisedPortfolio.handle(Optimisation.Result optimisationResult)
MatrixR064	MarketEquilibrium.toCorrelations()

Methods in org.ojalgo.data.domain.finance.portfolio with parameters of type MatrixR064

Modifier and Type	Method	Description
protected final MatrixR064	EquilibriumModel.calculateAssetReturns(MatrixR064 aWeightsVctr)
MatrixR064	MarketEquilibrium.calculateAssetReturns(MatrixR064 assetWeights)	If the input vector of asset weights are the weights of the market portfolio, then the ouput is the equilibrium excess returns.
protected final MatrixR064	EquilibriumModel.calculateAssetWeights(MatrixR064 aReturnsVctr)
MatrixR064	MarketEquilibrium.calculateAssetWeights(MatrixR064 assetReturns)	If the input vector of returns are the equilibrium excess returns then the output is the market portfolio weights.
(package private) Scalar<?>	MarketEquilibrium.calculateImpliedRiskAversion(MatrixR064 assetWeights, MatrixR064 assetReturns)	Will calculate the risk aversion factor that is the best fit for an observed pair of market portfolio weights and equilibrium/historical excess returns.
protected final Scalar<?>	EquilibriumModel.calculatePortfolioReturn(MatrixR064 aWeightsVctr, MatrixR064 aReturnsVctr)
static Scalar<?>	MarketEquilibrium.calculatePortfolioReturn(MatrixR064 assetWeights, MatrixR064 assetReturns)	Calculates the portfolio return using the input asset weights and returns.
(package private) Scalar<?>	MarkowitzModel.calculatePortfolioReturn(Access1D<?> weightsVctr, MatrixR064 returnsVctr)
protected final Scalar<?>	EquilibriumModel.calculatePortfolioVariance(MatrixR064 aWeightsVctr)
Scalar<?>	MarketEquilibrium.calculatePortfolioVariance(MatrixR064 assetWeights)	Calculates the portfolio variance using the input instrument weights.
(package private) BigDecimal	BlackLittermanModel.calculateVariance(MatrixR064 weights)
protected final void	EquilibriumModel.calibrate(MatrixR064 aWeightsVctr, MatrixR064 aReturnsVctr)
void	MarketEquilibrium.calibrate(MatrixR064 assetWeights, MatrixR064 assetReturns)	Will set the risk aversion factor to the best fit for an observed pair of market portfolio asset weights and equilibrium/historical excess returns.

Constructors in org.ojalgo.data.domain.finance.portfolio with parameters of type MatrixR064

Modifier	Constructor	Description
	BlackLittermanModel(MarketEquilibrium marketEquilibrium, MatrixR064 originalWeights)
	EfficientFrontier(MarketEquilibrium marketEquilibrium, MatrixR064 expectedExcessReturns)
	EfficientFrontier(MatrixR064 covarianceMatrix, MatrixR064 expectedExcessReturns)
	FixedReturnsPortfolio(MarketEquilibrium aMarketEquilibrium, MatrixR064 returnsVector)
	FixedWeightsPortfolio(MarketEquilibrium aMarketEquilibrium, MatrixR064 assetWeightsInColumn)
	MarkowitzModel(MarketEquilibrium marketEquilibrium, MatrixR064 expectedExcessReturns)
	MarkowitzModel(MatrixR064 covarianceMatrix, MatrixR064 expectedExcessReturns)
(package private)	OptimisedPortfolio(MarketEquilibrium marketEquilibrium, MatrixR064 expectedExcessReturns)
(package private)	OptimisedPortfolio(MatrixR064 covarianceMatrix, MatrixR064 expectedExcessReturns)

Uses of MatrixR064 in org.ojalgo.matrix

Subclasses with type arguments of type MatrixR064 in org.ojalgo.matrix

Modifier and Type	Class	Description
final class	MatrixR064	A matrix (linear algebra) with Real NumberSet.R elements, approximated by 64-bit double.
static final class	MatrixR064.DenseReceiver
static final class	MatrixR064.Factory
static final class	MatrixR064.SparseReceiver

Methods in org.ojalgo.matrix that return MatrixR064

Modifier and Type	Method	Description
MatrixR064	MatrixC128.getArgument()
MatrixR064	MatrixC128.getImaginary()
MatrixR064	MatrixC128.getModulus()
MatrixR064	MatrixC128.getReal()
(package private) MatrixR064	MatrixR064.DenseReceiver.instantiate(MatrixStore<Double> store)
(package private) MatrixR064	MatrixR064.SparseReceiver.instantiate(MatrixStore<Double> store)
(package private) MatrixR064	MatrixR064.newInstance(ElementsSupplier<Double> store)