org.ojalgo.finance.portfolio
Class FixedWeightsPortfolio

java.lang.Object
  org.ojalgo.finance.portfolio.FinancePortfolio
      org.ojalgo.finance.portfolio.FixedWeightsPortfolio

All Implemented Interfaces:

Comparable<FinancePortfolio>, PortfolioContext

public final class FixedWeightsPortfolio
extends FinancePortfolio

Constructor Summary

FixedWeightsPortfolio(MarketEquilibrium aMarketEquilibrium, BasicMatrix assetWeightsInColumn)

FixedWeightsPortfolio(PortfolioContext aContext, FinancePortfolio weightsPortfolio)

Method Summary

double	calculatePortfolioReturn(FinancePortfolio weightsPortfolio)
double	calculatePortfolioVariance(FinancePortfolio weightsPortfolio)
void	calibrate(org.ojalgo.finance.portfolio.EquilibriumModel targetReturns)
void	calibrate(List<? extends Number> targetReturns)
void	calibrate(SimplePortfolio targetReturns)
BasicMatrix	getAssetReturns()
BasicMatrix	getAssetWeights()
BasicMatrix	getCorrelations()
BasicMatrix	getCovariances()
MarketEquilibrium	getMarketEquilibrium()
double	getMeanReturn() The mean/expected return of this instrument.
double	getReturnVariance() The instrument's return variance.
Scalar<?>	getRiskAversion()
String[]	getSymbols()
List<BigDecimal>	getWeights() This method returns a list of the weights of the Portfolio's contained assets.
void	setRiskAversion(Number aFactor)
List<SimpleAsset>	toSimpleAssets()
SimplePortfolio	toSimplePortfolio()

Methods inherited from class org.ojalgo.finance.portfolio.FinancePortfolio

compareTo, forecast, getConformance, getMeanReturn, getReturnOverVariance, getReturnVariance, getSharpeRatio, getSharpeRatio, getValueAtRisk, getValueAtRisk95, getVarianceOverReturn, getVolatility, getVolatility, normalise, toString

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, wait, wait, wait

Constructor Detail

FixedWeightsPortfolio

public FixedWeightsPortfolio(MarketEquilibrium aMarketEquilibrium,
                             BasicMatrix assetWeightsInColumn)

FixedWeightsPortfolio

public FixedWeightsPortfolio(PortfolioContext aContext,
                             FinancePortfolio weightsPortfolio)

Method Detail

calibrate

public void calibrate(org.ojalgo.finance.portfolio.EquilibriumModel targetReturns)

calibrate

public void calibrate(List<? extends Number> targetReturns)

calibrate

public void calibrate(SimplePortfolio targetReturns)

calculatePortfolioReturn

public final double calculatePortfolioReturn(FinancePortfolio weightsPortfolio)

Specified by:

calculatePortfolioReturn in interface PortfolioContext

calculatePortfolioVariance

public final double calculatePortfolioVariance(FinancePortfolio weightsPortfolio)

Specified by:

calculatePortfolioVariance in interface PortfolioContext

getAssetReturns

public final BasicMatrix getAssetReturns()

Specified by:

getAssetReturns in interface PortfolioContext

getAssetWeights

public final BasicMatrix getAssetWeights()

getCorrelations

public final BasicMatrix getCorrelations()

Specified by:

getCorrelations in interface PortfolioContext

getCovariances

public final BasicMatrix getCovariances()

Specified by:

getCovariances in interface PortfolioContext

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. Calling #shift(Number) with an appropriate argument will transform between absolute and excess 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(Number aFactor)

toSimpleAssets

public final List<SimpleAsset> toSimpleAssets()

toSimplePortfolio

public final SimplePortfolio toSimplePortfolio()