org.ojalgo.finance.portfolio.simulator
Class PortfolioSimulator

java.lang.Object
  org.ojalgo.finance.portfolio.simulator.PortfolioSimulator

public class PortfolioSimulator
extends Object

Constructor Summary

PortfolioSimulator(Access2D<?> correlations, List<GeometricBrownianMotion> assetProcesses)

Method Summary

RandomProcess.SimulationResults	simulate(int aNumberOfRealisations, int aNumberOfSteps, double aStepSize)
RandomProcess.SimulationResults	simulate(int aNumberOfRealisations, int aNumberOfSteps, double aStepSize, int rebalancingInterval)

Methods inherited from class java.lang.Object

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

Constructor Detail

PortfolioSimulator

public PortfolioSimulator(Access2D<?> correlations,
                          List<GeometricBrownianMotion> assetProcesses)

Method Detail

simulate

public RandomProcess.SimulationResults simulate(int aNumberOfRealisations,
                                                int aNumberOfSteps,
                                                double aStepSize)

simulate

public RandomProcess.SimulationResults simulate(int aNumberOfRealisations,
                                                int aNumberOfSteps,
                                                double aStepSize,
                                                int rebalancingInterval)