public double calculatePortfolioVariance(final FinancePortfolio weightsPortfolio) {
final List<BigDecimal> tmpWeights = weightsPortfolio.getWeights();
final BasicMatrix tmpAssetWeights = MATRIX_FACTORY.columns(tmpWeights);
return new MarketEquilibrium(this.getCovariances())
.calculatePortfolioVariance(tmpAssetWeights)
.doubleValue();
}
public double calculatePortfolioReturn(final FinancePortfolio weightsPortfolio) {
final List<BigDecimal> tmpWeights = weightsPortfolio.getWeights();
final BasicMatrix tmpAssetWeights = MATRIX_FACTORY.columns(tmpWeights);
final BasicMatrix tmpAssetReturns = this.getAssetReturns();
return MarketEquilibrium.calculatePortfolioReturn(tmpAssetWeights, tmpAssetReturns)
.doubleValue();
}
public SimplePortfolio(final Context aContext, final FinancePortfolio weightsPortfolio) {
super();
myCorrelations = aContext.getCorrelations();
final BasicMatrix tmpCovariances = aContext.getCovariances();
final BasicMatrix tmpAssetReturns = aContext.getAssetReturns();
final List<BigDecimal> tmpWeights = weightsPortfolio.getWeights();
if ((tmpWeights.size() != myCorrelations.countRows())
|| (tmpWeights.size() != myCorrelations.countColumns())) {
throw new IllegalArgumentException("Input dimensions don't match!");
}
myComponents = new ArrayList<SimpleAsset>(tmpWeights.size());
for (int i = 0; i < tmpWeights.size(); i++) {
final double tmpMeanReturn = tmpAssetReturns.doubleValue(i, 0);
final double tmpVolatilty = Math.sqrt(tmpCovariances.doubleValue(i, i));
final BigDecimal tmpWeight = tmpWeights.get(i);
myComponents.add(new SimpleAsset(tmpMeanReturn, tmpVolatilty, tmpWeight));
}
}
