@Override
public double getReturnVariance() {
if (myReturnVariance == null) {
final MarketEquilibrium tmpMarketEquilibrium = new MarketEquilibrium(this.getCovariances());
final BasicMatrix tmpWeightsVector = this.getAssetWeights();
myReturnVariance =
tmpMarketEquilibrium.calculatePortfolioVariance(tmpWeightsVector).getNumber();
}
return myReturnVariance.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();
}
@Override
public double getMeanReturn() {
if (myMeanReturn == null) {
final BasicMatrix tmpWeightsVector = this.getAssetWeights();
final BasicMatrix tmpReturnsVector = this.getAssetReturns();
myMeanReturn =
MarketEquilibrium.calculatePortfolioReturn(tmpWeightsVector, tmpReturnsVector)
.getNumber();
}
return myMeanReturn.doubleValue();
}
