public double getCovariance(final int aRow, final int aCol) {
final BasicMatrix tmpCovariances = myCovariances;
if (tmpCovariances != null) {
return tmpCovariances.doubleValue(aRow, aCol);
} else {
final double tmpRowRisk = this.getVolatility(aRow);
final double tmpColRisk = this.getVolatility(aCol);
final double tmpCorrelation = this.getCorrelation(aRow, aCol);
return tmpRowRisk * tmpCorrelation * tmpColRisk;
}
}
public PortfolioSimulator getSimulator() {
final List<GeometricBrownianMotion> tmpAssetProcesses =
new ArrayList<GeometricBrownianMotion>(myComponents.size());
for (final SimpleAsset tmpAsset : myComponents) {
final GeometricBrownianMotion tmpForecast = tmpAsset.forecast();
tmpForecast.setValue(tmpAsset.getWeight().doubleValue());
tmpAssetProcesses.add(tmpForecast);
}
return new PortfolioSimulator(myCorrelations.toPrimitiveStore(), tmpAssetProcesses);
}
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));
}
}
public double getCorrelation(final int aRow, final int aCol) {
return myCorrelations.doubleValue(aRow, aCol);
}