Esempio n. 1
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  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;
    }
  }
Esempio n. 2
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  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);
  }
Esempio n. 3
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  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));
    }
  }
Esempio n. 4
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 public double getCorrelation(final int aRow, final int aCol) {
   return myCorrelations.doubleValue(aRow, aCol);
 }