org.drip.portfolioconstruction.asset

Class Portfolio

java.lang.Object

org.drip.portfolioconstruction.asset.Portfolio

public class Portfolio
extends java.lang.Object

Portfolio implements an Instance of the Portfolio of Assets.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
Portfolio(AssetComponent[] aAC) Portfolio Constructor

Method Summary

Modifier and Type	Method and Description
AssetComponent[]	assets() Retrieve the Array of the Asset Components
double	expectedReturn(AssetUniverseStatisticalProperties apsp) Retrieve the Expected Returns of the Portfolio
java.lang.String[]	id() Retrieve the Array of Asset IDs
AssetComponent	maxWeight() Retrieve the Asset Component with the Maximal Weight
MultivariateMeta	meta() Retrieve the Multivariate Meta Instance around the Assets
AssetComponent	minWeight() Retrieve the Asset Component with the Minimal Weight
double	notional() Retrieve the Notional of the Portfolio
static Portfolio	Standard(java.lang.String[] astrAssetID, double[] adblAmount) Construct a Portfolio Instance from the Array of Asset ID's and their Amounts
double	variance(AssetUniverseStatisticalProperties apsp) Retrieve the Variance of the Portfolio
double[]	weights() Retrieve the Array of Asset Weights

Methods inherited from class java.lang.Object

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

Constructor Detail

Portfolio

public Portfolio(AssetComponent[] aAC)
          throws java.lang.Exception

Portfolio Constructor

Parameters:

aAC - Array of the Asset Components

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

Standard

public static final Portfolio Standard(java.lang.String[] astrAssetID,
                                       double[] adblAmount)

Construct a Portfolio Instance from the Array of Asset ID's and their Amounts

Parameters:

astrAssetID - Array of Asset IDs

adblAmount - Array of Amounts

Returns:

The Portfolio Instance

assets

public AssetComponent[] assets()

Retrieve the Array of the Asset Components

Returns:

Array of the Asset Components

notional

public double notional()

Retrieve the Notional of the Portfolio

Returns:

Notional of the Portfolio

id

public java.lang.String[] id()

Retrieve the Array of Asset IDs

Returns:

The Array of Asset IDs

meta

public MultivariateMeta meta()

Retrieve the Multivariate Meta Instance around the Assets

Returns:

The Multivariate Meta Instance around the Assets

weights

public double[] weights()

Retrieve the Array of Asset Weights

Returns:

The Array of Asset Weights

minWeight

public AssetComponent minWeight()

Retrieve the Asset Component with the Minimal Weight

Returns:

The Asset Component with the Minimal Weight

maxWeight

public AssetComponent maxWeight()

Retrieve the Asset Component with the Maximal Weight

Returns:

The Asset Component with the Maximal Weight

expectedReturn

public double expectedReturn(AssetUniverseStatisticalProperties apsp)
                      throws java.lang.Exception

Retrieve the Expected Returns of the Portfolio

Parameters:

apsp - The Asset Pool Statistical Properties Instance

Returns:

Expected Returns of the Portfolio

Throws:

java.lang.Exception - Thrown if the Expected Returns cannot be calculated

variance

public double variance(AssetUniverseStatisticalProperties apsp)
                throws java.lang.Exception

Retrieve the Variance of the Portfolio

Parameters:

apsp - The Asset Pool Statistical Properties Instance

Returns:

Variance of the Portfolio

Throws:

java.lang.Exception - Thrown if the Variance cannot be calculated