org.drip.portfolioconstruction.mpt

Class AssetSecurityCharacteristicLine

java.lang.Object

org.drip.portfolioconstruction.mpt.AssetSecurityCharacteristicLine

public class AssetSecurityCharacteristicLine
extends java.lang.Object

AssetSecurityCharacteristicLine holds the Asset's Alpha and Beta from which the Asset's Excess Returns over the Risk-Free Rate are estimated.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
AssetSecurityCharacteristicLine(double dblAlpha, double dblBeta) AssetSecurityCharacteristicLine Constructor

Method Summary

Modifier and Type	Method and Description
double	alpha() Retrieve the Asset's Alpha
double	beta() Retrieve the Asset's Beta
double	excessReturns(double dblMarketExcessReturns) Retrieve the Excess Returns over the Market for the Asset

Methods inherited from class java.lang.Object

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

Constructor Detail

AssetSecurityCharacteristicLine

public AssetSecurityCharacteristicLine(double dblAlpha,
                                       double dblBeta)
                                throws java.lang.Exception

AssetSecurityCharacteristicLine Constructor

Parameters:

dblAlpha - The Asset's Alpha

dblBeta - The Asset's Beta

Throws:

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

Method Detail

alpha

public double alpha()

Retrieve the Asset's Alpha

Returns:

The Asset's Alpha

beta

public double beta()

Retrieve the Asset's Beta

Returns:

The Asset's Beta

excessReturns

public double excessReturns(double dblMarketExcessReturns)
                     throws java.lang.Exception

Retrieve the Excess Returns over the Market for the Asset

Parameters:

dblMarketExcessReturns - The Market Premium, i.e., the Excess Market Returns over the Risk Free Rate

Returns:

The Excess Returns over the Market for the Asset

Throws:

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