org.drip.portfolioconstruction.params

Class AssetUniverseStatisticalProperties

java.lang.Object

org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties

public class AssetUniverseStatisticalProperties
extends java.lang.Object

AssetUniverseStatisticalProperties holds the Statistical Properties of a Pool of Assets.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
AssetUniverseStatisticalProperties(double dblRiskFreeRate) AssetUniverseStatisticalProperties Constructor

Method Summary

Modifier and Type	Method and Description
AssetStatisticalProperties	asp(java.lang.String strID) Retrieve the ASP Instance corresponding to the specified ID
double	correlation(java.lang.String strID1, java.lang.String strID2) Retrieve the Correlation between the Specified Assets
double[][]	covariance(java.lang.String[] astrID) Retrieve the Asset Covariance Matrix
double[]	expectedReturns(java.lang.String[] astrAssetID) Retrieve the Asset Expected Returns Array
static AssetUniverseStatisticalProperties	FromMultivariateMetrics(MultivariateMoments mvm) Construct an Instance of AUSP from the corresponding MultivariateMetrics Instance
double	riskFreeRate() Retrieve the Risk Free Rate
boolean	setASP(AssetStatisticalProperties asp) Set the ASP Instance
boolean	setCorrelation(java.lang.String strID1, java.lang.String strID2, double dblCorrelation) Set the Correlation Between the Specified Assets

Methods inherited from class java.lang.Object

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

Constructor Detail

AssetUniverseStatisticalProperties

public AssetUniverseStatisticalProperties(double dblRiskFreeRate)
                                   throws java.lang.Exception

AssetUniverseStatisticalProperties Constructor

Parameters:

dblRiskFreeRate - The Risk Free Rate

Throws:

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

Method Detail

FromMultivariateMetrics

public static final AssetUniverseStatisticalProperties FromMultivariateMetrics(MultivariateMoments mvm)

Construct an Instance of AUSP from the corresponding MultivariateMetrics Instance

Parameters:

mvm - The MultivariateMetrics Instance

Returns:

The AUSP Instance

setASP

public boolean setASP(AssetStatisticalProperties asp)

Set the ASP Instance

Parameters:

asp - ASP Instance

Returns:

TRUE - ASP Instance Successfully added

setCorrelation

public boolean setCorrelation(java.lang.String strID1,
                              java.lang.String strID2,
                              double dblCorrelation)

Set the Correlation Between the Specified Assets

Parameters:

strID1 - Asset #1

strID2 - Asset #2

dblCorrelation - Cross-asset Correlation

Returns:

Correlation Between the Specified Assets

riskFreeRate

public double riskFreeRate()

Retrieve the Risk Free Rate

Returns:

The Risk Free Rate

asp

public AssetStatisticalProperties asp(java.lang.String strID)

Retrieve the ASP Instance corresponding to the specified ID

Parameters:

strID - The ASP ID

Returns:

The ASP Instance

correlation

public double correlation(java.lang.String strID1,
                          java.lang.String strID2)
                   throws java.lang.Exception

Retrieve the Correlation between the Specified Assets

Parameters:

strID1 - Asset #1

strID2 - Asset #2

Returns:

Correlation between the Specified Assets

Throws:

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

expectedReturns

public double[] expectedReturns(java.lang.String[] astrAssetID)

Retrieve the Asset Expected Returns Array

Parameters:

astrAssetID - Array of Asset IDs

Returns:

The Asset Covariance Matrix

covariance

public double[][] covariance(java.lang.String[] astrID)

Retrieve the Asset Covariance Matrix

Parameters:

astrID - Array of Asset ID

Returns:

The Asset Covariance Matrix