Package org.drip.investing.engine

Class AssetSpecification

java.lang.Object
org.drip.portfolioconstruction.core.Block
org.drip.portfolioconstruction.core.Asset
org.drip.investing.engine.AssetSpecification
public class AssetSpecification
extends Asset
AssetSpecification holds the Characteristics of Asset/Fund whose Behavior is Benchmarked to Specific Factors. The References are:

  • Baltussen, G., L. Swinkels, and P. van Vliet (2021): Global Factor Premiums Journal of Financial Economics 142 (3) 1128-1154
  • Blitz, D., and P. van Vliet (2007): The Volatility Effect: Lower Risk without Lower Return Journal of Portfolio Management 34 (1) 102-113
  • Fisher, G. S., R. Shah, and S. Titman (2017): Combining Value and Momentum https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2472936 eSSRN
  • Houweling, P., and J. van Zundert (2017): Factor Investing in the Corporate Bond Market Financial Analysts Journal 73 (2) 100-115
  • Wikipedia (2024): Factor Investing https://en.wikipedia.org/wiki/Factor_investing


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    AssetSpecification​(java.lang.String name, java.lang.String id, java.lang.String description, java.lang.String currency, java.lang.String sector, int type, int marketCategory, int capitalizationCategory, int volatilityCategory, int valueCategory, int momentumCategory, int growthCategory, int profitabilityCategory, int leverageCategory, int liquidityCategory, int termCategory, int carryCategory, int investingCategory)
    AssetSpecification Constructor

  • Method Summary

    Modifier and Type Method Description
    int capitalizationCategory()
    Retrieve the Capitalization Category
    int carryCategory()
    Retrieve the Carry Category
    int growthCategory()
    Retrieve the Growth Category
    int investingCategory()
    Retrieve the Investing Category
    int leverageCategory()
    Retrieve the Leverage Category
    int liquidityCategory()
    Retrieve the Liquidity Category
    int marketCategory()
    Retrieve the Market Category
    int momentumCategory()
    Retrieve the Momentum Category
    int profitabilityCategory()
    Retrieve the Profitability Category
    int termCategory()
    Retrieve the Term Category
    int type()
    Retrieve the Asset Type
    int valueCategory()
    Retrieve the Value Category
    int volatilityCategory()
    Retrieve the Volatility Category

    Methods inherited from class org.drip.portfolioconstruction.core.Asset

    currency, hashCode, sector

    Methods inherited from class org.drip.portfolioconstruction.core.Block

    category, description, id, name, Standard, timeStamp

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • AssetSpecification

      public AssetSpecification​(java.lang.String name, java.lang.String id, java.lang.String description, java.lang.String currency, java.lang.String sector, int type, int marketCategory, int capitalizationCategory, int volatilityCategory, int valueCategory, int momentumCategory, int growthCategory, int profitabilityCategory, int leverageCategory, int liquidityCategory, int termCategory, int carryCategory, int investingCategory) throws java.lang.Exception
      AssetSpecification Constructor
      Parameters:
      name - The Asset Name
      id - The Asset ID
      description - The Asset Description
      currency - The Asset Currency
      sector - The Asset Sector
      type - The Asset Type
      marketCategory - The Market Category
      capitalizationCategory - The Capitalization Category
      volatilityCategory - The Volatility Category
      valueCategory - The Value Category
      momentumCategory - The Momentum Category
      growthCategory - The Growth Category
      profitabilityCategory - The Profitability Category
      leverageCategory - The Leverage Category
      liquidityCategory - The Liquidity Category
      termCategory - The Term Category
      carryCategory - The Carry Category
      investingCategory - The Investing Category
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • type

      public int type()
      Retrieve the Asset Type
      Returns:
      The Asset Type

    • marketCategory

      public int marketCategory()
      Retrieve the Market Category
      Returns:
      The Market Category

    • capitalizationCategory

      public int capitalizationCategory()
      Retrieve the Capitalization Category
      Returns:
      The Capitalization Category

    • volatilityCategory

      public int volatilityCategory()
      Retrieve the Volatility Category
      Returns:
      The Volatility Category

    • valueCategory

      public int valueCategory()
      Retrieve the Value Category
      Returns:
      The Value Category

    • momentumCategory

      public int momentumCategory()
      Retrieve the Momentum Category
      Returns:
      The Momentum Category

    • growthCategory

      public int growthCategory()
      Retrieve the Growth Category
      Returns:
      The Growth Category

    • profitabilityCategory

      public int profitabilityCategory()
      Retrieve the Profitability Category
      Returns:
      The Profitability Category

    • leverageCategory

      public int leverageCategory()
      Retrieve the Leverage Category
      Returns:
      The Leverage Category

    • liquidityCategory

      public int liquidityCategory()
      Retrieve the Liquidity Category
      Returns:
      The Liquidity Category

    • termCategory

      public int termCategory()
      Retrieve the Term Category
      Returns:
      The Term Category

    • carryCategory

      public int carryCategory()
      Retrieve the Carry Category
      Returns:
      The Carry Category

    • investingCategory

      public int investingCategory()
      Retrieve the Investing Category
      Returns:
      The Investing Category