Package org.drip.investing.factors

Class FactorModel

java.lang.Object
org.drip.investing.factors.FactorModel
Direct Known Subclasses:
CapitalAssetPricing1F, Carhart4F, FamaFrench3F, FamaFrench5F, MramorPahorFoye3F
public class FactorModel
extends java.lang.Object
FactorModel contains the Settings of a Scheme that calibrates Betas over the specified Collection of Factors. The References are:

  • Blitz, D., M. X. Hanauer, M. Vidojevic, and P. van Vliet (2018): Five-Factors with the Five-Factor Model Journal of Portfolio Management 44 (4) 71-78
  • Fama, E. F., and K. R. French (1992): The Cross-section of Expected Stock Returns Journal of Finance 47 (2) 427-465
  • Fama, E. F., and K. R. French (2015): A Five-Factor Asset Pricing Model Journal of Financial Economics 116 (1) 1-22
  • Foye, J. (2018): Testing Alternative Versions of the Fama-French Five-Factor Model in the UK Risk Management 20 (2) 167-183
  • Wikipedia (2024): Fama–French three-factor model https://en.wikipedia.org/wiki/Fama%E2%80%93French_three-factor_model


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    FactorModel​(java.lang.String code, java.lang.String description)
    FactorModel Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean addFactor​(Factor factor)
    Add the Factor to the Model
    java.lang.String code()
    Retrieve the Factor Model Code
    boolean containsFactor​(Factor factor)
    Indicate if the Factor is Part of the Model
    java.lang.String description()
    Retrieve the Factor Model Description
    java.util.Set<java.lang.String> factorCodeSet()
    Retrieve the Set of Factor Codes
    java.util.Map<java.lang.String,​Factor> factorMap()
    Retrieve the Named Map of Factors underlying the Model
    java.util.Collection<Factor> factorSet()
    Retrieve the Collection of Factors
    int numberOfFactors()
    Retrieve the Number of Factors

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FactorModel

      public FactorModel​(java.lang.String code, java.lang.String description) throws java.lang.Exception
      FactorModel Constructor
      Parameters:
      code - Factor Model Code
      description - Factor Model Description
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • code

      public java.lang.String code()
      Retrieve the Factor Model Code
      Returns:
      The Factor Model Code

    • description

      public java.lang.String description()
      Retrieve the Factor Model Description
      Returns:
      The Factor Model Description

    • factorMap

      public java.util.Map<java.lang.String,​Factor> factorMap()
      Retrieve the Named Map of Factors underlying the Model
      Returns:
      The Named Map of Factors underlying the Model

    • addFactor

      public boolean addFactor​(Factor factor)
      Add the Factor to the Model
      Parameters:
      factor - The Factor
      Returns:
      TRUE - The Factor successfully added to the Model

    • containsFactor

      public boolean containsFactor​(Factor factor)
      Indicate if the Factor is Part of the Model
      Parameters:
      factor - The Factor
      Returns:
      TRUE - Factor is Part of the Model

    • factorSet

      public java.util.Collection<Factor> factorSet()
      Retrieve the Collection of Factors
      Returns:
      Collection of Factors

    • factorCodeSet

      public java.util.Set<java.lang.String> factorCodeSet()
      Retrieve the Set of Factor Codes
      Returns:
      Set of Factor Codes

    • numberOfFactors

      public int numberOfFactors()
      Retrieve the Number of Factors
      Returns:
      The Number of Factors