PriorControlSpecification

java.lang.Object

org.drip.portfolioconstruction.bayesian.PriorControlSpecification

public class PriorControlSpecification
extends java.lang.Object

PriorControlSpecification contains the Black Litterman Prior Specification Settings. The References are:

He. G., and R. Litterman (1999): The Intuition behind the Black-Litterman Model Portfolios Goldman Sachs Asset Management
Idzorek, T. (2005): A Step-by-Step Guide to the Black-Litterman Model: Incorporating User-Specified Confidence Levels Ibbotson Associates Chicago, IL

Module = Portfolio Core Module
Library = Asset Allocation Analytics
Project = Portfolio Construction under Allocation Constraints
Package = Black Litterman Bayesian Portfolio Construction

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor Description

PriorControlSpecification(boolean useAlternateReferenceModel, double riskFreeRate, double tau)
PriorControlSpecification Constructor

Method Summary

Modifier and Type	Method	Description
`double`	`riskFreeRate()`	Retrieve the Risk Free Rate
`double`	`tau()`	Retrieve Tau
`boolean`	`useAlternateReferenceModel()`	Retrieve the Flag indicating if the Alternate Reference Model is to be used

Methods inherited from class java.lang.Object

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

Constructor Details
- PriorControlSpecification
  
  public PriorControlSpecification(boolean useAlternateReferenceModel, double riskFreeRate, double tau) throws java.lang.Exception
  
  PriorControlSpecification Constructor
  
  Parameters:
  
  useAlternateReferenceModel - TRUE - Use Alternate Reference in place of the Traditional Black Litterman Model
  
  riskFreeRate - The Risk Free Rate
  
  tau - The Asset Space Excess Returns "Confidence" Parameter
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- useAlternateReferenceModel
  
  public boolean useAlternateReferenceModel()
  
  Retrieve the Flag indicating if the Alternate Reference Model is to be used
  
  Returns:
  
  TRUE - Use Alternate Reference in place of the Traditional Black Litterman Model
- riskFreeRate
  
  public double riskFreeRate()
  
  Retrieve the Risk Free Rate
  
  Returns:
  
  The Risk Free Rate
- tau
  
  public double tau()
  
  Retrieve Tau
  
  Returns:
  
  Tau