Package 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 Description
    AssetUniverseStatisticalProperties​(double riskFreeRate)
    AssetUniverseStatisticalProperties Constructor

  • Method Summary

    Modifier and Type Method Description
    AssetStatisticalProperties assetStatisticalProperties​(java.lang.String id)
    Retrieve the AssetStatisticalProperties Instance corresponding to the specified ID
    double correlation​(java.lang.String id1, java.lang.String id2)
    Retrieve the Correlation between the Specified Assets
    double[][] covariance​(java.lang.String[] idArray)
    Retrieve the Asset Covariance Matrix
    double[] expectedReturns​(java.lang.String[] idArray)
    Retrieve the Asset Expected Returns Array
    static AssetUniverseStatisticalProperties FromMultivariateMetrics​(MultivariateMoments multivariateMoments)
    Construct an Instance of AssetUniverseStatisticalProperties from the corresponding MultivariateMetrics Instance
    double riskFreeRate()
    Retrieve the Risk Free Rate
    boolean setAssetStatisticalProperties​(AssetStatisticalProperties assetStatisticalProperties)
    Set the AssetStatisticalProperties Instance
    boolean setCorrelation​(java.lang.String id1, java.lang.String id2, double correlation)
    Set the Correlation Between the Specified Pair of Assets

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • AssetUniverseStatisticalProperties

      public AssetUniverseStatisticalProperties​(double riskFreeRate) throws java.lang.Exception
      AssetUniverseStatisticalProperties Constructor
      Parameters:
      riskFreeRate - The Risk Free Rate
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • FromMultivariateMetrics

      public static final AssetUniverseStatisticalProperties FromMultivariateMetrics​(MultivariateMoments multivariateMoments)
      Construct an Instance of AssetUniverseStatisticalProperties from the corresponding MultivariateMetrics Instance
      Parameters:
      multivariateMoments - The MultivariateMetrics Instance
      Returns:
      The AssetUniverseStatisticalProperties Instance

    • setAssetStatisticalProperties

      public boolean setAssetStatisticalProperties​(AssetStatisticalProperties assetStatisticalProperties)
      Set the AssetStatisticalProperties Instance
      Parameters:
      assetStatisticalProperties - AssetStatisticalProperties Instance
      Returns:
      TRUE - AssetStatisticalProperties Instance Successfully added

    • setCorrelation

      public boolean setCorrelation​(java.lang.String id1, java.lang.String id2, double correlation)
      Set the Correlation Between the Specified Pair of Assets
      Parameters:
      id1 - Asset #1
      id2 - Asset #2
      correlation - Cross-asset Correlation
      Returns:
      Correlation Between the Specified Pair of Assets

    • riskFreeRate

      public double riskFreeRate()
      Retrieve the Risk Free Rate
      Returns:
      The Risk Free Rate

    • assetStatisticalProperties

      public AssetStatisticalProperties assetStatisticalProperties​(java.lang.String id)
      Retrieve the AssetStatisticalProperties Instance corresponding to the specified ID
      Parameters:
      id - The AssetStatisticalProperties ID
      Returns:
      The AssetStatisticalProperties Instance

    • correlation

      public double correlation​(java.lang.String id1, java.lang.String id2) throws java.lang.Exception
      Retrieve the Correlation between the Specified Assets
      Parameters:
      id1 - Asset #1
      id2 - 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[] idArray)
      Retrieve the Asset Expected Returns Array
      Parameters:
      idArray - Array of Asset IDs
      Returns:
      The Asset Covariance Matrix

    • covariance

      public double[][] covariance​(java.lang.String[] idArray)
      Retrieve the Asset Covariance Matrix
      Parameters:
      idArray - Array of Asset IDs
      Returns:
      The Asset Covariance Matrix