AssetCovariance

All Known Implementing Classes:: AssetCovarianceDense, AssetCovarianceFactor

public interface AssetCovariance

AssetCovariance contains the Abstract Joint Co-variance (Dense/Factor) for the Pair of the Set of Assets.

Module = Portfolio Core Module
Library = Asset Allocation Analytics
Project = Portfolio Construction under Allocation Constraints
Package = Portfolio Construction Risk/Covariance Component

Author:: Lakshmi Krishnamurthy

Method Summary

Modifier and Type Method Description

double[][] constrict(Holdings holdings)
Constrict the Co-variance Matrix to those of the Holdings

Method Details
- constrict
  
  double[][] constrict(Holdings holdings)
  
  Constrict the Co-variance Matrix to those of the Holdings
  
  Parameters:
  
  holdings - The Holdings Instance
  
  Returns:
  
  The Constricted Co-variance Matrix