AssetCovarianceDense

java.lang.Object

org.drip.portfolioconstruction.core.Block

org.drip.portfolioconstruction.risk.AttributeJointDense

org.drip.portfolioconstruction.risk.AssetCovarianceDense

All Implemented Interfaces:: AssetCovariance

public class AssetCovarianceDense
extends AttributeJointDense
implements AssetCovariance

AssetCovarianceDense contains the Joint Dense Covariance 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

Constructor Summary

Constructors

Constructor Description

AssetCovarianceDense(java.lang.String name, java.lang.String id, java.lang.String description)
AssetCovarianceDense Constructor
Method Summary

Modifier and Type Method Description

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

Methods inherited from class org.drip.portfolioconstruction.risk.AttributeJointDense
add, attribute, attributeMap

Methods inherited from class org.drip.portfolioconstruction.core.Block
description, hashCode, id, name, Standard, timeStamp

Methods inherited from class java.lang.Object
equals, getClass, notify, notifyAll, toString, wait, wait, wait

Constructor Details
- AssetCovarianceDense
  
  public AssetCovarianceDense(java.lang.String name, java.lang.String id, java.lang.String description) throws java.lang.Exception
  
  AssetCovarianceDense Constructor
  
  Parameters:
  
  name - The Name
  
  id - The ID
  
  description - The Description
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- constrict
  
  public double[][] constrict(Holdings holdings)
  
  Description copied from interface: AssetCovariance
  
  Constrict the Co-variance Matrix to those of the Holdings
  
  Specified by:
  
  constrict in interface AssetCovariance
  
  Parameters:
  
  holdings - The Holdings Instance
  
  Returns:
  
  The Constricted Co-variance Matrix