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
category, 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