org.akutan
Class EfficientFrontier

java.lang.Object
  java.awt.Component
      java.awt.Container
          java.awt.Panel
              java.applet.Applet
                  javax.swing.JApplet
                      org.akutan.EfficientFrontier

All Implemented Interfaces:

java.awt.image.ImageObserver, java.awt.MenuContainer, java.awt.print.Printable, java.io.Serializable, java.lang.Runnable, java.util.EventListener, javax.accessibility.Accessible, javax.swing.event.ChangeListener, javax.swing.RootPaneContainer

public class EfficientFrontier
extends javax.swing.JApplet
implements java.awt.print.Printable, java.lang.Runnable, javax.swing.event.ChangeListener

Applet/Main class for Application that displays the results from the optimization code. Allows the user to select one or more assets and an optimization method and then uses the optimizer to compute the mean variance frontier and/or the efficient frontier and displays several views.

See Also:

Serialized Form

Nested Class Summary

static class

EfficientFrontier.SampleData Little inner class value object we use to hold raw input data for a given month so we can use a single collection rather than several arrays.

Nested classes/interfaces inherited from class javax.swing.JApplet

javax.swing.JApplet.AccessibleJApplet

Nested classes/interfaces inherited from class java.applet.Applet

java.applet.Applet.AccessibleApplet

Nested classes/interfaces inherited from class java.awt.Panel

java.awt.Panel.AccessibleAWTPanel

Nested classes/interfaces inherited from class java.awt.Container

java.awt.Container.AccessibleAWTContainer

Nested classes/interfaces inherited from class java.awt.Component

java.awt.Component.AccessibleAWTComponent, java.awt.Component.BaselineResizeBehavior, java.awt.Component.BltBufferStrategy, java.awt.Component.FlipBufferStrategy

Field Summary

protected org.jfree.chart.plot.XYPlot	_areaPlot
protected org.jfree.chart.plot.PiePlot	_piePlot

Fields inherited from class javax.swing.JApplet

accessibleContext, rootPane, rootPaneCheckingEnabled

Fields inherited from class java.awt.Component

BOTTOM_ALIGNMENT, CENTER_ALIGNMENT, LEFT_ALIGNMENT, RIGHT_ALIGNMENT, TOP_ALIGNMENT

Fields inherited from interface java.awt.print.Printable

NO_SUCH_PAGE, PAGE_EXISTS

Fields inherited from interface java.awt.image.ImageObserver

ABORT, ALLBITS, ERROR, FRAMEBITS, HEIGHT, PROPERTIES, SOMEBITS, WIDTH

Constructor Summary

EfficientFrontier()
Constructs

Method Summary

void	action(java.awt.event.ActionEvent event, java.lang.Object arg) Action handler for the buttons on the main control panel, these are Go and Clear.
void	constrain(java.awt.Container container, java.awt.Component component, int grid_x, int grid_y, int grid_width, int grid_height) helper method to set layout constraints when adding a component to a container.
void	constrain(java.awt.Container container, java.awt.Component component, int grid_x, int grid_y, int grid_width, int grid_height, int fill, int anchor, double weight_x, double weight_y, int top, int left, int bottom, int right) Helper method to apply layout constraint to a component as it's added to a container.
void	constrain(java.awt.Container container, java.awt.Component component, int grid_x, int grid_y, int grid_width, int grid_height, int top, int left, int bottom, int right) Helper method to set layout constraints when adding a component to a container.
protected org.jfree.chart.JFreeChart	createChart(org.jfree.data.xy.XYDataset xydataset) Called to create the Efficient Frontier chart on the main frame of the application.
protected void	createGui() Called to create the various charts and associated bits during initialization of the application.
protected void	createPath() Given the first optimization run, strips out any path information and draws the path in series 0 with shapes = CrossCircle so that one can see the path of the optimizer.
protected org.jfree.chart.plot.PiePlot	createPieChart() Called to create the pie chart frame and chart objects so they can be filled in when an optimization is run.
protected void	dumpPoints(java.util.List<SolvedPoint> points) Debug method to dump all the points on an efficient frontier to System.out.
protected java.lang.String	formatString(java.lang.String s) Helper method to format a string and squeeze out multiple spaces replacing them with just one.
protected java.lang.String[]	getAssets() Returns the names of the selected assets as an array.
protected double	getDouble(java.lang.String number) helper method to convert a string into a double and deal with any conversion exceptions.
protected int	getMonth(java.lang.String month) Helper method to return the month number given the three letter abbreviation for a month.
java.lang.String	getParameter(java.lang.String name) Wraps the logic for retrieving parameters so we can use the same code as an applet and as an application.
void	init() Initializes the application/applet, handles setting up the UI and loading the raw returns into memory.
protected void	loadReturnsFromFile(java.lang.String dataURLName, java.util.List<EfficientFrontier.SampleData> samplePoints) Reads the market data (monthly asset returns) from a .csv file and puts them into SampleData objects on a list.
static void	main(java.lang.String[] args)
void	paint(java.awt.Graphics g) New paint method for graphics panel using jfreechart
int	print(java.awt.Graphics g, java.awt.print.PageFormat f, int page)
void	run() Used with SwingUtilities to cause a paint when a calculation has completed
void	setParameter(java.lang.String key, java.lang.String value) Sets a parameter for later access by getParameter method.
void	stateChanged(javax.swing.event.ChangeEvent changeevent) Called when the slider moves to update the area chart, the pie chart and the efficient frontier chart

Methods inherited from class javax.swing.JApplet

addImpl, createRootPane, getAccessibleContext, getContentPane, getGlassPane, getGraphics, getJMenuBar, getLayeredPane, getRootPane, getTransferHandler, isRootPaneCheckingEnabled, paramString, remove, repaint, setContentPane, setGlassPane, setJMenuBar, setLayeredPane, setLayout, setRootPane, setRootPaneCheckingEnabled, setTransferHandler, update

Methods inherited from class java.applet.Applet

destroy, getAppletContext, getAppletInfo, getAudioClip, getAudioClip, getCodeBase, getDocumentBase, getImage, getImage, getLocale, getParameterInfo, isActive, newAudioClip, play, play, resize, resize, setStub, showStatus, start, stop

Methods inherited from class java.awt.Panel

addNotify

Methods inherited from class java.awt.Container

add, add, add, add, add, addContainerListener, addPropertyChangeListener, addPropertyChangeListener, applyComponentOrientation, areFocusTraversalKeysSet, countComponents, deliverEvent, doLayout, findComponentAt, findComponentAt, getAlignmentX, getAlignmentY, getComponent, getComponentAt, getComponentAt, getComponentCount, getComponents, getComponentZOrder, getContainerListeners, getFocusTraversalKeys, getFocusTraversalPolicy, getInsets, getLayout, getListeners, getMaximumSize, getMinimumSize, getMousePosition, getPreferredSize, insets, invalidate, isAncestorOf, isFocusCycleRoot, isFocusCycleRoot, isFocusTraversalPolicyProvider, isFocusTraversalPolicySet, layout, list, list, locate, minimumSize, paintComponents, preferredSize, print, printComponents, processContainerEvent, processEvent, remove, removeAll, removeContainerListener, removeNotify, setComponentZOrder, setFocusCycleRoot, setFocusTraversalKeys, setFocusTraversalPolicy, setFocusTraversalPolicyProvider, setFont, transferFocusBackward, transferFocusDownCycle, validate, validateTree

Methods inherited from class java.awt.Component

action, add, addComponentListener, addFocusListener, addHierarchyBoundsListener, addHierarchyListener, addInputMethodListener, addKeyListener, addMouseListener, addMouseMotionListener, addMouseWheelListener, bounds, checkImage, checkImage, coalesceEvents, contains, contains, createImage, createImage, createVolatileImage, createVolatileImage, disable, disableEvents, dispatchEvent, enable, enable, enableEvents, enableInputMethods, firePropertyChange, firePropertyChange, firePropertyChange, firePropertyChange, firePropertyChange, firePropertyChange, firePropertyChange, firePropertyChange, firePropertyChange, getBackground, getBaseline, getBaselineResizeBehavior, getBounds, getBounds, getColorModel, getComponentListeners, getComponentOrientation, getCursor, getDropTarget, getFocusCycleRootAncestor, getFocusListeners, getFocusTraversalKeysEnabled, getFont, getFontMetrics, getForeground, getGraphicsConfiguration, getHeight, getHierarchyBoundsListeners, getHierarchyListeners, getIgnoreRepaint, getInputContext, getInputMethodListeners, getInputMethodRequests, getKeyListeners, getLocation, getLocation, getLocationOnScreen, getMouseListeners, getMouseMotionListeners, getMousePosition, getMouseWheelListeners, getName, getParent, getPeer, getPropertyChangeListeners, getPropertyChangeListeners, getSize, getSize, getToolkit, getTreeLock, getWidth, getX, getY, gotFocus, handleEvent, hasFocus, hide, imageUpdate, inside, isBackgroundSet, isCursorSet, isDisplayable, isDoubleBuffered, isEnabled, isFocusable, isFocusOwner, isFocusTraversable, isFontSet, isForegroundSet, isLightweight, isMaximumSizeSet, isMinimumSizeSet, isOpaque, isPreferredSizeSet, isShowing, isValid, isVisible, keyDown, keyUp, list, list, list, location, lostFocus, mouseDown, mouseDrag, mouseEnter, mouseExit, mouseMove, mouseUp, move, nextFocus, paintAll, postEvent, prepareImage, prepareImage, printAll, processComponentEvent, processFocusEvent, processHierarchyBoundsEvent, processHierarchyEvent, processInputMethodEvent, processKeyEvent, processMouseEvent, processMouseMotionEvent, processMouseWheelEvent, remove, removeComponentListener, removeFocusListener, removeHierarchyBoundsListener, removeHierarchyListener, removeInputMethodListener, removeKeyListener, removeMouseListener, removeMouseMotionListener, removeMouseWheelListener, removePropertyChangeListener, removePropertyChangeListener, repaint, repaint, repaint, requestFocus, requestFocus, requestFocusInWindow, requestFocusInWindow, reshape, setBackground, setBounds, setBounds, setComponentOrientation, setCursor, setDropTarget, setEnabled, setFocusable, setFocusTraversalKeysEnabled, setForeground, setIgnoreRepaint, setLocale, setLocation, setLocation, setMaximumSize, setMinimumSize, setName, setPreferredSize, setSize, setSize, setVisible, show, show, size, toString, transferFocus, transferFocusUpCycle

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Field Detail

_areaPlot

protected org.jfree.chart.plot.XYPlot _areaPlot

_piePlot

protected org.jfree.chart.plot.PiePlot _piePlot

Constructor Detail

EfficientFrontier

public EfficientFrontier()

Constructs

Method Detail

setParameter

public void setParameter(java.lang.String key,
                         java.lang.String value)

Sets a parameter for later access by getParameter method. We use this so that we can make the app and applet initialize the same way.

Parameters:

key - Name of the parameter to be set

value - Value for the parameter

getParameter

public java.lang.String getParameter(java.lang.String name)

Wraps the logic for retrieving parameters so we can use the same code as an applet and as an application.

Overrides:

getParameter in class java.applet.Applet

Parameters:

name - Name of the parameter for which the value is to be returned

Returns:

Current value of the parameter

loadReturnsFromFile

protected void loadReturnsFromFile(java.lang.String dataURLName,
                                   java.util.List<EfficientFrontier.SampleData> samplePoints)

Reads the market data (monthly asset returns) from a .csv file and puts them into SampleData objects on a list.

Parameters:

dataURLName -

samplePoints -

print

public int print(java.awt.Graphics g,
                 java.awt.print.PageFormat f,
                 int page)

Specified by:

print in interface java.awt.print.Printable

init

public void init()

Initializes the application/applet, handles setting up the UI and loading the raw returns into memory. Computes the statistics and saves them for later use by the various optimizers.

Overrides:

init in class java.applet.Applet

getMonth

protected int getMonth(java.lang.String month)

Helper method to return the month number given the three letter abbreviation for a month.

Parameters:

month -

Returns:

The integer month (1-12) for the name specified.

createPieChart

protected org.jfree.chart.plot.PiePlot createPieChart()

Called to create the pie chart frame and chart objects so they can be filled in when an optimization is run.

Returns:

PiePlot the created PiePlot

stateChanged

public void stateChanged(javax.swing.event.ChangeEvent changeevent)

Called when the slider moves to update the area chart, the pie chart and the efficient frontier chart

Specified by:

stateChanged in interface javax.swing.event.ChangeListener

Parameters:

changeevent - The slider event

createChart

protected org.jfree.chart.JFreeChart createChart(org.jfree.data.xy.XYDataset xydataset)

Called to create the Efficient Frontier chart on the main frame of the application.

Parameters:

xydataset - Dataset of risk vs return data for points on the efficient frontier

Returns:

Chart of standard risk/return space populated with the data in the dataset

getDouble

protected double getDouble(java.lang.String number)

helper method to convert a string into a double and deal with any conversion exceptions.

Parameters:

number - String to be converted into a double

Returns:

The double represented by the string

formatString

protected java.lang.String formatString(java.lang.String s)

Helper method to format a string and squeeze out multiple spaces replacing them with just one.

Parameters:

s - String to be cleaned

Returns:

Cleaned string

constrain

public void constrain(java.awt.Container container,
                      java.awt.Component component,
                      int grid_x,
                      int grid_y,
                      int grid_width,
                      int grid_height,
                      int fill,
                      int anchor,
                      double weight_x,
                      double weight_y,
                      int top,
                      int left,
                      int bottom,
                      int right)

Helper method to apply layout constraint to a component as it's added to a container.

Parameters:

container -

component -

grid_x -

grid_y -

grid_width -

grid_height -

fill -

anchor -

weight_x -

weight_y -

top -

left -

bottom -

right -

constrain

public void constrain(java.awt.Container container,
                      java.awt.Component component,
                      int grid_x,
                      int grid_y,
                      int grid_width,
                      int grid_height)

helper method to set layout constraints when adding a component to a container. Defaluts the insets and weights to be 0.

Parameters:

container -

component -

grid_x -

grid_y -

grid_width -

grid_height -

constrain

public void constrain(java.awt.Container container,
                      java.awt.Component component,
                      int grid_x,
                      int grid_y,
                      int grid_width,
                      int grid_height,
                      int top,
                      int left,
                      int bottom,
                      int right)

Helper method to set layout constraints when adding a component to a container. Defaults the weights to be 0.

Parameters:

container -

component -

grid_x -

grid_y -

grid_width -

grid_height -

top -

left -

bottom -

right -

dumpPoints

protected void dumpPoints(java.util.List<SolvedPoint> points)

Debug method to dump all the points on an efficient frontier to System.out.

Parameters:

points -

action

public void action(java.awt.event.ActionEvent event,
                   java.lang.Object arg)

Action handler for the buttons on the main control panel, these are Go and Clear. The Go button will start the optimization and the Clear button will clear all the charts and list boxes.

Parameters:

event -

arg -

getAssets

protected java.lang.String[] getAssets()

Returns the names of the selected assets as an array.

Returns:

String Array of selected assets for this optimization.

run

public void run()

Used with SwingUtilities to cause a paint when a calculation has completed

Specified by:

run in interface java.lang.Runnable

createPath

protected void createPath()

Given the first optimization run, strips out any path information and draws the path in series 0 with shapes = CrossCircle so that one can see the path of the optimizer. Need to turn this on via options somehow.

paint

public void paint(java.awt.Graphics g)

New paint method for graphics panel using jfreechart

Overrides:

paint in class java.awt.Container

Parameters:

g -

createGui

protected void createGui()

Called to create the various charts and associated bits during initialization of the application.

main

public static void main(java.lang.String[] args)
                 throws java.lang.Exception

Throws:

java.lang.Exception