org.akutan.blacklitterman
Class BLResults

java.lang.Object
  org.akutan.blacklitterman.BLResults

All Implemented Interfaces:

java.lang.Cloneable

public class BLResults
extends java.lang.Object
implements java.lang.Cloneable

This class holds results from a Black-Litterman mixing operation. It includes the asset names, list of views, estimated returns after views,

Since:

9 December 2007

Constructor Summary

BLResults(java.lang.String[] assets, BLViews views, cern.colt.matrix.DoubleMatrix1D er, cern.colt.matrix.DoubleMatrix2D V, cern.colt.matrix.DoubleMatrix1D baseWeights, cern.colt.matrix.DoubleMatrix1D unconstrainedWeights, cern.colt.matrix.DoubleMatrix1D viewWeights, double tau)
Constructs

Method Summary

cern.colt.matrix.DoubleMatrix1D	getActiveWeights() Returns the active weights, results - base
cern.colt.matrix.DoubleMatrix1D	getBaseWeights() Returns the base weights (prior weights)
cern.colt.matrix.DoubleMatrix1D	getEr() Returns the posterior return vector
double	getPortfolioReturn() Returns the computed portfolio return from the unconstrained weights and the equilibrium returns.
double	getPortfolioReturn(cern.colt.matrix.DoubleMatrix1D w) Compute the portfolio return given a vector of weights
double	getTau()
cern.colt.matrix.DoubleMatrix1D	getUnconstrainedWeights() Returns the unconstrained weights
cern.colt.matrix.DoubleMatrix2D	getV() Returns the posterior covariance matrix
BLViews	getViews() Return the investors views
protected java.lang.String	rightJustify(java.lang.String input, int length) Helper function used to right justify text
void	setBaseWeights(cern.colt.matrix.DoubleMatrix1D baseWeights) Set the base weights
void	setDecFmt(java.text.DecimalFormat decFmt) Set the decimal format for output
void	setPctFmt(java.text.DecimalFormat pctFmt) Sets the percentage format for output
void	setRetFmt(java.text.DecimalFormat retFmt) Sets the return field format for output
java.lang.String	toString() Implementation of method to format BL results into a String

Methods inherited from class java.lang.Object

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

Constructor Detail

BLResults

public BLResults(java.lang.String[] assets,
                 BLViews views,
                 cern.colt.matrix.DoubleMatrix1D er,
                 cern.colt.matrix.DoubleMatrix2D V,
                 cern.colt.matrix.DoubleMatrix1D baseWeights,
                 cern.colt.matrix.DoubleMatrix1D unconstrainedWeights,
                 cern.colt.matrix.DoubleMatrix1D viewWeights,
                 double tau)

Constructs

Parameters:

assets - Array of asset class names

views - Container of the views

er - Vector of prior returns for each asset class

V - Covariance matrix of asset returns

baseWeights - Weights of the assets at equilibrium

unconstrainedWeights - Weights of the assets after applying the views

viewWeights - Weights of the views

tau - Uncertainty of the prior returns vs their means

Method Detail

getTau

public double getTau()

Returns:

the tau

getEr

public cern.colt.matrix.DoubleMatrix1D getEr()

Returns the posterior return vector

Returns:

Vector of posterior returns

getV

public cern.colt.matrix.DoubleMatrix2D getV()

Returns the posterior covariance matrix

Returns:

Covariance matrix

getViews

public BLViews getViews()

Return the investors views

Returns:

Investors views

getUnconstrainedWeights

public cern.colt.matrix.DoubleMatrix1D getUnconstrainedWeights()

Returns the unconstrained weights

Returns:

the unconstrained weights

getActiveWeights

public cern.colt.matrix.DoubleMatrix1D getActiveWeights()

Returns the active weights, results - base

Returns:

Vector of the active weights.

getPortfolioReturn

public double getPortfolioReturn()

Returns the computed portfolio return from the unconstrained weights and the equilibrium returns.

Returns:

the computed portfolio return

getPortfolioReturn

public double getPortfolioReturn(cern.colt.matrix.DoubleMatrix1D w)

Compute the portfolio return given a vector of weights

Parameters:

w - Weights to use in the calculation of return

Returns:

the computed portfolio return

getBaseWeights

public cern.colt.matrix.DoubleMatrix1D getBaseWeights()

Returns the base weights (prior weights)

Returns:

the base weights

setBaseWeights

public void setBaseWeights(cern.colt.matrix.DoubleMatrix1D baseWeights)

Set the base weights

Parameters:

baseWeights -

setDecFmt

public void setDecFmt(java.text.DecimalFormat decFmt)

Set the decimal format for output

Parameters:

decFmt -

setPctFmt

public void setPctFmt(java.text.DecimalFormat pctFmt)

Sets the percentage format for output

Parameters:

pctFmt -

setRetFmt

public void setRetFmt(java.text.DecimalFormat retFmt)

Sets the return field format for output

Parameters:

retFmt -

rightJustify

protected java.lang.String rightJustify(java.lang.String input,
                                        int length)

Helper function used to right justify text

Parameters:

input - String to be justified

length - to pad String out to

Returns:

Left padded string

toString

public java.lang.String toString()

Implementation of method to format BL results into a String

Overrides:

toString in class java.lang.Object

Returns:

Results formatted as a String

See Also:

Object.toString()