org.akutan.blacklitterman
Class BLView

java.lang.Object
  org.akutan.blacklitterman.BLView

All Implemented Interfaces:

java.lang.Cloneable

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

Models a single view in the Black-Litterman model.

Since:

9 December 2007

Field Summary

protected boolean	_absolute Indicates whether the view is relative of absolute
protected double	_confidence Indicates an Idzorek style confidence in the view
protected double	_er Expected return of the view portfolio
protected java.lang.String	_name Name of the view
protected double	_omega Uncertainty/variance of the estimated return of the view portfolio
protected cern.colt.matrix.DoubleMatrix1D	_weights Weights of the assets in the view portfolio

Constructor Summary

BLView(java.lang.String name, boolean absolute, double confidence, cern.colt.matrix.DoubleMatrix1D weights, double er)
Constructs a Black-Litterman view

Method Summary

java.lang.Object	clone() Clones the view (deep copy)
double	getConfidence() Returns the Idzorek style confidence if one has been supplied
double	getEr() Returns the expected return of the view portfolio
java.lang.String	getName() Returns the name of the view
double	getOmega() Returns the uncertainty/variance of the view portfolio
cern.colt.matrix.DoubleMatrix1D	getWeights() Returns the vector of weights
boolean	isAbsolute()
void	setConfidence(double confidence) Sets the Idzorek style confidence
void	setEr(double er) Sets the expected return of the view portfolio
void	setOmega(double omega) Sets the uncertainty/variance of the view portfolio
void	setWeights(cern.colt.matrix.DoubleMatrix1D weights) Sets the vector of weights
java.lang.String	toString() Formats the view as a String for debugging

Methods inherited from class java.lang.Object

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

Field Detail

_name

protected java.lang.String _name

Name of the view

_absolute

protected boolean _absolute

Indicates whether the view is relative of absolute

_confidence

protected double _confidence

Indicates an Idzorek style confidence in the view

_weights

protected cern.colt.matrix.DoubleMatrix1D _weights

Weights of the assets in the view portfolio

_er

protected double _er

Expected return of the view portfolio

_omega

protected double _omega

Uncertainty/variance of the estimated return of the view portfolio

Constructor Detail

BLView

public BLView(java.lang.String name,
              boolean absolute,
              double confidence,
              cern.colt.matrix.DoubleMatrix1D weights,
              double er)

Constructs a Black-Litterman view

Parameters:

name - Name of the view

absolute - Indicates the view is absolute or relative

confidence - Idzorek style confidence value if relevant

weights - The weights of the assets within the view portfolio

er - The expected return of the view portfolio

Method Detail

getName

public java.lang.String getName()

Returns the name of the view

Returns:

Name of the view

isAbsolute

public boolean isAbsolute()

Returns:

True if the view is absolute, false if relative

getConfidence

public double getConfidence()

Returns the Idzorek style confidence if one has been supplied

Returns:

Idzorek style confidence if one has been speciifed

setConfidence

public void setConfidence(double confidence)

Sets the Idzorek style confidence

Parameters:

confidence -

getWeights

public cern.colt.matrix.DoubleMatrix1D getWeights()

Returns the vector of weights

Returns:

setWeights

public void setWeights(cern.colt.matrix.DoubleMatrix1D weights)

Sets the vector of weights

Parameters:

weights -

getEr

public double getEr()

Returns the expected return of the view portfolio

Returns:

setEr

public void setEr(double er)

Sets the expected return of the view portfolio

Parameters:

er -

getOmega

public double getOmega()

Returns the uncertainty/variance of the view portfolio

Returns:

setOmega

public void setOmega(double omega)

Sets the uncertainty/variance of the view portfolio

Parameters:

omega -

clone

public java.lang.Object clone()

Clones the view (deep copy)

Overrides:

clone in class java.lang.Object

toString

public java.lang.String toString()

Formats the view as a String for debugging

Overrides:

toString in class java.lang.Object

Returns:

View formatted a String