org.akutan.optimization
Class SolvedPoint

java.lang.Object
  org.akutan.optimization.SolvedPoint

All Implemented Interfaces:

java.lang.Cloneable, java.lang.Comparable<SolvedPoint>

public class SolvedPoint
extends java.lang.Object
implements java.lang.Comparable<SolvedPoint>, java.lang.Cloneable

Field Summary

protected static java.text.DecimalFormat	_df
protected double	_er
protected java.util.List<double[]>	_path
protected double	_sigma
protected double	_utility
protected double[]	_weights

Constructor Summary

SolvedPoint(double er, double sigma, double utility, double[] weights)
Constructs

SolvedPoint(double er, double sigma, double utility, double[] weights, java.util.List<double[]> path)
Constructs

Method Summary

java.lang.Object	clone() Returns a deep copy of the object
int	compareTo(SolvedPoint sp) Compares this solution to another solution
double	getEr() Returns the expected return of this solution/portfolio
java.util.List<double[]>	getPath() Returns the path of weights if one was saved
double	getSigma() Returns the standard deviation of this portfolio
double	getUtility() Returns the utility of the solution for this point
double[]	getWeights() Returns the weights of the various assets for this solution/portfolio
void	setEr(double er) Sets the expected return for this portfolio
void	setSigma(double sigma) Sets the standard deviation of the portfolio
java.lang.String	toString() Returns a formatted String representing the current state of this object for debugging

Methods inherited from class java.lang.Object

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

Field Detail

_er

protected double _er

_sigma

protected double _sigma

_utility

protected double _utility

_weights

protected double[] _weights

_path

protected java.util.List<double[]> _path

_df

protected static java.text.DecimalFormat _df

Constructor Detail

SolvedPoint

public SolvedPoint(double er,
                   double sigma,
                   double utility,
                   double[] weights)

Constructs

Parameters:

er - Expected return for this portfolio

sigma - Standard deviation of returns for this portfolio

utility - Value of objective function (standard quadratic utility) for this portfolio

weights - Weights of the assets which defines this portfolio

SolvedPoint

public SolvedPoint(double er,
                   double sigma,
                   double utility,
                   double[] weights,
                   java.util.List<double[]> path)

Constructs

Parameters:

er - Expected return for this portfolio

sigma - Standard deviation of returns for this portfolio

utility - Value of objective function (standard quadratic utility) for this portfolio

weights - Weights of the assets which defines this portfolio

path - Path of weights taken to reach this solution

Method Detail

getEr

public double getEr()

Returns the expected return of this solution/portfolio

Returns:

Expected return of the portfolio

setEr

public void setEr(double er)

Sets the expected return for this portfolio

Parameters:

er - Expected return for the portfolio

getSigma

public double getSigma()

Returns the standard deviation of this portfolio

Returns:

Standard deviation of the portfolio

setSigma

public void setSigma(double sigma)

Sets the standard deviation of the portfolio

Parameters:

sigma - The standard deviation of the portfolio

getUtility

public double getUtility()

Returns the utility of the solution for this point

Returns:

The utility of this solution

getWeights

public double[] getWeights()

Returns the weights of the various assets for this solution/portfolio

Returns:

Array of the weights for each asset

getPath

public java.util.List<double[]> getPath()

Returns the path of weights if one was saved

Returns:

A list of the weights at each point along the path the optimizer too from the initial guess to this solution.

compareTo

public int compareTo(SolvedPoint sp)

Compares this solution to another solution

Specified by:

compareTo in interface java.lang.Comparable<SolvedPoint>

Parameters:

sp - The other solution

Returns:

-1 if less, 0 if equals, +1 if more

See Also:

Comparable.compareTo(Object)

toString

public java.lang.String toString()

Returns a formatted String representing the current state of this object for debugging

Overrides:

toString in class java.lang.Object

Returns:

A string representation of the object

See Also:

Object.toString()

clone

public java.lang.Object clone()
                       throws java.lang.CloneNotSupportedException

Returns a deep copy of the object

Overrides:

clone in class java.lang.Object

Returns:

Deep copy of this SolvedPoint

Throws:

java.lang.CloneNotSupportedException - If any sub-object cannot be cloned.

See Also:

Cloneable, Object.clone()