org.akutan.rbsa
Class RBSAExample

java.lang.Object
  org.akutan.rbsa.RBSAExample

public class RBSAExample
extends java.lang.Object

This class implements and tests Return Based Style Analysis from William Sharpe. It makes use of the InteriorPointsSolver to perform the actual calculation. It also performs a simple least squares regression as a test.

Since:

8 March 2007

Constructor Summary

RBSAExample()

Method Summary

protected cern.colt.matrix.DoubleMatrix2D	getFactorReturns() Generate random factor returns
protected cern.colt.matrix.DoubleMatrix2D	getKnownFactors() Known repeatable returns for testing
protected cern.colt.matrix.DoubleMatrix1D	getKnownReturns(cern.colt.matrix.DoubleMatrix2D factors) Generates asset return from the factors without any randomness thrown in.
protected cern.colt.matrix.DoubleMatrix1D	getReturns(cern.colt.matrix.DoubleMatrix2D factors) Given the random factor returns generates a vector of returns with some random noise added.
static void	main(java.lang.String[] args) Simple test program to try and compute the return based factor analysis of the asset against the factors.

Methods inherited from class java.lang.Object

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

Constructor Detail

RBSAExample

public RBSAExample()

Method Detail

getReturns

protected cern.colt.matrix.DoubleMatrix1D getReturns(cern.colt.matrix.DoubleMatrix2D factors)

Given the random factor returns generates a vector of returns with some random noise added.

Parameters:

factors - Matrix of factor returns per date

Returns:

Vector of asset returns per date

getKnownReturns

protected cern.colt.matrix.DoubleMatrix1D getKnownReturns(cern.colt.matrix.DoubleMatrix2D factors)

Generates asset return from the factors without any randomness thrown in.

Parameters:

factors - Matrix of factor returns per date

Returns:

Vector of asset returns per date

getFactorReturns

protected cern.colt.matrix.DoubleMatrix2D getFactorReturns()

Generate random factor returns

Returns:

Matrix of returns by factor per date

getKnownFactors

protected cern.colt.matrix.DoubleMatrix2D getKnownFactors()

Known repeatable returns for testing

Returns:

Matrix of known factor returns per date

main

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

Simple test program to try and compute the return based factor analysis of the asset against the factors.

Parameters:

args -