A B C D E F G H I K L M N O P R S T U V W X Y _

A

A - Variable in class org.akutan.optimization.RevisedSimplex
 
About - Class in org.akutan.gui
Implements a simple About box for the EfficientFrontier application
About(Frame, Color) - Constructor for class org.akutan.gui.About
Constructs with a parent frame and a specified background color
action(ActionEvent, Object) - Method in class org.akutan.blacklitterman.gui.BLApplet
Action handler for the buttons on the main control panel, these are Go and Clear.
action(ActionEvent, Object) - Method in class org.akutan.EfficientFrontier
Action handler for the buttons on the main control panel, these are Go and Clear.
actionPerformed(ActionEvent) - Method in class org.akutan.blacklitterman.gui.BayesianDialog
 
actionPerformed(ActionEvent) - Method in class org.akutan.blacklitterman.gui.BLEditStats
Called when a button on the GUI is pressed, handles validation of the form to make sure it is complete and the edits can be used.
actionPerformed(ActionEvent) - Method in class org.akutan.blacklitterman.gui.BLViewStats
Action handler for the ok button.
actionPerformed(ActionEvent) - Method in class org.akutan.blacklitterman.gui.OptionsDialog
 
actionPerformed(ActionEvent) - Method in class org.akutan.blacklitterman.gui.ViewDialog
 
actionPerformed(ActionEvent) - Method in class org.akutan.faj.spv.SPVDialog
 
actionPerformed(ActionEvent) - Method in class org.akutan.gui.About
Event handling function for the ok button
actionPerformed(ActionEvent) - Method in class org.akutan.montecarlo.WeightDialog
 
actionPerformed(ActionEvent) - Method in class org.akutan.optimization.ConstraintDialog
 
actionPerformed(ActionEvent) - Method in class org.akutan.optimization.diversified.DiversificationConstraintDialog
 
actionPerformed(ActionEvent) - Method in class org.akutan.utilities.Stats
 
ActiveSetSolver - Class in org.akutan.optimization
 
ActiveSetSolver() - Constructor for class org.akutan.optimization.ActiveSetSolver
 
add(BLView) - Method in class org.akutan.blacklitterman.BLViews
Adds a view to the container.
add(DoubleMatrix1D) - Method in class org.akutan.optimization.diversified.DConsVector
Called to add a vector to this one
add(DVector) - Method in class org.akutan.optimization.diversified.DVector
Called to add a vector to this elementwise
add(DoubleMatrix1D) - Method in class org.akutan.optimization.entropy.EConsVector
Called to add a vector to this one
add(EVector) - Method in class org.akutan.optimization.entropy.EVector
Called to add a vector to this one
add(DoubleMatrix1D) - Method in class org.akutan.optimization.IPConsVector
Called to add a vector to this
add(IPVector) - Method in class org.akutan.optimization.IPVector
Called to add a vector to this one
addAsset(double, int, Integer[]) - Method in class org.akutan.optimization.SASolution
Adds the selected asset to the solution
addConstraint(Constraint) - Method in class org.akutan.optimization.RevisedSimplex
Add a constraint to the list of constraints
addPoint(List<SolvedPoint>, double, DVector) - Method in class org.akutan.optimization.diversified.DivInteriorPointsSolver
Helper function called to build the finished point object and add it to the mean variance frontier.
addPoint(List<SolvedPoint>, DoubleMatrix1D) - Method in class org.akutan.optimization.entropy.EntropyInteriorPointsSolver
Helper function called to build the finished point object and add it to the mean variance frontier.
addPoint(double, DoubleMatrix1D, DoubleMatrix1D, DoubleMatrix2D, List<SolvedPoint>) - Method in class org.akutan.optimization.EntropySolver
 
addPoint(List<SolvedPoint>, double, DoubleMatrix1D) - Method in class org.akutan.optimization.InteriorPointsSolver
Helper function called to build the finished point object and add it to the mean variance frontier.
addRow(int) - Method in class org.akutan.blacklitterman.gui.ViewDialog
 
addRow(int) - Method in class org.akutan.optimization.ConstraintDialog
 
adjust(DoubleMatrix2D) - Static method in class org.akutan.correlations.SpectralDecomposition
This method is from the paper "The Most General Way to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes" by Rebonato and Jaekel, 1999.
algorithm(List<Constraint>, Set<Integer>, Set<Integer>, Set<Integer>, DoubleMatrix1D, DoubleMatrix2D, DoubleMatrix1D, int) - Method in class org.akutan.optimization.ActiveSetSolver
 
algorithm(int, DoubleMatrix2D, DVector, DMatrix, DMatrix, DConsVector, double, DoubleMatrix2D, DoubleMatrix1D, double) - Method in class org.akutan.optimization.diversified.DivInteriorPointsSolver
Performs the actual algorithmic calculations of a single iteration.
algorithm(int, EVector, EMatrix, EMatrix, EConsVector, double, DoubleMatrix2D, DoubleMatrix1D, double) - Method in class org.akutan.optimization.entropy.EntropyInteriorPointsSolver
Performs the actual algorithmic calculations of a single iteration.
algorithm(int, IPVector, IPMatrix, IPMatrix, IPConsVector, double, DoubleMatrix2D, DoubleMatrix1D, double) - Method in class org.akutan.optimization.InteriorPointsSolver
Performs the actual algorithmic calculations of a single iteration.
anneal(double) - Method in class org.akutan.optimization.SimulatedAnnealing
Performs the simulated annealing optimization and returns a solution
annualizeMean(double) - Static method in class org.akutan.utilities.Statistics
Return the simple compounded annualization of the mean monthly return and convert from a decimal to a percent.
annualizeStdDev(double) - Static method in class org.akutan.utilities.Statistics
Annualize the monthly standard deviation and convert from a decimal to a percent.
applyBL(String[], DoubleMatrix2D, DoubleMatrix1D, BLViews, double, double, DoubleMatrix1D) - Method in class org.akutan.blacklitterman.BlackLitterman
Called to apply the Black-Litterman model to the inputs in order to derive a posterior view of the asset returns and covariances.
applyBL(String[], DoubleMatrix2D, DoubleMatrix1D, BLViews, double, double, DoubleMatrix1D, DoubleMatrix1D) - Method in class org.akutan.blacklitterman.BlackLitterman
Called to apply the Black-Litterman model to the inputs in order to derive a posterior view of the asset returns and covariances.
applyBL2(String[], DoubleMatrix2D, DoubleMatrix1D, BLViews, double, double, DoubleMatrix1D, DoubleMatrix1D) - Method in class org.akutan.blacklitterman.FusaiMeucci
We override this method here as we need to perform a constrained optimization to get the weights which match the paper.
applyViews(String[], BLViews, DoubleMatrix2D, DoubleMatrix1D, double, double, DoubleMatrix1D) - Method in class org.akutan.blacklitterman.IdzorekBLExample
Applies specified views to asset information to derive a new view of the asset allocation.
Artificial - Static variable in class org.akutan.optimization.RevisedSimplex
 
ArtificialAdded - Variable in class org.akutan.optimization.RevisedSimplex
 
assertEquals(DoubleMatrix2D, DoubleMatrix2D, double) - Method in class org.akutan.correlations.test.SpecDecompTest
Helper method to do a cell by cell comparison vs epsilon
AugmentBasis(int) - Method in class org.akutan.optimization.RevisedSimplex
 

B

B - Variable in class org.akutan.optimization.RevisedSimplex
 
b - Variable in class org.akutan.optimization.RevisedSimplex
 
BasicType - Static variable in class org.akutan.optimization.RevisedSimplex
 
BasicVariables - Variable in class org.akutan.optimization.RevisedSimplex
 
BayesianDialog - Class in org.akutan.blacklitterman.gui
Used to display the prior and sampling PDF and the posterior PDF just to be cool
BayesianDialog(Container, int, String, BLViews, DoubleMatrix1D, DoubleMatrix2D, DoubleMatrix1D, DoubleMatrix2D, double, boolean) - Constructor for class org.akutan.blacklitterman.gui.BayesianDialog
 
BayesSteinSolver - Class in org.akutan.optimization
This class encapsulates an example of shrinking the returns and covariance using Bayes-Stein shrinkage as descried in Jorion, 1986.
BayesSteinSolver(DoubleMatrix1D, DoubleMatrix2D) - Constructor for class org.akutan.optimization.BayesSteinSolver
Constructs
beta(DoubleArrayList, DoubleArrayList) - Static method in class org.akutan.utilities.Statistics
Called to compute the beta of series 1 with respect to series 2.
binomialOption(double, double, double, double, double, int) - Method in class org.akutan.numerics.FiniteDifferenceSolver
Uses binomial model to compute price of european call option
BlackLitterman - Class in org.akutan.blacklitterman
This class encapsulates the top level Black-Litterman functionality in terms of backing the risk aversion out of the market portfolio, and then on to calculating the expected return with views.
BlackLitterman() - Constructor for class org.akutan.blacklitterman.BlackLitterman
Constructs
BLApplet - Class in org.akutan.blacklitterman.gui
Applet/Main class for Application that displays the results from a Black-Litterman model.
BLApplet() - Constructor for class org.akutan.blacklitterman.gui.BLApplet
Constructs
BLEditStats - Class in org.akutan.blacklitterman.gui
Subclass of JDialog for editing statistics for a Black-Litterman equilibrium.
BLEditStats(Frame, Color, String[], DoubleMatrix1D, DoubleMatrix2D) - Constructor for class org.akutan.blacklitterman.gui.BLEditStats
Constructs
BLResults - Class in org.akutan.blacklitterman
This class holds results from a Black-Litterman mixing operation.
BLResults(String[], BLViews, DoubleMatrix1D, DoubleMatrix2D, DoubleMatrix1D, DoubleMatrix1D, DoubleMatrix1D, double) - Constructor for class org.akutan.blacklitterman.BLResults
Constructs
BLView - Class in org.akutan.blacklitterman
Models a single view in the Black-Litterman model.
BLView(String, boolean, double, DoubleMatrix1D, double) - Constructor for class org.akutan.blacklitterman.BLView
Constructs a Black-Litterman view
BLViews - Class in org.akutan.blacklitterman
 
BLViews(int) - Constructor for class org.akutan.blacklitterman.BLViews
Constructs a container for views to be applied in the Black-Litterman model.
BLViewStats - Class in org.akutan.blacklitterman.gui
Subclass of JDialog for viewing statistics for mean-variance optimization.
BLViewStats(Frame, Color, String[], DoubleMatrix1D, DoubleMatrix2D) - Constructor for class org.akutan.blacklitterman.gui.BLViewStats
Constructs
BS - Class in org.akutan.numerics
 
BS() - Constructor for class org.akutan.numerics.BS
 
Bt - Variable in class org.akutan.optimization.RevisedSimplex
 
budgetConstrainedWeights(double, DoubleMatrix2D, DoubleMatrix1D) - Static method in class org.akutan.blacklitterman.MeanVariance
Given the risk aversion coefficient, the covariance matrix and the excess returns we can calculate the implied weights subject to a budget constraint.

C

calculateObjective() - Method in class org.akutan.optimization.RevisedSimplex
Evaluate the objective function for the current point
calculateReducedCosts() - Method in class org.akutan.optimization.RevisedSimplex
 
canceled - Variable in class org.akutan.blacklitterman.gui.BLEditStats
 
canImport(JComponent, DataFlavor[]) - Method in class org.akutan.blacklitterman.gui.StringTransferHandler
Called to check whether the specified component can import data in one of the specified DataFlavors.
chartMouseClicked(ChartMouseEvent) - Method in class org.akutan.blacklitterman.gui.BLApplet
We want to handle these events by opening a BayesianDialog object for the right asset.
chartMouseMoved(ChartMouseEvent) - Method in class org.akutan.blacklitterman.gui.BLApplet
We can ignore these messages
checkWeights() - Method in class org.akutan.blacklitterman.gui.BLEditStats
Sums up the weights so we can compute new weight, or check for the sum(weights) = 1 constraint
chiSquared(double, double) - Static method in class org.akutan.utilities.Statistics
Returns the probability density function for the chi squared distribution for n degrees of freedom at x.
ChooseEnteringVariable() - Method in class org.akutan.optimization.RevisedSimplex
Choose new variable to enter the active set
chooseLeavingVariable() - Method in class org.akutan.optimization.RevisedSimplex
Choose new variable to leave the active set
cleanConstraints(List<Constraint>, Set<Integer>, Set<Integer>, Set<Integer>) - Method in class org.akutan.optimization.ReturnSolver
Called to remove constraints which aren't required
clone() - Method in class org.akutan.blacklitterman.BLView
Clones the view (deep copy)
clone() - Method in class org.akutan.optimization.diversified.DConsVector
Clones the object, this is a deep copy of the vector
clone() - Method in class org.akutan.optimization.diversified.DVector
Clones the object with a deep copy
clone() - Method in class org.akutan.optimization.entropy.EConsVector
Provides a deep copy of the object
clone() - Method in class org.akutan.optimization.entropy.EVector
Clones the object with a deep copy
clone() - Method in class org.akutan.optimization.IPConsVector
Clones the object making a deep copy of the underlying vector
clone() - Method in class org.akutan.optimization.IPVector
Clones the object, makes a deep copy of the underlying vector
clone() - Method in class org.akutan.optimization.SASolution
Deep copy of the solution
clone() - Method in class org.akutan.optimization.SolvedPoint
Returns a deep copy of the object
colOfA - Variable in class org.akutan.optimization.RevisedSimplex
 
compareTo(HistPoint) - Method in class org.akutan.montecarlo.HistPoint
 
compareTo(SASolution) - Method in class org.akutan.optimization.SASolution
Compares a SASolution object to this
compareTo(SolvedPoint) - Method in class org.akutan.optimization.SolvedPoint
Compares this solution to another solution
compute(double, double, double, double) - Method in class org.akutan.faj.spv.SPV
Computes the probability of spending the endowment prior to the end of life given the parameters specified.
computeAlpha(double, DVector, DoubleMatrix2D, DoubleMatrix1D, DVector) - Method in class org.akutan.optimization.diversified.DivInteriorPointsSolver
Computes the step size in the step direction X by finding the maximum step size that won't violate any constraints.
computeAlpha(double, EVector, DoubleMatrix2D, DoubleMatrix1D, EVector) - Method in class org.akutan.optimization.entropy.EntropyInteriorPointsSolver
Computes the step size in the step direction X by finding the maximum step size that won't violate any constraints.
computeAlpha(IPVector, DoubleMatrix2D, DoubleMatrix1D, IPVector) - Method in class org.akutan.optimization.InteriorPointsSolver
 
computeCi(DoubleMatrix1D, DoubleMatrix2D, double) - Method in class org.akutan.optimization.EntropySolver
Uses Merton method to compute lambda and gamma, and thence c
computeDelta(double, double) - Method in class org.akutan.blacklitterman.BlackLitterman
Called to compute the risk aversion of the market portfolio.
computeDiff(DoubleMatrix1D, DoubleMatrix1D) - Method in class org.akutan.optimization.NewtonSolver
Computes the norm between the two vectors
computeEr(DoubleMatrix2D, DoubleMatrix1D, BLViews, double) - Method in class org.akutan.blacklitterman.BlackLitterman
Called to apply the Black-Litterman transform to the inputs to compute a new excess return vector assuming 100% certainty in the estimates.
computeEr2(DoubleMatrix2D, DoubleMatrix1D, BLViews, double) - Method in class org.akutan.blacklitterman.FusaiMeucci
Called to apply the Black-Litterman transform to the inputs to compute a new excess return vector assuming 100% certainty in the estimates.
computeImpliedWeights(double, DoubleMatrix2D, DoubleMatrix1D) - Method in class org.akutan.blacklitterman.BlackLitterman
Given the risk aversion coefficient, the covariance matrix and the excess returns we can calculate the implied weights.
computeInterval(double, double) - Method in class org.akutan.blacklitterman.BlackLitterman
This function is called to compute the variance of a distribution given a confidence level and a width.
computeKLIC(BLResults) - Method in class org.akutan.blacklitterman.BlackLitterman
Computes the Kullback-Leibler information criteria as a measure of the distance between the prior and the posterior distributions.
computeLambda(BLViews, double, DoubleMatrix1D, DoubleMatrix1D) - Method in class org.akutan.blacklitterman.BlackLitterman
Computes the He-Litterman Lambda value when posterior variance varies
computeLambda(double, double) - Static method in class org.akutan.optimization.EntropySolver
Called to compute the risk aversion of the market portfolio.
computeLambdaN(BLViews, double, double, DoubleMatrix2D, DoubleMatrix1D) - Method in class org.akutan.blacklitterman.BlackLitterman
Computes the He-Litterman Lambda value when posterior variance does not vary.
computeOutOfSample(int, double[]) - Method in class org.akutan.drivers.DiversificationDriver
Computes the out of sample 1 month return
computeOutOfSample12(int, double[]) - Method in class org.akutan.drivers.DiversificationDriver
Computes the out of sample 12 month return for the next 12 month period starting with ptr.
computePartialTevSensitities(double, BLResults) - Method in class org.akutan.blacklitterman.BlackLitterman
Computes the partial sensitivites of the tracking error
computeTev(BLResults) - Method in class org.akutan.blacklitterman.BlackLitterman
Computes the standard tracking error of the active weights.
computeTevSensitities(double, BLResults) - Method in class org.akutan.blacklitterman.BlackLitterman
Computes the sensitivites of the tracking error from the Braga-Natale paper.
computeV(DoubleMatrix2D, DoubleMatrix1D, BLViews, double) - Method in class org.akutan.blacklitterman.BlackLitterman
Computes the posterior variance using a robust formula which works for any value of the view variance.
CONSTANT - Static variable in class org.akutan.optimization.diversified.DMatrix
 
CONSTANT - Static variable in class org.akutan.optimization.entropy.EMatrix
 
constrain(Container, Component, int, int, int, int, int, int, double, double, int, int, int, int) - Method in class org.akutan.blacklitterman.gui.BLApplet
Helper method to apply layout constraint to a component as it's added to a container.
constrain(Container, Component, int, int, int, int) - Method in class org.akutan.blacklitterman.gui.BLApplet
helper method to set layout constraints when adding a component to a container.
constrain(Container, Component, int, int, int, int, int, int, int, int) - Method in class org.akutan.blacklitterman.gui.BLApplet
Helper method to set layout constraints when adding a component to a container.
constrain(Container, Component, int, int, int, int) - Method in class org.akutan.blacklitterman.gui.BLEditStats
Internal helper function to manage putting components into the container
constrain(Container, Component, int, int, int, int) - Method in class org.akutan.blacklitterman.gui.BLViewStats
Adds a component to the container and sets up the layout parameters for it
constrain(Container, Component, int, int, int, int, int, int, double, double, int, int, int, int) - Method in class org.akutan.EfficientFrontier
Helper method to apply layout constraint to a component as it's added to a container.
constrain(Container, Component, int, int, int, int) - Method in class org.akutan.EfficientFrontier
helper method to set layout constraints when adding a component to a container.
constrain(Container, Component, int, int, int, int, int, int, int, int) - Method in class org.akutan.EfficientFrontier
Helper method to set layout constraints when adding a component to a container.
constrain(Container, Component, int, int, int, int) - Method in class org.akutan.gui.About
Called to add the component into the container and handle setting all the LayoutManager related bits.
constrain(Container, Component, int, int, int, int) - Method in class org.akutan.utilities.Stats
 
Constraint - Class in org.akutan.optimization
Base class for linear optimization constraints
Constraint(DoubleMatrix1D, double, Constraint.Type) - Constructor for class org.akutan.optimization.Constraint
Constructs a generalized constraint
Constraint.Type - Enum in org.akutan.optimization
 
ConstraintDialog - Class in org.akutan.optimization
Used to manage input of a Black-Litterman style view on the returns of assets
ConstraintDialog() - Constructor for class org.akutan.optimization.ConstraintDialog
 
constraintType - Variable in class org.akutan.optimization.RevisedSimplex
 
Continue - Static variable in class org.akutan.optimization.RevisedSimplex
 
correlation(DoubleArrayList, DoubleArrayList) - Static method in class org.akutan.utilities.Statistics
Compute the correlation of the series in the two lists
cost - Variable in class org.akutan.optimization.RevisedSimplex
 
Covariance - Class in org.akutan.utilities
Various functions to computes covariance matrices
Covariance() - Constructor for class org.akutan.utilities.Covariance
 
covariance(DoubleArrayList, DoubleArrayList) - Static method in class org.akutan.utilities.Covariance
Compute the sample covariance of the series in the two lists
crankNicolson(double, double, double, double, double, int, int) - Method in class org.akutan.numerics.FiniteDifferenceSolver
Uses Crank-Nicolson Finite differences method to compute price of call option.
createBarChart() - Method in class org.akutan.blacklitterman.gui.BLApplet
 
createBarChart2() - Method in class org.akutan.blacklitterman.gui.BLApplet
Called to create the pie chart frame and chart objects so they can be filled in when an optimization is run.
createChart(XYDataset) - Method in class org.akutan.blacklitterman.gui.BayesianDialog
 
createChart(XYDataset) - Method in class org.akutan.EfficientFrontier
Called to create the Efficient Frontier chart on the main frame of the application.
createDataset() - Method in class org.akutan.blacklitterman.gui.BayesianDialog
 
createDefaultModel() - Method in class org.akutan.gui.NumberField
Creates the Model for the object
createGui() - Method in class org.akutan.blacklitterman.gui.BLApplet
Called to create the various charts and associated bits during initialization of the application.
createGui() - Method in class org.akutan.EfficientFrontier
Called to create the various charts and associated bits during initialization of the application.
createPath() - Method in class org.akutan.EfficientFrontier
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.
createPieChart() - Method in class org.akutan.blacklitterman.gui.BLApplet
Called to create the pie chart frame and chart objects so they can be filled in when an optimization is run.
createPieChart() - Method in class org.akutan.EfficientFrontier
Called to create the pie chart frame and chart objects so they can be filled in when an optimization is run.
createTransferable(JComponent) - Method in class org.akutan.blacklitterman.gui.StringTransferHandler
 
CrossCircle - Class in org.akutan.gui
Extends the Ellipse Shape to draw a circle with lines through it.
CrossCircle(float, float) - Constructor for class org.akutan.gui.CrossCircle
Constucts with a width and height
CurrentStep - Variable in class org.akutan.optimization.RevisedSimplex
 

D

DConsVector - Class in org.akutan.optimization.diversified
This class encapsulates the assignment and structure of the various subcomponents of the interior point method solution.
DConsVector(int, int, int) - Constructor for class org.akutan.optimization.diversified.DConsVector
Constructs
decide(SASolution, double) - Method in class org.akutan.optimization.SimulatedAnnealing
Original decision rule is random
decide(SASolution, double) - Method in class org.akutan.optimization.SimulatedAnnealing2
Implements the simulated annealing algorithm from Armananzas & Lozano
df - Variable in class org.akutan.optimization.ActiveSetSolver
 
df - Variable in class org.akutan.optimization.BayesSteinSolver
 
df - Variable in class org.akutan.optimization.diversified.DivInteriorPointsSolver
 
df - Variable in class org.akutan.optimization.entropy.EntropyInteriorPointsSolver
 
df - Variable in class org.akutan.optimization.EntropySolver
 
df - Variable in class org.akutan.optimization.InteriorPointsSolver
Format for formatting output
df - Variable in class org.akutan.optimization.LedoitWolfSolver
 
df - Variable in class org.akutan.optimization.NewtonSolver
Display format for use in logging
df - Variable in class org.akutan.optimization.SimulationSolver
 
df - Variable in class org.akutan.optimization.SphericalShrinkageSolver
 
df - Variable in class org.akutan.optimization.UnconstrainedSolver
 
displayStatus(String[], DoubleMatrix1D, DoubleMatrix1D, BLView, DoubleMatrix1D) - Method in class org.akutan.blacklitterman.IdzorekBLExample
 
distance(DoubleMatrix1D, DoubleMatrix1D, DoubleMatrix1D, double) - Method in class org.akutan.optimization.SimulationSolver
Computes the distance between a reference portfolio (rW) and a test portfolio (w) for a given set of returns (eR) and a given lambda value.
DiversificationConstraintDialog - Class in org.akutan.optimization.diversified
Used to manage input of the diversification constraint for the DiversifiedReturnSolver.
DiversificationConstraintDialog() - Constructor for class org.akutan.optimization.diversified.DiversificationConstraintDialog
 
DiversificationDriver - Class in org.akutan.drivers
This class is a driver program which reads a file of industry sector returns from the Fama/French data and generates a sequence of portfolios using 60 month rolling returns.
DiversificationDriver() - Constructor for class org.akutan.drivers.DiversificationDriver
Constructs
DiversificationDriverTest - Class in org.akutan.drivers.test
 
DiversificationDriverTest(String) - Constructor for class org.akutan.drivers.test.DiversificationDriverTest
 
DiversifiedReturn - Class in org.akutan.optimization.diversified
 
DiversifiedReturn(DoubleMatrix1D, DoubleMatrix2D, double) - Constructor for class org.akutan.optimization.diversified.DiversifiedReturn
Constructs
DivInteriorPointsSolver - Class in org.akutan.optimization.diversified
 
DivInteriorPointsSolver(DoubleMatrix1D, DoubleMatrix2D, double) - Constructor for class org.akutan.optimization.diversified.DivInteriorPointsSolver
 
DMatrix - Class in org.akutan.optimization.diversified
This class encapsulates the assignment and structure of the various subcomponents of the interior point method solution.
DMatrix(int, int, int, int, int) - Constructor for class org.akutan.optimization.diversified.DMatrix
Constructs
Dot(DoubleMatrix2D, DoubleMatrix2D, int) - Method in class org.akutan.optimization.RevisedSimplex
Returns the dot product of the two vectors, but the vectors are stored as 2D matrices
dumpConstraints(List<Constraint>, Set<Integer>, Set<Integer>, Set<Integer>) - Method in class org.akutan.optimization.ActiveSetSolver
Dump out the constraints to System.out in the format Constraint : {E | I} {A | I | X | M} constraint details Each constraint is either equality or inequality Each constraint is either active, inactive, both = error, or missing
dumpLastMktCap() - Method in class org.akutan.drivers.DiversificationDriver
For debugging dumps out the last line read from the file
dumpLastReturns() - Method in class org.akutan.drivers.DiversificationDriver
For debugging dumps out the last line read from the file
dumpPoints(List<SolvedPoint>) - Method in class org.akutan.blacklitterman.gui.BLApplet
Debug method to dump all the points on an efficient frontier to System.out.
dumpPoints(List<SolvedPoint>) - Method in class org.akutan.drivers.DiversificationDriver
 
dumpPoints(List<SolvedPoint>) - Method in class org.akutan.EfficientFrontier
Debug method to dump all the points on an efficient frontier to System.out.
dumpPoints(List<SolvedPoint>) - Static method in class org.akutan.faj.covariance.PetersonGrier
Debug method to dump all the points on an efficient frontier to System.out.
dumpPoints() - Method in class org.akutan.optimization.SimulatedAnnealing
Dumps out the list of solution points
DVector - Class in org.akutan.optimization.diversified
This class encapsulates the assignment and structure of the various subcomponents of the interior point method solution.
DVector(int, int, int) - Constructor for class org.akutan.optimization.diversified.DVector
Constructs
DVector(int, int, int, DoubleMatrix1D) - Constructor for class org.akutan.optimization.diversified.DVector
Constructs

E

e_rx - Variable in class org.akutan.optimization.SimulationSolver
 
EConsVector - Class in org.akutan.optimization.entropy
This class encapsulates the assignment and structure of the various subcomponents of the interior point method solution.
EConsVector(int, int, int) - Constructor for class org.akutan.optimization.entropy.EConsVector
Constructs
EfficientFrontier - Class in org.akutan
Applet/Main class for Application that displays the results from the optimization code.
EfficientFrontier() - Constructor for class org.akutan.EfficientFrontier
Constructs
EfficientFrontier.SampleData - Class in org.akutan
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.
EfficientFrontier.SampleData() - Constructor for class org.akutan.EfficientFrontier.SampleData
 
EMatrix - Class in org.akutan.optimization.entropy
This class encapsulates the assignment and structure of the various subcomponents of the interior point entropy method solution.
EMatrix(int, int, int, int, int) - Constructor for class org.akutan.optimization.entropy.EMatrix
Constructs
EnteringVariable - Variable in class org.akutan.optimization.RevisedSimplex
 
EntropyInteriorPointsSolver - Class in org.akutan.optimization.entropy
 
EntropyInteriorPointsSolver(DoubleMatrix1D, DoubleMatrix2D, double) - Constructor for class org.akutan.optimization.entropy.EntropyInteriorPointsSolver
 
EntropyReturn - Class in org.akutan.optimization.entropy
 
EntropyReturn(DoubleMatrix1D, DoubleMatrix2D, double) - Constructor for class org.akutan.optimization.entropy.EntropyReturn
Constructs
EntropySolver - Class in org.akutan.optimization
This class encapsulates an example of solving for the optimal portfolio using the entropy measure.
EntropySolver(DoubleMatrix1D, DoubleMatrix2D) - Constructor for class org.akutan.optimization.EntropySolver
Constructs
equals(Object) - Method in class org.akutan.optimization.SASolution
equivalence of two solutions, _s vector and objectives match.
erfinv(double) - Static method in class org.akutan.utilities.Statistics
Inverse error function from the Scilab source code
evaluate(SASolution, double) - Method in class org.akutan.optimization.SimulatedAnnealing
Called to evaluate a potential solution
EVector - Class in org.akutan.optimization.entropy
This class encapsulates the assignment and structure of the various subcomponents of the interior point method solution.
EVector(int, int, int) - Constructor for class org.akutan.optimization.entropy.EVector
Constructs
EVector(int, int, int, DoubleMatrix1D) - Constructor for class org.akutan.optimization.entropy.EVector
Constructs
evolve(int, double[]) - Method in class org.akutan.drivers.DiversificationDriver
Evolves a portfolio one step into the future and computes new weights
example(double) - Method in class org.akutan.blacklitterman.IdzorekBLExample
Runs the Idzorek sample data through the views in the paper in order to match Idzorek's results.
explicitOptionValue(double, double, double, double, double, int, int) - Method in class org.akutan.numerics.FiniteDifferenceSolver
Uses explicit Finite differences method to compute price of call option
exponentialCovariance(double, DoubleArrayList, DoubleArrayList) - Static method in class org.akutan.utilities.Covariance
Compute the sample exponentially weighted covariance of the series in the two lists
exportDone(JComponent, Transferable, int) - Method in class org.akutan.blacklitterman.gui.StringTransferHandler
Empty implementation of export
exportString(JComponent) - Method in class org.akutan.blacklitterman.gui.StringTransferHandler
 
exportString(JComponent) - Method in class org.akutan.blacklitterman.gui.TableTransferHandler
Exports the entire table as a String

F

Feasible - Static variable in class org.akutan.optimization.RevisedSimplex
 
findMaxSharpeRatio(List<SolvedPoint>) - Static method in class org.akutan.faj.covariance.PetersonGrier
Called to perform a simple search and interpolation on the results to find the weights with the best (max) sharpe ratio.
FiniteDifferenceSolver - Class in org.akutan.numerics
This class implements several numerical methods to compute the one dimensional solution to the Black-Scholes european call option.
FiniteDifferenceSolver() - Constructor for class org.akutan.numerics.FiniteDifferenceSolver
Constructs
formatOutput(int, double, DoubleMatrix1D, DoubleMatrix1D, DoubleMatrix2D) - Method in class org.akutan.optimization.ActiveSetSolver
 
formatOutput(int, double, DoubleMatrix1D, DoubleMatrix1D, DoubleMatrix2D) - Method in class org.akutan.optimization.BayesSteinSolver
Override method in ActiveSet so that we can use the un-shrunk E(r) and V
formatOutput(int, Algebra, double, DVector, int) - Method in class org.akutan.optimization.diversified.DivInteriorPointsSolver
Called to write out a line into the standard output for this iteration of the solver
formatOutput(int, Algebra, EVector, int) - Method in class org.akutan.optimization.entropy.EntropyInteriorPointsSolver
Called to write out a line into the standard output for this iteration of the solver
formatOutput(int, double, DoubleMatrix1D, DoubleMatrix1D, DoubleMatrix2D) - Method in class org.akutan.optimization.EntropySolver
 
formatOutput(int, double, IPVector, int) - Method in class org.akutan.optimization.InteriorPointsSolver
Called to write out a line into the standard output for this iteration of the solver
formatOutput(int, double, DoubleMatrix1D, DoubleMatrix1D, DoubleMatrix2D) - Method in class org.akutan.optimization.LedoitWolfSolver
Override method in ActiveSet so that we can use the un-shrunk E(r) and V
formatOutput(int, double, DoubleMatrix1D, DoubleMatrix1D, DoubleMatrix2D) - Method in class org.akutan.optimization.SphericalShrinkageSolver
Override method in ActiveSet so that we can use the un-shrunk E(r) and V
formatString(String) - Method in class org.akutan.EfficientFrontier
Helper method to format a string and squeeze out multiple spaces replacing them with just one.
FusaiMeucci - Class in org.akutan.blacklitterman
Provides test data and harness to reproduce the results from the Fusai and Meucci paper on assessing views for the Black-Litterman portfolio optimization method.
FusaiMeucci() - Constructor for class org.akutan.blacklitterman.FusaiMeucci
 

G

generate_b(List<Constraint>) - Method in class org.akutan.optimization.diversified.DivInteriorPointsSolver
Given the list of constraints, builds the matrix of equality constraints rhs.
generate_b(List<Constraint>) - Method in class org.akutan.optimization.entropy.EntropyInteriorPointsSolver
Given the list of constraints, builds the matrix of equality constraints rhs.
generate_b(List<Constraint>) - Method in class org.akutan.optimization.InteriorPointsSolver
Given the list of constraints, builds the vector b (Ax = b) for the equality constraints.
generate_b(List<Constraint>) - Method in class org.akutan.optimization.NewtonSolver
Given the list of constraints, builds the matrix of equality constraints Ax = b.
generate_d(List<Constraint>) - Method in class org.akutan.optimization.diversified.DivInteriorPointsSolver
Given the list of constraints, builds the matrix of inequality constraints rhs.
generate_d(List<Constraint>) - Method in class org.akutan.optimization.entropy.EntropyInteriorPointsSolver
Given the list of constraints, builds the matrix of inequality constraints rhs.
generate_d(List<Constraint>) - Method in class org.akutan.optimization.InteriorPointsSolver
Given the list of constraints, builds the matrix of inequality constraints constants d (Cx >= d).
generateConstraints(List<Constraint>, Set<Integer>, Set<Integer>) - Method in class org.akutan.optimization.ActiveSetSolver
Called to generate the A matrix for the constraints from the list of constraints in the problem and the sets of equality and active constraints.
generateValues(List<Constraint>, Set<Integer>, Set<Integer>) - Method in class org.akutan.optimization.ActiveSetSolver
Called to populate the b vector for the constraints (Ax = b) given the total list of constraints and sets of equality and active constaints.
get(int) - Method in class org.akutan.blacklitterman.BLViews
Returns a view from the container
get(int) - Method in class org.akutan.optimization.Constraint
Return the coefficient from the constraint for asset (i)
get() - Method in class org.akutan.optimization.diversified.DConsVector
Called to get access to the contents expressed as a 1D vector
get() - Method in class org.akutan.optimization.diversified.DMatrix
Simple accessor to get the underlying matrix.
get() - Method in class org.akutan.optimization.diversified.DVector
Called to get access to the contents expressed as a 1D vector
get() - Method in class org.akutan.optimization.entropy.EConsVector
Called to get access to the contents expressed as a 1D vector
get() - Method in class org.akutan.optimization.entropy.EMatrix
Simple accessor to get the underlying matrix.
get() - Method in class org.akutan.optimization.entropy.EVector
Called to get access to the contents expressed as a 1D vector
get() - Method in class org.akutan.optimization.IPConsVector
Called to get access to the contents expressed as a 1D vector
get() - Method in class org.akutan.optimization.IPMatrix
Returns the underlying matrix
get() - Method in class org.akutan.optimization.IPVector
Called to get access to the contents expressed as a 1D vector
getActiveWeights() - Method in class org.akutan.blacklitterman.BLResults
Returns the active weights, results - base
getAdjustedPi() - Method in class org.akutan.blacklitterman.KrishnanMains
Returns the post factor Pi vector from the paper for checking to results.
getAdjustedPi_Risk() - Method in class org.akutan.blacklitterman.KrishnanMains
Returns the post factor Pi vector from the paper for checking to results.
getAssetNames() - Method in class org.akutan.blacklitterman.FusaiMeucci
Returns asset names
getAssetNames() - Method in class org.akutan.blacklitterman.HeLitterman
 
getAssetNames() - Method in class org.akutan.blacklitterman.IdzorekBLExample
 
getAssetNames() - Method in class org.akutan.blacklitterman.KrishnanMains
Returns the asset names used to test Krishnan-Mains
getAssetNames() - Method in class org.akutan.optimization.EntropySolver
 
getAssets() - Method in class org.akutan.blacklitterman.gui.BLEditStats
Returns the array of asset names
getAssets() - Method in class org.akutan.EfficientFrontier
Returns the names of the selected assets as an array.
getAssets() - Method in class org.akutan.optimization.TutuncuKoenigExample
 
getBaseWeights() - Method in class org.akutan.blacklitterman.BLResults
Returns the base weights (prior weights)
getBetas() - Method in class org.akutan.blacklitterman.KrishnanMains
Returns the betas to the recession factor from the example in the Krishnan-Mains paper
getBetas_Risk() - Method in class org.akutan.blacklitterman.KrishnanMains
Returns the betas to the recession factor from the example in the Krishnan-Mains paper
getCoefficients() - Method in class org.akutan.optimization.Constraint
Return the vector of coefficients from the constraint
getConfidence() - Method in class org.akutan.blacklitterman.BLView
Returns the Idzorek style confidence if one has been supplied
getConstraints() - Method in class org.akutan.optimization.ConstraintDialog
 
getConstraints() - Method in class org.akutan.optimization.NewtonSolver
Returns list of constraints for the sample problem.
getCovars() - Method in class org.akutan.blacklitterman.gui.BLEditStats
Returns the covariance metrix
getDelta(DoubleMatrix1D, DoubleMatrix2D, DoubleMatrix1D, DoubleMatrix2D, DoubleMatrix1D, DoubleMatrix2D) - Method in class org.akutan.blacklitterman.KrishnanMains
A first attempt at the multi-factor getDelta() method.
getDouble(String) - Method in class org.akutan.EfficientFrontier
helper method to convert a string into a double and deal with any conversion exceptions.
getDraw() - Method in class org.akutan.faj.spv.SPVDialog
 
getEpsilon() - Method in class org.akutan.optimization.SimulatedAnnealing
Returns epsilon (min allocation to an asset)
getEqualityConstraints(List<Constraint>) - Method in class org.akutan.optimization.diversified.DivInteriorPointsSolver
Given the list of constraints, builds the matrix of equality constraints A.
getEqualityConstraints(List<Constraint>) - Method in class org.akutan.optimization.entropy.EntropyInteriorPointsSolver
Given the list of constraints, builds the matrix of equality constraints A.
getEqualityConstraints(List<Constraint>) - Method in class org.akutan.optimization.InteriorPointsSolver
Given the list of constraints, builds the matrix of equality constraints A given the form Ax = b
getEqualityConstraints(List<Constraint>) - Method in class org.akutan.optimization.NewtonSolver
Given the list of constraints, builds the matrix of equality constraints A.
getEquilibriumReturns() - Method in class org.akutan.blacklitterman.KrishnanMains
Returns the equilibrium returns from the paper
getEquilibriumReturns_Risk() - Method in class org.akutan.blacklitterman.KrishnanMains
Returns the equilibrium returns from the paper
getEr() - Method in class org.akutan.blacklitterman.BLResults
Returns the posterior return vector
getEr() - Method in class org.akutan.blacklitterman.BLView
Returns the expected return of the view portfolio
getEr() - Method in class org.akutan.optimization.SolvedPoint
Returns the expected return of this solution/portfolio
getExpectedLife() - Method in class org.akutan.faj.spv.SPVDialog
 
getFactor() - Method in class org.akutan.optimization.diversified.DiversificationConstraintDialog
 
getFactorReturns() - Method in class org.akutan.rbsa.RBSAExample
Generate random factor returns
getIdzorekViews() - Method in class org.akutan.blacklitterman.gui.OptionsDialog
 
getInequalityConstraints(List<Constraint>) - Method in class org.akutan.optimization.diversified.DivInteriorPointsSolver
Given the list of constraints, builds the matrix of inequality constraints C.
getInequalityConstraints(List<Constraint>) - Method in class org.akutan.optimization.entropy.EntropyInteriorPointsSolver
Given the list of constraints, builds the matrix of inequality constraints C.
getInequalityConstraints(List<Constraint>) - Method in class org.akutan.optimization.InteriorPointsSolver
Given the list of constraints, builds the matrix of inequality constraints C (Cx >= d)
getKnownFactors() - Method in class org.akutan.rbsa.RBSAExample
Known repeatable returns for testing
getKnownReturns(DoubleMatrix2D) - Method in class org.akutan.rbsa.RBSAExample
Generates asset return from the factors without any randomness thrown in.
getMarketWeights() - Method in class org.akutan.blacklitterman.HeLitterman
Returns the market weights from the example shown in the He-Litterman, 1999 paper
getMarketWeights() - Method in class org.akutan.blacklitterman.IdzorekBLExample
Returns the market weights from the example shown in the Idzorek paper on Black-Litterman.
getMarketWeights() - Method in class org.akutan.blacklitterman.KrishnanMains
Returns the market weights from the example shown in the Krishnan-Mains paper on 2 factor Black-Litterman.
getMarketWeights() - Method in class org.akutan.blacklitterman.test.MeanVarianceTest
Returns the market weights from the example shown in the He-Litterman, 1999 paper
getMarketWeights() - Static method in class org.akutan.optimization.EntropySolver
Returns the market weights from the example shown in the Idzorek paper on Black-Litterman.
getMean() - Method in class org.akutan.optimization.TutuncuKoenigExample
 
getMeanL() - Method in class org.akutan.optimization.TutuncuKoenigExample
 
getModifyVariance() - Method in class org.akutan.blacklitterman.gui.OptionsDialog
 
getMonth(String) - Method in class org.akutan.EfficientFrontier
Helper method to return the month number given the three letter abbreviation for a month.
getMonths() - Method in class org.akutan.drivers.DiversificationDriver
Getter for use in JUnit
getName() - Method in class org.akutan.blacklitterman.BLView
Returns the name of the view
getNumAssets() - Method in class org.akutan.blacklitterman.BLViews
Number of assets
getObjective() - Method in class org.akutan.optimization.SASolution
Returns the value of the objective function for this proposed solution
getOmega() - Method in class org.akutan.blacklitterman.BLView
Returns the uncertainty/variance of the view portfolio
getOneReturn() - Method in class org.akutan.optimization.SimulationSolver
Called to get the return vector for one simulated return scenario, given that the returns are normally distributed with mean e_rx and variance V.
getParameter(String) - Method in class org.akutan.blacklitterman.gui.BLApplet
Wraps the logic for retrieving parameters so we can use the same code as an applet and as an application.
getParameter(String) - Method in class org.akutan.EfficientFrontier
Wraps the logic for retrieving parameters so we can use the same code as an applet and as an application.
getPath() - Method in class org.akutan.optimization.SolvedPoint
Returns the path of weights if one was saved
getPathIterator(AffineTransform) - Method in class org.akutan.gui.CrossCircle
Called to return the PathIterator to the objects responsible for drawing the shape
getPathIterator(AffineTransform) - Method in class org.akutan.gui.XRectangle
Called to return the path iterator for the object responsible to draw
getPortfolioReturn() - Method in class org.akutan.blacklitterman.BLResults
Returns the computed portfolio return from the unconstrained weights and the equilibrium returns.
getPortfolioReturn(DoubleMatrix1D) - Method in class org.akutan.blacklitterman.BLResults
Compute the portfolio return given a vector of weights
getPriors() - Static method in class org.akutan.optimization.NewtonSolver
Returns a vector of the priors
getQ() - Method in class org.akutan.optimization.SASolution
Returns the Q vector (Indicates point in or out of weights) for this potential solution
getReplWeights() - Method in class org.akutan.blacklitterman.KrishnanMains
Returns the weights of the replicating portfolio from the paper.
getReplWeights_Risk() - Method in class org.akutan.blacklitterman.KrishnanMains
Returns the weights of the replicating portfolio from the paper.
getReturns(double, DoubleMatrix2D, DoubleMatrix1D) - Method in class org.akutan.blacklitterman.test.MeanVarianceTest
 
getReturns() - Method in class org.akutan.optimization.StatePreference
Returns the expected return vector
getReturns() - Method in class org.akutan.optimization.test.PortOptTest
Returns the test case asset mean returns
getReturns(DoubleMatrix2D) - Method in class org.akutan.rbsa.RBSAExample
Given the random factor returns generates a vector of returns with some random noise added.
getRhs() - Method in class org.akutan.optimization.Constraint
Returns the constant
getRidOfArtificials() - Method in class org.akutan.optimization.RevisedSimplex
 
getS() - Method in class org.akutan.optimization.SASolution
Returns the S vector
getSigma() - Method in class org.akutan.optimization.SolvedPoint
Returns the standard deviation of this portfolio
getSolution() - Static method in class org.akutan.optimization.NewtonSolver
Returns the actual solution vector for our test example
getSourceActions(JComponent) - Method in class org.akutan.blacklitterman.gui.StringTransferHandler
Returns a flag of available actions which can be applied to the source of the drag'n'drop operation.
getStdDev() - Method in class org.akutan.optimization.StatePreference
Returns the measured standard deviation vector
getTau() - Method in class org.akutan.blacklitterman.BLResults
 
getTestV() - Method in class org.akutan.blacklitterman.FusaiMeucci
Returns the covariance matrix for the example shown in the Fusai and Meucci paper on Black-Litterman.
getTestV() - Method in class org.akutan.blacklitterman.HeLitterman
Returns the covariance matrix for the example shown in the Idzorek paper on Black-Litterman.
getTestV() - Method in class org.akutan.blacklitterman.IdzorekBLExample
Returns the covariance matrix for the example shown in the Idzorek paper on Black-Litterman.
getTestV() - Method in class org.akutan.blacklitterman.KrishnanMains
Returns the covariance matrix for the example shown in the Krishnan & Mains paper on 2 factor Black-Litterman.
getTestV() - Static method in class org.akutan.optimization.EntropySolver
Returns the covariance matrix for the example shown in the Idzorek paper on Black-Litterman.
getTransferData(DataFlavor) - Method in class org.akutan.blacklitterman.gui.StringTransferable
Get the data to be transferred in the flavor specified.
getTransferDataFlavors() - Method in class org.akutan.blacklitterman.gui.StringTransferable
Returns a list of available data flavors.
getType() - Method in class org.akutan.optimization.Constraint
Returns the type of constraint
getTypeFromString(String) - Static method in class org.akutan.optimization.Constraint
Converts a String into a constraint type
getTypeString(Constraint.Type) - Static method in class org.akutan.optimization.Constraint
Returns the type of constraint as a String
getUnconstrainedWeights() - Method in class org.akutan.blacklitterman.BLResults
Returns the unconstrained weights
getUniform() - Static method in class org.akutan.optimization.NewtonSolver
Returns a vector of priors which is the uniform distribution
getUpdatedPi(DoubleMatrix1D, DoubleMatrix2D, DoubleMatrix1D) - Method in class org.akutan.blacklitterman.KrishnanMains
Given a matrix of betas of the assets and factors, and the vector of deltas, computes a new adjusted vector of equilibrium asset returns.
getUtility() - Method in class org.akutan.optimization.SolvedPoint
Returns the utility of the solution for this point
getV() - Method in class org.akutan.blacklitterman.BLResults
Returns the posterior covariance matrix
getVar() - Method in class org.akutan.optimization.TutuncuKoenigExample
 
getVarH() - Method in class org.akutan.optimization.TutuncuKoenigExample
 
getVariance() - Method in class org.akutan.blacklitterman.test.MeanVarianceTest
Returns the covariance matrix for the example shown in the Idzorek paper on Black-Litterman.
getVariances() - Method in class org.akutan.optimization.test.PortOptTest
Returns the test case asset covariance matrix
getVarId(int) - Method in class org.akutan.optimization.Constraint
Builds up a string of characters to identify the variable
getViews() - Method in class org.akutan.blacklitterman.BLResults
Return the investors views
getViews() - Method in class org.akutan.blacklitterman.gui.ViewDialog
 
getViewVariance(double, double) - Method in class org.akutan.blacklitterman.BlackLitterman
Given the confidence specified as a decimal (area under the cdf) and the total width of the region specified in units, the variance is returned in units squared.
getW() - Method in class org.akutan.optimization.IPConsVector
Called to return the W vector
getW() - Method in class org.akutan.optimization.IPVector
Called to return the W vector
getW() - Method in class org.akutan.optimization.SASolution
Returns the weights of the assets at this solution
getW1() - Method in class org.akutan.optimization.diversified.DConsVector
Called to return the w1 slack vector
getW1() - Method in class org.akutan.optimization.diversified.DVector
Called to return the W1 vector
getW1() - Method in class org.akutan.optimization.entropy.EConsVector
Called to return the w1 vector The w1 vector is the slack vector.
getW1() - Method in class org.akutan.optimization.entropy.EVector
Called to return the W1 vector
getW2() - Method in class org.akutan.optimization.diversified.DConsVector
Called to return the w2 (slack) vector
getW2() - Method in class org.akutan.optimization.diversified.DVector
Called to return the W2 vector
getW2() - Method in class org.akutan.optimization.entropy.EConsVector
Called to return the w2 vector
getW2() - Method in class org.akutan.optimization.entropy.EVector
Called to return the W2 vector
getWeights() - Method in class org.akutan.blacklitterman.BLView
Returns the vector of weights
getWeights() - Method in class org.akutan.blacklitterman.gui.BLEditStats
Returns the vector of weights
getWeights() - Method in class org.akutan.faj.spv.SPVDialog
 
getWeights() - Method in class org.akutan.montecarlo.WeightDialog
 
getWeights() - Method in class org.akutan.optimization.SolvedPoint
Returns the weights of the various assets for this solution/portfolio
getX() - Method in class org.akutan.optimization.diversified.DConsVector
Called to get access to the x vector
getX() - Method in class org.akutan.optimization.diversified.DVector
Called to get access to the x vector
getX() - Method in class org.akutan.optimization.entropy.EConsVector
Called to get access to the x vector
getX() - Method in class org.akutan.optimization.entropy.EVector
Called to get access to the x vector
getX() - Method in class org.akutan.optimization.IPConsVector
Called to get access to the x vector
getX() - Method in class org.akutan.optimization.IPVector
Called to get access to the x vector
getY0() - Method in class org.akutan.optimization.diversified.DConsVector
Called to return the y0 vector
getY0() - Method in class org.akutan.optimization.diversified.DVector
Called to return the y0 vector
getY0() - Method in class org.akutan.optimization.entropy.EConsVector
Called to return the y0 vector
getY0() - Method in class org.akutan.optimization.entropy.EVector
Called to return the y0 vector
getY0() - Method in class org.akutan.optimization.IPConsVector
Called to return the y0 vector
getY0() - Method in class org.akutan.optimization.IPVector
Called to return the y0 vector
getY1() - Method in class org.akutan.optimization.diversified.DConsVector
Called to return the y1 vector
getY1() - Method in class org.akutan.optimization.diversified.DVector
Called to return the y1 vector
getY1() - Method in class org.akutan.optimization.entropy.EConsVector
Called to return the y1 vector
getY1() - Method in class org.akutan.optimization.entropy.EVector
Called to return the y1 vector
getY1() - Method in class org.akutan.optimization.IPConsVector
Called to return the y1 vector
getY1() - Method in class org.akutan.optimization.IPVector
Called to return the y1 vector
getY2() - Method in class org.akutan.optimization.diversified.DConsVector
Called to return the y2 vector
getY2() - Method in class org.akutan.optimization.diversified.DVector
Called to return the y2 vector
getY2() - Method in class org.akutan.optimization.entropy.EConsVector
Called to return the y2 vector, y2 is the lagrange multiplier for
getY2() - Method in class org.akutan.optimization.entropy.EVector
Called to return the y2 vector
getZ() - Method in class org.akutan.optimization.diversified.DConsVector
Called to return the Z vector
getZ() - Method in class org.akutan.optimization.diversified.DVector
Called to return the Z vector
getZ() - Method in class org.akutan.optimization.entropy.EConsVector
Called to return the Z vector
getZ() - Method in class org.akutan.optimization.entropy.EVector
Called to return the Z vector
getZ() - Method in class org.akutan.optimization.IPConsVector
Called to return the Z vector
getZ() - Method in class org.akutan.optimization.IPVector
Called to return the Z vector
gradient(DoubleMatrix1D) - Method in interface org.akutan.optimization.LMObjective
Called to compute the gradient of the function at x, for each member of x.

H

hashCode() - Method in class org.akutan.optimization.SASolution
Hashcode.
HeLitterman - Class in org.akutan.blacklitterman
Provides test data and harness to reproduce the results from the He & Litterman paper on the Black-Litterman portfolio optimization method.
HeLitterman() - Constructor for class org.akutan.blacklitterman.HeLitterman
 
hessian(DoubleMatrix1D) - Method in interface org.akutan.optimization.LMObjective
Computes an exact or approximated Hessian of the function at x.
Histogram - Class in org.akutan.montecarlo
 
Histogram(String, HistPoint[]) - Constructor for class org.akutan.montecarlo.Histogram
 
HistPoint - Class in org.akutan.montecarlo
 
HistPoint(double, String, String) - Constructor for class org.akutan.montecarlo.HistPoint
Constructs

I

IdzorekBLExample - Class in org.akutan.blacklitterman
This class implements the method described in Idzorek (2005) of driving the variance of the views from the confidence level by linearl solution of the variance to match the expected change in weight of the unconstrained portfolio.
IdzorekBLExample() - Constructor for class org.akutan.blacklitterman.IdzorekBLExample
Constructs
implicitOptionValue(double, double, double, double, double, int, int) - Method in class org.akutan.numerics.FiniteDifferenceSolver
Uses implicit Finite differences method to compute price of call option.
importData(JComponent, Transferable) - Method in class org.akutan.blacklitterman.gui.StringTransferHandler
Imports data from the Transferable to the JComponent.
importString(JComponent, String) - Method in class org.akutan.blacklitterman.gui.StringTransferHandler
 
importString(JComponent, String) - Method in class org.akutan.blacklitterman.gui.TableTransferHandler
Imports the string to cover the total table (we don't support partial drop).
init() - Method in class org.akutan.blacklitterman.gui.BayesianDialog
 
init() - Method in class org.akutan.blacklitterman.gui.BLApplet
To start with we will use the He-Litterman data and allow the user to modify the sampling distribution returns (not the covariances) and also to specify views.
init(boolean, boolean) - Method in class org.akutan.blacklitterman.gui.OptionsDialog
 
init(boolean, Object[]) - Method in class org.akutan.blacklitterman.gui.ViewDialog
 
init() - Method in class org.akutan.EfficientFrontier
Initializes the application/applet, handles setting up the UI and loading the raw returns into memory.
init(Object[]) - Method in class org.akutan.faj.spv.SPVDialog
 
init(Object[]) - Method in class org.akutan.montecarlo.WeightDialog
 
init(Object[]) - Method in class org.akutan.optimization.ConstraintDialog
 
init() - Method in class org.akutan.optimization.diversified.DiversificationConstraintDialog
 
initialGuess(DoubleMatrix1D, List<Constraint>) - Method in class org.akutan.optimization.ActiveSetSolver
Executes a Simplex optimization on the equality constraints to find a valid initial point for the ActiveSet method.
initialGuess(int, double, int, DoubleMatrix2D, DoubleMatrix1D) - Method in class org.akutan.optimization.diversified.DivInteriorPointsSolver
Called to compute the initial guess for a solution of the portfolio optimization problem
initialGuess(int, double, int, DoubleMatrix2D, DoubleMatrix1D, DoubleMatrix1D) - Method in class org.akutan.optimization.entropy.EntropyInteriorPointsSolver
Called to compute the initial guess for a solution of the portfolio optimization problem
initialGuess(int, double, int, int, DoubleMatrix2D, DoubleMatrix1D) - Method in class org.akutan.optimization.InteriorPointsSolver
Called to compute the initial guess for a solution of the portfolio optimization problem
initialGuess(DoubleMatrix1D, DoubleMatrix1D, double) - Method in class org.akutan.optimization.ReturnSolver
Called to generate an initial guess for the solution.
initialGuess() - Method in class org.akutan.optimization.SimulatedAnnealing
Constructs a set of initial crystals which represent potentially valid solutions.
initialGuess(DoubleMatrix1D, DoubleMatrix1D, double) - Method in class org.akutan.optimization.StateReturnSolver
 
InteriorPointsReturn - Class in org.akutan.optimization
 
InteriorPointsReturn(DoubleMatrix1D, DoubleMatrix2D) - Constructor for class org.akutan.optimization.InteriorPointsReturn
Constructs
InteriorPointsSolver - Class in org.akutan.optimization
 
InteriorPointsSolver(DoubleMatrix1D, DoubleMatrix2D) - Constructor for class org.akutan.optimization.InteriorPointsSolver
Constructs
InteriorPointsUtility - Class in org.akutan.optimization
 
InteriorPointsUtility(DoubleMatrix1D, DoubleMatrix2D) - Constructor for class org.akutan.optimization.InteriorPointsUtility
 
IPConsVector - Class in org.akutan.optimization
This class encapsulates the assignment and structure of the various subcomponents of the interior point method solution.
IPConsVector(int, int, int, int) - Constructor for class org.akutan.optimization.IPConsVector
Constructs
IPMatrix - Class in org.akutan.optimization
This class encapsulates the assignment and structure of the various subcomponents of the interior point method solution.
IPMatrix(int, int, int, int, int, int) - Constructor for class org.akutan.optimization.IPMatrix
Constructs
IPVector - Class in org.akutan.optimization
This class encapsulates the assignment and structure of the various subcomponents of the interior point method solution.
IPVector(int, int, int, int) - Constructor for class org.akutan.optimization.IPVector
Constructs
IPVector(int, int, int, int, DoubleMatrix1D) - Constructor for class org.akutan.optimization.IPVector
Constructs
isAbsolute() - Method in class org.akutan.blacklitterman.BLView
 
isCanceled() - Method in class org.akutan.blacklitterman.gui.BLEditStats
Called to determine if the dialog was canceled or ok'ed
isCancelled() - Method in class org.akutan.blacklitterman.gui.BayesianDialog
 
isCancelled() - Method in class org.akutan.blacklitterman.gui.OptionsDialog
 
isCancelled() - Method in class org.akutan.blacklitterman.gui.ViewDialog
 
isCancelled() - Method in class org.akutan.faj.spv.SPVDialog
 
isCancelled() - Method in class org.akutan.montecarlo.WeightDialog
 
isCancelled() - Method in class org.akutan.optimization.ConstraintDialog
 
isCancelled() - Method in class org.akutan.optimization.diversified.DiversificationConstraintDialog
 
isDataFlavorSupported(DataFlavor) - Method in class org.akutan.blacklitterman.gui.StringTransferable
Checks to see if the specified flavor is supported.
isModifyVariance() - Method in class org.akutan.blacklitterman.BlackLitterman
State of the modifyVariance flag
isReset() - Method in class org.akutan.blacklitterman.gui.BLEditStats
Called to determine if the dialog has been reset
iterate() - Method in class org.akutan.optimization.RevisedSimplex
Performs one step towards the solution

K

kendallsTau(DoubleArrayList, DoubleArrayList) - Static method in class org.akutan.utilities.Statistics
Compute kendall's tau for the two seriesthe sample covariance.
KrishnanMains - Class in org.akutan.blacklitterman
Provides test data and harness to reproduce the results from the Krishnan & Mains 2 factor Black-Litterman paper published in Risk magazine.
KrishnanMains() - Constructor for class org.akutan.blacklitterman.KrishnanMains
 

L

LeastSquares - Class in org.akutan.utilities
Simple class to hold algorithm for least squares fit
LeastSquares() - Constructor for class org.akutan.utilities.LeastSquares
 
leastSquares(DoubleMatrix1D, DoubleMatrix1D) - Static method in class org.akutan.utilities.LeastSquares
Performs a least squares fit to the data.
leastSquares(DoubleMatrix1D, DoubleMatrix2D) - Static method in class org.akutan.utilities.LeastSquares
Performs a least squares fit to the data.
LeavingVariable - Variable in class org.akutan.optimization.RevisedSimplex
 
LedoitWolfSolver - Class in org.akutan.optimization
This class encapsulates an example of solving for the optimal portfolio using the shrinkage model described in "Honey I Shrunk the Covariance Matrix", by Ledoit and Wolf, 2003.
LedoitWolfSolver(DoubleMatrix1D, DoubleMatrix2D, List<EfficientFrontier.SampleData>) - Constructor for class org.akutan.optimization.LedoitWolfSolver
Constructs
LEFT - Static variable in class org.akutan.optimization.IPMatrix
 
lineSearch(String[], double, DoubleMatrix2D, DoubleMatrix1D, double, BLViews, DoubleMatrix1D) - Method in class org.akutan.blacklitterman.IdzorekBLExample
Uses a simple line search to find the minimum value of the convex function over the interval 0 < k < 1.00.
littleCost - Variable in class org.akutan.optimization.RevisedSimplex
 
LMObjective - Interface in org.akutan.optimization
This is the interface implemented by a cost function suitable for optimization using the Levenberg-Marquardt algorithm.
LMSolver - Class in org.akutan.optimization
This class minimizes the objective function subject to the Levenberg-Marquardt algorithm.
LMSolver() - Constructor for class org.akutan.optimization.LMSolver
 
LMSolverTest - Class in org.akutan.optimization.test
 
LMSolverTest() - Constructor for class org.akutan.optimization.test.LMSolverTest
 
loadData(String) - Method in class org.akutan.drivers.DiversificationDriver
Loads return data by asset and date
loadExcessFrontData(String) - Method in class org.akutan.drivers.DiversificationDriver
Loads return data by asset and date
loadFrontData(String) - Method in class org.akutan.drivers.DiversificationDriver
Loads return data by asset and date
loadMktCap(String) - Method in class org.akutan.drivers.DiversificationDriver
Loads market cap data
loadReturnsFromFile(String, List<EfficientFrontier.SampleData>) - Method in class org.akutan.EfficientFrontier
Reads the market data (monthly asset returns) from a .csv file and puts them into SampleData objects on a list.

M

main(String[]) - Static method in class org.akutan.blacklitterman.FusaiMeucci
Main test driver for the implementation of the model used in the Fusai and Meucci 2005 paper in Risk.
main(String[]) - Static method in class org.akutan.blacklitterman.gui.BLApplet
Allows us to run as an application or an applet
main(String[]) - Static method in class org.akutan.blacklitterman.HeLitterman
 
main(String[]) - Static method in class org.akutan.blacklitterman.IdzorekBLExample
Test code to show this class matches the examples shown in the Idzorek paper on Black-Litterman.
main(String[]) - Static method in class org.akutan.blacklitterman.KrishnanMains
This program matches the results from the preliminary copy of the Krishnan and Mains paper which can be found on the internet.
main(String[]) - Static method in class org.akutan.drivers.DiversificationDriver
 
main(String[]) - Static method in class org.akutan.EfficientFrontier
 
main(String[]) - Static method in class org.akutan.faj.covariance.PetersonGrier
Selftest
main(String[]) - Static method in class org.akutan.faj.covariance.Stambaugh
Provides a simple test case of the Stambaugh algorithm TODO add results which are supposed to be generated
main(String[]) - Static method in class org.akutan.faj.spv.SPV
Test harness main to make sure calculations match the source paper.
main(String[]) - Static method in class org.akutan.numerics.BS
 
main(String[]) - Static method in class org.akutan.numerics.FiniteDifferenceSolver
Example code to illustrate the calling sequence for the various methods within this class.
main(String[]) - Static method in class org.akutan.optimization.EntropySolver
Test code to show how this class works.
main(String[]) - Static method in class org.akutan.optimization.NewtonSolver
Test driver to match the Silva de Mattos/Veiga paper.
main(String[]) - Static method in class org.akutan.optimization.StatePreference
Tests the StatePreference concept given the data from Satchell and Scowcroft chaptrer 12
main(String[]) - Static method in class org.akutan.optimization.TutuncuKoenigExample
 
main(String[]) - Static method in class org.akutan.rbsa.RBSAExample
Simple test program to try and compute the return based factor analysis of the asset against the factors.
make2D(DoubleMatrix1D) - Method in class org.akutan.optimization.ActiveSetSolver
Helper function called to convert a 1D matrix into a 2D matrix with a single column.
make2D(DoubleMatrix1D) - Method in class org.akutan.optimization.InteriorPointsSolver
Helper function to convert a vector into a single column 2d matrix for Colt.
make2D(DoubleMatrix1D) - Method in class org.akutan.optimization.LMSolver
Helper function that returns a (x,1) 2D matrix given a (x) vector
make2D(DoubleMatrix1D) - Method in class org.akutan.optimization.NewtonSolver
Helper function to convert a vector into a 1 column matrix
makeCoefficients(int) - Static method in class org.akutan.optimization.Constraint
Builds a coefficient matrix with increasing values equal to the cell index in each cell
makeO() - Method in class org.akutan.blacklitterman.BLViews
Builds the O matrix from the views (variance of the views).
makeP() - Method in class org.akutan.blacklitterman.BLViews
Builds the pick matrix of the views (P)
makePercent(double) - Static method in class org.akutan.utilities.Statistics
Converts a decimal to a percent.
makePoint(double, DoubleMatrix1D, DoubleMatrix1D, DoubleMatrix2D) - Method in class org.akutan.optimization.ActiveSetSolver
 
makePoint(double, DoubleMatrix1D, DoubleMatrix1D, DoubleMatrix2D) - Method in class org.akutan.optimization.BayesSteinSolver
Override method in ActiveSet so that we can use the un-shrunk E(r) and V
makePoint(double, DoubleMatrix1D, DoubleMatrix1D, DoubleMatrix2D) - Method in class org.akutan.optimization.LedoitWolfSolver
Override method in ActiveSet so that we can use the un-shrunk E(r) and V
makePoint(double, DoubleMatrix1D, DoubleMatrix1D, DoubleMatrix2D) - Method in class org.akutan.optimization.SphericalShrinkageSolver
Override method in ActiveSet so that we can use the un-shrunk E(r) and V
makePointF(double, DoubleMatrix1D, DoubleMatrix1D, DoubleMatrix2D) - Method in class org.akutan.optimization.StateReturnSolver
Calculate some sort of excess return so we get a better 'sharpe ratio' which we use to determine the optimal portfolio for investment.
makeQ() - Method in class org.akutan.blacklitterman.BLViews
Builds up the Q vector from the views (returns of the views)
MAXIMIZE - Static variable in class org.akutan.optimization.diversified.DMatrix
 
MAXIMIZE - Static variable in class org.akutan.optimization.entropy.EMatrix
 
MAXIMIZE - Static variable in class org.akutan.optimization.IPMatrix
 
maxReturn(DoubleMatrix1D, List<Constraint>) - Method in class org.akutan.optimization.InteriorPointsSolver
Called to solve the linear problem of max return portfolio in the presence of equality constraints.
maxValue(DoubleMatrix2D) - Method in class org.akutan.blacklitterman.BlackLitterman
Little helper function that runs through the matrix and finds the maximum absolute value for any entry.
mean(DoubleArrayList) - Static method in class org.akutan.utilities.Statistics
Compute the arithmetic mean of a list
mean(int, double) - Static method in class org.akutan.utilities.Statistics
Compute the mean from a sum of the values and the count.
MeanVariance - Class in org.akutan.blacklitterman
 
MeanVariance() - Constructor for class org.akutan.blacklitterman.MeanVariance
 
MeanVarianceTest - Class in org.akutan.blacklitterman.test
 
MeanVarianceTest() - Constructor for class org.akutan.blacklitterman.test.MeanVarianceTest
 
mehalanobisDistance(double, DoubleMatrix2D, DoubleMatrix1D, DoubleMatrix1D) - Method in class org.akutan.blacklitterman.BlackLitterman
Called to compute the Mehalanobis distance (multidimensional Z-score) for this return vector given the mean return and variance matrix.
MINIMIZE - Static variable in class org.akutan.optimization.diversified.DMatrix
 
MINIMIZE - Static variable in class org.akutan.optimization.entropy.EMatrix
 
MINIMIZE - Static variable in class org.akutan.optimization.IPMatrix
 
MinRatio - Variable in class org.akutan.optimization.RevisedSimplex
 
modifyVariance - Variable in class org.akutan.blacklitterman.BlackLitterman
Flag indicating if posterior variance should also be calculcated, this flag must be enabled to match He and Litterman, 1999.
MonteCarlo - Class in org.akutan.montecarlo
This class is used to run Monte Carlo simulations of portfolio returns over the 1 year horizon we're using in our optimization.
MonteCarlo(DoubleMatrix1D, DoubleMatrix2D) - Constructor for class org.akutan.montecarlo.MonteCarlo
Constructs with a specified multivariate normal distribution
move(SASolution, boolean, int) - Method in class org.akutan.optimization.SimulatedAnnealing
Called to move the specified asset up/down as directed
multiply(double) - Method in class org.akutan.optimization.diversified.DVector
Returns a copy of this vector in which every element of the vector has been multiplied by the constant d.
multiply(double) - Method in class org.akutan.optimization.entropy.EVector
Returns a new EVector which is a new EVector where each element in this vector has been multiplied by d.
multiply(double) - Method in class org.akutan.optimization.IPVector
Multiplies the solution vector by a constant.

N

negate() - Method in class org.akutan.optimization.diversified.DConsVector
Called to negate a DConsVector, copies the vector, negates the copy and then returns the negated copy.
negate() - Method in class org.akutan.optimization.diversified.DVector
Called to negate an IPVector, copies the vector, negates the copy and then returns the negated copy.
negate() - Method in class org.akutan.optimization.entropy.EConsVector
Called to negate a DConsVector, copies the vector, negates the copy and then returns the negated copy.
negate() - Method in class org.akutan.optimization.entropy.EVector
Called to negate an IPVector, copies the vector, negates the copy and then returns the negated copy.
negate() - Method in class org.akutan.optimization.IPConsVector
Called to negate an IPVector, copies the vector, negates the copy and then returns the negated copy.
negate() - Method in class org.akutan.optimization.IPVector
Called to negate an IPVector, copies the vector, negates the copy and then returns the negated copy.
NewtonSolver - Class in org.akutan.optimization
 
NewtonSolver(DoubleMatrix1D) - Constructor for class org.akutan.optimization.NewtonSolver
Constructs
NonBasicType - Static variable in class org.akutan.optimization.RevisedSimplex
 
NonBasicVariables - Variable in class org.akutan.optimization.RevisedSimplex
 
NumArtificials - Variable in class org.akutan.optimization.RevisedSimplex
 
NumberField - Class in org.akutan.gui
Specializes the JTextField class into a field which only accepts numbers as inputs.
NumberField(int) - Constructor for class org.akutan.gui.NumberField
Constructs
numConstraints - Variable in class org.akutan.optimization.RevisedSimplex
 
numFormat(double) - Method in class org.akutan.blacklitterman.IdzorekBLExample
Helper function to format a decimal with 6 decimal places for output.
NumIterations - Variable in class org.akutan.optimization.RevisedSimplex
 
NumMinRatio - Variable in class org.akutan.optimization.RevisedSimplex
 
numNonbasic - Variable in class org.akutan.optimization.RevisedSimplex
 
numVariables - Variable in class org.akutan.optimization.RevisedSimplex
 

O

objectiveValue - Variable in class org.akutan.optimization.RevisedSimplex
 
Optimal - Static variable in class org.akutan.optimization.RevisedSimplex
 
OptionsDialog - Class in org.akutan.blacklitterman.gui
Used to allow the user to set options
OptionsDialog() - Constructor for class org.akutan.blacklitterman.gui.OptionsDialog
 
org.akutan - package org.akutan
Provides classes which implement a simple example application for the various optimization and shrinkage models included in the library.
org.akutan.blacklitterman - package org.akutan.blacklitterman
Provides classes which implement the Black-Litterman model and various extensions.
org.akutan.blacklitterman.gui - package org.akutan.blacklitterman.gui
Provides classes which implement gui elements for viewing and editing parts of a Black-Litterman model.
org.akutan.blacklitterman.test - package org.akutan.blacklitterman.test
Provides classes which implement JUnit tests for the code in the org.akutan.blacklitterman package.
org.akutan.correlations - package org.akutan.correlations
Provides classes for cleaning and correcting correlation matrices.
org.akutan.correlations.test - package org.akutan.correlations.test
Provides JUnit test cases for testing the org.akutan.correlations package.
org.akutan.drivers - package org.akutan.drivers
 
org.akutan.drivers.test - package org.akutan.drivers.test
 
org.akutan.faj.covariance - package org.akutan.faj.covariance
 
org.akutan.faj.spv - package org.akutan.faj.spv
 
org.akutan.gui - package org.akutan.gui
Classes which implement miscellaneous pure GUI components used within the akutan library.
org.akutan.montecarlo - package org.akutan.montecarlo
 
org.akutan.numerics - package org.akutan.numerics
 
org.akutan.optimization - package org.akutan.optimization
 
org.akutan.optimization.diversified - package org.akutan.optimization.diversified
 
org.akutan.optimization.entropy - package org.akutan.optimization.entropy
 
org.akutan.optimization.test - package org.akutan.optimization.test
 
org.akutan.rbsa - package org.akutan.rbsa
 
org.akutan.utilities - package org.akutan.utilities
 
orig_Er - Variable in class org.akutan.optimization.BayesSteinSolver
 
orig_Er - Variable in class org.akutan.optimization.SphericalShrinkageSolver
 
orig_V - Variable in class org.akutan.optimization.BayesSteinSolver
 
orig_V - Variable in class org.akutan.optimization.LedoitWolfSolver
 
orig_V - Variable in class org.akutan.optimization.SphericalShrinkageSolver
 
overallProbability(double, DoubleMatrix2D, DoubleMatrix1D, DoubleMatrix1D) - Method in class org.akutan.blacklitterman.BlackLitterman
Called to compute a probability for the updated returns given that the mehalanobis distance will be distributed as a Chi squared with n degrees of freedom.

P

paint(Graphics) - Method in class org.akutan.blacklitterman.gui.BLApplet
New paint method for graphics panel using jfreechart
paint(Graphics) - Method in class org.akutan.EfficientFrontier
New paint method for graphics panel using jfreechart
pctFormat(double) - Method in class org.akutan.blacklitterman.IdzorekBLExample
Helper function to format a decimal as a percent for output.
PetersonGrier - Class in org.akutan.faj.covariance
This class reproduces the Monte Carlo test performed in the Peterson & Grier article on Covariance Misspecification in Asset Allocation from the July/August 2006 issue of Financial Analysts Journal.
PetersonGrier() - Constructor for class org.akutan.faj.covariance.PetersonGrier
 
pi - Variable in class org.akutan.optimization.RevisedSimplex
 
PortOptTest - Class in org.akutan.optimization.test
This JUnit test uses a simple test case from Fabozzi's book on Robust Optimization, p353, to test my ActiveSet and InteriorPoint solvers.
PortOptTest(String) - Constructor for class org.akutan.optimization.test.PortOptTest
Constructs
prepareEstimates(int, int, DoubleMatrix1D, DoubleMatrix2D) - Method in class org.akutan.drivers.DiversificationDriver
Called to compute sample returns and variances for the period specified.
preprocess(int, int) - Method in class org.akutan.optimization.RevisedSimplex
Preprocesses the problem to get ready for optimization
prettyPrint(int, DoubleMatrix1D, int, double, double, double) - Method in class org.akutan.optimization.diversified.DivInteriorPointsSolver
 
prettyPrint(int, DoubleMatrix1D, int, double, double, double) - Method in class org.akutan.optimization.entropy.EntropyInteriorPointsSolver
 
prettyPrint(int, DoubleMatrix1D, int, double, double, double) - Method in class org.akutan.optimization.InteriorPointsSolver
Can be called to generate a pretty formatted string/line for output
print(Graphics, PageFormat, int) - Method in class org.akutan.blacklitterman.gui.BLApplet
 
print(DecimalFormat, DoubleMatrix1D) - Static method in class org.akutan.blacklitterman.KrishnanMains
Helper function to return formatted print of vector
print(Graphics, PageFormat, int) - Method in class org.akutan.EfficientFrontier
 
processResults(int, int, SolvedPoint) - Method in class org.akutan.drivers.DiversificationDriver
Called to porocess a point solution and see how it will do in out of sample testing.

R

rbsa(DoubleMatrix1D, DoubleMatrix2D) - Static method in class org.akutan.rbsa.ReturnBasedStyleAnalysis
Computes the return based style analysis for the asset returns given the factor returns using quadratic optimization.
RBSAExample - Class in org.akutan.rbsa
This class implements and tests Return Based Style Analysis from William Sharpe.
RBSAExample() - Constructor for class org.akutan.rbsa.RBSAExample
 
reducedCost - Variable in class org.akutan.optimization.RevisedSimplex
 
Regular - Static variable in class org.akutan.optimization.RevisedSimplex
 
removeAsset(int) - Method in class org.akutan.optimization.SASolution
Removes an asset from the solution, and returns a set containing the assets which are not currently in the solution, and are not the asset just removed from the solution.
rescale(double) - Method in class org.akutan.optimization.SASolution
Called to readjust the s values to be s = w - _epsilon
reset - Variable in class org.akutan.blacklitterman.gui.BLEditStats
 
reset(int, int) - Method in class org.akutan.optimization.RevisedSimplex
Resets the simplex optimizer to initial state
ReturnBasedStyleAnalysis - Class in org.akutan.rbsa
This class implements Return Based Style Analysis as described in the paper Asset Allocation: Management Style and Performance Measurement by William F.
ReturnBasedStyleAnalysis() - Constructor for class org.akutan.rbsa.ReturnBasedStyleAnalysis
 
ReturnSolver - Class in org.akutan.optimization
 
ReturnSolver(DoubleMatrix1D, DoubleMatrix2D) - Constructor for class org.akutan.optimization.ReturnSolver
 
reverseOptimize(double, double, DoubleMatrix2D, DoubleMatrix1D) - Method in class org.akutan.blacklitterman.BlackLitterman
Computes market implied excess returns given the following parameters
reverseOptimize(double, double, DoubleMatrix2D, DoubleMatrix1D) - Static method in class org.akutan.optimization.EntropySolver
Computes market implied excess returns given the following parameters
RevisedSimplex - Class in org.akutan.optimization
 
RevisedSimplex(int, int) - Constructor for class org.akutan.optimization.RevisedSimplex
Constructs
reweight(double) - Method in class org.akutan.optimization.SASolution
Updates the weights based on the values in the 's' vector.
RIGHT - Static variable in class org.akutan.optimization.IPMatrix
 
rightJustify(String, int) - Method in class org.akutan.blacklitterman.BLResults
Helper function used to right justify text
RMT - Class in org.akutan.correlations
This class implements Random Matrix Theory methods for cleaning a correlation/covariance matrix and returning one which has had the noise element removed.
rmt(int, int, DoubleMatrix2D) - Static method in class org.akutan.correlations.RMT
This method updates the correlation matrix by removing all the noisy eigenvalues from the paper "Portfolio Optimization and the Random Matrix Problem", Rosenow, et al, Europhysics Letters, 59, (4) pp 500-506 (2002).
rmt0(int, int, DoubleMatrix2D) - Static method in class org.akutan.correlations.RMT
I would also like to make the algorithm used in Sharifi, et al, Physica A 335 (2004) 629-643.
RMTTest - Class in org.akutan.correlations.test
 
RMTTest() - Constructor for class org.akutan.correlations.test.RMTTest
 
RobustOptimization - Class in org.akutan.optimization
 
RobustOptimization() - Constructor for class org.akutan.optimization.RobustOptimization
 
rows() - Method in class org.akutan.optimization.diversified.DConsVector
Returns the size of the wrapper DoubleMatrix1D
rows() - Method in class org.akutan.optimization.diversified.DVector
Returns the size of the wrapper DoubleMatrix1D
rows() - Method in class org.akutan.optimization.entropy.EConsVector
Returns the size of the wrapper DoubleMatrix1D
rows() - Method in class org.akutan.optimization.entropy.EVector
Returns the size of the wrapper DoubleMatrix1D
rows() - Method in class org.akutan.optimization.IPConsVector
Returns the size of the wrapper DoubleMatrix1D
rows() - Method in class org.akutan.optimization.IPVector
Returns the size of the wrapper DoubleMatrix1D
run() - Method in class org.akutan.blacklitterman.gui.BLApplet
Used with SwingUtilities to cause a paint when a calculation has completed
run() - Method in class org.akutan.EfficientFrontier
Used with SwingUtilities to cause a paint when a calculation has completed
runTest1(int, int) - Method in class org.akutan.drivers.DiversificationDriver
For a given starting month, computes the mean and covariance for the window of size length.
runTest10(int, int) - Method in class org.akutan.drivers.DiversificationDriver
For a given starting month, computes the mean and covariance for the window of size length.
runTest11(int, int) - Method in class org.akutan.drivers.DiversificationDriver
For a given starting month, computes the mean and covariance for the window of size length.
runTest12(int, int) - Method in class org.akutan.drivers.DiversificationDriver
For a given starting month, computes the mean and covariance for the window of size length.
runTest13(int, int) - Method in class org.akutan.drivers.DiversificationDriver
For a given starting month, computes the mean and covariance for the window of size length.
runTest14(int, int) - Method in class org.akutan.drivers.DiversificationDriver
For a given starting month, computes the mean and covariance for the window of size length.
runTest15(int, int) - Method in class org.akutan.drivers.DiversificationDriver
For a given starting month, computes the mean and covariance for the window of size length.
runTest16(int, int) - Method in class org.akutan.drivers.DiversificationDriver
For a given starting month, computes the mean and covariance for the window of size length.
runTest2(int, int) - Method in class org.akutan.drivers.DiversificationDriver
For a given starting month, computes the mean and covariance for the window of size length.
runTest3(int, int) - Method in class org.akutan.drivers.DiversificationDriver
For a given starting month, computes the mean and covariance for the window of size length.
runTest4(int, int) - Method in class org.akutan.drivers.DiversificationDriver
For a given starting month, computes the mean and covariance for the window of size length.
runTest5(int, int) - Method in class org.akutan.drivers.DiversificationDriver
For a given starting month, computes the mean and covariance for the window of size length.
runTest6(int, int) - Method in class org.akutan.drivers.DiversificationDriver
For a given starting month, computes the mean and covariance for the window of size length.
runTest7(int, int) - Method in class org.akutan.drivers.DiversificationDriver
For a given starting month, computes the mean and covariance for the window of size length.
runTest8(int, int) - Method in class org.akutan.drivers.DiversificationDriver
A Black-Litterman based momentum strategy ala the one Fabozzi uses in his book on Robust Portfolio managerment.
runTest9(int, int) - Method in class org.akutan.drivers.DiversificationDriver
For a given starting month, computes the mean and covariance for the window of size length.

S

samplePoints - Variable in class org.akutan.optimization.SphericalShrinkageSolver
 
SASolution - Class in org.akutan.optimization
Consists of the vector of weights before processing and a convenience data structure to identify which assets are in the weight vector.
SASolution(int[], DoubleMatrix1D, double) - Constructor for class org.akutan.optimization.SASolution
Constructs
savePath(boolean) - Method in class org.akutan.optimization.entropy.EntropyInteriorPointsSolver
Called to notify solver to save the path of solutions
savePath(boolean) - Method in class org.akutan.optimization.InteriorPointsSolver
Enables "save path" mode which saves each solution along the path into a list so it could be plotted or reviewed.
scaledRmt(int, int, DoubleMatrix2D) - Static method in class org.akutan.correlations.RMT
This method updates the correlation matrix by removing all the noisy eigenvalues from the paper "Portfolio Optimization and the Random Matrix Problem", Rosenow, et al, Europhysics Letters, 59, (4) pp 500-506 (2002).
sensitivities(BLViews, double, DoubleMatrix2D, DoubleMatrix1D, DoubleMatrix1D) - Method in class org.akutan.blacklitterman.BlackLitterman
Called to compute the sensitivities of the Mahalanobis Distance to the various views.
setBaseWeights(DoubleMatrix1D) - Method in class org.akutan.blacklitterman.BLResults
Set the base weights
setConfidence(double) - Method in class org.akutan.blacklitterman.BLView
Sets the Idzorek style confidence
SetCostForPhaseOne() - Method in class org.akutan.optimization.RevisedSimplex
 
setDecFmt(DecimalFormat) - Method in class org.akutan.blacklitterman.BLResults
Set the decimal format for output
setDefaults() - Method in class org.akutan.blacklitterman.gui.BLApplet
Called to reset the assets, weights and covariances to the He-Litterman 1992 data which is the default for this app.
setEr(double) - Method in class org.akutan.blacklitterman.BLView
Sets the expected return of the view portfolio
setEr(double) - Method in class org.akutan.optimization.SolvedPoint
Sets the expected return for this portfolio
setExpRet(double) - Method in class org.akutan.montecarlo.MonteCarlo
Sets the expected return for the simulation
setF(double) - Method in class org.akutan.optimization.entropy.EntropyInteriorPointsSolver
Set the variance constraint
setMatrix(DoubleMatrix2D, int, int, DoubleMatrix2D, int, int) - Method in class org.akutan.optimization.ActiveSetSolver
 
setMatrix(DoubleMatrix2D, int, int, DoubleMatrix1D, int) - Method in class org.akutan.optimization.ActiveSetSolver
 
setMatrix(DoubleMatrix2D, int, int, DoubleMatrix2D, int, int) - Method in class org.akutan.optimization.NewtonSolver
Called to setup the matrix Q given the covariancevalues
setMatrix(DoubleMatrix2D, int, int, DoubleMatrix1D, int) - Method in class org.akutan.optimization.NewtonSolver
 
setModifyVariance(boolean) - Method in class org.akutan.blacklitterman.BlackLitterman
Sets state of the modifyVariance flag
setO(DoubleMatrix2D) - Method in class org.akutan.blacklitterman.BLViews
Sets the matrix of variance of the views for all views.
setOmega(double) - Method in class org.akutan.blacklitterman.BLView
Sets the uncertainty/variance of the view portfolio
setParameter(String, String) - Method in class org.akutan.blacklitterman.gui.BLApplet
Sets a parameter for later access by getParameter method.
setParameter(String, String) - Method in class org.akutan.EfficientFrontier
Sets a parameter for later access by getParameter method.
setPctFmt(DecimalFormat) - Method in class org.akutan.blacklitterman.BLResults
Sets the percentage format for output
setPriors(DoubleMatrix1D) - Method in class org.akutan.optimization.EntropySolver
 
setQ(DoubleMatrix2D, DVector) - Method in class org.akutan.optimization.diversified.DMatrix
Called to set all variance values in the matrix from the covariance and the mean vector.
setQ(DoubleMatrix2D, EVector) - Method in class org.akutan.optimization.entropy.EMatrix
Called to set all variance values in dx row, x column, the diagonal has the value y2 added dy2 row, x column is 2xQ
setQ(DoubleMatrix2D) - Method in class org.akutan.optimization.IPMatrix
Called to set all variance values in Row 1, Column 1
setRetFmt(DecimalFormat) - Method in class org.akutan.blacklitterman.BLResults
Sets the return field format for output
setSigma(double) - Method in class org.akutan.optimization.SolvedPoint
Sets the standard deviation of the portfolio
setTrace(int) - Method in class org.akutan.optimization.LMSolver
Set the trace level
setU(DoubleMatrix2D) - Method in class org.akutan.optimization.diversified.DMatrix
Called to set the equality constraints -U' goes in dx row, y0 column U goes in dy0 row, x column
setU(DoubleMatrix2D) - Method in class org.akutan.optimization.entropy.EMatrix
Called to set the equality constraints -U' goes in dx row, y0 column U goes in dy0 row, x column
setU(DoubleMatrix2D) - Method in class org.akutan.optimization.IPMatrix
Called to set the equality constraints U goes in Row 1, Column 3 -U' goes in Row 2, Column 1
setUp() - Method in class org.akutan.drivers.test.DiversificationDriverTest
 
setup(int, int, int) - Method in class org.akutan.optimization.diversified.DVector
 
setup(int, int, int) - Method in class org.akutan.optimization.entropy.EVector
Called to setup the internal structure
setUp() - Method in class org.akutan.optimization.test.LMSolverTest
 
setUp() - Method in class org.akutan.optimization.test.PortOptTest
 
setUp() - Method in class org.akutan.optimization.test.SimulatedAnnealingTest
 
setV(DoubleMatrix2D) - Method in class org.akutan.optimization.diversified.DMatrix
Called to set the coefficients of rht inequality constraints -V' goes in dx row, y1 column V goes in dy1 row, x column
setV(DoubleMatrix2D) - Method in class org.akutan.optimization.entropy.EMatrix
Called to set the coefficients of rht inequality constraints -V' goes in dx row, y1 column V goes in dy1 row, x column
setV(DoubleMatrix2D) - Method in class org.akutan.optimization.IPMatrix
Called to set the coefficients of rht inequality constraints -V' goes in Row 1, Column 4 V goes in Row 3, Column 1
setW(double) - Method in class org.akutan.optimization.IPConsVector
Called to set the w vector to a constant
setW(DoubleMatrix1D) - Method in class org.akutan.optimization.IPConsVector
Called to set the w vector
setw(IPVector) - Method in class org.akutan.optimization.IPMatrix
Called to set the w vector w(hat) goes in Row 4, Column 4
setW(DoubleMatrix1D) - Method in class org.akutan.optimization.IPVector
Called to set the w vector
setW1(double) - Method in class org.akutan.optimization.diversified.DConsVector
Called to set the w1 vector to a constant
setW1(DoubleMatrix1D) - Method in class org.akutan.optimization.diversified.DConsVector
Called to set the w1 vector
setW1(DVector) - Method in class org.akutan.optimization.diversified.DMatrix
Called to set the w1 vector w(hat) goes in y1w1 row, y1 column
setW1(DoubleMatrix1D) - Method in class org.akutan.optimization.diversified.DVector
Called to set the w1 vector
setW1(double) - Method in class org.akutan.optimization.entropy.EConsVector
Called to set the w1 vector to a constant
setW1(DoubleMatrix1D) - Method in class org.akutan.optimization.entropy.EConsVector
Called to set the w1 vector
setW1(EVector) - Method in class org.akutan.optimization.entropy.EMatrix
Called to set the w1 vector w(hat) goes in y1w1 row, y1 column
setW1(DoubleMatrix1D) - Method in class org.akutan.optimization.entropy.EVector
Called to set the w1 vector
setW2(double) - Method in class org.akutan.optimization.diversified.DConsVector
Called to set the w2 vector to a constant
setW2(DoubleMatrix1D) - Method in class org.akutan.optimization.diversified.DConsVector
Called to set the w2 vector
setW2(DVector) - Method in class org.akutan.optimization.diversified.DMatrix
Called to set the w2 vector w(hat) goes in y2w2 row, y2 column
setW2(DoubleMatrix1D) - Method in class org.akutan.optimization.diversified.DVector
Called to set the w2 vector
setW2(double) - Method in class org.akutan.optimization.diversified.DVector
Called to set the w2 vector to a constant
setW2(double) - Method in class org.akutan.optimization.entropy.EConsVector
Called to set the w2 vector to a constant
setW2(DoubleMatrix1D) - Method in class org.akutan.optimization.entropy.EConsVector
Called to set the w2 vector
setW2(EVector) - Method in class org.akutan.optimization.entropy.EMatrix
Called to set the w2 vector w2(hat) goes in y2w2 row, y2 column
setW2(DoubleMatrix1D) - Method in class org.akutan.optimization.entropy.EVector
Called to set the w2 vector
setW2(double) - Method in class org.akutan.optimization.entropy.EVector
Called to set the w2 vector to a constant
setWeights(DoubleMatrix1D) - Method in class org.akutan.blacklitterman.BLView
Sets the vector of weights
setX(double) - Method in class org.akutan.optimization.diversified.DConsVector
Called to set all x values equal to cons
setX(DoubleMatrix1D) - Method in class org.akutan.optimization.diversified.DConsVector
Called to set all x values equal to cons
setX(DVector) - Method in class org.akutan.optimization.diversified.DMatrix
Called to set the x vector xt goes into dx row, y2 column x(hat) goes in xzrow, z column x goes into dy2row, x column
setX(double) - Method in class org.akutan.optimization.diversified.DVector
Called to set all x values equal to cons
setX(DoubleMatrix1D) - Method in class org.akutan.optimization.diversified.DVector
Called to set x from a vector
setX(double) - Method in class org.akutan.optimization.entropy.EConsVector
Called to set all x values equal to cons
setX(DoubleMatrix1D) - Method in class org.akutan.optimization.entropy.EConsVector
Called to set all x values from a vector
setX(EVector) - Method in class org.akutan.optimization.entropy.EMatrix
Called to set the x vector x(hat) goes in xzrow, z column
setX(double) - Method in class org.akutan.optimization.entropy.EVector
Called to set all x values equal to cons
setX(DoubleMatrix1D) - Method in class org.akutan.optimization.entropy.EVector
Called to set all x values from a vector
setX(double) - Method in class org.akutan.optimization.IPConsVector
Called to set all x values equal to cons
setX(DoubleMatrix1D) - Method in class org.akutan.optimization.IPConsVector
Called to set all x values equal to the vector cons
setx(IPVector) - Method in class org.akutan.optimization.IPMatrix
Called to set the x vector x(hat) goes in Row 5, Column 5
setX(double) - Method in class org.akutan.optimization.IPVector
Called to set all x values equal to cons
setX(DoubleMatrix1D) - Method in class org.akutan.optimization.IPVector
Called to set all x values equal to cons
setY0(double) - Method in class org.akutan.optimization.diversified.DConsVector
Called to set all y0 values equal to cons
setY0(DoubleMatrix1D) - Method in class org.akutan.optimization.diversified.DConsVector
Called to set all y0 values from a vector
setY0(double) - Method in class org.akutan.optimization.diversified.DVector
Called to set all y0 values equal to cons
setY0(DoubleMatrix1D) - Method in class org.akutan.optimization.diversified.DVector
Called to set all y0 values from a vector
setY0(double) - Method in class org.akutan.optimization.entropy.EConsVector
Called to set all y0 values equal to cons
setY0(DoubleMatrix1D) - Method in class org.akutan.optimization.entropy.EConsVector
Called to set all y0 values from a vector
setY0(double) - Method in class org.akutan.optimization.entropy.EVector
Called to set all y0 values equal to cons
setY0(DoubleMatrix1D) - Method in class org.akutan.optimization.entropy.EVector
Called to set all y0 values from a vector
setY0(double) - Method in class org.akutan.optimization.IPConsVector
Called to set all y0 values equal to cons
setY0(DoubleMatrix1D) - Method in class org.akutan.optimization.IPConsVector
Called to set all y0 values from a vector
setY0(double) - Method in class org.akutan.optimization.IPVector
Called to set all y0 values equal to cons
setY0(DoubleMatrix1D) - Method in class org.akutan.optimization.IPVector
Called to set all y0 values from a vector
setY1(double) - Method in class org.akutan.optimization.diversified.DConsVector
Called to set all y1 values equal to cons
setY1(DoubleMatrix1D) - Method in class org.akutan.optimization.diversified.DConsVector
Called to set all y1 values from a vector
setY1(DVector) - Method in class org.akutan.optimization.diversified.DMatrix
Called to set the y1 vector y1(hat) goes in y1w1 row, w1 column
setY1(double) - Method in class org.akutan.optimization.diversified.DVector
Called to set all y1 values equal to cons
setY1(DoubleMatrix1D) - Method in class org.akutan.optimization.diversified.DVector
Called to set all uy1 values from a vector
setY1(double) - Method in class org.akutan.optimization.entropy.EConsVector
Called to set all y1 values equal to cons
setY1(DoubleMatrix1D) - Method in class org.akutan.optimization.entropy.EConsVector
Called to set all y1 values from a vector
setY1(EVector) - Method in class org.akutan.optimization.entropy.EMatrix
Called to set the y1 vector y1(hat) goes in y1w1 row, w1 column
setY1(double) - Method in class org.akutan.optimization.entropy.EVector
Called to set all y1 values equal to cons
setY1(DoubleMatrix1D) - Method in class org.akutan.optimization.entropy.EVector
Called to set all uy1 values from a vector
setY1(double) - Method in class org.akutan.optimization.IPConsVector
Called to set all y1 values equal to cons
setY1(DoubleMatrix1D) - Method in class org.akutan.optimization.IPConsVector
Called to set all uy1 values from a vector
setY1(IPVector) - Method in class org.akutan.optimization.IPMatrix
Called to set the y1 vector y1(hat) goes in Row 4, Column 2
setY1(double) - Method in class org.akutan.optimization.IPVector
Called to set all y1 values equal to cons
setY1(DoubleMatrix1D) - Method in class org.akutan.optimization.IPVector
Called to set all uy1 values from a vector
setY2(double) - Method in class org.akutan.optimization.diversified.DConsVector
Called to set all y2 values equal to cons
setY2(DoubleMatrix1D) - Method in class org.akutan.optimization.diversified.DConsVector
Called to set all y2 values from a vector
setY2(DVector) - Method in class org.akutan.optimization.diversified.DMatrix
Called to set the y2 vector y1(hat) goes in y2w2 row, w2 column
setY2(double) - Method in class org.akutan.optimization.diversified.DVector
Called to set all y1 values equal to cons
setY2(DoubleMatrix1D) - Method in class org.akutan.optimization.diversified.DVector
Called to set all uy1 values from a vector
setY2(double) - Method in class org.akutan.optimization.entropy.EConsVector
Called to set all y2 values equal to cons
setY2(DoubleMatrix1D) - Method in class org.akutan.optimization.entropy.EConsVector
Called to set all y2 values from a vector
setY2(EVector) - Method in class org.akutan.optimization.entropy.EMatrix
Called to set the y2 vector y2(hat) goes in y2w2 row, w2 column
setY2(double) - Method in class org.akutan.optimization.entropy.EVector
Called to set all y1 values equal to cons
setY2(DoubleMatrix1D) - Method in class org.akutan.optimization.entropy.EVector
Called to set all uy1 values from a vector
setZ(double) - Method in class org.akutan.optimization.diversified.DConsVector
Called to set the z vector
setZ(DoubleMatrix1D) - Method in class org.akutan.optimization.diversified.DConsVector
Called to set the z vector
setZ(DVector) - Method in class org.akutan.optimization.diversified.DMatrix
Called to set the z vector z(hat) goes in xzrow, x column
setZ(double) - Method in class org.akutan.optimization.diversified.DVector
Called to set the z vector
setZ(DoubleMatrix1D) - Method in class org.akutan.optimization.diversified.DVector
Called to set the z vector
setZ(double) - Method in class org.akutan.optimization.entropy.EConsVector
Called to set the z vector to a constant
setZ(DoubleMatrix1D) - Method in class org.akutan.optimization.entropy.EConsVector
Called to set the z vector
setZ(EVector) - Method in class org.akutan.optimization.entropy.EMatrix
Called to set the z vector z(hat) goes in xzrow, x column
setZ(double) - Method in class org.akutan.optimization.entropy.EVector
Called to set the z vector
setZ(DoubleMatrix1D) - Method in class org.akutan.optimization.entropy.EVector
Called to set the z vector
setZ(double) - Method in class org.akutan.optimization.IPConsVector
Called to set the z vector (dual variables)
setZ(DoubleMatrix1D) - Method in class org.akutan.optimization.IPConsVector
Called to set the z vector (dual variables)
setz(IPVector) - Method in class org.akutan.optimization.IPMatrix
Called to set the z vector z(hat) goes in Row 5, Column 1
setZ(double) - Method in class org.akutan.optimization.IPVector
Called to set the z vector
setZ(DoubleMatrix1D) - Method in class org.akutan.optimization.IPVector
Called to set the z vector
showInfo() - Method in class org.akutan.optimization.RevisedSimplex
Show diagnostics
showPortfolios(String, BLResults) - Method in class org.akutan.blacklitterman.IdzorekBLExample
 
shrink() - Method in class org.akutan.optimization.BayesSteinSolver
This is the method that actually does the shrinking of the mean and covariance and replaces the original inputs with the shrunk values.
shrink() - Method in class org.akutan.optimization.LedoitWolfSolver
Implements the shrinkage algorithm from Ledoit and Wolf, 2003.
shrink() - Method in class org.akutan.optimization.SphericalShrinkageSolver
Implements the spherical shrinkage algorithm from Meucci, Section 6.7.2, p.
simulate(DoubleMatrix1D) - Method in class org.akutan.montecarlo.MonteCarlo
Simulates returns for a portfolio with fixed weights.
simulate(int, DoubleMatrix1D, DoubleMatrix2D) - Method in class org.akutan.optimization.StatePreference
Called to simulate some results, note that we do not have a covariance matrix for this example so we are basically assuming a correlation of 0 between the various elements.
SimulatedAnnealing - Class in org.akutan.optimization
Class implements a simple Simulated Annealing algorithm from Chang et al, "Heuristics for Cardinality Constrained Portfolio Optimization", Computers & Operations Research, 27 (2000), 1271-1302.
SimulatedAnnealing(int, double, DoubleMatrix1D, DoubleMatrix2D) - Constructor for class org.akutan.optimization.SimulatedAnnealing
Constructs a SimulatedAnnealing problem where the solution will have a number of active assets exactly equal to order.
SimulatedAnnealing2 - Class in org.akutan.optimization
 
SimulatedAnnealing2(int, DoubleMatrix1D, DoubleMatrix2D) - Constructor for class org.akutan.optimization.SimulatedAnnealing2
 
SimulatedAnnealingTest - Class in org.akutan.optimization.test
 
SimulatedAnnealingTest() - Constructor for class org.akutan.optimization.test.SimulatedAnnealingTest
 
SimulationSolver - Class in org.akutan.optimization
This class encapsulates the simulation method described in the Farrely article from Journal of Investing, Winter 2006.
SimulationSolver(int, DoubleMatrix1D, DoubleMatrix2D) - Constructor for class org.akutan.optimization.SimulationSolver
Constructs
size() - Method in class org.akutan.blacklitterman.BLViews
Returns the number of views
SlackOrSurplus - Static variable in class org.akutan.optimization.RevisedSimplex
 
solve(DoubleMatrix1D, DoubleMatrix2D, DoubleMatrix2D, DoubleMatrix1D, DoubleMatrix1D) - Method in class org.akutan.optimization.ActiveSetSolver
This implements | G -A | | x | = | -(Gx + g) | | At 0 | | lambda | | b |
solve(List<Constraint>, ProgressIndicator) - Method in class org.akutan.optimization.diversified.DiversifiedReturn
Solves for minimum variance for the specified return, and runs over all returns for the set of assets providd.
solve(List<Constraint>, ProgressIndicator) - Method in class org.akutan.optimization.entropy.EntropyReturn
Solves for minimum variance for the specified return, and runs over all returns for the set of assets providd.
solve(List<Constraint>, ProgressIndicator) - Method in class org.akutan.optimization.EntropySolver
 
solve(List<Constraint>, ProgressIndicator) - Method in class org.akutan.optimization.InteriorPointsReturn
Given a list of additional constraints (beyond budget and no shorts) solves for the list of points along the efficient frontier by fixing the return and solving for the minimal variance portfolio at each return level.
solve(List<Constraint>, ProgressIndicator) - Method in class org.akutan.optimization.InteriorPointsUtility
 
solve(LMObjective, DoubleMatrix1D) - Method in class org.akutan.optimization.LMSolver
Solves the cost function.
solve(List<Constraint>, ProgressIndicator) - Method in class org.akutan.optimization.NewtonSolver
Simple Newton Solver for use in processing entropy (MAXENT or MINENT) solutions.
solve(List<Constraint>, ProgressIndicator) - Method in class org.akutan.optimization.ReturnSolver
 
solve(List<Constraint>, ProgressIndicator) - Method in class org.akutan.optimization.SimulatedAnnealing
Called to solve for the efficient frontier subject to the constraints supplied by the caller.
solve(List<Constraint>, ProgressIndicator) - Method in class org.akutan.optimization.SimulationSolver
Evaluates the objective function across scenarios for a specific candidate solution.
solve(List<Constraint>, ProgressIndicator) - Method in interface org.akutan.optimization.Solver
 
solve(List<Constraint>, ProgressIndicator) - Method in class org.akutan.optimization.StateReturnSolver
 
solve(List<Constraint>, ProgressIndicator) - Method in class org.akutan.optimization.UnconstrainedSolver
Solves for the efficient frontier given the returns and covariances specified.
solve(List<Constraint>, ProgressIndicator) - Method in class org.akutan.optimization.UtilitySolver
Called to return a list of points on the efficient frontier.
SolvedPoint - Class in org.akutan.optimization
 
SolvedPoint(double, double, double, double[]) - Constructor for class org.akutan.optimization.SolvedPoint
Constructs
SolvedPoint(double, double, double, double[], List<double[]>) - Constructor for class org.akutan.optimization.SolvedPoint
Constructs
solveForReturn(double, List<Constraint>) - Method in class org.akutan.optimization.entropy.EntropyReturn
Called to solve for the weights for a specified return value.
solveForReturn(double, List<Constraint>) - Method in class org.akutan.optimization.InteriorPointsReturn
Solves the problem for the asset weights which generate the return specified while minimizing the objective function, which here is the variance of the solution portfolio.
solveForReturn(double, List<Constraint>) - Method in class org.akutan.optimization.ReturnSolver
 
solveForReturn(double) - Method in class org.akutan.optimization.UnconstrainedSolver
This method is called to solve the mostly unconstrained optimization problem for a specific return.
solveLP() - Method in class org.akutan.optimization.RevisedSimplex
Solve the problem
solvePoint(int, DoubleMatrix1D, List<Constraint>, double, DoubleMatrix2D, double) - Method in class org.akutan.optimization.diversified.DivInteriorPointsSolver
Called to solve for a single point using the Interior Points method with logarithmic barriers.
solvePoint(int, DoubleMatrix1D, List<Constraint>, DoubleMatrix2D, double, DoubleMatrix1D) - Method in class org.akutan.optimization.entropy.EntropyInteriorPointsSolver
Called to solve for a single point using the Interior Points method with logarithmic barriers.
solvePoint(int, DoubleMatrix1D, List<Constraint>, double, DoubleMatrix2D, double) - Method in class org.akutan.optimization.InteriorPointsSolver
Called to solve for a single point using the Interior Points method with logarithmic barriers.
Solver - Interface in org.akutan.optimization
 
solveScenario(List<Constraint>, ProgressIndicator) - Method in class org.akutan.optimization.SimulationSolver
Called to solve for the efficient frontier for a given scenario
solveSingle(DoubleMatrix1D, DoubleMatrix2D, List<Constraint>, Set<Integer>, Set<Integer>, Set<Integer>) - Method in class org.akutan.optimization.ActiveSetSolver
 
solveSingle(double, DoubleMatrix1D, DoubleMatrix2D, List<Constraint>, Set<Integer>, Set<Integer>, Set<Integer>) - Method in class org.akutan.optimization.UtilitySolver
Active set code to optimize a single portfolio for a fixed return
solveTridiagonal(DoubleMatrix2D, DoubleMatrix2D) - Method in class org.akutan.numerics.FiniteDifferenceSolver
Solves a tri-diagonal system of equations parsimoniusly using Gaussian Elimination.
sortResults(List<SolvedPoint>) - Method in class org.akutan.drivers.DiversificationDriver
Sorts by sharpe ratio (note this didn't work so well in the past for some unknown reason.
sortResults10(List<SolvedPoint>) - Method in class org.akutan.drivers.DiversificationDriver
Estimates the point with risk of 10% and returns the closest pt less than 10%
SpecDecompTest - Class in org.akutan.correlations.test
These are the test cases from the paper "The Most General Way to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes" by Rebonato and Jaekel, 1999.
SpecDecompTest() - Constructor for class org.akutan.correlations.test.SpecDecompTest
 
specifyObjective(double[], boolean) - Method in class org.akutan.optimization.RevisedSimplex
Set the objective function
SpectralDecomposition - Class in org.akutan.correlations
Implements the Spectral Decomposition method from the paper "The Most General Way to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes" by Rebonato and Jaekel, 1999.
SphericalShrinkageSolver - Class in org.akutan.optimization
This class encapsulates an example of solving for the optimal portfolio using the Spherical Shrinkage, taken from Meucci, Chapter 4.
SphericalShrinkageSolver(DoubleMatrix1D, DoubleMatrix2D, List<EfficientFrontier.SampleData>) - Constructor for class org.akutan.optimization.SphericalShrinkageSolver
Constructs
SPV - Class in org.akutan.faj.spv
This class is used to compute the Stochastic Present Value of a spending plan, and thus the probability that the spending plan will exhaust resources prior to the end.
SPV() - Constructor for class org.akutan.faj.spv.SPV
 
SPVDialog - Class in org.akutan.faj.spv
Class manages collection of parameters for SPV calculation.
SPVDialog() - Constructor for class org.akutan.faj.spv.SPVDialog
 
Stambaugh - Class in org.akutan.faj.covariance
This class implements the method of Stambaugh for adjusting the mean and covariance of a shorter return series based on that series beta to one or more longer return series.
Stambaugh() - Constructor for class org.akutan.faj.covariance.Stambaugh
 
stambuagh(int, DoubleArrayList[], DoubleMatrix1D, DoubleMatrix2D, DoubleMatrix1D, DoubleMatrix2D) - Static method in class org.akutan.faj.covariance.Stambaugh
Implements the method of Stambaugh to process a set of return series of different lengths in order to create a robust mean and covariance matrix for all the series.
stateChanged(ChangeEvent) - Method in class org.akutan.EfficientFrontier
Called when the slider moves to update the area chart, the pie chart and the efficient frontier chart
StatePreference - Class in org.akutan.optimization
 
StatePreference(int) - Constructor for class org.akutan.optimization.StatePreference
Constructs
StatePreference.Summary - Class in org.akutan.optimization
Class which holds a summary of the state of a simulation.
StatePreference.Summary(DoubleMatrix1D, DoubleMatrix2D) - Constructor for class org.akutan.optimization.StatePreference.Summary
Constructs
StateReturnSolver - Class in org.akutan.optimization
 
StateReturnSolver(DoubleMatrix1D, DoubleMatrix2D) - Constructor for class org.akutan.optimization.StateReturnSolver
 
Statistics - Class in org.akutan.utilities
Class that wraps the colt descriptive statistics class and provides a few extras along the same vein.
Statistics() - Constructor for class org.akutan.utilities.Statistics
 
Stats - Class in org.akutan.utilities
 
Stats(Frame, Color, String[], DoubleMatrix1D, DoubleMatrix2D, boolean) - Constructor for class org.akutan.utilities.Stats
 
stddev(int, double, double) - Static method in class org.akutan.utilities.Statistics
Compute the standard deviation given the number of values, the sum of the values and the sum of the values squared.
stddev(DoubleArrayList) - Static method in class org.akutan.utilities.Statistics
Compute the standard deviation using the code in colt
StringTransferable - Class in org.akutan.blacklitterman.gui
Implements Transferable to allow Strings to be cut/paste via the clipboard.
StringTransferable(String) - Constructor for class org.akutan.blacklitterman.gui.StringTransferable
Constructs
StringTransferHandler - Class in org.akutan.blacklitterman.gui
Implements the DnD TransferHandler for managing cut/paste of objects via the clipboard.
StringTransferHandler() - Constructor for class org.akutan.blacklitterman.gui.StringTransferHandler
 
summarize(DoubleMatrix2D) - Method in class org.akutan.optimization.StatePreference
Given the raw simulation data, we compute mean vector and covariance matrix

T

TableTransferHandler - Class in org.akutan.blacklitterman.gui
 
TableTransferHandler() - Constructor for class org.akutan.blacklitterman.gui.TableTransferHandler
 
tearDown() - Method in class org.akutan.drivers.test.DiversificationDriverTest
 
tearDown() - Method in class org.akutan.optimization.test.LMSolverTest
 
tearDown() - Method in class org.akutan.optimization.test.PortOptTest
 
tearDown() - Method in class org.akutan.optimization.test.SimulatedAnnealingTest
 
test12x12() - Method in class org.akutan.correlations.test.SpecDecompTest
The more complicated 12x12 test case.
testActiveSet() - Method in class org.akutan.optimization.test.PortOptTest
Test case for the active set target return optimizer
testActiveSetUtility() - Method in class org.akutan.optimization.test.PortOptTest
This test case for the Active Set fixed utility optimization code.
testAddAsset() - Method in class org.akutan.optimization.test.SimulatedAnnealingTest
 
testBudgetConstrained() - Method in class org.akutan.blacklitterman.test.MeanVarianceTest
This test case based on the values in the He/Litterman paper on Black-Litterman.
testCase() - Method in class org.akutan.optimization.test.SimulatedAnnealingTest
 
testCase2() - Method in class org.akutan.optimization.test.SimulatedAnnealingTest
 
testComputeOutOfSample() - Method in class org.akutan.drivers.test.DiversificationDriverTest
 
testConic() - Method in class org.akutan.optimization.test.LMSolverTest
Tests minimizing a convex function
testCurveFit() - Method in class org.akutan.optimization.test.LMSolverTest
Tests fitting a function with sin() using least squares
testDecomposition() - Method in class org.akutan.correlations.test.SpecDecompTest
The simple 3x3 test case from the paper, note that we agree with all but one of the values.
testEvolve() - Method in class org.akutan.drivers.test.DiversificationDriverTest
 
testForOptimality() - Method in class org.akutan.optimization.RevisedSimplex
Tests to see if the current solution is optimal.
testGood() - Method in class org.akutan.correlations.test.SpecDecompTest
Here we operate on a known good matrix, we want to make sure we don't change it.
testInteriorPoints() - Method in class org.akutan.optimization.test.PortOptTest
Test case for my quadratix interior points optimization
testInteriorPointUtility() - Method in class org.akutan.optimization.test.PortOptTest
This test case from the Fabozzi book on Robust Optimization, p353, but needed to be modified so that we solve for a fixed utility - 5.061
testLogFit() - Method in class org.akutan.optimization.test.LMSolverTest
Tests fitting a function with ln() using least squares
testMove() - Method in class org.akutan.optimization.test.SimulatedAnnealingTest
 
testRemoveAsset() - Method in class org.akutan.optimization.test.SimulatedAnnealingTest
 
testRescale() - Method in class org.akutan.optimization.test.SimulatedAnnealingTest
 
testRmt() - Method in class org.akutan.correlations.test.RMTTest
 
testSimple() - Method in class org.akutan.correlations.test.RMTTest
A Simple test case which runs the various RMT methods and declares success if the return value is not null.
testUnboundedness() - Method in class org.akutan.optimization.RevisedSimplex
 
testUnconstrained() - Method in class org.akutan.blacklitterman.test.MeanVarianceTest
This test case based on the values in the He/Litterman paper on Black-Litterman.
toString() - Method in class org.akutan.blacklitterman.BLResults
Implementation of method to format BL results into a String
toString() - Method in class org.akutan.blacklitterman.BLView
Formats the view as a String for debugging
toString() - Method in class org.akutan.optimization.Constraint
Return the Constraint formatted as a String for debugging
toString() - Method in class org.akutan.optimization.diversified.DConsVector
Overrides method in Object to display the vector as a String
toString() - Method in class org.akutan.optimization.diversified.DMatrix
Overrides Object method to format as a String, just delegates to the Matrix inside.
toString() - Method in class org.akutan.optimization.diversified.DVector
(non-Javadoc) Returns the string representation of the object, just delegates to the embedded vector
toString() - Method in class org.akutan.optimization.entropy.EConsVector
Formats the object as a String, delegates to the underlying vector
toString() - Method in class org.akutan.optimization.entropy.EMatrix
Overrides method in Object, formats object as String by delegating to underlying Matrix.
toString() - Method in class org.akutan.optimization.entropy.EVector
Returns the a string representation, just delegates to the embedded vector.
toString() - Method in class org.akutan.optimization.IPConsVector
 
toString() - Method in class org.akutan.optimization.IPMatrix
Formats the object as a string
toString() - Method in class org.akutan.optimization.IPVector
Formats the solution vector as a String
toString() - Method in class org.akutan.optimization.SASolution
Formats this object into a string for debugging
toString() - Method in class org.akutan.optimization.SolvedPoint
Returns a formatted String representing the current state of this object for debugging
toString() - Method in class org.akutan.optimization.StatePreference.Summary
Formats the summary as a String for debugging
transpose(DoubleMatrix1D) - Method in class org.akutan.blacklitterman.HeLitterman
 
transpose(DoubleMatrix1D) - Method in class org.akutan.blacklitterman.KrishnanMains
Helper function to transpose a 1D matrix into a 2D matrix
TutuncuKoenigExample - Class in org.akutan.optimization
This example attempts to replicate the example from Tutuncu and Koenig, this is the naive example with a box constraint on the mean and covariance and we assume the worst case for all means and covariances simultaneously.
TutuncuKoenigExample() - Constructor for class org.akutan.optimization.TutuncuKoenigExample
 
TypeMinimize - Variable in class org.akutan.optimization.RevisedSimplex
 

U

Unbounded - Static variable in class org.akutan.optimization.RevisedSimplex
 
UnconstrainedSolver - Class in org.akutan.optimization
Created on Nov 3, 2005 Unconstrained solution to mean variance portfolio optimization.
UnconstrainedSolver(DoubleMatrix1D, DoubleMatrix2D) - Constructor for class org.akutan.optimization.UnconstrainedSolver
Constructs
unconstrainedWeights(double, DoubleMatrix2D, DoubleMatrix1D) - Static method in class org.akutan.blacklitterman.MeanVariance
Given the risk aversion coefficient, the covariance matrix and the excess returns we can calculate the implied weights.
unsmooth(DoubleArrayList) - Static method in class org.akutan.faj.covariance.PetersonGrier
 
updateBarChart(String[], DoubleMatrix1D) - Method in class org.akutan.blacklitterman.gui.BLApplet
 
updateBarChart(String[], DoubleMatrix1D, DoubleMatrix1D) - Method in class org.akutan.blacklitterman.gui.BLApplet
 
updateBarChart2(String[], DoubleMatrix1D) - Method in class org.akutan.blacklitterman.gui.BLApplet
 
updateGui() - Method in class org.akutan.blacklitterman.gui.BLApplet
 
updateSolution() - Method in class org.akutan.optimization.RevisedSimplex
 
UtilitySolver - Class in org.akutan.optimization
Subclass of ActiveSetSolver that solves the mean variance portfolio optimization problem by minimizing the utility for a given risk aversion parameter.
UtilitySolver(DoubleMatrix1D, DoubleMatrix2D) - Constructor for class org.akutan.optimization.UtilitySolver
Constructs the solver

V

V - Variable in class org.akutan.optimization.SimulationSolver
 
value(DoubleMatrix1D) - Method in interface org.akutan.optimization.LMObjective
Called to compute the value of the function at x
valueOf(String) - Static method in enum org.akutan.optimization.Constraint.Type
Returns the enum constant of this type with the specified name.
values() - Static method in enum org.akutan.optimization.Constraint.Type
Returns an array containing the constants of this enum type, in the order they are declared.
VARIABLE - Static variable in class org.akutan.optimization.diversified.DMatrix
 
VARIABLE - Static variable in class org.akutan.optimization.entropy.EMatrix
 
variance(int, double, double) - Static method in class org.akutan.utilities.Statistics
Compute the variance of a sequence of values from the number of values, the sum of the values and the sum of the values squared.
varType - Variable in class org.akutan.optimization.RevisedSimplex
 
ViewDialog - Class in org.akutan.blacklitterman.gui
Used to manage input of a Black-Litterman style view on the returns of assets
ViewDialog(int) - Constructor for class org.akutan.blacklitterman.gui.ViewDialog
 

W

WeightDialog - Class in org.akutan.montecarlo
 
WeightDialog() - Constructor for class org.akutan.montecarlo.WeightDialog
 

X

x - Variable in class org.akutan.optimization.RevisedSimplex
 
xDotProduct() - Method in class org.akutan.optimization.diversified.DVector
Computes the distance (or something) of delta X * delta X which should be 0 at the solution.
xDotProduct() - Method in class org.akutan.optimization.entropy.EVector
Computes the distance (or something) of delta X * delta X which should be 0 at the solution.
xDotProduct() - Method in class org.akutan.optimization.IPVector
Computes the dot product of the X portion of the solution vector
XRectangle - Class in org.akutan.gui
Class extends the Rectangle shape and draws an 'X' across it as well to mark it a little better.
XRectangle(int, int) - Constructor for class org.akutan.gui.XRectangle
Constructs with a height and width

Y

yB - Variable in class org.akutan.optimization.RevisedSimplex
 

_

_absolute - Variable in class org.akutan.blacklitterman.BLView
Indicates whether the view is relative of absolute
_adjustVar - Variable in class org.akutan.blacklitterman.gui.BayesianDialog
 
_areaPlot - Variable in class org.akutan.EfficientFrontier
 
_assetId - Variable in class org.akutan.blacklitterman.gui.BayesianDialog
 
_assetMap - Variable in class org.akutan.blacklitterman.gui.BLApplet
Map of asset names for easy access
_assets - Variable in class org.akutan.blacklitterman.gui.BLEditStats
 
_assets - Variable in class org.akutan.drivers.DiversificationDriver
Array of the asset class names for use on output
_c1 - Variable in class org.akutan.optimization.IPConsVector
 
_c2 - Variable in class org.akutan.optimization.IPConsVector
 
_c3 - Variable in class org.akutan.optimization.IPConsVector
 
_c4 - Variable in class org.akutan.optimization.IPConsVector
 
_c5 - Variable in class org.akutan.optimization.IPConsVector
 
_cancel - Variable in class org.akutan.blacklitterman.gui.BLEditStats
 
_cMove - Variable in class org.akutan.optimization.SimulatedAnnealing
Initial relative move in an asset per iteration
_confidence - Variable in class org.akutan.blacklitterman.BLView
Indicates an Idzorek style confidence in the view
_covars - Variable in class org.akutan.blacklitterman.gui.BLEditStats
 
_df - Static variable in class org.akutan.optimization.SolvedPoint
 
_e_rx - Variable in class org.akutan.optimization.UtilitySolver
 
_epsilon - Variable in class org.akutan.optimization.SimulatedAnnealing
Minimum required fraction for an asset in the solution
_er - Variable in class org.akutan.blacklitterman.BLView
Expected return of the view portfolio
_er - Variable in class org.akutan.optimization.InteriorPointsSolver
Expected returns of the assets
_er - Variable in class org.akutan.optimization.SolvedPoint
 
_er - Variable in class org.akutan.optimization.StatePreference.Summary
 
_Er - Variable in class org.akutan.optimization.UnconstrainedSolver
 
_eRet - Variable in class org.akutan.blacklitterman.gui.BayesianDialog
 
_eVar - Variable in class org.akutan.blacklitterman.gui.BayesianDialog
 
_histPlot - Variable in class org.akutan.blacklitterman.gui.BLApplet
Displays the computed returns
_histPlot2 - Variable in class org.akutan.blacklitterman.gui.BLApplet
Displays the computed weights
_insert - Variable in class org.akutan.blacklitterman.gui.BLEditStats
 
_lmSolver - Variable in class org.akutan.optimization.test.LMSolverTest
 
_mktCaps - Variable in class org.akutan.drivers.DiversificationDriver
Market Cap in some units for each sector for each month
_model - Variable in class org.akutan.blacklitterman.gui.BLEditStats
 
_month - Variable in class org.akutan.EfficientFrontier.SampleData
 
_months - Variable in class org.akutan.drivers.DiversificationDriver
Index of months to match up with the data (both returns and market caps)
_moveSize - Variable in class org.akutan.optimization.SimulatedAnnealing
Current step
_mu - Variable in class org.akutan.optimization.SimulatedAnnealing
Returns and covariances for the assets
_n - Variable in class org.akutan.optimization.test.SimulatedAnnealingTest
Number of assets for tests
_name - Variable in class org.akutan.blacklitterman.BLView
Name of the view
_numAssets - Variable in class org.akutan.blacklitterman.BLViews
 
_o - Variable in class org.akutan.blacklitterman.BLViews
 
_objective - Variable in class org.akutan.optimization.SASolution
 
_oc1 - Variable in class org.akutan.optimization.IPConsVector
 
_oc2 - Variable in class org.akutan.optimization.IPConsVector
 
_oc3 - Variable in class org.akutan.optimization.IPConsVector
 
_oc4 - Variable in class org.akutan.optimization.IPConsVector
 
_oc5 - Variable in class org.akutan.optimization.IPConsVector
 
_ok - Variable in class org.akutan.blacklitterman.gui.BLEditStats
 
_omega - Variable in class org.akutan.blacklitterman.BLView
Uncertainty/variance of the estimated return of the view portfolio
_order - Variable in class org.akutan.optimization.SimulatedAnnealing
Number of assets required
_order - Variable in class org.akutan.optimization.test.SimulatedAnnealingTest
Number of assets in solution
_path - Variable in class org.akutan.optimization.InteriorPointsSolver
 
_path - Variable in class org.akutan.optimization.SolvedPoint
 
_piePlot - Variable in class org.akutan.blacklitterman.gui.BLApplet
Displays the equilibrium weights
_piePlot - Variable in class org.akutan.EfficientFrontier
 
_points - Variable in class org.akutan.EfficientFrontier.SampleData
 
_pRet - Variable in class org.akutan.blacklitterman.gui.BayesianDialog
 
_pVar - Variable in class org.akutan.blacklitterman.gui.BayesianDialog
 
_Q - Variable in class org.akutan.optimization.SASolution
 
_reset - Variable in class org.akutan.blacklitterman.gui.BLEditStats
 
_returns - Variable in class org.akutan.drivers.DiversificationDriver
Annualized returns stored as a decimal
_s - Variable in class org.akutan.blacklitterman.gui.StringTransferable
 
_s - Variable in class org.akutan.optimization.SASolution
 
_samplePoints - Variable in class org.akutan.optimization.LedoitWolfSolver
 
_savePath - Variable in class org.akutan.optimization.InteriorPointsSolver
Manages the path of the solution across iterations
_scenarios - Variable in class org.akutan.optimization.SimulationSolver
 
_sigma - Variable in class org.akutan.optimization.SolvedPoint
 
_sln - Variable in class org.akutan.optimization.test.SimulatedAnnealingTest
Solution to setup and teardown
_tau - Variable in class org.akutan.blacklitterman.gui.BayesianDialog
 
_termCondition - Variable in class org.akutan.optimization.LMSolver
This value seems to good enough for the test cases
_trace - Variable in class org.akutan.optimization.LMSolver
Trace level, higher number for more logging
_twister - Variable in class org.akutan.optimization.SimulatedAnnealing
Random engine shared across all activities
_utility - Variable in class org.akutan.optimization.SolvedPoint
 
_V - Variable in class org.akutan.optimization.InteriorPointsSolver
Covariance matrix for the assets
_V - Variable in class org.akutan.optimization.SimulatedAnnealing
 
_V - Variable in class org.akutan.optimization.StatePreference.Summary
 
_V - Variable in class org.akutan.optimization.UnconstrainedSolver
 
_V - Variable in class org.akutan.optimization.UtilitySolver
 
_views - Variable in class org.akutan.blacklitterman.BLViews
 
_views - Variable in class org.akutan.blacklitterman.gui.BayesianDialog
 
_w - Variable in class org.akutan.optimization.SASolution
 
_w1offset - Variable in class org.akutan.optimization.diversified.DConsVector
 
_w1offset - Variable in class org.akutan.optimization.diversified.DVector
 
_w1offset - Variable in class org.akutan.optimization.entropy.EConsVector
 
_w1offset - Variable in class org.akutan.optimization.entropy.EVector
 
_w1width - Variable in class org.akutan.optimization.diversified.DConsVector
 
_w1width - Variable in class org.akutan.optimization.diversified.DVector
 
_w1width - Variable in class org.akutan.optimization.entropy.EConsVector
 
_w1width - Variable in class org.akutan.optimization.entropy.EVector
 
_w2offset - Variable in class org.akutan.optimization.diversified.DConsVector
 
_w2offset - Variable in class org.akutan.optimization.diversified.DVector
 
_w2offset - Variable in class org.akutan.optimization.entropy.EConsVector
 
_w2offset - Variable in class org.akutan.optimization.entropy.EVector
 
_w2width - Variable in class org.akutan.optimization.diversified.DConsVector
 
_w2width - Variable in class org.akutan.optimization.diversified.DVector
 
_w2width - Variable in class org.akutan.optimization.entropy.EConsVector
 
_w2width - Variable in class org.akutan.optimization.entropy.EVector
 
_weights - Variable in class org.akutan.blacklitterman.BLView
Weights of the assets in the view portfolio
_weights - Variable in class org.akutan.blacklitterman.gui.BLEditStats
 
_weights - Variable in class org.akutan.optimization.SolvedPoint
 
_woffset - Variable in class org.akutan.optimization.IPVector
 
_wwidth - Variable in class org.akutan.optimization.IPVector
 
_xoffset - Variable in class org.akutan.optimization.diversified.DConsVector
 
_xoffset - Variable in class org.akutan.optimization.diversified.DVector
 
_xoffset - Variable in class org.akutan.optimization.entropy.EConsVector
 
_xoffset - Variable in class org.akutan.optimization.entropy.EVector
 
_xoffset - Variable in class org.akutan.optimization.IPVector
 
_xwidth - Variable in class org.akutan.optimization.diversified.DConsVector
 
_xwidth - Variable in class org.akutan.optimization.diversified.DVector
 
_xwidth - Variable in class org.akutan.optimization.entropy.EConsVector
 
_xwidth - Variable in class org.akutan.optimization.entropy.EVector
 
_xwidth - Variable in class org.akutan.optimization.IPVector
 
_y0offset - Variable in class org.akutan.optimization.diversified.DConsVector
 
_y0offset - Variable in class org.akutan.optimization.diversified.DVector
 
_y0offset - Variable in class org.akutan.optimization.entropy.EConsVector
 
_y0offset - Variable in class org.akutan.optimization.entropy.EVector
 
_y0offset - Variable in class org.akutan.optimization.IPVector
 
_y0width - Variable in class org.akutan.optimization.diversified.DConsVector
 
_y0width - Variable in class org.akutan.optimization.diversified.DVector
 
_y0width - Variable in class org.akutan.optimization.entropy.EConsVector
 
_y0width - Variable in class org.akutan.optimization.entropy.EVector
 
_y0width - Variable in class org.akutan.optimization.IPVector
 
_y1offset - Variable in class org.akutan.optimization.diversified.DConsVector
 
_y1offset - Variable in class org.akutan.optimization.diversified.DVector
 
_y1offset - Variable in class org.akutan.optimization.entropy.EConsVector
 
_y1offset - Variable in class org.akutan.optimization.entropy.EVector
 
_y1offset - Variable in class org.akutan.optimization.IPVector
 
_y1width - Variable in class org.akutan.optimization.diversified.DConsVector
 
_y1width - Variable in class org.akutan.optimization.diversified.DVector
 
_y1width - Variable in class org.akutan.optimization.entropy.EConsVector
 
_y1width - Variable in class org.akutan.optimization.entropy.EVector
 
_y1width - Variable in class org.akutan.optimization.IPVector
 
_y2offset - Variable in class org.akutan.optimization.diversified.DConsVector
 
_y2offset - Variable in class org.akutan.optimization.diversified.DVector
 
_y2offset - Variable in class org.akutan.optimization.entropy.EConsVector
 
_y2offset - Variable in class org.akutan.optimization.entropy.EVector
 
_y2width - Variable in class org.akutan.optimization.diversified.DConsVector
 
_y2width - Variable in class org.akutan.optimization.diversified.DVector
 
_y2width - Variable in class org.akutan.optimization.entropy.EConsVector
 
_y2width - Variable in class org.akutan.optimization.entropy.EVector
 
_year - Variable in class org.akutan.EfficientFrontier.SampleData
 
_zoffset - Variable in class org.akutan.optimization.diversified.DConsVector
 
_zoffset - Variable in class org.akutan.optimization.diversified.DVector
 
_zoffset - Variable in class org.akutan.optimization.entropy.EConsVector
 
_zoffset - Variable in class org.akutan.optimization.entropy.EVector
 
_zoffset - Variable in class org.akutan.optimization.IPVector
 
_zwidth - Variable in class org.akutan.optimization.diversified.DConsVector
 
_zwidth - Variable in class org.akutan.optimization.diversified.DVector
 
_zwidth - Variable in class org.akutan.optimization.entropy.EConsVector
 
_zwidth - Variable in class org.akutan.optimization.entropy.EVector
 
_zwidth - Variable in class org.akutan.optimization.IPVector
 

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