org.akutan.blacklitterman
Class BLView

java.lang.Object
  extended by org.akutan.blacklitterman.BLView
All Implemented Interfaces:
java.lang.Cloneable

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

Models a single view in the Black-Litterman model.

Since:
9 December 2007

Field Summary
protected  boolean _absolute
          Indicates whether the view is relative of absolute
protected  double _confidence
          Indicates an Idzorek style confidence in the view
protected  double _er
          Expected return of the view portfolio
protected  java.lang.String _name
          Name of the view
protected  double _omega
          Uncertainty/variance of the estimated return of the view portfolio
protected  cern.colt.matrix.DoubleMatrix1D _weights
          Weights of the assets in the view portfolio
 
Constructor Summary
BLView(java.lang.String name, boolean absolute, double confidence, cern.colt.matrix.DoubleMatrix1D weights, double er)
          Constructs a Black-Litterman view
 
Method Summary
 java.lang.Object clone()
          Clones the view (deep copy)
 double getConfidence()
          Returns the Idzorek style confidence if one has been supplied
 double getEr()
          Returns the expected return of the view portfolio
 java.lang.String getName()
          Returns the name of the view
 double getOmega()
          Returns the uncertainty/variance of the view portfolio
 cern.colt.matrix.DoubleMatrix1D getWeights()
          Returns the vector of weights
 boolean isAbsolute()
           
 void setConfidence(double confidence)
          Sets the Idzorek style confidence
 void setEr(double er)
          Sets the expected return of the view portfolio
 void setOmega(double omega)
          Sets the uncertainty/variance of the view portfolio
 void setWeights(cern.colt.matrix.DoubleMatrix1D weights)
          Sets the vector of weights
 java.lang.String toString()
          Formats the view as a String for debugging
 
Methods inherited from class java.lang.Object
equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
 

Field Detail

_name

protected java.lang.String _name
Name of the view


_absolute

protected boolean _absolute
Indicates whether the view is relative of absolute


_confidence

protected double _confidence
Indicates an Idzorek style confidence in the view


_weights

protected cern.colt.matrix.DoubleMatrix1D _weights
Weights of the assets in the view portfolio


_er

protected double _er
Expected return of the view portfolio


_omega

protected double _omega
Uncertainty/variance of the estimated return of the view portfolio

Constructor Detail

BLView

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

Parameters:
name - Name of the view
absolute - Indicates the view is absolute or relative
confidence - Idzorek style confidence value if relevant
weights - The weights of the assets within the view portfolio
er - The expected return of the view portfolio
Method Detail

getName

public java.lang.String getName()
Returns the name of the view

Returns:
Name of the view

isAbsolute

public boolean isAbsolute()
Returns:
True if the view is absolute, false if relative

getConfidence

public double getConfidence()
Returns the Idzorek style confidence if one has been supplied

Returns:
Idzorek style confidence if one has been speciifed

setConfidence

public void setConfidence(double confidence)
Sets the Idzorek style confidence

Parameters:
confidence -

getWeights

public cern.colt.matrix.DoubleMatrix1D getWeights()
Returns the vector of weights

Returns:

setWeights

public void setWeights(cern.colt.matrix.DoubleMatrix1D weights)
Sets the vector of weights

Parameters:
weights -

getEr

public double getEr()
Returns the expected return of the view portfolio

Returns:

setEr

public void setEr(double er)
Sets the expected return of the view portfolio

Parameters:
er -

getOmega

public double getOmega()
Returns the uncertainty/variance of the view portfolio

Returns:

setOmega

public void setOmega(double omega)
Sets the uncertainty/variance of the view portfolio

Parameters:
omega -

clone

public java.lang.Object clone()
Clones the view (deep copy)

Overrides:
clone in class java.lang.Object

toString

public java.lang.String toString()
Formats the view as a String for debugging

Overrides:
toString in class java.lang.Object
Returns:
View formatted a String