org.akutan.montecarlo
Class MonteCarlo

java.lang.Object
  extended by org.akutan.montecarlo.MonteCarlo

public class MonteCarlo
extends java.lang.Object

This class is used to run Monte Carlo simulations of portfolio returns over the 1 year horizon we're using in our optimization.

Since:

Constructor Summary
MonteCarlo(cern.colt.matrix.DoubleMatrix1D mu, cern.colt.matrix.DoubleMatrix2D V)
          Constructs with a specified multivariate normal distribution
 
Method Summary
 void setExpRet(double expRet)
          Sets the expected return for the simulation
 java.util.List<SolvedPoint> simulate(cern.colt.matrix.DoubleMatrix1D weights)
          Simulates returns for a portfolio with fixed weights.
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

MonteCarlo

public MonteCarlo(cern.colt.matrix.DoubleMatrix1D mu,
                  cern.colt.matrix.DoubleMatrix2D V)
Constructs with a specified multivariate normal distribution

Parameters:
mu - Mean vector for multivariate normal
V - Covariance matrix for multivariate normal
Method Detail

setExpRet

public void setExpRet(double expRet)
Sets the expected return for the simulation

Parameters:
expRet - Expected return as a decimal

simulate

public java.util.List<SolvedPoint> simulate(cern.colt.matrix.DoubleMatrix1D weights)
Simulates returns for a portfolio with fixed weights.

Parameters:
weights - The weights to use for the various assets
Returns:
List contains a single point