tech.nmfin.returns

Class Returns

java.lang.Object

tech.nmfin.returns.Returns

public final class Returns
extends Object

Contains utility methods related to returns computation. We avoid the class name 'ReturnsUtils' because that is already used in AQ.

Method Summary

Modifier and Type	Method and Description
static Vector	getMeanReturns(double[][] returns) Computes a vector of mean returns of the input returns (one column for one asset).
static Vector	getMeanReturns(Matrix returns) Computes a vector of mean returns of the input returns (one column for one asset).
static double[]	getPricesFromReturns(double price0, double[] returns, ReturnsCalculator calc) Gets the price series from a return series.
static double[]	getReturns(double[] lastPrices, double[] currentPrices, ReturnsCalculator calc)
static double[]	getReturnsFromPrices(double[] prices, ReturnsCalculator calc) Computes returns series from prices.
static double[][]	getVectorReturnsFromPrices(double[][] prices, ReturnsCalculator calc) Computes returns for a 2D array of prices (one column for one asset), with the given ReturnsCalculator.

Methods inherited from class java.lang.Object

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

Method Detail

getReturnsFromPrices

public static double[] getReturnsFromPrices(double[] prices,
                                            ReturnsCalculator calc)

Computes returns series from prices.

Parameters:

prices - a series of prices

calc - the type of returns calculation

Returns:

an array of returns

getPricesFromReturns

public static double[] getPricesFromReturns(double price0,
                                            double[] returns,
                                            ReturnsCalculator calc)

Gets the price series from a return series.

Parameters:

price0 - the initial price

returns - a return series

calc - a type of returns calculation

Returns:

the price series

getVectorReturnsFromPrices

public static double[][] getVectorReturnsFromPrices(double[][] prices,
                                                    ReturnsCalculator calc)

Computes returns for a 2D array of prices (one column for one asset), with the given ReturnsCalculator.

Parameters:

prices - the price array

calc - the type of returns calculation

Returns:

a 2D array of returns

getReturns

public static double[] getReturns(double[] lastPrices,
                                  double[] currentPrices,
                                  ReturnsCalculator calc)

getMeanReturns

public static Vector getMeanReturns(double[][] returns)

Computes a vector of mean returns of the input returns (one column for one asset).

Parameters:

returns - the returns

Returns:

the mean returns

getMeanReturns

public static Vector getMeanReturns(Matrix returns)

Computes a vector of mean returns of the input returns (one column for one asset).

Parameters:

returns - the returns

Returns:

the mean returns