public final class Returns extends Object
| 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.
|
public static double[] getReturnsFromPrices(double[] prices,
ReturnsCalculator calc)
prices - a series of pricescalc - the type of returns calculationpublic static double[] getPricesFromReturns(double price0,
double[] returns,
ReturnsCalculator calc)
price0 - the initial pricereturns - a return seriescalc - a type of returns calculationpublic static double[][] getVectorReturnsFromPrices(double[][] prices,
ReturnsCalculator calc)
prices - the price arraycalc - the type of returns calculationpublic static double[] getReturns(double[] lastPrices,
double[] currentPrices,
ReturnsCalculator calc)
public static Vector getMeanReturns(double[][] returns)
returns - the returnsCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.