Package tech.nmfin.returns
Class Returns
- java.lang.Object
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- tech.nmfin.returns.Returns
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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.
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Method Summary
All Methods Static Methods Concrete Methods Modifier and Type Method Description static VectorgetMeanReturns(double[][] returns)Computes a vector of mean returns of the input returns (one column for one asset).static VectorgetMeanReturns(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.
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Method Detail
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getReturnsFromPrices
public static double[] getReturnsFromPrices(double[] prices, ReturnsCalculator calc)Computes returns series from prices.- Parameters:
prices- a series of pricescalc- the type of returns calculation- Returns:
- an array of returns
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getPricesFromReturns
public static double[] getPricesFromReturns(double price0, double[] returns, ReturnsCalculator calc)Gets the price series from a return series.- Parameters:
price0- the initial pricereturns- a return seriescalc- a type of returns calculation- Returns:
- the price series
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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 arraycalc- the type of returns calculation- Returns:
- a 2D array of returns
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getReturns
public static double[] getReturns(double[] lastPrices, double[] currentPrices, ReturnsCalculator calc)
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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
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