Class TradingPair
- java.lang.Object
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- tech.nmfin.meanreversion.cointegration.TradingPair
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public class TradingPair extends Object
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Constructor Summary
Constructors Constructor Description TradingPair(String symbol1, String symbol2, Vector price1, Vector price2, double beta)
Constructs a related pair for trading, e.g., cointegrated pair.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
beta()
double
cor(double tailed)
double
mean()
Computes the sample mean of the in-sample spread.Vector
spread()
S = A - bBdouble
stdev()
Gets the stdev of the spread.double
stdev(double tailed)
Gets the stdev of the last % portion in the spread.String
symbol1()
String
symbol2()
String
toString()
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Constructor Detail
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TradingPair
public TradingPair(String symbol1, String symbol2, Vector price1, Vector price2, double beta)
Constructs a related pair for trading, e.g., cointegrated pair.- Parameters:
symbol1
- symbol for the first assetsymbol2
- symbol for the second assetprice1
- price for the first assetprice2
- price for the second assetbeta
- the (e.g., cointegrated) beta to form a spread
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Method Detail
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symbol1
public String symbol1()
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symbol2
public String symbol2()
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beta
public double beta()
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spread
public Vector spread()
S = A - bB- Returns:
- the spread
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mean
public double mean()
Computes the sample mean of the in-sample spread.- Returns:
- the sample mean of the spread
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stdev
public double stdev(double tailed)
Gets the stdev of the last % portion in the spread.- Parameters:
tailed
- the last % portion in the data- Returns:
- the standard deviation
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stdev
public double stdev()
Gets the stdev of the spread.- Returns:
- the standard deviation
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cor
public double cor(double tailed)
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