Record Class AlphaCombiner.Settings

java.lang.Object

java.lang.Record

com.quantfinlib.alpha.AlphaCombiner.Settings

Record Components:

horizon - holding horizon H in bars (≥ 1)

icHalfLife - half-life of the date weights, in IC dates (> 0)

shrinkToEqual - δ in [0, 1]

step - bars between IC dates (≥ 1)

orthogonalize - apply per-date Gram-Schmidt

Enclosing class:

AlphaCombiner

public static record AlphaCombiner.Settings(int horizon, double icHalfLife, double shrinkToEqual, int step, boolean orthogonalize)
extends Record

Combination settings.

Constructor Summary

Constructors

Constructor	Description
Settings(int horizon, double icHalfLife, double shrinkToEqual, int step, boolean orthogonalize)	Creates an instance of a Settings record class.

Method Summary

Modifier and Type	Method	Description
final boolean	equals(Object o)	Indicates whether some other object is "equal to" this one.
final int	hashCode()	Returns a hash code value for this object.
int	horizon()	Returns the value of the horizon record component.
double	icHalfLife()	Returns the value of the icHalfLife record component.
static AlphaCombiner.Settings	of(int horizon)	Orthogonalised, no shrinkage, flat date weights, one IC date per bar.
boolean	orthogonalize()	Returns the value of the orthogonalize record component.
double	shrinkToEqual()	Returns the value of the shrinkToEqual record component.
int	step()	Returns the value of the step record component.
final String	toString()	Returns a string representation of this record class.
AlphaCombiner.Settings	withIcHalfLife(double dates)
AlphaCombiner.Settings	withOrthogonalize(boolean on)
AlphaCombiner.Settings	withShrinkToEqual(double delta)

Methods inherited from class Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Constructor Details

Settings

public Settings(int horizon,
 double icHalfLife,
 double shrinkToEqual,
 int step,
 boolean orthogonalize)

Creates an instance of a Settings record class.

Parameters:

horizon - the value for the horizon record component

icHalfLife - the value for the icHalfLife record component

shrinkToEqual - the value for the shrinkToEqual record component

step - the value for the step record component

orthogonalize - the value for the orthogonalize record component

Method Details

of

public static AlphaCombiner.Settings of(int horizon)

Orthogonalised, no shrinkage, flat date weights, one IC date per bar.

withShrinkToEqual

public AlphaCombiner.Settings withShrinkToEqual(double delta)

withIcHalfLife

public AlphaCombiner.Settings withIcHalfLife(double dates)

withOrthogonalize

public AlphaCombiner.Settings withOrthogonalize(boolean on)

toString

public final String toString()

Returns a string representation of this record class. The representation contains the name of the class, followed by the name and value of each of the record components.

Specified by:

toString in class Record

Returns:

a string representation of this object

hashCode

public final int hashCode()

Returns a hash code value for this object. The value is derived from the hash code of each of the record components.

Specified by:

hashCode in class Record

Returns:

a hash code value for this object

equals

public final boolean equals(Object o)

Indicates whether some other object is "equal to" this one. The objects are equal if the other object is of the same class and if all the record components are equal. All components in this record class are compared with the compare method from their corresponding wrapper classes.

Specified by:

equals in class Record

Parameters:

o - the object with which to compare

Returns:

true if this object is the same as the o argument; false otherwise.

horizon

public int horizon()

Returns the value of the horizon record component.

Returns:

the value of the horizon record component

icHalfLife

public double icHalfLife()

Returns the value of the icHalfLife record component.

Returns:

the value of the icHalfLife record component

shrinkToEqual

public double shrinkToEqual()

Returns the value of the shrinkToEqual record component.

Returns:

the value of the shrinkToEqual record component

step

public int step()

Returns the value of the step record component.

Returns:

the value of the step record component

orthogonalize

public boolean orthogonalize()

Returns the value of the orthogonalize record component.

Returns:

the value of the orthogonalize record component