Class PairsHedger.PairsAnalysis

java.lang.Object
com.quantfinlib.hedging.PairsHedger.PairsAnalysis
Enclosing class:
PairsHedger
public static final class PairsHedger.PairsAnalysis extends Object

  • Constructor Summary

    Constructors
    Constructor
    Description
    PairsAnalysis(double hedgeRatio, double intercept, double correlation, double halfLifeBars, double lastZScore, double[] spread)
    Creates the value; array and collection arguments are copied.

  • Method Summary

    Modifier and Type
    Method
    Description
    double
    correlation()
    correlation (return correlation of the pair).
    boolean
    equals(Object other)
     
    double
    halfLifeBars()
    halfLifeBars (mean-reversion half-life (+INF if not mean-reverting)).
    int
    hashCode()
     
    double
    hedgeRatio()
    hedgeRatio (units of B per unit of A (OLS beta)).
    double
    intercept()
    intercept.
    double
    lastZScore()
    lastZScore (current spread z-score).
    double
    spread(int i)
    Element i of spread.
    double[]
    spreadCopy()
    A fresh copy of spread.
    int
    spreadLength()
    Length of spread.
    String
    toString()
     

    Methods inherited from class Object

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

  • Constructor Details

    • PairsAnalysis

      public PairsAnalysis(double hedgeRatio, double intercept, double correlation, double halfLifeBars, double lastZScore, double[] spread)
      Creates the value; array and collection arguments are copied.
      Parameters:
      hedgeRatio - units of B per unit of A (OLS beta)
      correlation - return correlation of the pair
      halfLifeBars - mean-reversion half-life (+INF if not mean-reverting)
      lastZScore - current spread z-score

  • Method Details

    • hedgeRatio

      public double hedgeRatio()
      hedgeRatio (units of B per unit of A (OLS beta)).

    • intercept

      public double intercept()
      intercept.

    • correlation

      public double correlation()
      correlation (return correlation of the pair).

    • halfLifeBars

      public double halfLifeBars()
      halfLifeBars (mean-reversion half-life (+INF if not mean-reverting)).

    • lastZScore

      public double lastZScore()
      lastZScore (current spread z-score).

    • spread

      public double spread(int i)
      Element i of spread.

    • spreadLength

      public int spreadLength()
      Length of spread.

    • spreadCopy

      public double[] spreadCopy()
      A fresh copy of spread.

    • equals

      public boolean equals(Object other)
      Overrides:
      equals in class Object

    • hashCode

      public int hashCode()
      Overrides:
      hashCode in class Object

    • toString

      public String toString()
      Overrides:
      toString in class Object