Class BlackLitterman.Posterior

java.lang.Object
com.quantfinlib.optimization.BlackLitterman.Posterior
Enclosing class:
BlackLitterman
public static final class BlackLitterman.Posterior extends Object
Posterior mean, posterior covariance of the mean M, and Σ + M.

  • Constructor Details

    • Posterior

      public Posterior(double[] mean, double[][] meanCovariance, double[][] returnCovariance)
      Creates the value; array and collection arguments are copied.

  • Method Details

    • mean

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

    • meanLength

      public int meanLength()
      Length of mean.

    • meanCopy

      public double[] meanCopy()
      A fresh copy of mean.

    • meanCovariance

      public double meanCovariance(int i, int j)
      Element [i][j] of meanCovariance.

    • meanCovarianceRows

      public int meanCovarianceRows()
      Number of rows of meanCovariance.

    • meanCovarianceCopy

      public double[][] meanCovarianceCopy()
      A deep copy of meanCovariance.

    • returnCovariance

      public double returnCovariance(int i, int j)
      Element [i][j] of returnCovariance.

    • returnCovarianceRows

      public int returnCovarianceRows()
      Number of rows of returnCovariance.

    • returnCovarianceCopy

      public double[][] returnCovarianceCopy()
      A deep copy of returnCovariance.

    • 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