Class ComponentVar.Allocation

java.lang.Object
com.quantfinlib.risk.ComponentVar.Allocation
Enclosing class:
ComponentVar
public static final class ComponentVar.Allocation extends Object

  • Constructor Details

    • Allocation

      public Allocation(double portfolioVar, double[] components, double[] marginals)
      Creates the value; array and collection arguments are copied.
      Parameters:
      portfolioVar - total delta-normal VaR (positive)
      components - per-position component VaR; sums exactly to portfolioVar; hedges are negative
      marginals - per-position marginal VaR (z · (Σw)_i / σ_p)

  • Method Details

    • portfolioVar

      public double portfolioVar()
      portfolioVar (total delta-normal VaR (positive)).

    • components

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

    • componentsLength

      public int componentsLength()
      Length of components.

    • componentsCopy

      public double[] componentsCopy()
      A fresh copy of components.

    • marginals

      public double marginals(int i)
      Element i of marginals (per-position marginal VaR (z · (Σw)_i / σ_p)).

    • marginalsLength

      public int marginalsLength()
      Length of marginals.

    • marginalsCopy

      public double[] marginalsCopy()
      A fresh copy of marginals.

    • 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