Class PortfolioRiskAnalyzer.RiskReport

java.lang.Object

com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport

Enclosing class:

PortfolioRiskAnalyzer

public static final class PortfolioRiskAnalyzer.RiskReport
extends Object

Full risk report. Volatilities are annualized; VaR/CVaR are per-period positive loss fractions (VaR the interpolated historical quantile, CVaR the Acerbi-Tasche tail mean of TailRisk); risk contributions sum to 1. The constructor copies the return matrix and requires equal-length, finite rows.

Constructor Summary

Constructors

Constructor	Description
RiskReport(double annualizedVolatility, double valueAtRisk, double conditionalValueAtRisk, double parametricVaR, double sharpeRatio, Map<String,Double> exposures, Map<String,Double> assetVolatilities, Map<String,Double> assetVaR, Map<String,Double> riskContributions, double[][] correlationMatrix)	Creates the value; array and collection arguments are copied.

Method Summary

Modifier and Type	Method	Description
double	annualizedVolatility()	annualizedVolatility.
Map<String,Double>	assetVaR()	assetVaR.
Map<String,Double>	assetVolatilities()	assetVolatilities.
double	conditionalValueAtRisk()	conditionalValueAtRisk.
double	correlationMatrix(int i, int j)	Element [i][j] of correlationMatrix.
double[][]	correlationMatrixCopy()	A deep copy of correlationMatrix.
int	correlationMatrixRows()	Number of rows of correlationMatrix.
boolean	equals(Object other)
Map<String,Double>	exposures()	exposures.
int	hashCode()
double	parametricVaR()	parametricVaR.
Map<String,Double>	riskContributions()	riskContributions.
double	sharpeRatio()	sharpeRatio.
String	toString()
double	valueAtRisk()	valueAtRisk.

Methods inherited from class Object

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

Constructor Details

RiskReport

public RiskReport(double annualizedVolatility,
 double valueAtRisk,
 double conditionalValueAtRisk,
 double parametricVaR,
 double sharpeRatio,
 Map<String,Double> exposures,
 Map<String,Double> assetVolatilities,
 Map<String,Double> assetVaR,
 Map<String,Double> riskContributions,
 double[][] correlationMatrix)

Creates the value; array and collection arguments are copied.

Method Details

annualizedVolatility

public double annualizedVolatility()

annualizedVolatility.

valueAtRisk

public double valueAtRisk()

valueAtRisk.

conditionalValueAtRisk

public double conditionalValueAtRisk()

conditionalValueAtRisk.

parametricVaR

public double parametricVaR()

parametricVaR.

sharpeRatio

public double sharpeRatio()

sharpeRatio.

exposures

public Map<String,Double> exposures()

exposures.

assetVolatilities

public Map<String,Double> assetVolatilities()

assetVolatilities.

assetVaR

public Map<String,Double> assetVaR()

assetVaR.

riskContributions

public Map<String,Double> riskContributions()

riskContributions.

correlationMatrix

public double correlationMatrix(int i,
 int j)

Element [i][j] of correlationMatrix.

correlationMatrixRows

public int correlationMatrixRows()

Number of rows of correlationMatrix.

correlationMatrixCopy

public double[][] correlationMatrixCopy()

A deep copy of correlationMatrix.

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