Class PortfolioRiskAnalyzer

java.lang.Object

com.quantfinlib.risk.PortfolioRiskAnalyzer

public final class PortfolioRiskAnalyzer
extends Object

Portfolio-level risk engine: portfolio VaR/CVaR/volatility, asset-level risk, exposure analysis, correlation analysis, and risk decomposition (marginal contribution to risk).

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final class	PortfolioRiskAnalyzer.RiskReport	Full risk report.

Constructor Summary

Constructors

Constructor	Description
PortfolioRiskAnalyzer(String[] symbols, double[][] assetReturns, double[] weights)

Method Summary

Modifier and Type	Method	Description
PortfolioRiskAnalyzer.RiskReport	analyze(double confidence, int periodsPerYear)	analyze(double, int, double) with a zero risk-free rate.
PortfolioRiskAnalyzer.RiskReport	analyze(double confidence, int periodsPerYear, double riskFreeRate)	Computes the risk report.
double[]	portfolioReturns()	Weighted portfolio return series.
Map<String,Double>	riskContributions(double[][] covariance)	Risk decomposition: each asset's fractional contribution to total portfolio variance (w_i * (Cov·w)_i / (w'·Cov·w)).

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

PortfolioRiskAnalyzer

public PortfolioRiskAnalyzer(String[] symbols,
 double[][] assetReturns,
 double[] weights)

Method Details

portfolioReturns

public double[] portfolioReturns()

Weighted portfolio return series.

analyze

public PortfolioRiskAnalyzer.RiskReport analyze(double confidence,
 int periodsPerYear)

analyze(double, int, double) with a zero risk-free rate.

analyze

public PortfolioRiskAnalyzer.RiskReport analyze(double confidence,
 int periodsPerYear,
 double riskFreeRate)

Computes the risk report.

Parameters:

riskFreeRate - annual risk-free rate used in the Sharpe ratio

riskContributions

public Map<String,Double> riskContributions(double[][] covariance)

Risk decomposition: each asset's fractional contribution to total portfolio variance (w_i * (Cov·w)_i / (w'·Cov·w)). Contributions sum to 1 for a non-degenerate portfolio.