Record Class ComponentVar.Allocation

java.lang.Object
java.lang.Record
com.quantfinlib.risk.ComponentVar.Allocation
Record Components:
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)
Enclosing class:
ComponentVar
public static record ComponentVar.Allocation(double portfolioVar, double[] components, double[] marginals) extends Record

  • Constructor Summary

    Constructors
    Constructor
    Description
    Allocation(double portfolioVar, double[] components, double[] marginals)
    Creates an instance of a Allocation record class.

  • Method Summary

    Modifier and Type
    Method
    Description
    double[]
    components()
    Returns the value of the components record component.
    final boolean
    equals(Object o)
    Indicates whether some other object is "equal to" this one.
    final int
    hashCode()
    Returns a hash code value for this object.
    double[]
    marginals()
    Returns the value of the marginals record component.
    double
    portfolioVar()
    Returns the value of the portfolioVar record component.
    final String
    toString()
    Returns a string representation of this record class.

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • Allocation

      public Allocation(double portfolioVar, double[] components, double[] marginals)
      Creates an instance of a Allocation record class.
      Parameters:
      portfolioVar - the value for the portfolioVar record component
      components - the value for the components record component
      marginals - the value for the marginals record component

  • Method Details

    • toString

      public final String toString()
      Returns a string representation of this record class. The representation contains the name of the class, followed by the name and value of each of the record components.
      Specified by:
      toString in class Record
      Returns:
      a string representation of this object

    • hashCode

      public final int hashCode()
      Returns a hash code value for this object. The value is derived from the hash code of each of the record components.
      Specified by:
      hashCode in class Record
      Returns:
      a hash code value for this object

    • equals

      public final boolean equals(Object o)
      Indicates whether some other object is "equal to" this one. The objects are equal if the other object is of the same class and if all the record components are equal. Reference components are compared with Objects::equals(Object,Object); primitive components are compared with the compare method from their corresponding wrapper classes.
      Specified by:
      equals in class Record
      Parameters:
      o - the object with which to compare
      Returns:
      true if this object is the same as the o argument; false otherwise.

    • portfolioVar

      public double portfolioVar()
      Returns the value of the portfolioVar record component.
      Returns:
      the value of the portfolioVar record component

    • components

      public double[] components()
      Returns the value of the components record component.
      Returns:
      the value of the components record component

    • marginals

      public double[] marginals()
      Returns the value of the marginals record component.
      Returns:
      the value of the marginals record component