Examples of CAPMBetaCalculator

Examples of com.opengamma.analytics.financial.equity.capm.CAPMBetaCalculator

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    DoubleTimeSeries<?> marketReturn = returnCalculator.evaluate(marketTSObject.getTimeSeries());
    DoubleTimeSeries<?> assetReturn = assetPnL.divide(fairValue);
    DoubleTimeSeries<?>[] series = TimeSeriesIntersector.intersect(assetReturn, marketReturn);
    assetReturn = series[0];
    marketReturn = series[1];
    final CAPMBetaCalculator calculator = getBetaCalculator(constraints.getValues(ValuePropertyNames.COVARIANCE_CALCULATOR),
        constraints.getValues(ValuePropertyNames.VARIANCE_CALCULATOR));
    final double beta = calculator.evaluate(assetReturn, marketReturn);
    return Sets.newHashSet(new ComputedValue(new ValueSpecification(ValueRequirementNames.CAPM_BETA, target.toSpecification(), resultProperties), beta));
  }
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Examples of com.opengamma.analytics.financial.equity.capm.CAPMBetaCalculator

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    }
    final DoubleTimeSeriesStatisticsCalculator covarianceCalculator =
        new DoubleTimeSeriesStatisticsCalculator(StatisticsCalculatorFactory.getCalculator(covarianceCalculatorNames.iterator().next()));
    final DoubleTimeSeriesStatisticsCalculator varianceCalculator =
        new DoubleTimeSeriesStatisticsCalculator(StatisticsCalculatorFactory.getCalculator(varianceCalculatorNames.iterator().next()));
    return new CAPMBetaCalculator(covarianceCalculator, varianceCalculator);
  }
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