Examples of TotalRiskAlphaCalculator

    DoubleTimeSeries<?> riskFreeReturnTS = ((DoubleTimeSeries<?>) riskFreeTSObject.getTimeSeries()).divide(DAYS_PER_YEAR * 100);
    DoubleTimeSeries<?>[] series = TimeSeriesIntersector.intersect(assetReturnTS, marketReturnTS, riskFreeReturnTS);
    assetReturnTS = series[0];
    marketReturnTS = series[1];
    riskFreeReturnTS = series[2];
    final TotalRiskAlphaCalculator calculator = getCalculator(constraints.getValues(ValuePropertyNames.MEAN_CALCULATOR),
        constraints.getValues(ValuePropertyNames.STD_DEV_CALCULATOR));
    final double tra = calculator.evaluate(assetReturnTS, riskFreeReturnTS, marketReturnTS);
    final ValueProperties resultProperties = getResultProperties(desiredValues.iterator().next());
    return Sets.newHashSet(new ComputedValue(new ValueSpecification(ValueRequirementNames.TOTAL_RISK_ALPHA, targetSpec, resultProperties), tra));
  }

    }
    final DoubleTimeSeriesStatisticsCalculator expectedReturnCalculator =
        new DoubleTimeSeriesStatisticsCalculator(StatisticsCalculatorFactory.getCalculator(expectedReturnCalculatorNames.iterator().next()));
    final DoubleTimeSeriesStatisticsCalculator stdDevCalculator =
        new DoubleTimeSeriesStatisticsCalculator(StatisticsCalculatorFactory.getCalculator(stdDevCalculatorNames.iterator().next()));
    return new TotalRiskAlphaCalculator(expectedReturnCalculator, expectedReturnCalculator, expectedReturnCalculator, stdDevCalculator, stdDevCalculator);
  }

Examples of TotalRiskAlphaCalculator

Examples of com.opengamma.analytics.financial.riskreward.TotalRiskAlphaCalculator

Examples of com.opengamma.analytics.financial.riskreward.TotalRiskAlphaCalculator