Package nis.svc.opt.api

Interface ProjectReports.OptimizationSummaryReport

  • Enclosing interface:
    ProjectReports
    public static interface ProjectReports.OptimizationSummaryReport
    The Optimization Summary Report is where the summary results from the optimization are compiled. Here You'll find a information on the factor and asset specific returns and variances, tracking error, and utility.

    • Method Detail

      • stockReturn

        double stockReturn()
        returns the asset specific return for the portfolio.
        Returns:
        annualized portfolio asset specific return.

      • stockRisk

        double stockRisk()
        returns the annualized asset specific variance.
        Returns:
        annualized asset specific variance.

      • factorReturn

        double factorReturn()
        returns the annualized factor return for the portfolio.
        Returns:
        annualized portfolio factor return

      • factorRisk

        double factorRisk()
        returns the annualized factor variance for the portfolio.
        Returns:

      • totalReturn

        double totalReturn()
        returns the total annualized return of the portfolio. the sum of asset specific and factor return.
        Returns:
        total annualized portfolio return.

      • totalRisk

        double totalRisk()
        returns the total annualized variance of the portfolio. the sum of asset specific and factor variances.
        Returns:
        total annualized portfolio variance

      • trackingError

        double trackingError()
        returns the annualized tracking error. sqrt(total portfolio variance)
        Returns:
        total annualized tracking error.

      • utility

        double utility()
        returns the value of the portfolio utility as per the objective function.
        Returns:
        utility

      • activeRisk

        double activeRisk()
        returns active risk
        Returns:
        activeRisk

      • liquidityAdjTrackingErrorCalc

        double liquidityAdjTrackingErrorCalc()

      • liquidityAdjActiveRiskCalc

        double liquidityAdjActiveRiskCalc()

      • liquidityAdjAbsoluteRiskCalc

        double liquidityAdjAbsoluteRiskCalc()

      • liquidityAdjTrackingErrorVAR

        double liquidityAdjTrackingErrorVAR()

      • liquidityAdjActiveRiskVAR

        double liquidityAdjActiveRiskVAR()

      • liquidityAdjAbsoluteRiskVAR

        double liquidityAdjAbsoluteRiskVAR()

      • setData

        void setData​(double stockReturn,
             double stockRisk,
             double factorReturn,
             double factorRisk,
             double totalReturn,
             double totalRisk,
             double trackingError,
             double utility,
             double activeRisk,
             double liquidityAdjTrackingErrorCalc,
             double liquidityAdjActiveRiskCalc,
             double liquidityAdjAbsoluteRiskCalc,
             double liquidityAdjTrackingErrorVAR,
             double liquidityAdjActiveRiskVAR,
             double liquidityAdjAbsoluteRiskVAR)