Package nis.svc.opt.api

Interface ProjectSettings.EstimationErrorAdjustments

  • Enclosing interface:
    ProjectSettings
    public static interface ProjectSettings.EstimationErrorAdjustments

    • Field Summary

      Fields 
      Modifier and Type Field Description
      static java.lang.String TABLE  

    • Method Summary

      All Methods Instance Methods Abstract Methods 
      Modifier and Type Method Description
      boolean bayesReturnCovariance()
      returns the bayes stein shrinkage option status.
      void bayesReturnCovariance​(boolean value)
      sets the bayes stein shrinkage option
      boolean blendCovariance()
      returns the blend covariance option state.
      void blendCovariance​(boolean value)
      sets the blend covariance option state.
      double constantCorrelation()
      returns the percentage of the blended covariance matrix that will target a constant correlation matrix.
      void constantCorrelation​(double value)
      sets the percentage of the blended covariance matrix that will target a constant correlation matrix.
      double constantCovariance()
      returns the percentage of the blended covariance matrix that will target a constant covariance matrix.
      void constantCovariance​(double value)
      sets the percentage of the blended covariance matrix that will target a constant covariance matrix.
      double original()
      returns the percentage of the blended covariance matrix that will target the original covariance matrix calculated from the risk model.
      void original​(double value)
      sets the percentage of the blended covariance matrix that will target the original covariance matrix calculated from the risk model.
      double returnShrinkage()
      returns the return shrinkage coefficient.
      void returnShrinkage​(double value)
      set the return shrinkage coefficient.
      double singleIndex()
      returns the percentage of the blended covariance matrix that will target a single index covariance matrix.
      void singleIndex​(double value)
      sets the percentage of the blended covariance matrix that will target a single index covariance matrix.

    • Method Detail

      • bayesReturnCovariance

        boolean bayesReturnCovariance()
        returns the bayes stein shrinkage option status. shrinks the user alphas using the alphas implied by the risk model.
        Returns:
        true for on; false for off

      • bayesReturnCovariance

        void bayesReturnCovariance​(boolean value)
        sets the bayes stein shrinkage option
        Parameters:
        value - true for on; false for off.

      • returnShrinkage

        double returnShrinkage()
        returns the return shrinkage coefficient. a scaling variable for the bayes stein shrinkage. units are percent valid values between 0 and 100.
        Returns:
        the return shrinkage. units are percent.

      • returnShrinkage

        void returnShrinkage​(double value)
        set the return shrinkage coefficient. a scaling variable for the bayes stein shrinkage. units are percent. values between 0 and 100
        Parameters:
        value - return shrinkage coefficient.

      • blendCovariance

        boolean blendCovariance()
        returns the blend covariance option state. blend covariance allows one to shrink the covariance matrix by blending the original covariance matrix with 3 other lower vol sources. as with any weighted average the weights should add to 100%
        Returns:
        true for on; false for off

      • blendCovariance

        void blendCovariance​(boolean value)
        sets the blend covariance option state. blend covariance allows one to shrink the covariance matrix by blending the original covariance matrix with 3 other lower vol sources. as with any weighted average the weights should add to 100%
        Parameters:
        value - true of on; false for off.

      • singleIndex

        double singleIndex()
        returns the percentage of the blended covariance matrix that will target a single index covariance matrix. This is a risk model calculated on the fly - calculating a market beta. the market is defined by the assets in the investment universe plus benchmark.
        Returns:
        percentage single index target

      • singleIndex

        void singleIndex​(double value)
        sets the percentage of the blended covariance matrix that will target a single index covariance matrix. This is a risk model calculated on the fly - calculating a market beta. the market is defined by the assets in the investment universe plus benchmark.
        Parameters:
        value - percentage single index target

      • constantCorrelation

        double constantCorrelation()
        returns the percentage of the blended covariance matrix that will target a constant correlation matrix. this is a correlation matrix where every node is set to the average of all pairwise asset correlations.
        Returns:
        percentage constant correlation target

      • constantCorrelation

        void constantCorrelation​(double value)
        sets the percentage of the blended covariance matrix that will target a constant correlation matrix. this is a correlation matrix where every node is set to the average of all pairwise asset correlations.
        Parameters:
        value - percentage constant correlation target

      • constantCovariance

        double constantCovariance()
        returns the percentage of the blended covariance matrix that will target a constant covariance matrix. this is a covariance matrix where every node is set to the average of all pairwise asset covariances.
        Returns:
        percentage constant covariance target

      • constantCovariance

        void constantCovariance​(double value)
        sets the percentage of the blended covariance matrix that will target a constant covariance matrix. this is a covariance matrix where every node is set to the average of all pairwise asset covariances.
        Parameters:
        value - percentage constant covariance target

      • original

        double original()
        returns the percentage of the blended covariance matrix that will target the original covariance matrix calculated from the risk model.
        Returns:
        percentage original covariance target

      • original

        void original​(double value)
        sets the percentage of the blended covariance matrix that will target the original covariance matrix calculated from the risk model.
        Parameters:
        value - percentage original covariance target