Package nis.svc.opt.api

Interface ProjectSettings.ModelSettings

Enclosing interface:

ProjectSettings

public static interface ProjectSettings.ModelSettings

Field Summary

Fields

Modifier and Type	Field	Description
static java.lang.String	GENERIC	GENERIC is the default model type if not set.
static java.lang.String	GENERICX

Method Summary

Modifier and Type	Method	Description
SettingsTables.ExposureRow	addExposure(java.lang.String securityId, java.lang.String name, java.lang.String industryId, double price, double residualRisk, double issuedShares, double[] exposures)	adds an exposure object to the list of exposures in the risk model.
void	addFactor(java.lang.String id, java.lang.String name, java.lang.String description, double variance, int number)	adds a factor data object to the list of factors.
void	clear()
double[][]	correlations()	returns the correlation matrix as a two dimensional array of doubles
boolean	enableOSD()	Returns whether the OSD feature is enabled.
void	enableOSD(boolean yesNo)	Enables the OSD feature.
SettingsTables.ExposureRow[]	exposures()	returns an array of exposure objects.
SettingsTables.FactorRow[]	factors()	returns an array of factor data objects.
void	setCorrelations(double[][] correlations)	sets the correlation matrix.
void	setExposures(java.lang.String[] securityIds, java.lang.String[] names, java.lang.String[] industryIds, double[] prices, double[] residualRisks, double[] issuedShares, double[][] exposures)	sets the list of exposures in the risk model.
void	setFactors(java.lang.String[] ids, java.lang.String[] names, java.lang.String[] descriptions, double[] variances, int[] numbers)	sets the list of factor data objects.
java.lang.String	type()	Get the model type.
void	type(java.lang.String type)	Set the name of the model.

Field Detail

GENERIC

static final java.lang.String GENERIC

GENERIC is the default model type if not set.

See Also:

Constant Field Values

GENERICX

static final java.lang.String GENERICX

See Also:

Constant Field Values

Method Detail

type

void type(java.lang.String type)

Set the name of the model.

Parameters:

name -

type

java.lang.String type()

Get the model type.

Parameters:

name -

enableOSD

void enableOSD(boolean yesNo)

Enables the OSD feature.

Parameters:

yesNo -

enableOSD

boolean enableOSD()

Returns whether the OSD feature is enabled. Set to false by default.

Returns:

true if enableOSD has been set to true; false otherwise.

factors

SettingsTables.FactorRow[] factors()

returns an array of factor data objects. factor data parameters are id, name, description, variance and the number of the column in the data file. the "number" variable will always be 7 + the index of the factor array starting at 0. so the first factor row "number" will be 7 and so on...

Returns:

factors.

addFactor

void addFactor(java.lang.String id,
               java.lang.String name,
               java.lang.String description,
               double variance,
               int number)

adds a factor data object to the list of factors. factor data parameters are id, name, description, variance and the number of the column in the data file. the "number" variable will always be 7 + the index of the factor array starting at 0. so the first factor row "number" will be 7 and so on...

Parameters:

id - factor id

name - factor name

description - factor description

variance - factor variance. units are in in monthly variance.

number - factor column index in exposures record.

setFactors

void setFactors(java.lang.String[] ids,
                java.lang.String[] names,
                java.lang.String[] descriptions,
                double[] variances,
                int[] numbers)

sets the list of factor data objects. creates a factor data object for every index of the parameterized arrays. factor data parameters are id, name, description, variance and the number of the column in the data file. the "number" variable will always be 7 + the index of the factor array starting at 0. so the first factor row "number" will be 7 and so on...

Parameters:

ids - factor ids.

names - factor names.

descriptions - factor descriptions.

variances - factor variances.

numbers - factor column indices in exposures record

correlations

double[][] correlations()

returns the correlation matrix as a two dimensional array of doubles

Returns:

correlation matrix.

setCorrelations

void setCorrelations(double[][] correlations)

sets the correlation matrix. takes a two dimensional matrix of doubles containing the correlation matrix as a parameter

Parameters:

correlations - correlation matrix

exposures

SettingsTables.ExposureRow[] exposures()

returns an array of exposure objects. exposure object members are: security ID, security name, security industry, security price, security residual risk, security shares outstanding, and an array of exposures the length of the number of factors in the risk model

Returns:

exposures records.

addExposure

SettingsTables.ExposureRow addExposure(java.lang.String securityId,
                                       java.lang.String name,
                                       java.lang.String industryId,
                                       double price,
                                       double residualRisk,
                                       double issuedShares,
                                       double[] exposures)

adds an exposure object to the list of exposures in the risk model. exposure object members are: security ID, security name, security industry, security price, security residual risk, security shares outstanding, and an array of exposures the length of the number of factors in the risk model

Parameters:

securityId - asset id.

name - asset name.

industryId - asset industry id.

price - asset price.

residualRisk - asset residual risk. units are in ANNUALIZED stdev. mult by sqrt(12) if monthly.

issuedShares - asset shares outstanding.

exposures - risk model exposures.

setExposures

void setExposures(java.lang.String[] securityIds,
                  java.lang.String[] names,
                  java.lang.String[] industryIds,
                  double[] prices,
                  double[] residualRisks,
                  double[] issuedShares,
                  double[][] exposures)

sets the list of exposures in the risk model. creates an exposure object for each index in the parameterized arrays. exposure object members are: security ID, security name, security industry, security price, security residual risk, security shares outstanding, and an array of exposures the length of the number of factors in the risk model

Parameters:

securityIds - asset ids.

names - asset names.

industryIds - asset industry ids.

prices - asset prices.

residualRisks - asset residual risks. units are in ANNUALIZED stedv. mult my sqrt(12) if monthly.

issuedShares - asset shares outstanding(s)

exposures - risk model exposures.

clear

void clear()