Package nis.svc.opt.api

Interface ProjectSettings.ModelSettings

  • Enclosing interface:
    ProjectSettings
    public static interface ProjectSettings.ModelSettings

    • Method Summary

      All Methods Instance Methods Abstract Methods 
      Modifier and Type Method Description
      void addExposure​(java.lang.String securityId, java.lang.String name, java.lang.String industryId, double price, double residualRisk, double issuedShares, double[] exposures, java.lang.String assetType, java.lang.String currencyCode, java.lang.Double totalRisk, java.lang.String issuer1, java.lang.String issuer2, java.lang.Double s, java.lang.Double k)
      Adds EE issuer and skew/kurtosis value to an exposure record for a security id.
      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.

    • Method Detail

      • 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.

      • 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

        void addExposure​(java.lang.String securityId,
                 java.lang.String name,
                 java.lang.String industryId,
                 double price,
                 double residualRisk,
                 double issuedShares,
                 double[] exposures,
                 java.lang.String assetType,
                 java.lang.String currencyCode,
                 java.lang.Double totalRisk,
                 java.lang.String issuer1,
                 java.lang.String issuer2,
                 java.lang.Double s,
                 java.lang.Double k)
        Adds EE issuer and skew/kurtosis value to an exposure record for a security id.
        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.
        assetType - ee field; can be null.
        currencyCode - ee field; can be null.
        totalRisk - asset total risk; can be null.
        issuer1 - issuer id; can be null.
        issuer2 - issuer id; can be null.
        s - s value; can be null.
        k - k value; can be null.

      • clear

        void clear()