Package nis.svc.opt.api

Interface ProjectSettings.SecuritySelectionSettings

  • Enclosing interface:
    ProjectSettings
    public static interface ProjectSettings.SecuritySelectionSettings

    • Method Detail

      • priorMean

        Types.PriorMeanType priorMean()
        Return prior mean type. Only relevant when the bayes adjust option is turned on. Possible values are zero or the implied alpha of a chosen portfolio.
        Returns:
        prior mean type.

      • priorMean

        void priorMean​(Types.PriorMeanType value)
        Set prior mean type. Only relevant when the bayes adjust option is turned on. Possible values are zero or the implied alpha of a chosen portfolio.
        Parameters:
        value - prior mean type

      • reshapeCrossSection

        void reshapeCrossSection​(boolean value)
        Set reshapeCrossSection parameter. When "true" alphas are rescaled given the IC parameter.
        Parameters:
        value - reshape cross section option. true when option is turned on; false if not.

      • reshapeCrossSection

        boolean reshapeCrossSection()
        Return reshapeCrossSection parameter. When "true" alphas are rescaled given the IC parameter.
        Returns:
        reshape cross section option. true when option is turned on; false if not.

      • reshapeCrossSectIC

        void reshapeCrossSectIC​(double value)
        Set IC parameter used when the reshape cross section option is turned on.
        Parameters:
        value - information coefficient. correlation between forecasts and returns. reasonable range between .01 and .2

      • reshapeCrossSectIC

        double reshapeCrossSectIC()
        Return IC parameter used when the reshape cross section option is turned on.
        Returns:
        information coefficient.

      • bayesAdjust

        void bayesAdjust​(boolean value)
        Set the bayes adjust parameter. When "true" alphas are rescaled using a bayesean process. This parameter is used in conjunction with the "prior mean", "intensity of prior" and if appropriate "equilibrium portfolio".
        Parameters:
        value - bayes adjust option. true if selected; false if not.

      • bayesAdjust

        boolean bayesAdjust()
        Return the bayes adjust parameter. When "true" alphas are rescaled using a bayesean process. This parameter is used in conjunction with the "prior mean", "intensity of prior" and if appropriate "equilibrium portfolio".
        Returns:
        bayes adjust option. true when option is selected; false if not.

      • bayesAdjustIntensity

        void bayesAdjustIntensity​(int value)
        Set the bayes "intensity of prior" parameter.
        Parameters:
        value - intensity of prior. units are percent. valid values are between 0 and 100. 0 means no weight is given to prior. 100 means only the prior is used.

      • bayesAdjustIntensity

        int bayesAdjustIntensity()
        Return the bayes "intensity of prior" parameter.
        Returns:
        intensity of prior. units are percent. valid values are between 0 and 100. 0 means no weight is given to prior. 100 means only the prior is used.

      • buyList

        default java.lang.String[] buyList()
        Returns an array of asset identifiers in the buy list. The buy list is the list of securities the optimizer is allowed to buy.
        Returns:
        buy list.

      • buyListClear

        void buyListClear()

      • addBuyItem

        void addBuyItem​(java.lang.String id)
        Adds an asset ID to the list of securities that the optimizer is allowed to buy.
        Parameters:
        id - asset id.

      • alphaList

        SettingsTables.ValueRow[] alphaList()
        Returns an array of alpha identifier / value pairs.
        Returns:
        alpha list.

      • alphaListClear

        void alphaListClear()

      • addAlphaItem

        void addAlphaItem​(java.lang.String id,
                  double value)
        Adds an alpha identifier / value pair to the list of assets that have defined alpha values.
        Parameters:
        id - asset id.
        value - alpha value. units are annual percent returns.