Package nis.svc.opt.api

Interface ProjectTables.SecurityRow

  • Enclosing interface:
    ProjectTables
    public static interface ProjectTables.SecurityRow
    This holds the security main table data. the main table is an array of these objects

    • Method Summary

      All Methods Instance Methods Abstract Methods 
      Modifier and Type Method Description
      double alpha()
      the asset expected return.
      boolean benchFlag()
      membership in benchmark flat
      double benchWt()
      asset weight in benchmark
      boolean buyFlag()
      asset membership in buy list
      java.lang.String id()
      asset ID
      java.lang.String indID()
      the asset industry identifier
      double initShares()
      number of asset initial portfolio shares
      double initWt()
      asset initial portfolio weight
      double maxWt()
      the maximum asset portfolio weight constraint
      double minTS()  
      double minWt()
      the minimum asset portfolio weight constraint
      double muBuy()
      marginal utility to buy.
      double muSell()
      marginal utility to sell.
      double mv()
      marginal variance.
      java.lang.String name()
      asset name
      double optShares()
      the number of asset optimal portfolio shares
      double optWt()
      asset weight in the optimal portfolio
      boolean portFlag()
      the portfolio flag
      double price()
      asset price.
      double resid()
      asset specific risk
      double transBuy()
      the transaction cost value to buy the asset.
      double transSell()
      the transaction cost value to sell the asset.

    • Method Detail

      • id

        java.lang.String id()
        asset ID
        Returns:
        asset ID

      • name

        java.lang.String name()
        asset name
        Returns:
        asset name

      • portFlag

        boolean portFlag()
        the portfolio flag
        Returns:
        port flag. true if the security is a member of the portfolio; false if not.

      • initShares

        double initShares()
        number of asset initial portfolio shares
        Returns:
        initial shares

      • initWt

        double initWt()
        asset initial portfolio weight
        Returns:
        initial portfolio weight in percent

      • optShares

        double optShares()
        the number of asset optimal portfolio shares
        Returns:
        optimal shares

      • optWt

        double optWt()
        asset weight in the optimal portfolio
        Returns:
        optimal portfolio weight in percent

      • minTS

        double minTS()
        Returns:

      • buyFlag

        boolean buyFlag()
        asset membership in buy list
        Returns:
        buy flag. true if asset is in the buy list; false if not.

      • benchFlag

        boolean benchFlag()
        membership in benchmark flat
        Returns:
        bench flag. true if asset is in the benchmark, false if not.

      • benchWt

        double benchWt()
        asset weight in benchmark
        Returns:
        benchmark weight in percent.

      • minWt

        double minWt()
        the minimum asset portfolio weight constraint
        Returns:
        min constraint in percent

      • maxWt

        double maxWt()
        the maximum asset portfolio weight constraint
        Returns:
        max constraint in percent

      • alpha

        double alpha()
        the asset expected return.
        Returns:
        alpha in annualized percent

      • transBuy

        double transBuy()
        the transaction cost value to buy the asset. units depend on transaction cost type.
        Returns:
        trans cost to buy

      • transSell

        double transSell()
        the transaction cost value to sell the asset. units depend on transaction cost type.
        Returns:
        trans cost to sell

      • indID

        java.lang.String indID()
        the asset industry identifier
        Returns:
        industry id

      • price

        double price()
        asset price. units are base currency.
        Returns:
        price

      • muSell

        double muSell()
        marginal utility to sell. the derivative of the objective function with respect to selling the security
        Returns:
        marginal utility to sell

      • muBuy

        double muBuy()
        marginal utility to buy. the derivative of the objective function with respect to buying the security
        Returns:
        marginal utility to buy

      • mv

        double mv()
        marginal variance. the derivative of the risk term of the objective function with respect to the security
        Returns:
        marginal variance.

      • resid

        double resid()
        asset specific risk
        Returns:
        asset specific risk in monthly percent