Package nis.svc.opt.api
Interface ReportsTables.RiskDecompositionRow
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- Enclosing interface:
- ReportsTables
public static interface ReportsTables.RiskDecompositionRow
the risk decomposition row shows how a contribution to total factor risk is calculated
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Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method Description double
activeExposure()
the active exposure to the factor.double
benchmarkExposure()
the benchmark exposure to the risk factor.java.lang.String
factorName()
the factor name.double
factorVar()
the factor variance reported in the risk modeldouble
portfolioExposure()
the portfolio exposure to the risk factor.double
varContribution()
returns the contribution to total factor variance
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Method Detail
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factorName
java.lang.String factorName()
the factor name.- Returns:
- factor name
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portfolioExposure
double portfolioExposure()
the portfolio exposure to the risk factor. the weighted average of all the portfolio's individual asset exposures to the factor.- Returns:
- portfolio exposure
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benchmarkExposure
double benchmarkExposure()
the benchmark exposure to the risk factor. the weighted average of all the benchmark's individual asset exposures to the factor.- Returns:
- benchmark exposure.
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activeExposure
double activeExposure()
the active exposure to the factor. portfolio exposures minus the benchmark exposures.- Returns:
- active exposure.
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factorVar
double factorVar()
the factor variance reported in the risk model- Returns:
- factor variance
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varContribution
double varContribution()
returns the contribution to total factor variance- Returns:
- contribution to total factor variance
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