Package nis.svc.opt.api

Interface ReportsTables.SecurityMarginalContributionRow

  • Enclosing interface:
    ReportsTables
    public static interface ReportsTables.SecurityMarginalContributionRow

    • Method Summary

      All Methods Instance Methods Abstract Methods 
      Modifier and Type Method Description
      double ActWt()
      active weight of the asset.
      java.lang.String id()
      the asset id
      double ImplRet()
      implied return of the asset given the initial weight and the risk model
      double MA()
      the asset marginal alpha
      double MFactV()
      asset marginal factor variance
      double MPen()
      marginal value of quadratic penalties in the objective function
      double MResidV()
      marginal asset specific variance
      double MSect()
      marginal value of sector group penalties in the objective function
      double MTBuy()
      the asset marginal transaction cost to buy
      double MTSell()
      the asset marginal transaction cost to sell
      double MuBuy()
      asset marginal utility to buy
      double MUInd()
      the marginal value of the penalties associated with industry exposure of the asses, where industries are those used by the grouping scheme defined in the industry sector attributes settings - not the risk model
      double MuSell()
      asset marginal utility to sell
      double MV()
      asset marginal variance
      java.lang.String name()
      the asset name

    • Method Detail

      • id

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

      • name

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

      • MA

        double MA()
        the asset marginal alpha
        Returns:
        marginal alpha

      • MTBuy

        double MTBuy()
        the asset marginal transaction cost to buy
        Returns:
        marginal transaction cost to buy

      • MTSell

        double MTSell()
        the asset marginal transaction cost to sell
        Returns:
        marginal transaction cost to sell

      • MUInd

        double MUInd()
        the marginal value of the penalties associated with industry exposure of the asses, where industries are those used by the grouping scheme defined in the industry sector attributes settings - not the risk model
        Returns:
        marginal value of industry exposure

      • MV

        double MV()
        asset marginal variance
        Returns:
        marginal variance

      • MuBuy

        double MuBuy()
        asset marginal utility to buy
        Returns:
        marginal utility to buy

      • MuSell

        double MuSell()
        asset marginal utility to sell
        Returns:
        marginal utility to sell

      • MFactV

        double MFactV()
        asset marginal factor variance
        Returns:
        marginal factor variance

      • MResidV

        double MResidV()
        marginal asset specific variance
        Returns:
        marginal asset specific variance

      • MSect

        double MSect()
        marginal value of sector group penalties in the objective function
        Returns:
        marginal sector value

      • MPen

        double MPen()
        marginal value of quadratic penalties in the objective function
        Returns:
        marginal quadratic penalty

      • ActWt

        double ActWt()
        active weight of the asset. portfolio weight minus benchmark.
        Returns:
        active weight in percent

      • ImplRet

        double ImplRet()
        implied return of the asset given the initial weight and the risk model
        Returns:
        implied asset return