Module ojalgo

Package org.ojalgo.data.domain.finance.portfolio.simulator

Class PortfolioSimulator

java.lang.Object

org.ojalgo.data.domain.finance.portfolio.simulator.PortfolioSimulator

public class PortfolioSimulator
extends Object

Constructor Summary

Constructors

Constructor	Description
PortfolioSimulator(Access2D<?> correlations, List<GeometricBrownianMotion> assetProcesses)

Method Summary

Modifier and Type	Method	Description
RandomProcess.SimulationResults	simulate(int aNumberOfRealisations, int aNumberOfSteps, double aStepSize)
RandomProcess.SimulationResults	simulate(int aNumberOfRealisations, int aNumberOfSteps, double aStepSize, int rebalancingInterval)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

PortfolioSimulator

public PortfolioSimulator(Access2D<?> correlations,
 List<GeometricBrownianMotion> assetProcesses)

Method Details

simulate

public RandomProcess.SimulationResults simulate(int aNumberOfRealisations,
 int aNumberOfSteps,
 double aStepSize)

simulate

public RandomProcess.SimulationResults simulate(int aNumberOfRealisations,
 int aNumberOfSteps,
 double aStepSize,
 int rebalancingInterval)