Examples of com.opengamma.analytics.financial.riskreward.TotalRiskAlphaCalculator

Package com.opengamma.analytics.financial.riskreward

Examples of com.opengamma.analytics.financial.riskreward.TotalRiskAlphaCalculator

com.opengamma.analytics.financial.riskreward.TotalRiskAlphaCalculator
The total risk alpha measures the performance of an asset by comparing its returns with those of a benchmark portfolio. The benchmark portfolio represents the market risk matched to the total risk of the fund.
The total risk alpha is given by: $$ \begin{eqnarray*} TRA_i = R_i - \left(R_f + \frac{\mu_M - R_f}{\sigma_M}\sigma_i\right) \end{eqnarray*} $$ where $R_i$ is the asset return, $R_f$ is the risk-free return, $\mu_M$ is the market return, $\sigma_M$ is the standard deviation of market returns and $\sigma_i$ is the standard deviation of the asset returns.

    DoubleTimeSeries<?> riskFreeReturnTS = ((DoubleTimeSeries<?>) riskFreeTSObject.getTimeSeries()).divide(DAYS_PER_YEAR * 100);
    DoubleTimeSeries<?>[] series = TimeSeriesIntersector.intersect(assetReturnTS, marketReturnTS, riskFreeReturnTS);
    assetReturnTS = series[0];
    marketReturnTS = series[1];
    riskFreeReturnTS = series[2];
    final TotalRiskAlphaCalculator calculator = getCalculator(constraints.getValues(ValuePropertyNames.MEAN_CALCULATOR),
        constraints.getValues(ValuePropertyNames.STD_DEV_CALCULATOR));
    final double tra = calculator.evaluate(assetReturnTS, riskFreeReturnTS, marketReturnTS);
    final ValueProperties resultProperties = getResultProperties(desiredValues.iterator().next());
    return Sets.newHashSet(new ComputedValue(new ValueSpecification(ValueRequirementNames.TOTAL_RISK_ALPHA, targetSpec, resultProperties), tra));
  }

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    }
    final DoubleTimeSeriesStatisticsCalculator expectedReturnCalculator =
        new DoubleTimeSeriesStatisticsCalculator(StatisticsCalculatorFactory.getCalculator(expectedReturnCalculatorNames.iterator().next()));
    final DoubleTimeSeriesStatisticsCalculator stdDevCalculator =
        new DoubleTimeSeriesStatisticsCalculator(StatisticsCalculatorFactory.getCalculator(stdDevCalculatorNames.iterator().next()));
    return new TotalRiskAlphaCalculator(expectedReturnCalculator, expectedReturnCalculator, expectedReturnCalculator, stdDevCalculator, stdDevCalculator);
  }

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Related Classes of com.opengamma.analytics.financial.riskreward.TotalRiskAlphaCalculator

com.opengamma.financial.analytics.model.equity.portfoliotheory.TotalRiskAlphaFunction

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