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

Package com.opengamma.analytics.financial.riskreward

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

com.opengamma.analytics.financial.riskreward.TreynorRatioCalculator
The Treynor ratio is a measure of the excess return with respect to the risk-free rate per unit of systematic risk. The systematic risk is the beta of the asset or portfolio with respect to the asset.
The Treynor ratio is defined as: $$ \begin{eqnarray*} T = \frac{R_i - R_f}{\beta_i} \end{eqnarray*} $$ where $R_i$ is the asset return, $R_f$ is the risk-free return and $\beta_i$ is the portfolio's beta.

    DoubleTimeSeries<?> assetReturnTS = ((DoubleTimeSeries<?>) assetPnLObject).divide(fairValue);
    DoubleTimeSeries<?> riskFreeReturnTS = riskFreeRateTSObject.getTimeSeries().divide(100 * DAYS_PER_YEAR);
    DoubleTimeSeries<?>[] series = TimeSeriesIntersector.intersect(riskFreeReturnTS, assetReturnTS);
    riskFreeReturnTS = series[0];
    assetReturnTS = series[1];
    final TreynorRatioCalculator calculator = getCalculator(constraints.getValues(ValuePropertyNames.EXCESS_RETURN_CALCULATOR));
    final double ratio = calculator.evaluate(assetReturnTS, riskFreeReturnTS, beta);
    final ValueProperties resultProperties = getResultProperties(desiredValues.iterator().next());
    return Sets.newHashSet(new ComputedValue(new ValueSpecification(ValueRequirementNames.TREYNOR_RATIO, targetSpec, resultProperties), ratio));
  }

View Full Code Here

    if (excessReturnCalculatorNames == null || excessReturnCalculatorNames.isEmpty() || excessReturnCalculatorNames.size() != 1) {
      throw new OpenGammaRuntimeException("Missing or non-unique excess return calculator name: " + excessReturnCalculatorNames);
    }
    final Function<double[], Double> expectedExcessReturnCalculator = StatisticsCalculatorFactory.getCalculator(excessReturnCalculatorNames.iterator().next());
    final DoubleTimeSeriesStatisticsCalculator excessReturnCalculator = new DoubleTimeSeriesStatisticsCalculator(expectedExcessReturnCalculator);
    return new TreynorRatioCalculator(excessReturnCalculator, excessReturnCalculator); //TODO check that they can both be the same
  }

View Full Code Here

TOP

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

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

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.