Examples of JensenAlphaCalculator

com.opengamma.analytics.financial.riskreward.JensenAlphaCalculator
The Jensen alpha computes the abnormal return of an asset or portfolio over the theoretical expected return i.e. the difference between the average return of the asset and the average return of a benchmark portfolio whose market risk is the same as that of the fund.
The Jensen alpha is defined as: $$ \begin{eqnarray*} \alpha_J = R_i - [R_f + \beta_{iM}(R_M - R_f)] \end{eqnarray*} $$ where $R_i$ is the asset return, $R_f$ is the risk-free rate, $\beta_{iM}$ is the beta of the asset with respect to the market and $R_M$ is the market return.

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

    DoubleTimeSeries<?> marketReturnTS = returnCalculator.evaluate(marketTS.getTimeSeries());
    final DoubleTimeSeries<?>[] series = TimeSeriesIntersector.intersect(assetReturnTS, riskFreeReturnTS, marketReturnTS);
    assetReturnTS = series[0];
    riskFreeReturnTS = series[1];
    marketReturnTS = series[2];
    final JensenAlphaCalculator calculator = getCalculator(constraints.getValues(ValuePropertyNames.EXCESS_RETURN_CALCULATOR));
    final double alpha = calculator.evaluate(assetReturnTS, riskFreeReturnTS, beta, marketReturnTS);
    final ValueProperties resultProperties = getResultProperties(desiredValues.iterator().next());
    return Sets.newHashSet(new ComputedValue(new ValueSpecification(ValueRequirementNames.JENSENS_ALPHA, targetSpec, resultProperties), alpha));
  }

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

    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 JensenAlphaCalculator(excessReturnCalculator, excessReturnCalculator, excessReturnCalculator); //TODO check that they can both be the same
  }

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