Package com.opengamma.analytics.financial.riskreward

Examples of com.opengamma.analytics.financial.riskreward.TotalRiskAlphaCalculator.evaluate()

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    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));
  }

  @Override
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