Examples with SimplePortfolio org.ojalgo.finance.portfolio.SimplePortfolio used on opensource projects

Example 1 with SimplePortfolio

use of org.ojalgo.finance.portfolio.SimplePortfolio in project ojAlgo-finance by optimatika.

the class PortfolioSimulator method simulate.

RandomProcess.SimulationResults simulate(final int aNumberOfRealisations, final int aNumberOfSteps, final double aStepSize, final Integer rebalancingInterval) {
    final int tmpProcDim = myProcess.size();
    final Primitive64Array tmpInitialValues = myProcess.getValues();
    final Number[] tmpValues = new Number[tmpProcDim];
    for (int p = 0; p < tmpProcDim; p++) {
        tmpValues[p] = tmpInitialValues.get(p);
    }
    final List<BigDecimal> tmpWeights = new SimplePortfolio(tmpValues).normalise().getWeights();
    final Array2D<Double> tmpRealisationValues = Array2D.PRIMITIVE64.makeZero(aNumberOfRealisations, aNumberOfSteps);
    for (int r = 0; r < aNumberOfRealisations; r++) {
        for (int s = 0; s < aNumberOfSteps; s++) {
            if ((rebalancingInterval != null) && (s != 0) && ((s % rebalancingInterval) == 0)) {
                final double tmpPortfolioValue = tmpRealisationValues.doubleValue(r, s - 1);
                for (int p = 0; p < tmpProcDim; p++) {
                    myProcess.setValue(p, tmpPortfolioValue * tmpWeights.get(p).doubleValue());
                }
            }
            final Array1D<Double> tmpRealisation = myProcess.step(aStepSize);
            final AggregatorFunction<Double> tmpAggregator = Aggregator.SUM.getFunction(PrimitiveAggregator.getSet());
            tmpRealisation.visitAll(tmpAggregator);
            tmpRealisationValues.set(r, s, tmpAggregator.doubleValue());
        }
        myProcess.setValues(tmpInitialValues);
    }
    final AggregatorFunction<Double> tmpAggregator = Aggregator.SUM.getFunction(PrimitiveAggregator.getSet());
    for (int i = 0; i < tmpInitialValues.count(); i++) {
        tmpAggregator.invoke(tmpInitialValues.doubleValue(i));
    }
    return new RandomProcess.SimulationResults(tmpAggregator.doubleValue(), tmpRealisationValues);
}

Example 2 with SimplePortfolio

use of org.ojalgo.finance.portfolio.SimplePortfolio in project ojAlgo-finance by optimatika.

the class MultidimensionalSimulatorTest method testFirstSebCase.

@Test
@Disabled("")
public void testFirstSebCase() {
    final double[][] tmpCorrelations = new double[][] { { 1.0, 4.818910644591628E-4, -0.2073732878173141, -0.2570196357409301, -0.2288355302753617, -0.06622162366629052, 0.9995107173168294, 0.046413002772051466, -0.12638463146425086, -0.2648581058359268, 4.818910644591628E-4, 4.818910644591628E-4, -0.29110060025606405 }, { 4.818910644591628E-4, 1.0, 0.459704102653577, 0.2329848867647044, 0.23359911839446348, 0.11034865213357695, -0.002148308071200791, 0.8083204130337523, 0.6830967821186095, 0.17092481883773306, 0.9999999999999998, 0.9999999999999998, 0.2925123800699666 }, { -0.2073732878173141, 0.459704102653577, 1.0, 0.7585942105977437, 0.14228262696178093, 0.5130036221887934, -0.2048824527435123, 0.47369514919913946, 0.630006642104428, 0.7794685675266949, 0.459704102653577, 0.459704102653577, 0.7797230267924377 }, { -0.2570196357409301, 0.2329848867647044, 0.7585942105977437, 1.0, 0.2294679179627081, 0.5813548671560165, -0.251176272641125, 0.2475578563281484, 0.479933038682869, 0.7547291944708587, 0.2329848867647044, 0.2329848867647044, 0.7207853187826451 }, { -0.2288355302753617, 0.23359911839446348, 0.14228262696178093, 0.2294679179627081, 1.0, 0.12516536864601804, -0.22826962916119573, 0.09519884606443976, 0.16127241385122823, 0.0491830417531641, 0.23359911839446348, 0.23359911839446348, 0.2435934037819271 }, { -0.06622162366629052, 0.11034865213357695, 0.5130036221887934, 0.5813548671560165, 0.12516536864601804, 1.0, -0.06058984018995384, 0.25378533722183977, 0.4263094459271189, 0.4452448648949314, 0.11034865213357695, 0.11034865213357695, 0.446149304907719 }, { 0.9995107173168294, -0.002148308071200791, -0.2048824527435123, -0.251176272641125, -0.22826962916119573, -0.06058984018995384, 1.0, 0.047186248486568036, -0.12334626779914706, -0.25844839422106985, -0.002148308071200791, -0.002148308071200791, -0.28615035938713 }, { 0.046413002772051466, 0.8083204130337523, 0.47369514919913946, 0.2475578563281484, 0.09519884606443976, 0.25378533722183977, 0.047186248486568036, 1.0, 0.912889061689689, 0.18323667580229164, 0.8083204130337523, 0.8083204130337523, 0.3003301609236652 }, { -0.12638463146425086, 0.6830967821186095, 0.630006642104428, 0.479933038682869, 0.16127241385122823, 0.4263094459271189, -0.12334626779914706, 0.912889061689689, 1.0, 0.40349072682174353, 0.6830967821186095, 0.6830967821186095, 0.5463500182343711 }, { -0.2648581058359268, 0.17092481883773306, 0.7794685675266949, 0.7547291944708587, 0.0491830417531641, 0.4452448648949314, -0.25844839422106985, 0.18323667580229164, 0.40349072682174353, 1.0, 0.17092481883773306, 0.17092481883773306, 0.7175346866777632 }, { 4.818910644591628E-4, 0.9999999999999998, 0.459704102653577, 0.2329848867647044, 0.23359911839446348, 0.11034865213357695, -0.002148308071200791, 0.8083204130337523, 0.6830967821186095, 0.17092481883773306, 1.0, 0.9999999999999998, 0.2925123800699666 }, { 4.818910644591628E-4, 0.9999999999999998, 0.459704102653577, 0.2329848867647044, 0.23359911839446348, 0.11034865213357695, -0.002148308071200791, 0.8083204130337523, 0.6830967821186095, 0.17092481883773306, 0.9999999999999998, 1.0, 0.2925123800699666 }, { -0.29110060025606405, 0.2925123800699666, 0.7797230267924377, 0.7207853187826451, 0.2435934037819271, 0.446149304907719, -0.28615035938713, 0.3003301609236652, 0.5463500182343711, 0.7175346866777632, 0.2925123800699666, 0.2925123800699666, 1.0 } };
    final Access2D<Double> tmpCorrMtrx = Access2D.wrap(tmpCorrelations);
    final double[] tmpReturns = new double[] { 0.04582240030511955, 0.05556513020194605, 0.0075608287398083035, 0.026401783542103284, 0.019107275479030267, 0.026634284056767113, 0.049130046880785455, 0.05093391949085686, 0.06147942284537679, 0.04847598428157901, 0.05556513020194605, 0.05556513020194605, 0.08771127352045523 };
    final double[] tmpRisks = new double[] { 0.023052170765191896, 0.10976390274674515, 0.1491910905975412, 0.2591842059403274, 0.22991874940262647, 0.1673146496232647, 0.02771164170051353, 0.1088216213067869, 0.12277592098780352, 0.22070588630919719, 0.10976390274674515, 0.10976390274674515, 0.24176577517424258 };
    final ArrayList<SimpleAsset> tmpAssets = new ArrayList<>(tmpReturns.length);
    for (int i = 0; i < tmpReturns.length; i++) {
        final double tmpMeanReturn = tmpReturns[i];
        final double tmpVolatility = tmpRisks[i];
        final double tmpWeight = 1.0 / tmpReturns.length;
        final SimpleAsset tmpSimpleAsset = new SimpleAsset(tmpMeanReturn, tmpVolatility, tmpWeight);
        tmpAssets.add(tmpSimpleAsset);
    }
    final SimplePortfolio tmpPortfolio = new SimplePortfolio(tmpCorrMtrx, tmpAssets);
    final GeometricBrownianMotion tmpProcess = tmpPortfolio.forecast();
    final PortfolioSimulator tmpSimulator = tmpPortfolio.getSimulator();
    final int tmpNumberOfRealisations = 9999;
    final int tmpNumberOfSteps = 12 * 5;
    final double tmpStepSize = 1.0 / 12.0;
    final SimulationResults tmpProcResults = tmpProcess.simulate(tmpNumberOfRealisations, tmpNumberOfSteps, tmpStepSize);
    final SimulationResults tmpSimResults1 = tmpSimulator.simulate(tmpNumberOfRealisations, tmpNumberOfSteps, tmpStepSize);
    final SimulationResults tmpSimResults2 = tmpSimulator.simulate(tmpNumberOfRealisations, tmpNumberOfSteps, tmpStepSize, 1);
    if (DEBUG) {
        for (int t = 0; t < tmpNumberOfSteps; t++) {
            BasicLogger.debug("t={}\n\tproc={}\n\tsim1={}\n\tsim2={}", (t + 1), tmpProcResults.getSampleSet(t), tmpSimResults1.getSampleSet(t), tmpSimResults2.getSampleSet(t));
        }
    }
}