Examples with CalendarDateUnit org.ojalgo.type.CalendarDateUnit used on opensource projects

Example 1 with CalendarDateUnit

use of org.ojalgo.type.CalendarDateUnit in project ojAlgo-finance by optimatika.

the class FinanceUtils method makeNormalisedExcessPrice.

/**
 * @param priceSeries A series of prices
 * @param riskFreeInterestRateSeries A series of interest rates (risk free return expressed in %, 5.0
 *        means 5.0% annualized risk free return)
 * @return A sample set of price growth rates adjusted for risk free return
 */
public static CalendarDateSeries<Double> makeNormalisedExcessPrice(final CalendarDateSeries<?> priceSeries, final CalendarDateSeries<?> riskFreeInterestRateSeries) {
    if (priceSeries.size() != riskFreeInterestRateSeries.size()) {
        throw new IllegalArgumentException("The two series must have the same size (number of elements).");
    }
    if (!priceSeries.firstKey().equals(riskFreeInterestRateSeries.firstKey())) {
        throw new IllegalArgumentException("The two series must have the same first key (date or calendar).");
    }
    if (!priceSeries.lastKey().equals(riskFreeInterestRateSeries.lastKey())) {
        throw new IllegalArgumentException("The two series must have the same last key (date or calendar).");
    }
    final long[] tmpDates = priceSeries.getPrimitiveKeys();
    final double[] tmpPrices = priceSeries.asPrimitive().toRawCopy1D();
    final double[] tmpRiskFreeInterestRates = riskFreeInterestRateSeries.asPrimitive().toRawCopy1D();
    final CalendarDateUnit tmpResolution = priceSeries.getResolution();
    final CalendarDateSeries<Double> retVal = new CalendarDateSeries<>(tmpResolution);
    double tmpThisRiskFree, tmpLastRiskFree, tmpAvgRiskFree, tmpRiskFreeGrowthFactor, tmpThisPrice, tmpLastPrice, tmpPriceGrowthFactor, tmpAdjustedPriceGrowthFactor;
    double tmpAggregatedExcessPrice = PrimitiveMath.ONE;
    retVal.put(new CalendarDate(tmpDates[0]), tmpAggregatedExcessPrice);
    for (int i = 1; i < priceSeries.size(); i++) {
        tmpThisRiskFree = tmpRiskFreeInterestRates[i] / PrimitiveMath.HUNDRED;
        tmpLastRiskFree = tmpRiskFreeInterestRates[i - 1] / PrimitiveMath.HUNDRED;
        tmpAvgRiskFree = (tmpThisRiskFree + tmpLastRiskFree) / PrimitiveMath.TWO;
        tmpRiskFreeGrowthFactor = FinanceUtils.toGrowthFactorFromAnnualReturn(tmpAvgRiskFree, tmpResolution);
        tmpThisPrice = tmpPrices[i];
        tmpLastPrice = tmpPrices[i - 1];
        tmpPriceGrowthFactor = tmpThisPrice / tmpLastPrice;
        tmpAdjustedPriceGrowthFactor = tmpPriceGrowthFactor / tmpRiskFreeGrowthFactor;
        tmpAggregatedExcessPrice *= tmpAdjustedPriceGrowthFactor;
        retVal.put(new CalendarDate(tmpDates[i]), tmpAggregatedExcessPrice);
    }
    return retVal.name(priceSeries.getName()).colour(priceSeries.getColour());
}

Example 2 with CalendarDateUnit

use of org.ojalgo.type.CalendarDateUnit in project ojAlgo-finance by optimatika.

the class FinanceUtils method makeExcessGrowthRateSampleSet.

/**
 * @param priceSeries A series of prices
 * @param riskFreeInterestRateSeries A series of interest rates (risk free return expressed in %, 5.0
 *        means 5.0% annualized risk free return)
 * @return A sample set of price growth rates adjusted for risk free return
 */
public static SampleSet makeExcessGrowthRateSampleSet(final CalendarDateSeries<?> priceSeries, final CalendarDateSeries<?> riskFreeInterestRateSeries) {
    if (priceSeries.size() != riskFreeInterestRateSeries.size()) {
        throw new IllegalArgumentException("The two series must have the same size (number of elements).");
    }
    if (!priceSeries.firstKey().equals(riskFreeInterestRateSeries.firstKey())) {
        throw new IllegalArgumentException("The two series must have the same first key (date or calendar).");
    }
    if (!priceSeries.lastKey().equals(riskFreeInterestRateSeries.lastKey())) {
        throw new IllegalArgumentException("The two series must have the same last key (date or calendar).");
    }
    final double[] tmpPrices = priceSeries.asPrimitive().toRawCopy1D();
    final double[] tmpRiskFreeInterestRates = riskFreeInterestRateSeries.asPrimitive().toRawCopy1D();
    final Array1D<Double> retVal = Array1D.PRIMITIVE64.makeZero(tmpPrices.length - 1);
    final CalendarDateUnit tmpUnit = priceSeries.getResolution();
    double tmpThisRiskFree, tmpNextRiskFree, tmpAvgRiskFree, tmpRiskFreeGrowthRate, tmpThisPrice, tmpNextPrice, tmpPriceGrowthFactor, tmpPriceGrowthRate, tmpAdjustedPriceGrowthRate;
    for (int i = 0; i < retVal.size(); i++) {
        tmpThisRiskFree = tmpRiskFreeInterestRates[i] / PrimitiveMath.HUNDRED;
        tmpNextRiskFree = tmpRiskFreeInterestRates[i + 1] / PrimitiveMath.HUNDRED;
        tmpAvgRiskFree = (tmpThisRiskFree + tmpNextRiskFree) / PrimitiveMath.TWO;
        tmpRiskFreeGrowthRate = FinanceUtils.toGrowthRateFromAnnualReturn(tmpAvgRiskFree, tmpUnit);
        tmpThisPrice = tmpPrices[i];
        tmpNextPrice = tmpPrices[i + 1];
        tmpPriceGrowthFactor = tmpNextPrice / tmpThisPrice;
        tmpPriceGrowthRate = PrimitiveFunction.LOG.invoke(tmpPriceGrowthFactor);
        tmpAdjustedPriceGrowthRate = tmpPriceGrowthRate - tmpRiskFreeGrowthRate;
        retVal.set(i, tmpAdjustedPriceGrowthRate);
    }
    return SampleSet.wrap(retVal);
}

Example 3 with CalendarDateUnit

use of org.ojalgo.type.CalendarDateUnit in project ojAlgo-finance by optimatika.

the class FinanceUtils method makeCovarianceMatrix.

/**
 * @param listOfTimeSeries An ordered collection of time series
 * @param mayBeMissingValues Individual series may be missing some values - try to fix this or not
 * @return Annualised covariances
 */
public static <N extends Number> PrimitiveMatrix makeCovarianceMatrix(final List<CalendarDateSeries<N>> listOfTimeSeries, final boolean mayBeMissingValues) {
    final int tmpSize = listOfTimeSeries.size();
    final CoordinationSet<N> tmpUncoordinated = new CoordinationSet<>(listOfTimeSeries);
    final CalendarDateUnit tmpDataResolution = tmpUncoordinated.getResolution();
    if (mayBeMissingValues) {
        tmpUncoordinated.complete();
    }
    final CoordinationSet<N> tmpCoordinated = tmpUncoordinated.prune(tmpDataResolution);
    final Builder<PrimitiveMatrix> tmpMatrixBuilder = PrimitiveMatrix.FACTORY.getBuilder(tmpSize, tmpSize);
    final double tmpToYearFactor = (double) CalendarDateUnit.YEAR.size() / (double) tmpDataResolution.size();
    SampleSet tmpSampleSet;
    final SampleSet[] tmpSampleSets = new SampleSet[tmpSize];
    for (int j = 0; j < tmpSize; j++) {
        final PrimitiveSeries tmpPrimitiveSeries = tmpCoordinated.get(listOfTimeSeries.get(j).getName()).asPrimitive();
        tmpSampleSet = SampleSet.wrap(tmpPrimitiveSeries.quotients().log().toDataSeries());
        tmpMatrixBuilder.set(j, j, tmpToYearFactor * tmpSampleSet.getVariance());
        for (int i = 0; i < j; i++) {
            final double tmpCovariance = tmpToYearFactor * tmpSampleSets[i].getCovariance(tmpSampleSet);
            tmpMatrixBuilder.set(i, j, tmpCovariance);
            tmpMatrixBuilder.set(j, i, tmpCovariance);
        }
        tmpSampleSets[j] = tmpSampleSet;
    }
    return tmpMatrixBuilder.get();
}

Example 4 with CalendarDateUnit

use of org.ojalgo.type.CalendarDateUnit in project ojAlgo by optimatika.

the class SeriesForecaster method invoke.

@Override
public Map<String, Access1D<?>> invoke(final CalendarDate... key) {
    final CalendarDate tmpLastKey = this.getLastKey();
    final CalendarDateUnit tmpResolution = this.getResolution();
    final CalendarDateDuration[] tmpHorizon = new CalendarDateDuration[key.length];
    for (int h = 0; h < tmpHorizon.length; h++) {
        final double tmpMeassure = tmpResolution.count(tmpLastKey.millis, key[h].millis);
        tmpHorizon[h] = new CalendarDateDuration(tmpMeassure, tmpResolution);
    }
    return this.invoke(tmpHorizon);
}