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WebCab.Libraries.Finance.Portfolio
AboveException Class
AboveException Members
AboveException Constructor
AssetParameters Class
AssetParameters Members
AssetParameters Constructor
Methods
AbsoluteToRelative Method
Covariance Method
Covariance Method (Double[], Double[])
Covariance Method (Double[], Double[], Double[])
CovarianceMatrix Method
CovarianceMatrix Method (Double[], Double[][])
CovarianceMatrix Method (Double[][])
ExpectedReturn Method
ExpectedReturn Method (Double[])
ExpectedReturn Method (Double[], Double[])
ExpectedReturns Method
IntermediateValue Method
PortfolioExpectedReturn Method
PortfolioRisk Method
PortfolioVariance Method
RelativeToAbsolute Method
Transpose Method
Volatility Method
Volatility Method (Double[])
Volatility Method (Double[], Double[])
BelowException Class
BelowException Members
BelowException Constructor
CapitalMarket Class
CapitalMarket Members
CapitalMarket Constructor
Methods
CalculateEfficientFrontier Method
CalculateEfficientFrontier Method (Double, Double, Double[][], Double[], Int32, Double)
CalculateEfficientFrontier Method (Double[][], Double[], Int32, Double)
GetEfficientFrontierAssetWeights Method
GetEfficientFrontierExpectedReturns Method
GetEfficientFrontierPortfolioRisks Method
GetLowerConstraints Method
GetPointsOnEfficientFrontier Method
GetUpperConstraints Method
MarketPortfolio Method
MarketPortfolio Method (Double, Double, Double[][], Double)
MarketPortfolio Method (Double[][], Double[], Double)
MarketPortfolioExpectedReturn Method
MarketPortfolioExpectedReturn Method (Double[], Double[][])
MarketPortfolioExpectedReturn Method (Double[][], Double[], Double, Double)
MarketPortfolioRisk Method
MarketPortfolioRisk Method (Double[], Double[][])
MarketPortfolioRisk Method (Double[][], Double[], Double, Double)
MaxFrontierReturn Method
MaxFrontierReturnWeights Method
MinFrontierReturn Method
MinFrontierReturnWeights Method
ReturnCML Method
RiskCML Method
SetConstraints Method
Weight2Risk Method
WeightCML Method
CholeskyDecomposition Class
CholeskyDecomposition Members
CholeskyDecomposition Constructor
Properties
L Property
SPD Property
Methods
solve Method
EasyOptimal Class
EasyOptimal Members
EasyOptimal Constructor
Methods
CapmReturn Method
CapmRisk Method
MarkowitzReturn Method
MarkowitzRisk Method
MarkowitzUtility Method
EfficientFrontierNotCalculatedException Class
EfficientFrontierNotCalculatedException Members
EfficientFrontierNotCalculatedException Constructor
EigenvalueDecomposition Class
EigenvalueDecomposition Members
EigenvalueDecomposition Constructor
Properties
D Property
ImagEigenvalues Property
RealEigenvalues Property
V Property
Interpolation Class
Interpolation Members
Interpolation Constructor
Methods
CoefficientsInterpolatingPolynomial Method
CoefficientsInterpolatingPolynomialStable Method
CubicSpline2ndDifferential Method
CubicSplinePointwise Method
CubicSplinePointwisePreEvaluation Method
InterpolateExtrapolatePolynomial Method
InterpolationException Class
InterpolationException Members
InterpolationException Constructor
InterpolationException Constructor ()
InterpolationException Constructor (String)
InterpolationException Constructor (Exception)
InterpolationException Constructor (String, Exception)
LUDecomposition Class
LUDecomposition Members
LUDecomposition Constructor
Properties
DoublePivot Property
L Property
Nonsingular Property
Pivot Property
U Property
Methods
det Method
solve Method
Markowitz Class
Markowitz Members
Markowitz Constructor
Methods
CalculateEfficientFrontier Method
CalculateEfficientFrontier Method (Double, Double, Double[][], Double[], Int32, Double)
CalculateEfficientFrontier Method (Double[][], Double[], Int32, Double)
CovarianceMatrix Method
CovarianceMatrix Method (Double[], Double[][])
CovarianceMatrix Method (Double[][])
EfficientFrontier Method
EfficientFrontier Method (Double, Double[][], Double[], Double)
EfficientFrontier Method (Double, Int32)
ExpectedReturns Method
ExpectedReturns Method (Double[], Double[][])
ExpectedReturns Method (Double[][])
GetEfficientFrontierAssetWeights Method
GetEfficientFrontierExpectedReturns Method
GetEfficientFrontierPortfolioRisks Method
GetLowerConstraints Method
GetPointsOnEfficientFrontier Method
GetUpperConstraints Method
MaxFrontierReturn Method
MaxFrontierReturnWeights Method
MinFrontierReturn Method
MinFrontierReturnWeights Method
OptimalPortfolio Method
OptimalPortfolio Method (Double, Double, Double[][])
OptimalPortfolio Method (Double[][], Double[])
OptimalPortfolioMaxExpected Method
PortfolioRisk Method
PortfolioVariance Method
SetConstraints Method
SetEfficientFrontier Method
SetUtilityFunctionInterp Method
SetUtilityFunctionPoly Method
Maths Class
Maths Members
Maths Constructor
Methods
hypot Method
Matrix Class
Matrix Members
Matrix Constructor
Matrix Constructor (Int32, Int32)
Matrix Constructor (Int32, Int32, Double)
Matrix Constructor (Double[][])
Matrix Constructor (Double[][], Int32, Int32)
Matrix Constructor (Double[], Int32)
Properties
ArrayCopy Property
ColumnPackedCopy Property
RowPackedCopy Property
Methods
arrayLeftDivide Method
arrayLeftDivideEquals Method
arrayRightDivide Method
arrayRightDivideEquals Method
arrayTimes Method
arrayTimesEquals Method
chol Method
Clone Method
cond Method
constructWithCopy Method
copy Method
det Method
eig Method
get Method
getArray Method
getColumnDimension Method
getMatrix Method
getMatrix Method (Int32, Int32, Int32, Int32)
getMatrix Method (Int32, Int32, Int32[])
getMatrix Method (Int32[], Int32, Int32)
getMatrix Method (Int32[], Int32[])
getRowDimension Method
identity Method
inverse Method
lu Method
mergeColumns Method
mergeRows Method
minus Method
minusEquals Method
norm1 Method
norm2 Method
normF Method
normInf Method
plus Method
plusEquals Method
qr Method
random Method
rank Method
set Method
setMatrix Method
setMatrix Method (Int32, Int32, Int32, Int32, Matrix)
setMatrix Method (Int32, Int32, Int32[], Matrix)
setMatrix Method (Int32[], Int32, Int32, Matrix)
setMatrix Method (Int32[], Int32[], Matrix)
solve Method
solveTranspose Method
svd Method
times Method
times Method (Double)
times Method (Matrix)
timesEquals Method
trace Method
transpose Method
uminus Method
NoSolutionException Class
NoSolutionException Members
NoSolutionException Constructor
OptionsConstants Class
OptionsConstants Members
OptionsConstants Constructor
Fields
ANNUAL_DAY_COUNT_252 Field
ANNUAL_DAY_COUNT_360 Field
ANNUAL_DAY_COUNT_365 Field
OptionsException Class
OptionsException Members
OptionsException Constructor
OptionsException Constructor ()
OptionsException Constructor (String)
OptionsException Constructor (Exception)
PerformanceEvaluation Class
PerformanceEvaluation Members
PerformanceEvaluation Constructor
Methods
GeometricMeanReturn Method
PortfolioReturn Method
SharpesRatio Method
TotalReturn Method
TreynorsMeasure Method
PointsOnEfficientFrontier Class
PointsOnEfficientFrontier Members
PointsOnEfficientFrontier Constructor
Fields
assetWeights Field
expectedReturns Field
Methods
getExpectedReturn Method
getNumberOfPoints Method
PortfolioException Class
PortfolioException Members
PortfolioException Constructor
PortfolioException Constructor ()
PortfolioException Constructor (String)
QRDecomposition Class
QRDecomposition Members
QRDecomposition Constructor
Properties
FullRank Property
H Property
Q Property
R Property
Methods
solve Method
ReferencedServiceException Class
ReferencedServiceException Members
ReferencedServiceException Constructor
ReferencedServiceException Constructor ()
ReferencedServiceException Constructor (String)
ReferencedServiceException Constructor (String, Exception)
SingularValueDecomposition Class
SingularValueDecomposition Members
SingularValueDecomposition Constructor
Methods
cond Method
getS Method
getSingularValues Method
getU Method
getV Method
norm2 Method
rank Method
SolveFrontier Class
SolveFrontier Members
SolveFrontier Constructor
Methods
FindReturn Method
FindReturn Method (Double, Double[], Double[])
FindReturn Method (Double[], Double[], Double[], Double[], Double)
FindRisk Method
FindRisk Method (Double, Double[], Double[])
FindRisk Method (Double[], Double[], Double[], Double[], Double)
SolveFrontierException Class
SolveFrontierException Members
SolveFrontierException Constructor
TooManyPortfoliosException Class
TooManyPortfoliosException Members
TooManyPortfoliosException Constructor
TwoAssetPortfolio Class
TwoAssetPortfolio Members
TwoAssetPortfolio Constructor
Methods
CorrelationCoef Method
Covariance Method
Covariance Method (Double[], Double[])
Covariance Method (Double[], Double[], Double[])
Portfolio2Return Method
Portfolio2Risk Method
Portfolio2Variance Method
StandardDeviation Method
StandardDeviation Method (Double[])
StandardDeviation Method (Double[], Double[])
Weight2MinimizeRisk Method
Weight2MinimizeRisk Method (Double, Double, Double)
Weight2MinimizeRisk Method (Double, Double, Double, Double, Double)
UtilityFunctionNotInitializedException Class
UtilityFunctionNotInitializedException Members
UtilityFunctionNotInitializedException Constructor
Volatility Class
Volatility Members
Volatility Constructor
Methods
ArchVolatilityEstimate Method
DaysYearRescaling Method
EwmaVolatilityEstimate Method
EwmaVolatilityEstimateInduction Method
GarchVolatilityEstimate Method
HistoricalEstimate Method
HistoricalEstimateStandardError Method
HistoricalEstimateWithDividends Method
ReturnDuringithDay Method
Variance Method
Variance Method (Double[])
Variance Method (Double[], Double[])
YearDaysRescaling Method