Java CoordinationSet類代碼示例

import org.ojalgo.series.CoordinationSet; //導入依賴的package包/類
/**
 * NOT coordinated, completed, pruned or anything...
 */
public static CoordinationSet<Double> collectQuotesSeries(final Collection<? extends PriceSeries> series, final CalendarDateUnit resolution) {

    final CoordinationSet<Double> retVal = new CoordinationSet<>(resolution);

    for (final PriceSeries tmpSeries : series) {
        final CalendarDateSeries<Double> tmpQuotesSeries = tmpSeries.getQuotesSeries();
        BasicLogger.debug(tmpQuotesSeries);
        BasicLogger.debug("\t" + SampleSet.wrap(tmpQuotesSeries.asPrimitive()));
        retVal.put(tmpQuotesSeries);
    }

    return retVal;
}
 

import org.ojalgo.series.CoordinationSet; //導入依賴的package包/類
public static CalendarDateSeries<Double> makeAssetSeries(final FinancialMarket.Asset asset, final FinancialMarket market) {

            final String tmpSeriesKey = asset.getRawHistoricalValues().getName();

            final CalendarDate tmpHistoricalHorizon = market.getHistoricalHorizon();

            CoordinationSet<Double> tmpMarketData = market.getCoordinatedMarketData();
            CalendarDateSeries<Double> tmpCalendarDateSeries = tmpMarketData.get(tmpSeriesKey);

            if (tmpCalendarDateSeries == null) {
                final CalendarDateSeries<Double> tmpRawHistoricalValues = asset.getRawHistoricalValues();
                tmpRawHistoricalValues.complete();
                tmpMarketData.put(tmpRawHistoricalValues);
                tmpMarketData = tmpMarketData.prune();
                tmpCalendarDateSeries = tmpMarketData.get(tmpSeriesKey);
            }

            CalendarDateSeries<Double> retVal = tmpCalendarDateSeries.tailMap(tmpHistoricalHorizon);

            if (market.isHistoricalRiskFreeReturn()) {

                final CalendarDateSeries<Double> tmpRawHistoricalRiskFreeReturns = market.getRawHistoricalRiskFreeReturns();
                final String tmpName = tmpRawHistoricalRiskFreeReturns.getName();
                final CalendarDateSeries<Double> tmpRiskFreeInterestRateSeries = tmpMarketData.get(tmpName).tailMap(tmpHistoricalHorizon);

                retVal = FinanceUtils.makeNormalisedExcessPrice(retVal, tmpRiskFreeInterestRateSeries);
            }

            // TODO Fix this
            // retVal.modifyAll(PrimitiveFunction.MULTIPLY.second(PrimitiveMath.HUNDRED / retVal.firstValue().doubleValue()));

            final String tmpAssetKey = asset.getAssetKey();
            retVal.name(tmpAssetKey);
            final Color tmpAssetColour = asset.getAssetColour();
            retVal.colour(new ColourData(tmpAssetColour.getRGB()));

            return retVal;
        }
 

import org.ojalgo.series.CoordinationSet; //導入依賴的package包/類
public static CoordinationSet<Double> makeCoordinatedMarketData(final FinancialMarket market, final Collection<? extends FinancialMarket.Asset> assets,
        final CalendarDateUnit resolution) {

    final CoordinationSet<Double> retVal = new CoordinationSet<>(resolution);

    for (final FinancialMarket.Asset tmpAsset : assets) {
        retVal.put(tmpAsset.getRawHistoricalValues());
    }

    if (market.isHistoricalRiskFreeReturn()) {
        retVal.put(market.getRawHistoricalRiskFreeReturns());
    }

    return retVal.prune();
}
 

import org.ojalgo.series.CoordinationSet; //導入依賴的package包/類
public void testDailyComparison() {

        final String tmpYahooSymbol = "AAPL";
        final String tmpGoogleSymbol = "NASDAQ:AAPL";

        final YahooSymbol tmpYahooSource = new YahooSymbol(tmpYahooSymbol, CalendarDateUnit.DAY);
        final CalendarDateSeries<Double> tmpYahooPrices = tmpYahooSource.getPriceSeries();

        final GoogleSymbol tmpGoogleSource = new GoogleSymbol(tmpGoogleSymbol, CalendarDateUnit.DAY);
        final CalendarDateSeries<Double> tmpGooglePrices = tmpGoogleSource.getPriceSeries();

        CoordinationSet<Double> tmpCoordinator = new CoordinationSet<>();
        tmpCoordinator.put(tmpYahooPrices);
        tmpCoordinator.put(tmpGooglePrices);
        tmpCoordinator.complete();
        tmpCoordinator = tmpCoordinator.prune();
        final CalendarDateSeries<Double> tmpPrunedYahoo = tmpCoordinator.get(tmpYahooSymbol);
        final CalendarDateSeries<Double> tmpPrunedGoogle = tmpCoordinator.get(tmpGoogleSymbol);

        TestUtils.assertEquals("count", tmpPrunedYahoo.size(), tmpPrunedGoogle.size());
        TestUtils.assertEquals("Last Value", tmpPrunedYahoo.lastValue(), tmpPrunedGoogle.lastValue(), NumberContext.getGeneral(8, 14));
        // Doesn't work. Goggle and Yahoo seemsto have different data
        // JUnitUtils.assertEquals("First Value", tmpPrunedYahoo.firstValue(), tmpPrunedGoogle.firstValue(), PrimitiveMath.IS_ZERO);

        //        for (final CalendarDate tmpKey : tmpCoordinator.getAllContainedKeys()) {
        //            final double tmpYahooValue = tmpPrunedYahoo.get(tmpKey);
        //            final double tmpGoogleValue = tmpPrunedGoogle.get(tmpKey);
        //            if (tmpYahooValue != tmpGoogleValue) {
        //                BasicLogger.logDebug("Date={} Yahoo={} Google={}", tmpKey, tmpYahooValue, tmpGoogleValue);
        //            }
        //        }
    }
 

import org.ojalgo.series.CoordinationSet; //導入依賴的package包/類
public void add(final CoordinationSet<?> aSet) {
    for (final CalendarDateSeries<?> tmpSeries : aSet.values()) {
        this.add(tmpSeries);
    }
}
 

import org.ojalgo.series.CoordinationSet; //導入依賴的package包/類
protected SeriesForecaster(final CoordinationSet<? extends Number> coordinatedHistoricalData) {

        super(coordinatedHistoricalData);

        myLastKey = coordinatedHistoricalData.getEarliestLastKey();
        myResolution = coordinatedHistoricalData.getResolution();
    }
 

import org.ojalgo.series.CoordinationSet; //導入依賴的package包/類
/**
 * @param timeSeriesCollection
 * @return Annualised covariances
 */
public static <V extends Number> BasicMatrix makeCovarianceMatrix(final Collection<CalendarDateSeries<V>> timeSeriesCollection) {

    final CoordinationSet<V> tmpCoordinator = new CoordinationSet<>(timeSeriesCollection).prune();

    final ArrayList<SampleSet> tmpSampleSets = new ArrayList<>();
    for (final CalendarDateSeries<V> tmpTimeSeries : timeSeriesCollection) {
        final double[] values = tmpCoordinator.get(tmpTimeSeries.getName()).asPrimitive().toRawCopy1D();
        final int tmpSize1 = values.length - 1;

        final double[] retVal = new double[tmpSize1];

        for (int i = 0; i < tmpSize1; i++) {
            retVal[i] = PrimitiveFunction.LOG.invoke(values[i + 1] / values[i]);
        }
        final SampleSet tmpMakeUsingLogarithmicChanges = SampleSet.wrap(Access1D.wrap(retVal));
        tmpSampleSets.add(tmpMakeUsingLogarithmicChanges);
    }

    final int tmpSize = timeSeriesCollection.size();

    final Builder<PrimitiveMatrix> retValStore = PrimitiveMatrix.FACTORY.getBuilder(tmpSize, tmpSize);

    final double tmpToYearFactor = (double) CalendarDateUnit.YEAR.size() / (double) tmpCoordinator.getResolution().size();

    SampleSet tmpRowSet;
    SampleSet tmpColSet;

    for (int j = 0; j < tmpSize; j++) {

        tmpColSet = tmpSampleSets.get(j);

        for (int i = 0; i < tmpSize; i++) {

            tmpRowSet = tmpSampleSets.get(i);

            retValStore.set(i, j, tmpToYearFactor * tmpRowSet.getCovariance(tmpColSet));
        }
    }

    return retValStore.build();
}
 

import org.ojalgo.series.CoordinationSet; //導入依賴的package包/類
CoordinationSet<Double> getCoordinatedMarketData();