AlgoQuant, an integrated trading strategy research and backtesting system

• All Known Implementing Classes:

public interface PremiumRegression
We compute the factor premiums using a regression that explains the returns of multiple assets in term of factors over time, hence cross-section or panel.
"Chincarini, L. B., Kim, D., "Section 6.5, The Factor Premium," Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management, 2006."
• ### Method Summary

All Methods
Modifier and Type Method and Description
Premiums getPremiums(RandomAccessCache<MarketSnapshot> marketHistory, org.joda.time.DateTime begin, org.joda.time.DateTime end)
Computes the premiums over a time-span of market history.
• ### Method Detail

Premiums getPremiums(RandomAccessCache<MarketSnapshot> marketHistory,
org.joda.time.DateTime end)
marketHistory - a history of MarketSnapshot, which may contain information than just the interval of interest
begin - the beginning of the time-span
end - the end of the time-span