AlgoQuant, an integrated trading strategy research and backtesting system
- All Implemented Interfaces:
public class Beta
The market risk factor as in CAPM model, whose exposure is obtained via time-series regression
from the historical monthly returns.
|Constructor and Description
Constructs a beta factor for a given time period.
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
public double exposure(Stock stock,
Description copied from interface:
Computes the exposure of this factor for a stock at a date/time.
- Specified by:
exposure in interface
stock - a stock
time - the time for which the factor is to be calculated
marketSnapshots - a RandomAccessCache of MarketSnapshots
from which the factor exposure is computed
- the factor exposure
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