public class PerturbedPremiumOptimizer extends Object implements FactorStrategy.PortfolioOptimizer
|Constructor and Description|
Constructs a new instance with the given parameters.
|Modifier and Type||Method and Description|
public PerturbedPremiumOptimizer(FactorStrategy.PortfolioOptimizer optimizer, Factor perturbedFactor, double perturbation)
optimizer- the original portfolio optimizer
perturbedFactor- the factor for which to modify the factor premium
perturbation- the fraction by which to change the premium of the factor. For example an perturbation of 0.05 will result in a factor premium that is 5% higher for the given factor.
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