market Class Reference

Inheritance diagram for market:

Public Member Functions
	market (int person=0)
void	load_ER (int person=0, char person_type= 'i')
void	save_ER (int person=0, char person_type= 'i')
void	load_covar (int person, char person_type= 'i')
void	save_covar (int person, char person_type= 'i')

Public Attributes
float *	assetClass_covar = new float[(NBR_ASSET_CLASSES + 1) * (NBR_ASSET_CLASSES + 1)]
float	assetClass_mu [(NBR_ASSET_CLASSES+1)]
	note: index 0 not used More...
std::map< int, string >	assetClass_name
	note: index 0 not used More...
std::map< int, float >	ER
std::map< int, std::map< int, float > >	covar

Protected Member Functions
void	reload_ER (int person, char person_type= 'i')
	TODO: the ER and assetClass_mu as well as the covar and assetClass_covar are redundant ==> eliminate the C-style assetClass_*. More...
void	reload_covar (int person, char what2do, char person_type= 'i')

Detailed Description

market

this class provides all market information (expecter return, covariances)

(c) Philippe J.S. De Brouwer

last modification: 2015-02

Definition at line 11 of file market.class.cpp.

Constructor & Destructor Documentation

market::market

(

int

person = 0

)

market CONSTRUCTOR

Definition at line 44 of file market.class.cpp.

Member Function Documentation

void market::load_covar	(	int	person,
		char	person_type = 'i'
	)

load_covar

< note: person_type = 'i' for persons (later to provide for 'a' advisor, organization, etc.)

< TODO eliminate this

if we did not find a personalized expectation for each asset class, then we load the default values

< TODO eliminate this

Definition at line 135 of file market.class.cpp.

void market::load_ER	(	int	person = 0,
		char	person_type = 'i'
	)

load_ER

< note: person_type = 'i' for persons (later to provide for 'a' advisor, organization, etc.)

Definition at line 61 of file market.class.cpp.

void market::reload_covar ( int  person, char  what2do, char  person_type = 'i'  )

protected

reload_vol

the situation here is more complex as the user expect that only the volatilities will be reset to the default values and not the correlations ...

what2do = [v|c|b] as in [vol | corr | both]

< both

< volatilities

< correlations

Definition at line 281 of file market.class.cpp.

void market::reload_ER ( int  person, char  person_type = 'i'  )

protected

TODO: the ER and assetClass_mu as well as the covar and assetClass_covar are redundant ==> eliminate the C-style assetClass_*.

set_mu

the expect value for all asset classes set_covar

the expect value for all assets reload_ER

note: person_type = 'i' for persons (later to provide for 'a' advisor, organization, etc.)

this function simply deletes the personalized expected returns. This is sufficient because later we check if they exists and only then load them (see function load_ER().

Definition at line 247 of file market.class.cpp.

void market::save_covar	(	int	person,
		char	person_type = 'i'
	)

save_covar

Definition at line 172 of file market.class.cpp.

void market::save_ER	(	int	person = 0,
		char	person_type = 'i'
	)

save_ER

Definition at line 109 of file market.class.cpp.

Member Data Documentation

float* market::assetClass_covar = new float[(NBR_ASSET_CLASSES + 1) * (NBR_ASSET_CLASSES + 1)]

Definition at line 16 of file market.class.cpp.

float market::assetClass_mu[(NBR_ASSET_CLASSES+1)]

note: index 0 not used

Definition at line 17 of file market.class.cpp.

std::map<int, string> market::assetClass_name

note: index 0 not used

Definition at line 18 of file market.class.cpp.

std::map<int, std::map<int, float> > market::covar

Definition at line 26 of file market.class.cpp.

std::map<int, float> market::ER

Definition at line 25 of file market.class.cpp.

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The documentation for this class was generated from the following file:

• market.class.cpp