Details

    • Type: New Feature New Feature
    • Status: Closed
    • Priority: Minor Minor
    • Resolution: Fixed
    • Affects Version/s: 2.1
    • Fix Version/s: 2.1
    • Labels:
      None

      Description

      I've added semivariance calculations to my local build of commons-math and I would like to contribute them.

      Semivariance is described a little bit on http://en.wikipedia.org/wiki/Semivariance , but a real reason you would use them is in finance in order to compute the Sortino ratio rather than the Sharpe ratio.

      http://en.wikipedia.org/wiki/Sortino_ratio gives an explanation of the Sortino ratio and why you would choose to use that rather than the Sharpe ratio. (There are other ways to measure the performance of your portfolio, but I wont bore everybody with that stuff)

      I've already got the coding completed along with the test cases and building using mvn site.

      The only two files I've modified is src/main/java/org/apache/commons/stat/StatUtils.java and src/test/java/org/apache/commons/math/stat/StatUtilsTest.java

      1. SemiVariance.java
        12 kB
        Larry Diamond
      2. SemiVarianceTest.java
        3 kB
        Larry Diamond
      3. SemiVarianceTest.java
        2 kB
        Larry Diamond
      4. SemiVariance.java
        10 kB
        Larry Diamond
      5. SemiVarianceTest.java
        2 kB
        Larry Diamond
      6. SemiVariance.java
        5 kB
        Larry Diamond
      7. StatUtilsTest.java
        16 kB
        Larry Diamond
      8. StatUtils.java
        33 kB
        Larry Diamond
      9. patch2.txt
        12 kB
        Larry Diamond
      10. patch.txt
        12 kB
        Larry Diamond
      11. StatUtilsTest.java
        16 kB
        Larry Diamond
      12. StatUtils.java
        33 kB
        Larry Diamond

        Activity

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          People

          • Assignee:
            Phil Steitz
            Reporter:
            Larry Diamond
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            Dates

            • Created:
              Updated:
              Resolved:

              Development