Details

    • Type: New Feature
    • Status: Closed
    • Priority: 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

        Attachments

        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

            People

            • Assignee:
              psteitz Phil Steitz
              Reporter:
              ldiamond Larry Diamond
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              Dates

              • Created:
                Updated:
                Resolved: