com.clican.pluto.dataprocess.dpl.function.impl.SharpeRatio.java Source code

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Here is the source code for com.clican.pluto.dataprocess.dpl.function.impl.SharpeRatio.java

Source

/**
 * The Clican-Pluto software suit is Copyright 2009, Clican Company and individual contributors, and is licensed under the GNU LGPL.
 *
 * @author clican
 *
 */
package com.clican.pluto.dataprocess.dpl.function.impl;

import java.util.List;
import java.util.Map;

import org.apache.commons.math.stat.descriptive.moment.Variance;

import com.clican.pluto.dataprocess.dpl.parser.bean.PrefixAndSuffix;
import com.clican.pluto.dataprocess.exception.CalculationException;
import com.clican.pluto.dataprocess.exception.DplParseException;
import com.clican.pluto.dataprocess.exception.PrefixAndSuffixException;

/**
 * SharpeRatio
 * 
 * @author clican
 * 
 */
public class SharpeRatio extends BaseMultiRowFunction {

    /**
     * ??,?
     */
    private PrefixAndSuffix valuePas;

    public Object calculate(List<Map<String, Object>> rowSet)
            throws CalculationException, PrefixAndSuffixException {
        if (rowSet.size() == 0) {
            throw new CalculationException("SharpeRatio??");
        }

        double[] values = new double[rowSet.size()];
        double sum = 0;
        for (int i = 0; i < rowSet.size(); i++) {
            Map<String, Object> row = rowSet.get(i);
            Double value = valuePas.getValue(row);
            values[i] = value;
            sum += value;
        }
        double avg = sum / (rowSet.size());
        Variance var = new Variance(false);
        Double result = Math.sqrt(var.evaluate(values, avg));
        if (log.isDebugEnabled()) {
            log.debug("FRR[" + avg + "],STDEV[" + result + "]");
        }
        return avg / result;
    }

    public void setParams(List<Object> params) throws DplParseException {
        super.setParams(params);
        valuePas = this.pasList.get(0);
    }
}

// $Id: SharpeRatio.java 16260 2010-07-16 09:20:15Z wei.zhang $