Inputs Class

Portfolio data for the Mean-Variance Optimizer.

Definition

Namespace: Austra.Library.MVO
Assembly: Austra.Library (in Austra.Library.dll) Version: 2.5.0+d1268756e036101f601080f153b3997e72fc912d
C#
public sealed class Inputs
Inheritance
Object    Inputs

Constructors

Inputs(DVector, NVector)Initializes portfolio data for the Mean-Variance Optimizer.
Inputs(Int32, NVector)Initializes portfolio data for the Mean-Variance Optimizer.

Properties

AllowDegenerateWhen true, degenerate problems are given a second chance.
ConstraintsGets the number of constraints.
ConstraintsLHSGets the left-hand side of constraints.
ConstraintsRHSGets coefficients from the right-hand side of constraints.
ConstraintTypesGets the type for each constraint.
CovGets or sets the covariance matrix.
EndLambdaGets or sets the minimum allowed lambda.
LowerLimitsGets the lower limits for weights.
MaxCornerPortfoliosGets or sets maximum numbers of CLR iterations.
MeanGets the expected returns.
SecuritiesGets the number of securities in the portfolio.
UpperLimitsGets the upper limits for weights.
VariablesGets the total number of variables.

Methods

EqualsDetermines whether the specified object is equal to the current object.
(Inherited from Object)
GetHashCodeServes as the default hash function.
(Inherited from Object)
GetTypeGets the Type of the current instance.
(Inherited from Object)
SetConstraintsSets the constraint left hand and right hand sides.
SetCovariance(DVector)Initializes the covariance matrix from a linear array.
SetCovariance(Matrix)Initializes the covariance matrix from another matrix.
SetExpectedReturnsSets the expected returns for each security.
SetLowerBoundariesSets the lower limits for the weights of each security.
SetUpperBoundariesSets the upper limits for the weights of each security.
ToStringReturns a string that represents the current object.
(Inherited from Object)

See Also