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From Larry Diamond <larry_diam...@hotmail.com>
Subject [MATH] Proposal to add semivariance to StatUtils.java
Date Fri, 11 Dec 2009 17:11:12 GMT

Hi - this is my first email to the commons-math group.  I've been using commons-math for quite
some time, but this is the first time I've attempted to contribute.

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

Is this something that people would like added to commons-math?  If so, how do we proceed?

Thank you very much
Larry Diamond
 		 	   		  
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