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From "Larry Diamond (JIRA)" <j...@apache.org>
Subject [jira] Updated: (MATH-323) Add Semivariance calculation
Date Fri, 08 Jan 2010 19:13:54 GMT

     [ https://issues.apache.org/jira/browse/MATH-323?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]

Larry Diamond updated MATH-323:
-------------------------------

    Attachment: SemiVariance.java

Hi again.  

The class is now documented, hopefully I have made the concept easier to understand.  

Most of the work on this class has been documentation, most of the code changes are to ensure
the class extends AbstractUnivariateStatistic and fills in any missing methods that AbstractUnivariateStatistic
requires.

I've broken every last one of my test cases and I need to rework them from scratch now, but
I think I'm at a point now where I can post the work for review.

> Add Semivariance calculation
> ----------------------------
>
>                 Key: MATH-323
>                 URL: https://issues.apache.org/jira/browse/MATH-323
>             Project: Commons Math
>          Issue Type: New Feature
>    Affects Versions: 2.1
>            Reporter: Larry Diamond
>            Assignee: Phil Steitz
>            Priority: Minor
>             Fix For: 2.1
>
>         Attachments: patch.txt, patch2.txt, SemiVariance.java, SemiVariance.java, SemiVarianceTest.java,
StatUtils.java, StatUtils.java, StatUtilsTest.java, StatUtilsTest.java
>
>
> 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

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