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From "Larry Diamond (JIRA)" <j...@apache.org>
Subject [jira] Commented: (MATH-323) Add Semivariance calculation
Date Mon, 22 Feb 2010 12:58:28 GMT

    [ https://issues.apache.org/jira/browse/MATH-323?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12836607#action_12836607
] 

Larry Diamond commented on MATH-323:
------------------------------------

Thank you!  

This was a great experience for me and I appreciate your time and effort in making this happen.
 

I was more than happy to contribute and will probably do it again (I've done other quantitative
work that I'd like to contribute).

I have a better idea on how to format the contribution from the initial proposal so it can
be included quicker.

Thank you for your time and effort - this was a good learning experience for me.

> 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, SemiVariance.java,
SemiVarianceTest.java, SemiVarianceTest.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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