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