基金里投资风险指标的计算工具类（夏普比率，波动率，Var值，最大回撤率） 黄金理财比例怎么算收益多少

去年在项目里写了一个计算投资风险指标的计算工具类，包含夏普比率，波动率，Var值，最大回撤率四个指标。 计算全部采用BigDecimal类型，开方计算采用牛顿迭代法计算。 其计算公式如下： 工具类实现：

/** * @describe 投资分析数学计算工具类 */public class MathUtil { /** * 默认保留小数位数 */ private final static Integer DECIMAL_SCALE = 15; /** * 默认牛顿迭代法计算平方根时迭代次数 */ private final static Integer PRECISION = 20; private final static Integer COUNT = 0; /** * @describe 计算收益率 * @params startNav 期初单位净值 endNav 期末单位净值 */ public static BigDecimal dayYield(BigDecimal startNav, BigDecimal endNav) { return dayYield(startNav, endNav, DECIMAL_SCALE); } public static BigDecimal dayYield(BigDecimal startNav, BigDecimal endNav, int decimalScale) { return dayYield(startNav, endNav, decimalScale, BigDecimal.ROUND_HALF_UP); } public static BigDecimal dayYield(BigDecimal startNav, BigDecimal endNav, int decimalScale, int roundingMode) { BigDecimal dValue = endNav.subtract(startNav); return dValue.divide(startNav, decimalScale, roundingMode); } /** * @describe 计算累计求和 */ public static BigDecimal sum(BigDecimal[] dataArray) { BigDecimal sum = BigDecimal.ZERO; for (BigDecimal data : dataArray) { sum = sum.add(data); } return sum; } /** * @describe 计算算术平均值 */ public static BigDecimal avg(BigDecimal[] dataArray) { return avg(dataArray, DECIMAL_SCALE); } public static BigDecimal avg(BigDecimal[] dataArray, int decimalScale) { return avg(dataArray, decimalScale, BigDecimal.ROUND_HALF_UP); } public static BigDecimal avg(BigDecimal[] dataArray, int decimalScale, int roundingMode) { BigDecimal sum = sum(dataArray); BigDecimal count = new BigDecimal(dataArray.length); return sum.divide(count, decimalScale, roundingMode); } /** * @describe 计算样本方差 */ public static BigDecimal variance(BigDecimal[] dataArray) { return variance(dataArray, DECIMAL_SCALE); } public static BigDecimal variance(BigDecimal[] dataArray, int decimalScale) { return variance(dataArray, decimalScale, BigDecimal.ROUND_HALF_UP); } public static BigDecimal variance(BigDecimal[] dataArray, int decimalScale, int roundingMode) { BigDecimal avg = avg(dataArray, decimalScale, roundingMode); BigDecimal[] resultArray = new BigDecimal[dataArray.length]; for (int i = 0; i return standardDeviation(data, DECIMAL_SCALE); } public static BigDecimal standardDeviation(BigDecimal data, int decimalScale) { return standardDeviation(data, decimalScale, BigDecimal.ROUND_HALF_UP); } public static BigDecimal standardDeviation(BigDecimal data, int decimalScale, int roundingMode) { BigDecimal result = data; int count = COUNT; while (count return sharpeRatio(yieldArray, drVal, vol, DECIMAL_SCALE); } public static BigDecimal sharpeRatio(BigDecimal[] yieldArray, BigDecimal drVal, BigDecimal vol, int decimalScale) { return sharpeRatio(yieldArray, drVal, vol, decimalScale, BigDecimal.ROUND_HALF_UP); } public static BigDecimal sharpeRatio(BigDecimal[] yieldArray, BigDecimal drVal, BigDecimal vol, int decimalScale, int roundingMode) { BigDecimal avg = avg(yieldArray, decimalScale, roundingMode); BigDecimal variance = variance(yieldArray, decimalScale, roundingMode); BigDecimal standardDeviation = standardDeviation(variance, decimalScale, roundingMode); return avg.subtract(drVal).divide(standardDeviation, decimalScale, roundingMode).multiply(vol).setScale(decimalScale, roundingMode); } /** * @describe 计算波动率 */ public static BigDecimal yieldVar(BigDecimal[] yieldArray, BigDecimal vol) { return yieldVar(yieldArray, vol, DECIMAL_SCALE); } public static BigDecimal yieldVar(BigDecimal[] yieldArray, BigDecimal vol, int decimalScale) { return yieldVar(yieldArray, vol, decimalScale, BigDecimal.ROUND_HALF_UP); } public static BigDecimal yieldVar(BigDecimal[] yieldArray, BigDecimal vol, int decimalScale, int roundingMode) { BigDecimal variance = variance(yieldArray, decimalScale, roundingMode); BigDecimal standardDeviation = standardDeviation(variance, decimalScale, roundingMode); return standardDeviation.multiply(vol).setScale(decimalScale, roundingMode); } /** * @describe 计算Var */ public static BigDecimal var(BigDecimal[] yieldArray, BigDecimal zVal) { return var(yieldArray, zVal, DECIMAL_SCALE); } public static BigDecimal var(BigDecimal[] yieldArray, BigDecimal zVal, int decimalScale) { return var(yieldArray, zVal, decimalScale, BigDecimal.ROUND_HALF_UP); } public static BigDecimal var(BigDecimal[] yieldArray, BigDecimal zVal, int decimalScale, int roundingMode) { BigDecimal variance = variance(yieldArray, decimalScale, roundingMode); BigDecimal standardDeviation = standardDeviation(variance, decimalScale, roundingMode); return standardDeviation.multiply(zVal).setScale(decimalScale, roundingMode); } /** * @describe 计算最大回撤率 */ public static BigDecimal maxRetracement(BigDecimal[] dataArray) { return maxRetracement(dataArray, DECIMAL_SCALE); } public static BigDecimal maxRetracement(BigDecimal[] dataArray, int decimalScale) { return maxRetracement(dataArray, decimalScale, BigDecimal.ROUND_HALF_UP); } public static BigDecimal maxRetracement(BigDecimal[] yieldArray, int decimalScale, int roundingMode) { BigDecimal maxRetracement = BigDecimal.ZERO; BigDecimal maxTotalYield = BigDecimal.ZERO; BigDecimal totalDayYield = BigDecimal.ZERO; for (int i = 1; i maxTotalYield = totalDayYield; } else { BigDecimal retracement = maxTotalYield.subtract(totalDayYield).divide(BigDecimal.ONE.add(maxTotalYield), decimalScale, roundingMode); maxRetracement = retracement.compareTo(maxRetracement) > 0 ? retracement : maxRetracement; } } return maxRetracement; } /** * @describe 用资产净值计算日收益率数组 */ public static BigDecimal[] yieldArray(BigDecimal[] assetArray, BigDecimal[] cashFlowArray) { //日收益率数组 BigDecimal[] yieldArray = new BigDecimal[assetArray.length - 1]; for (int i = 0; i // 日收益率数组 BigDecimal[] yieldArray = new BigDecimal[navArray.length - 1]; for (int i = 0; i