/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.riskreward;
/**
* By analogy to the $M^2$ measure, the $T^2$ measure gives the excess
* market-risk-adjusted performance ($MRAP$) of an asset over the market:
* $$
* \begin{eqnarray*}
* T^2 = MRAP_i - MRAP_M
* \end{eqnarray*}
* $$
* where $MRAP_i$ is the market-risk-adjusted performance of the asset and
* $MRAP_M$ is the market-risk-adjusted performance of the market.
*/
public class TTwoPerformanceCalculator {
private static final MarketRiskAdjustedPerformanceCalculator MRAP = new MarketRiskAdjustedPerformanceCalculator();
/**
* Calculates the T<sup>2</sup>
* @param assetReturn The return of the asset
* @param riskFreeReturn The risk-free return
* @param marketReturn The return of the market
* @param beta The beta of the asset
* @return The T<sup>2</sup>
*/
public double calculate(final double assetReturn, final double riskFreeReturn, final double marketReturn, final double beta) {
return MRAP.calculate(assetReturn, riskFreeReturn, beta) - marketReturn;
}
}