[ojAlgo-user] Getting started with ojAlgo

[Alok S. <alo...@gm...>]

I am having trouble getting started with ojAlgo. I am confused by the class
structure and am not sure how to do basic things. Are there tutorials
anywhere?

I would like to be able to do the following

1) Load historical data for two tech stocks and the nasdaq that I have
already downloaded from yahoo
2) Calculate raw covariance matrix for the two tech stocks.
3) Solve a MarkowitzModel using some expected excess return values also
stored on disk.

In order to load historical data, I modified SymbolData so that fetch could
take a BufferedReader argument that I built off a file,

    public void fetch() {
        BufferedReader tmpInput = myResourceLocator.getStreamReader();
        fetch(tmpInput);
    }
    public void fetch(BufferedReader tmpInput) {
       ... existing code here...
    }

It is somewhat surprising to me that I had to modify the library in order to
load data off disk rather than over the network, but I couldn't figure out
an easier way. I have not been able to figure out how to calculate
covariance; I am able to populate a matrix with my data values as follows
(nokPrices, orclPrices and nasdaqPrices are of type List<HistoricalData>,
which I made public so I could call SymbolData.getHistoricalPrices()):


        MatrixStore<Double> a =  PrimitiveDenseStore.FACTORY.makeZero(3,
                nokPrices.size());
        BasicMatrix b = new PrimitiveMatrix(a);
        for (int i = 0; i < nokPrices.size(); i++) {
            b.set(0, i, nokPrices.get(i).getAdjustedClose());
            b.set(1, i, orclPrices.get(i).getAdjustedClose());
            b.set(2, i, nasdaqPrices.get(i).getAdjustedClose());
        }

However, I am not sure how to calculate the covariance, i.e. is there  a
function for this in a util library, or if now how can I copy the array,
take the transpose, subtract the column/row means and multiply the arrays
(i.e. the operations necessary to calculate covariance).

Thanks,
Alok