com.opengamma.strata.math.impl.statistics.descriptive

Class IndexAboveQuantileMethod

java.lang.Object

com.opengamma.strata.math.impl.statistics.descriptive.QuantileCalculationMethod

com.opengamma.strata.math.impl.statistics.descriptive.DiscreteQuantileMethod

com.opengamma.strata.math.impl.statistics.descriptive.IndexAboveQuantileMethod

public final class IndexAboveQuantileMethod
extends DiscreteQuantileMethod

Implementation of a quantile estimator.

The estimation is one of the sorted sample data. Its index is the smallest integer above (Math.ceil) the quantile multiplied by the size of the sample. The Java index is the above index minus 1 (array index start at 0 and not 1).

Reference: Value-At-Risk, OpenGamma Documentation 31, Version 0.1, April 2015.

Field Summary

Fields

Modifier and Type	Field and Description
static IndexAboveQuantileMethod	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
IndexAboveQuantileMethod()

Method Summary

Methods inherited from class com.opengamma.strata.math.impl.statistics.descriptive.DiscreteQuantileMethod

expectedShortfall, quantile

Methods inherited from class com.opengamma.strata.math.impl.statistics.descriptive.QuantileCalculationMethod

checkIndex, expectedShortfallFromSorted, expectedShortfallFromUnsorted, expectedShortfallResultFromUnsorted, quantileFromSorted, quantileFromUnsorted, quantileResultFromUnsorted, quantileResultWithExtrapolationFromUnsorted, quantileWithExtrapolationFromSorted, quantileWithExtrapolationFromUnsorted

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final IndexAboveQuantileMethod DEFAULT

Default implementation.

Constructor Detail

IndexAboveQuantileMethod

public IndexAboveQuantileMethod()