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

Class SampleInterpolationQuantileMethod

java.lang.Object

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

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

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

public final class SampleInterpolationQuantileMethod
extends InterpolationQuantileMethod

Implementation of a quantile estimator.

The quantile is linearly interpolated between two sample values. The probability dimension on which the interpolation take place (X axis) is the ratio of the sample index and the number of elements in the sample ( pi = i / n). For each probability pi, the distribution value is the sample value with same index. The index used above are the Java index plus 1.

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

Field Summary

Fields

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

Constructor Summary

Constructors

Constructor and Description
SampleInterpolationQuantileMethod()

Method Summary

Modifier and Type	Method and Description
protected double	indexCorrection() Internal method returning the index correction for the specific implementation.

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

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 SampleInterpolationQuantileMethod DEFAULT

Default implementation.

Constructor Detail

SampleInterpolationQuantileMethod

public SampleInterpolationQuantileMethod()

Method Detail

indexCorrection

protected double indexCorrection()

Description copied from class: InterpolationQuantileMethod

Internal method returning the index correction for the specific implementation.

Returns:

the correction