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

Class SamplePlusOneNearestIndexQuantileMethod

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.SamplePlusOneNearestIndexQuantileMethod

public final class SamplePlusOneNearestIndexQuantileMethod
extends DiscreteQuantileMethod

Implementation of a quantile estimator.

The estimation is one of the sorted sample data. Its index is given by the nearest (Math.round) integer to the quantile multiplied by the size of the sample plus one. 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 SamplePlusOneNearestIndexQuantileMethod	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
SamplePlusOneNearestIndexQuantileMethod()

Method Summary

Modifier and Type	Method and Description
protected double	indexShift() Shift added to/subtracted from index during intermediate steps in the expected shortfall computation.

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 SamplePlusOneNearestIndexQuantileMethod DEFAULT

Default implementation.

Constructor Detail

SamplePlusOneNearestIndexQuantileMethod

public SamplePlusOneNearestIndexQuantileMethod()

Method Detail

indexShift

protected double indexShift()

Description copied from class: DiscreteQuantileMethod

Shift added to/subtracted from index during intermediate steps in the expected shortfall computation.

Returns:

the index shift