Class 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.

    • Constructor Detail

      • IndexAboveQuantileMethod

        public IndexAboveQuantileMethod()