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

Class InterpolationQuantileMethod

java.lang.Object

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

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

Direct Known Subclasses:

ExcelInterpolationQuantileMethod, MidwayInterpolationQuantileMethod, SampleInterpolationQuantileMethod, SamplePlusOneInterpolationQuantileMethod

public abstract class InterpolationQuantileMethod
extends QuantileCalculationMethod

Implementation of a quantile estimator.

The quantile is linearly interpolated between two sample values. The probability dimension pi on which the interpolation take place (X axis) varies between actual implementation of the abstract class. For each probability pi, the cumulative 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.

Constructor Summary

Constructors

Constructor	Description
InterpolationQuantileMethod()

Method Summary

Modifier and Type	Method	Description
protected QuantileResult	expectedShortfall(double level, DoubleArray sample)	Computed the expected shortfall.
protected QuantileResult	quantile(double level, DoubleArray sample, boolean isExtrapolated)	Computed the 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

Constructor Detail

InterpolationQuantileMethod

public InterpolationQuantileMethod()

Method Detail

quantile

protected QuantileResult quantile(double level,
                                  DoubleArray sample,
                                  boolean isExtrapolated)

Description copied from class: QuantileCalculationMethod

Computed the quantile.

This protected method should be implemented in subclasses.

Specified by:

quantile in class QuantileCalculationMethod

Parameters:

level - the quantile level

sample - the sample observations

isExtrapolated - extrapolated if true, not extrapolated otherwise.

Returns:

the quantile

expectedShortfall

protected QuantileResult expectedShortfall(double level,
                                           DoubleArray sample)

Description copied from class: QuantileCalculationMethod

Computed the expected shortfall.

This protected method should be implemented in subclasses and coherent to QuantileCalculationMethod.quantile(double, DoubleArray, boolean).

Specified by:

expectedShortfall in class QuantileCalculationMethod

Parameters:

level - the quantile level

sample - the sample observations

Returns:

the expected shortfall