Class MidwayInterpolationQuantileMethod

  • public final class MidwayInterpolationQuantileMethod
    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 - 0.5 and the number of elements in the sample ( pi = (i-0.5) / n). The index correction is 0.5. 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.

    • Constructor Detail

      • MidwayInterpolationQuantileMethod

        public MidwayInterpolationQuantileMethod()
    • Method Detail

      • indexCorrection

        protected double indexCorrection()