Class NearestIndexQuantileMethod

  • public final class NearestIndexQuantileMethod
    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. 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

      • NearestIndexQuantileMethod

        public NearestIndexQuantileMethod()
    • Method Detail

      • indexShift

        protected double indexShift()