Class SampleInterpolationQuantileMethod

  • public final class SampleInterpolationQuantileMethod
    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 and the number of elements in the sample ( pi = i / n). 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

      • SampleInterpolationQuantileMethod

        public SampleInterpolationQuantileMethod()
    • Method Detail

      • indexCorrection

        protected double indexCorrection()