com.opengamma.strata.math.impl.statistics.descriptive.MidwayInterpolationQuantileMethod Maven / Gradle / Ivy
/*
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.math.impl.statistics.descriptive;
/**
* 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.
*/
public final class MidwayInterpolationQuantileMethod
extends InterpolationQuantileMethod {
/** Default implementation. */
public static final MidwayInterpolationQuantileMethod DEFAULT = new MidwayInterpolationQuantileMethod();
@Override
protected double indexCorrection() {
return 0.5d;
}
@Override
int sampleCorrection(int sampleSize) {
return sampleSize;
}
}