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;
  }

}