net.finmath.stochastic.operators.RandomVariableOperator Maven / Gradle / Ivy
package net.finmath.stochastic.operators;
import net.finmath.stochastic.RandomOperator;
import net.finmath.stochastic.RandomVariable;
import net.finmath.stochastic.Scalar;
/**
* A factory for useful {@link RandomOperator}s.
*
* @author Christian Fries
*/
public class RandomVariableOperator {
/**
* The expected short fall operator for a given percentageLevel.
*
* @param percentageLevel The percentage level.
* @return The operator that maps a randomVariable to its expected short fall (wrapped in a random variable).
*/
static RandomOperator expectedShortFall(final Double percentageLevel) {
if(percentageLevel < 0 || percentageLevel > 1) throw new IllegalArgumentException("");
return (RandomVariable x) -> {
// Special case: constant will result in that constant
if(x.isDeterministic() || x.getVariance() == 0) return x;
double quantileValue = x.getQuantile(percentageLevel);
RandomVariable indicator = x.sub(quantileValue).choose(Scalar.of(0.0), Scalar.of(1.0));
RandomVariable averageVar = x.mult(indicator).average().div(percentageLevel);
return averageVar;
};
}
}