Package com.activeviam.risk.ref.calc.impl

Class TailMeasureCalc

java.lang.Object

com.activeviam.risk.ref.calc.impl.ATailMeasureCalc

com.activeviam.risk.ref.calc.impl.TailMeasureCalc

All Implemented Interfaces:

ITailMeasureCalc

public class TailMeasureCalc
extends ATailMeasureCalc

Implementation of ATailMeasureCalc

Nested Class Summary

Nested classes/interfaces inherited from interface com.activeviam.risk.core.calc.ITailMeasureCalc

ITailMeasureCalc.CalcType

Field Summary

Fields inherited from class com.activeviam.risk.ref.calc.impl.ATailMeasureCalc

LOGGER

Constructor Summary

Constructors

Constructor	Description
TailMeasureCalc()

Method Summary

Modifier and Type	Method	Description
protected double	getRank(int vectorSize, double quantile, String roundingMethod, String quantileToRank)	The position in the (sorted) PnL vector to use.

Methods inherited from class com.activeviam.risk.ref.calc.impl.ATailMeasureCalc

getESIndices, getESMetric, getIndices, getLEstimator, getStreamOfIndices, getTailMeasure, getVaRIndices, getVaRMetric

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

TailMeasureCalc

public TailMeasureCalc()

Method Detail

getRank

protected double getRank(int vectorSize,
                         double quantile,
                         String roundingMethod,
                         String quantileToRank)

Description copied from class: ATailMeasureCalc

The position in the (sorted) PnL vector to use. If the returned value is not an integer, the two values either side are interpolated.

Specified by:

getRank in class ATailMeasureCalc

Parameters:

vectorSize - The size of the PnL vector.

quantile - the quantile, between 0 and 1 (equals 1 minus the confidence level).

roundingMethod - rounding method level

quantileToRank - quantile method level

Returns:

The position in the vector.