Class TailMeasureCalc
- java.lang.Object
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- com.activeviam.risk.ref.calc.impl.ATailMeasureCalc
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- com.activeviam.risk.ref.calc.impl.TailMeasureCalc
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- All Implemented Interfaces:
ITailMeasureCalc
public class TailMeasureCalc extends ATailMeasureCalc
Implementation ofATailMeasureCalc
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Nested Class Summary
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Nested classes/interfaces inherited from interface com.activeviam.risk.core.calc.ITailMeasureCalc
ITailMeasureCalc.CalcType
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Field Summary
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Fields inherited from class com.activeviam.risk.ref.calc.impl.ATailMeasureCalc
LOGGER
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Constructor Summary
Constructors Constructor Description TailMeasureCalc()
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Method Summary
All Methods Instance Methods Concrete Methods 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
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Method Detail
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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 classATailMeasureCalc
- Parameters:
vectorSize
- The size of the PnL vector.quantile
- the quantile, between 0 and 1 (equals 1 minus the confidence level).roundingMethod
- rounding method levelquantileToRank
- quantile method level- Returns:
- The position in the vector.
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