/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.math.statistics.descriptive;
/**
* Implementation of a quantile estimator.
* The estimation is one of the sorted sample data. Its index is given by the nearest (Math.round) integer to the
* quantile multiplied by the size of the sample.
* The Java index is the above index minus 1 (array index start at 0 and not 1).
* <p> Reference: Value-At-Risk, OpenGamma Documentation 31, Version 0.1, April 2015.
*/
public class NearestIndexQuantileMethod extends DiscreteQuantileMethod {
/** Default implementation. */
public static final NearestIndexQuantileMethod DEFAULT = new NearestIndexQuantileMethod();
@Override
int index(double quantileSize) {
int index1 = (int) Math.round(quantileSize);
return (index1 > 0) ? index1 : 1;
}
}