/**
* 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 the smallest integer above (Math.ceil) 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 IndexAboveQuantileMethod extends DiscreteQuantileMethod {
/** Default implementation. */
public static final IndexAboveQuantileMethod DEFAULT = new IndexAboveQuantileMethod();
@Override
int index(double quantileSize) {
return (int) Math.ceil(quantileSize);
}
}