NearestIndexQuantileMethod.java

/**
 * 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;
  }

}