Examples of org.jquantlib.math.functions.Bind1stPredicate

org.jquantlib.math.functions.Bind1stPredicate
This method binds the 1st argument of a binary predicate to a scalar value, effectively enabling a binary predicate to be called in a context intended for a unary predicate. @author Richard Gomes

        \f[ \mathrm{E}\left[ t-x \;|\; x<t \right] \f]
     */
    public double averageShortfall(final double target) {


        final Ops.DoubleOp minus = new Bind1st(target, new Minus());
        final Ops.DoublePredicate less = new Bind1stPredicate(target, new LessThanPredicate());
        final Pair<Double, Integer> result = statistics.expectationValue(minus, less);


        final double x = result.getFirst();
        //mmhh somewhere we have to change N to int
        final Integer N = result.getSecond();

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   * {@latex[ \mathrm{E}\left[ t-x \;|\; x<t \right] }
   */
  public /*@Real*/ double averageShortfall(final /*@Real*/ double target) /*@ReadOnly*/ {


    final Ops.DoubleOp minus = new Bind1st(target, new Minus());
    final Ops.DoublePredicate less = new Bind1stPredicate(target, new LessThanPredicate());
    final Pair<Double, Integer> result = expectationValue(minus, less);


    final double x = result.first();
    final Integer N = result.second();
    QL.ensure(N != 0, NO_DATA_BELOW_THE_TARGET);

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org.jquantlib.math.statistics.GenericRiskStatistics

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