Examples of org.jquantlib.math.functions.Clipped

org.jquantlib.math.functions.Clipped
This class verifies a condition and if true, returns the evaluation of a function, otherwise returns Double.NaN. @author Richard Gomes

    public double shortfall(final double target){
        if (statistics.getSampleSize()==0)
            throw new IllegalArgumentException(empty_sample_set);


        final Ops.DoublePredicate less = new Bind2ndPredicate(new LessThanPredicate(), target);
        return statistics.expectationValue(new Clipped(less, new Constant(1.0)), new TruePredicate()).getFirst();
    }

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   */
  public /*@Real*/ double shortfall(final /*@Real*/ double target) /*@ReadOnly*/ {
    QL.ensure(samples() != 0, EMPTY_SAMPLE_SET);


    final Ops.DoublePredicate less = new Bind2ndPredicate(new LessThanPredicate(), target);
    return expectationValue(new Clipped(less, new Constant(1.0)), new TruePredicate()).first();
  }

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org.jquantlib.math.statistics.GenericRiskStatistics

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