SampleFisherKurtosisCalculator excessKurtosis = new SampleFisherKurtosisCalculator();
double[] spreads = getSpreads(underlyingPool, creditSpreadTenors, creditSpreadTermStructures, creditSpreadTenor);
return excessKurtosis.evaluate(spreads);
}
// ----------------------------------------------------------------------------------------------------------------------------------------
// Calculate the q'th percentile of the spread distribution of the obligors in the underlying pool for a given tenor