/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.var;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.math.statistics.descriptive.PercentileCalculator;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public class EmpiricalDistributionVaRParameters {
private final double _horizon;
private final double _periods;
private final double _quantile;
private final double _mult;
private final PercentileCalculator _percentileCalculator;
public EmpiricalDistributionVaRParameters(final double horizon, final double periods, final double quantile) {
Validate.isTrue(horizon > 0, "horizon");
Validate.isTrue(periods > 0, "periods");
if (!ArgumentChecker.isInRangeInclusive(0, 1, quantile)) {
throw new IllegalArgumentException("Quantile must be between 0 and 1");
}
_percentileCalculator = new PercentileCalculator(1 - quantile);
_horizon = horizon;
_periods = periods;
_quantile = quantile;
_mult = Math.sqrt(horizon / periods);
}
public double getMult() {
return _mult;
}
public PercentileCalculator getPercentileCalculator() {
return _percentileCalculator;
}
public double getHorizon() {
return _horizon;
}
public double getPeriods() {
return _periods;
}
public double getQuantile() {
return _quantile;
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
long temp;
temp = Double.doubleToLongBits(_horizon);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_periods);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_quantile);
result = prime * result + (int) (temp ^ (temp >>> 32));
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (obj == null) {
return false;
}
if (getClass() != obj.getClass()) {
return false;
}
final EmpiricalDistributionVaRParameters other = (EmpiricalDistributionVaRParameters) obj;
if (Double.doubleToLongBits(_horizon) != Double.doubleToLongBits(other._horizon)) {
return false;
}
if (Double.doubleToLongBits(_periods) != Double.doubleToLongBits(other._periods)) {
return false;
}
if (Double.doubleToLongBits(_quantile) != Double.doubleToLongBits(other._quantile)) {
return false;
}
return true;
}
}