com.opengamma.analytics.financial.var.EmpiricalDistributionVaRParameters.java Source code

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Here is the source code for com.opengamma.analytics.financial.var.EmpiricalDistributionVaRParameters.java

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/**
 * 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;
    }

}