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

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Here is the source code for com.opengamma.analytics.financial.var.StudentTVaRParameters.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.distribution.ProbabilityDistribution;
import com.opengamma.analytics.math.statistics.distribution.StudentTDistribution;
import com.opengamma.util.ArgumentChecker;

/**
 * 
 */
public class StudentTVaRParameters {
    private final double _horizon;
    private final double _periods;
    private final double _quantile;
    private final double _dof;
    private final double _mult;
    private final double _scale;
    private final ProbabilityDistribution<Double> _studentT;

    public StudentTVaRParameters(final double horizon, final double periods, final double quantile,
            final double dof) {
        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");
        }
        Validate.isTrue(dof > 0, "degrees of freedom");
        _horizon = horizon;
        _periods = periods;
        _quantile = quantile;
        _dof = dof;
        _studentT = new StudentTDistribution(dof);
        _mult = Math.sqrt((_dof - 2) * horizon / dof / periods) * _studentT.getInverseCDF(quantile);
        _scale = horizon / periods;
    }

    public double getMult() {
        return _mult;
    }

    public double getScale() {
        return _scale;
    }

    public double getHorizon() {
        return _horizon;
    }

    public double getPeriods() {
        return _periods;
    }

    public double getQuantile() {
        return _quantile;
    }

    public double getDegreesOfFreedom() {
        return _dof;
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        long temp;
        temp = Double.doubleToLongBits(_dof);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        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);
        return result;
    }

    @Override
    public boolean equals(Object obj) {
        if (this == obj) {
            return true;
        }
        if (obj == null) {
            return false;
        }
        if (getClass() != obj.getClass()) {
            return false;
        }
        StudentTVaRParameters other = (StudentTVaRParameters) obj;
        if (Double.doubleToLongBits(_dof) != Double.doubleToLongBits(other._dof)) {
            return false;
        }
        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;
    }

}