com.github.vonrosen.quantlib

Class RiskStatistics

java.lang.Object

com.github.vonrosen.quantlib.Statistics

com.github.vonrosen.quantlib.RiskStatistics

public class RiskStatistics
extends Statistics

Field Summary

Fields inherited from class com.github.vonrosen.quantlib.Statistics

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
	RiskStatistics()
protected	RiskStatistics(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method and Description
double	averageShortfall(double target)
void	delete()
double	downsideDeviation()
double	downsideVariance()
double	expectedShortfall(double percentile)
protected void	finalize()
protected static long	getCPtr(RiskStatistics obj)
double	potentialUpside(double percentile)
double	regret(double target)
double	semiDeviation()
double	semiVariance()
double	shortfall(double target)
double	valueAtRisk(double percentile)

Methods inherited from class com.github.vonrosen.quantlib.Statistics

add, add, add, add, errorEstimate, getCPtr, kurtosis, max, mean, min, reset, samples, skewness, standardDeviation, variance, weightSum

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

RiskStatistics

protected RiskStatistics(long cPtr,
                         boolean cMemoryOwn)

RiskStatistics

public RiskStatistics()

Method Detail

getCPtr

protected static long getCPtr(RiskStatistics obj)

finalize

protected void finalize()

Overrides:

finalize in class Statistics

delete

public void delete()

Overrides:

delete in class Statistics

semiVariance

public double semiVariance()

semiDeviation

public double semiDeviation()

downsideVariance

public double downsideVariance()

downsideDeviation

public double downsideDeviation()

regret

public double regret(double target)

potentialUpside

public double potentialUpside(double percentile)

valueAtRisk

public double valueAtRisk(double percentile)

expectedShortfall

public double expectedShortfall(double percentile)

shortfall

public double shortfall(double target)

averageShortfall

public double averageShortfall(double target)