Record Class ExtremeValueTheory.GpdFit

java.lang.Object
java.lang.Record
com.quantfinlib.risk.ExtremeValueTheory.GpdFit
Record Components:
threshold - u — losses above this were fitted
shape - ξ — the tail index (fat when positive)
scale - β — the GPD scale
exceedances - how many losses exceeded u
sampleSize - total losses the tail sits in
Enclosing class:
ExtremeValueTheory
public static record ExtremeValueTheory.GpdFit(double threshold, double shape, double scale, int exceedances, int sampleSize) extends Record
A fitted POT tail model.

  • Constructor Summary

    Constructors
    Constructor
    Description
    GpdFit(double threshold, double shape, double scale, int exceedances, int sampleSize)
    Creates an instance of a GpdFit record class.

  • Method Summary

    Modifier and Type
    Method
    Description
    final boolean
    equals(Object o)
    Indicates whether some other object is "equal to" this one.
    int
    exceedances()
    Returns the value of the exceedances record component.
    double
    expectedShortfall(double p)
    Tail expected shortfall at p.
    final int
    hashCode()
    Returns a hash code value for this object.
    int
    sampleSize()
    Returns the value of the sampleSize record component.
    double
    scale()
    Returns the value of the scale record component.
    double
    shape()
    Returns the value of the shape record component.
    double
    threshold()
    Returns the value of the threshold record component.
    final String
    toString()
    Returns a string representation of this record class.
    double
    var(double p)
    Tail VaR at one-sided confidence p (must lie in the tail).

    Methods inherited from class java.lang.Object

    clone, finalize, getClass, notify, notifyAll, wait, wait, wait

  • Constructor Details

    • GpdFit

      public GpdFit(double threshold, double shape, double scale, int exceedances, int sampleSize)
      Creates an instance of a GpdFit record class.
      Parameters:
      threshold - the value for the threshold record component
      shape - the value for the shape record component
      scale - the value for the scale record component
      exceedances - the value for the exceedances record component
      sampleSize - the value for the sampleSize record component

  • Method Details

    • var

      public double var(double p)
      Tail VaR at one-sided confidence p (must lie in the tail).

    • expectedShortfall

      public double expectedShortfall(double p)
      Tail expected shortfall at p. Refuses (throws) when ξ ≥ 1: the fitted tail's mean is infinite, and a finite number here would be the exact lie EVT exists to prevent.

    • toString

      public final String toString()
      Returns a string representation of this record class. The representation contains the name of the class, followed by the name and value of each of the record components.
      Specified by:
      toString in class Record
      Returns:
      a string representation of this object

    • hashCode

      public final int hashCode()
      Returns a hash code value for this object. The value is derived from the hash code of each of the record components.
      Specified by:
      hashCode in class Record
      Returns:
      a hash code value for this object

    • equals

      public final boolean equals(Object o)
      Indicates whether some other object is "equal to" this one. The objects are equal if the other object is of the same class and if all the record components are equal. All components in this record class are compared with the compare method from their corresponding wrapper classes.
      Specified by:
      equals in class Record
      Parameters:
      o - the object with which to compare
      Returns:
      true if this object is the same as the o argument; false otherwise.

    • threshold

      public double threshold()
      Returns the value of the threshold record component.
      Returns:
      the value of the threshold record component

    • shape

      public double shape()
      Returns the value of the shape record component.
      Returns:
      the value of the shape record component

    • scale

      public double scale()
      Returns the value of the scale record component.
      Returns:
      the value of the scale record component

    • exceedances

      public int exceedances()
      Returns the value of the exceedances record component.
      Returns:
      the value of the exceedances record component

    • sampleSize

      public int sampleSize()
      Returns the value of the sampleSize record component.
      Returns:
      the value of the sampleSize record component