Package jdistlib.finance

Class DistributionAggregation

java.lang.Object

jdistlib.finance.DistributionAggregation

public final class DistributionAggregation
extends Object

Reproducible aggregation, product/ratio, compound-sum, and scenario helpers.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static interface	DistributionAggregation.ScenarioTransformation

Method Summary

Modifier and Type	Method	Description
static DistributionApproximation	compoundSum(GenericDistribution count, GenericDistribution severity, int draws, int maximumCount, long seed)
static DistributionApproximation	convolution(GenericDistribution first, GenericDistribution second, int draws, long seed)
static DistributionApproximation	cosInversion(TransformDistribution distribution, double lower, double upper, int bins, int terms)	Fourier-cosine density discretization on a caller-declared finite interval.
static DistributionApproximation	exactDiscreteConvolution(GenericDistribution... distributions)	Exact convolution of finite integer-valued atom-aware distributions.
static DistributionApproximation	fftConvolution(double[] first, double firstOrigin, double[] second, double secondOrigin, double step)	Linear (non-cyclic) FFT convolution of two equal-step probability grids.
static DistributionApproximation	panjerCompound(double a, double b, double countAtZero, double[] severity, int maximumLoss)	Panjer (a,b,0) recursion; countAtZero is P(N=0), including severity mass at zero.
static DistributionApproximation	product(GenericDistribution first, GenericDistribution second, int draws, long seed)
static DistributionApproximation	ratio(GenericDistribution numerator, GenericDistribution denominator, int draws, long seed)
static DistributionApproximation	scenario(GenericDistribution base, DistributionAggregation.ScenarioTransformation transformation, int draws, long seed)	Applies caller-supplied scenarios to a base law with explicit seed provenance.
static DistributionApproximation	weightedSum(GenericDistribution[] distributions, double[] weights, int draws, long seed)

Methods inherited from class java.lang.Object

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

Method Details

convolution

public static DistributionApproximation convolution(GenericDistribution first,
 GenericDistribution second,
 int draws,
 long seed)

exactDiscreteConvolution

public static DistributionApproximation exactDiscreteConvolution(GenericDistribution... distributions)

Exact convolution of finite integer-valued atom-aware distributions.

fftConvolution

public static DistributionApproximation fftConvolution(double[] first,
 double firstOrigin,
 double[] second,
 double secondOrigin,
 double step)

Linear (non-cyclic) FFT convolution of two equal-step probability grids.

panjerCompound

public static DistributionApproximation panjerCompound(double a,
 double b,
 double countAtZero,
 double[] severity,
 int maximumLoss)

Panjer (a,b,0) recursion; countAtZero is P(N=0), including severity mass at zero.

cosInversion

public static DistributionApproximation cosInversion(TransformDistribution distribution,
 double lower,
 double upper,
 int bins,
 int terms)

Fourier-cosine density discretization on a caller-declared finite interval.

weightedSum

public static DistributionApproximation weightedSum(GenericDistribution[] distributions,
 double[] weights,
 int draws,
 long seed)

compoundSum

public static DistributionApproximation compoundSum(GenericDistribution count,
 GenericDistribution severity,
 int draws,
 int maximumCount,
 long seed)

product

public static DistributionApproximation product(GenericDistribution first,
 GenericDistribution second,
 int draws,
 long seed)

ratio

public static DistributionApproximation ratio(GenericDistribution numerator,
 GenericDistribution denominator,
 int draws,
 long seed)

scenario

public static DistributionApproximation scenario(GenericDistribution base,
 DistributionAggregation.ScenarioTransformation transformation,
 int draws,
 long seed)

Applies caller-supplied scenarios to a base law with explicit seed provenance.