Package jdistlib.finance

Class OptionInference.PosteriorEnsemble

java.lang.Object

jdistlib.finance.OptionInference.PosteriorEnsemble

Enclosing class:

OptionInference

public static final class OptionInference.PosteriorEnsemble
extends Object

Method Summary

Modifier and Type	Method	Description
NumericalEstimate	expectedShortfall(double level, RiskConvention convention)
String	getChainProvenance()
OptionInference.Measure	getMeasure()
long	getSeed()
DistributionApproximation	payoffDistribution(double strike, boolean call)
NumericalEstimate	tailProbability(double threshold, Tail tail)
DistributionApproximation	terminalPriceDistribution()
NumericalEstimate	valueAtRisk(double level, RiskConvention convention)

Methods inherited from class java.lang.Object

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

Method Details

getMeasure

public OptionInference.Measure getMeasure()

getSeed

public long getSeed()

getChainProvenance

public String getChainProvenance()

terminalPriceDistribution

public DistributionApproximation terminalPriceDistribution()

payoffDistribution

public DistributionApproximation payoffDistribution(double strike,
 boolean call)

tailProbability

public NumericalEstimate tailProbability(double threshold,
 Tail tail)

valueAtRisk

public NumericalEstimate valueAtRisk(double level,
 RiskConvention convention)

expectedShortfall

public NumericalEstimate expectedShortfall(double level,
 RiskConvention convention)