Package org.drip.validation.distance

Class GapTestOutcome

java.lang.Object

org.drip.validation.distance.GapTestOutcome

public class GapTestOutcome
extends java.lang.Object

GapTestOutcome holds the Outcomes of a Distance Test of a Sample from the Hypothesis.

• Anfuso, F., D. Karyampas, and A. Nawroth (2017): A Sound Basel III Compliant Framework for Back-testing Credit Exposure Models https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2264620 eSSRN
• Diebold, F. X., T. A. Gunther, and A. S. Tay (1998): Evaluating Density Forecasts with Applications to Financial Risk Management, International Economic Review 39 (4) 863-883
• Kenyon, C., and R. Stamm (2012): Discounting, LIBOR, CVA, and Funding: Interest Rate and Credit Pricing Palgrave Macmillan
• Wikipedia (2018): Probability Integral Transform https://en.wikipedia.org/wiki/Probability_integral_transform
• Wikipedia (2019): p-value https://en.wikipedia.org/wiki/P-value

• Module = Computational Core Module
• Library = Model Validation Analytics Library
• Project = Risk Factor and Hypothesis Validation, Evidence Processing, and Model Testing
• Package = Hypothesis Target Distance Test Builders

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
GapTestOutcome(ProbabilityIntegralTransform probabilityIntegralTransformUnweighted, ProbabilityIntegralTransform probabilityIntegralTransformWeighted, double distance)	GapTestOutcome Constructor

Method Summary

Modifier and Type	Method	Description
double	distance()	Retrieve the Outcome Distance Metric
ProbabilityIntegralTransform	probabilityIntegralTransformUnweighted()	Retrieve the Probability Integral Transform of the Raw Gap Losses
ProbabilityIntegralTransform	probabilityIntegralTransformWeighted()	Retrieve the Probability Integral Transform of the Weighted Gap Losses

Methods inherited from class java.lang.Object

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

Constructor Details

GapTestOutcome

public GapTestOutcome(ProbabilityIntegralTransform probabilityIntegralTransformUnweighted,
ProbabilityIntegralTransform probabilityIntegralTransformWeighted,
double distance)
               throws java.lang.Exception

GapTestOutcome Constructor

Parameters:

probabilityIntegralTransformUnweighted - The Probability Integral Transform of the Raw Gap Losses

probabilityIntegralTransformWeighted - The Probability Integral Transform of the Weighted Gap Losses

distance - Distance Metric

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

probabilityIntegralTransformUnweighted

public ProbabilityIntegralTransform probabilityIntegralTransformUnweighted()

Retrieve the Probability Integral Transform of the Raw Gap Losses

Returns:

The Probability Integral Transform of the Raw Gap Losses

probabilityIntegralTransformWeighted

public ProbabilityIntegralTransform probabilityIntegralTransformWeighted()

Retrieve the Probability Integral Transform of the Weighted Gap Losses

Returns:

The Probability Integral Transform of the Weighted Gap Losses

distance

public double distance()

Retrieve the Outcome Distance Metric

Returns:

The Outcome Distance Metric