quant::risk Namespace Reference

Simple VaR/CVaR computation utilities. More...

Classes
struct	BacktestStats
struct	VarEs

Functions
BacktestStats	kupiec_christoffersen (const std::vector< int > &exceptions, double alpha)
VarEs	var_cvar_from_pnl (const std::vector< double > &pnl, double alpha)
VarEs	var_cvar_gbm (double spot, double mu, double sigma, double horizon_years, double position, unsigned long num_sims, unsigned long seed, double alpha)
VarEs	var_cvar_portfolio (const std::vector< double > &mu, const std::vector< double > &sigma, const std::vector< double > &corr, const std::vector< double > &weights, double horizon_years, unsigned long num_sims, unsigned long seed, double alpha)
VarEs	var_cvar_t (double mu, double sigma, double nu, double horizon_years, double position, unsigned long num_sims, unsigned long seed, double alpha)

Detailed Description

Simple VaR/CVaR computation utilities.

Function Documentation

kupiec_christoffersen()

BacktestStats quant::risk::kupiec_christoffersen	(	const std::vector< int > &	exceptions,
		double	alpha
	)

var_cvar_from_pnl()

VarEs quant::risk::var_cvar_from_pnl	(	const std::vector< double > &	pnl,
		double	alpha
	)

var_cvar_gbm()

VarEs quant::risk::var_cvar_gbm	(	double	spot,
		double	mu,
		double	sigma,
		double	horizon_years,
		double	position,
		unsigned long	num_sims,
		unsigned long	seed,
		double	alpha
	)

var_cvar_portfolio()

VarEs quant::risk::var_cvar_portfolio	(	const std::vector< double > &	mu,
		const std::vector< double > &	sigma,
		const std::vector< double > &	corr,
		const std::vector< double > &	weights,
		double	horizon_years,
		unsigned long	num_sims,
		unsigned long	seed,
		double	alpha
	)

var_cvar_t()

quant::risk::VarEs quant::risk::var_cvar_t	(	double	mu,
		double	sigma,
		double	nu,
		double	horizon_years,
		double	position,
		unsigned long	num_sims,
		unsigned long	seed,
		double	alpha
	)