risk.cpp File Reference

#include "quant/risk.hpp"
#include "quant/math.hpp"
#include <pcg_random.hpp>
#include <algorithm>
#include <cmath>
#include <random>
#include <vector>

Include dependency graph for risk.cpp:

Namespaces
namespace	quant
	Barrier option primitives and configuration.
namespace	quant::risk
	Simple VaR/CVaR computation utilities.

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