risk.hpp File Reference

#include <vector>

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Classes
struct	quant::risk::BacktestStats
struct	quant::risk::VarEs

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)