QuantLib 0.3.3
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Introduction to QuantLib
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Reference manual
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RiskMeasures Class Reference#include <riskmeasures.hpp>
List of all members.
Detailed Description
- Deprecated:
- use Statistics instead
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Public Member Functions |
template<class DataIterator> double | percentile (double percentile, DataIterator begin, DataIterator end) const |
double | gaussianPercentile (double percentile, double mean, double std) const |
template<class DataIterator> double | potentialUpside (double percentile, DataIterator begin, DataIterator end) const |
double | gaussianPotentialUpside (double percentile, double mean, double std) const |
template<class DataIterator> double | valueAtRisk (double percentile, DataIterator begin, DataIterator end) const |
double | gaussianValueAtRisk (double percentile, double mean, double std) const |
double | gaussianExpectedShortfall (double percentile, double mean, double std) const |
double | gaussianShortfall (double target, double mean, double std) const |
double | gaussianAverageShortfall (double target, double mean, double std) const |
Member Function Documentation
double percentile |
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double |
percentile, |
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DataIterator |
begin, |
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DataIterator |
end |
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const |
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- Precondition:
- percentile must be in range (0%-100%]
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double gaussianPercentile |
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double |
percentile, |
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double |
mean, |
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double |
std |
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const |
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- Precondition:
- percentile must be in range (0%-100%) extremes excluded
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double potentialUpside |
( |
double |
percentile, |
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DataIterator |
begin, |
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DataIterator |
end |
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) |
const |
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- Precondition:
- y must be in range [90%-100%)
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double gaussianPotentialUpside |
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double |
percentile, |
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double |
mean, |
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double |
std |
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) |
const |
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- Precondition:
- percentile must be in range [90%-100%)
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double valueAtRisk |
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double |
percentile, |
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DataIterator |
begin, |
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DataIterator |
end |
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) |
const |
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- Precondition:
- y must be in range [90%-100%)
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double gaussianValueAtRisk |
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double |
percentile, |
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double |
mean, |
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double |
std |
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) |
const |
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- Precondition:
- percentile must be in range [90%-100%)
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double gaussianExpectedShortfall |
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double |
percentile, |
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double |
mean, |
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double |
std |
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) |
const |
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- Precondition:
- percentile must be in range 90%-100%
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The documentation for this class was generated from the following file:
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