RiskStatistics_old Class Reference#include <riskstatistics.hpp>
List of all members.
Detailed Description
Risk analysis tool.
It can accumulate a set of data and return statistics as mean, variance, std. deviation, skewness, kurtosis, plus risk quantities as Value-At-Risk, Expected Shortfall, Shortfall, Average Shortfall, etc under gaussian assumption
- Deprecated:
- use IncrementalGaussianStatistics or Statistics instead
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Public Member Functions |
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Size | samples () const |
double | weightSum () const |
double | mean () const |
double | variance () const |
double | standardDeviation () const |
double | errorEstimate () const |
double | skewness () const |
double | kurtosis () const |
double | min () const |
double | max () const |
double | potentialUpside (double percentile) const |
| returns the Potential-Upside at a given percentile
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double | valueAtRisk (double percentile) const |
| returns the Value-At-Risk at a given percentile
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double | expectedShortfall (double percentile) const |
| returns the Expected Shortfall at a given percentile
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double | shortfall (double target) const |
| returns the Shortfall (observations below target)
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double | averageShortfall (double target) const |
| returns the Average Shortfall (averaged shortfallness)
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void | add (double value, double weight=1.0) |
template<class DataIterator> void | addSequence (DataIterator begin, DataIterator end) |
template<class DataIterator, class WeightIterator> void | addSequence (DataIterator begin, DataIterator end, WeightIterator wbegin) |
| adds a sequence of data to the set, each with its weight
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void | reset () |
Member Function Documentation
void add |
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double |
value, |
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double |
weight = 1.0 |
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- Precondition:
- weights must be positive or null
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The documentation for this class was generated from the following file:
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