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


Public Member Functions

Inspectors
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

double valueAtRisk (double percentile) const
 returns the Value-At-Risk at a given percentile

double expectedShortfall (double percentile) const
 returns the Expected Shortfall at a given percentile

double shortfall (double target) const
 returns the Shortfall (observations below target)

double averageShortfall (double target) const
 returns the Average Shortfall (averaged shortfallness)

Modifiers
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

void reset ()


Member Function Documentation

void add double  value,
double  weight = 1.0
 

Precondition:
weights must be positive or null


The documentation for this class was generated from the following file:
  • ql/riskstatistics.hpp

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