RiskMeasures Class Reference

#include <riskmeasures.hpp>

List of all members.


Detailed Description

Deprecated:
use Statistics instead


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 double  percentile,
DataIterator  begin,
DataIterator  end
const
 

Precondition:
percentile must be in range (0%-100%]

double gaussianPercentile double  percentile,
double  mean,
double  std
const
 

Precondition:
percentile must be in range (0%-100%) extremes excluded

double potentialUpside double  percentile,
DataIterator  begin,
DataIterator  end
const
 

Precondition:
y must be in range [90%-100%)

double gaussianPotentialUpside double  percentile,
double  mean,
double  std
const
 

Precondition:
percentile must be in range [90%-100%)

double valueAtRisk double  percentile,
DataIterator  begin,
DataIterator  end
const
 

Precondition:
y must be in range [90%-100%)

double gaussianValueAtRisk double  percentile,
double  mean,
double  std
const
 

Precondition:
percentile must be in range [90%-100%)

double gaussianExpectedShortfall double  percentile,
double  mean,
double  std
const
 

Precondition:
percentile must be in range 90%-100%


The documentation for this class was generated from the following file:

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