13 Jul 21:46
Re: VAR?
From: Harun Özkan <harunozkan <at> gmail.com>
Subject: Re: VAR?
Newsgroups: gmane.comp.finance.quantlib.user
Date: 2008-07-13 19:46:51 GMT
Subject: Re: VAR?
Newsgroups: gmane.comp.finance.quantlib.user
Date: 2008-07-13 19:46:51 GMT
Philip,
For analytic Value -at-Risk calculations, see
ql\math\statistics\riskstatistics.hpp. All downside risk measures are
there.
For log-normally distributed returns, you can start by having a look
at \ql\processes\geometricbrownianprocess.hpp. But, before you have to be
familiar with stochastic processes and their use in quantlib.
All the best.
----- Original Message -----From: Philip CorriherSent: Friday, July 11, 2008 7:59 PMSubject: [Quantlib-users] VAR?Hi,
I am a huge fan of you guys.
I am looking for a way to do a Value At Risk calculation as well as lognormally distributed returns etc.
Can you point me in the right direction on what tools to use?
Thanks!
Philip
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