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GaussianStatistics Class Template Reference#include <ql/Math/gaussianstatistics.hpp>
Detailed Descriptiontemplate<class Stat>
Statistics tool for gaussian-assumption risk measures.
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Public Member Functions | |
GaussianStatistics (const Stat &s) | |
Gaussian risk measures | |
Real | gaussianDownsideVariance () const |
Real | gaussianDownsideDeviation () const |
Real | gaussianRegret (Real target) const |
Real | gaussianPercentile (Real percentile) const |
Real | gaussianPotentialUpside (Real percentile) const |
gaussian-assumption Potential-Upside at a given percentile | |
Real | gaussianValueAtRisk (Real percentile) const |
gaussian-assumption Value-At-Risk at a given percentile | |
Real | gaussianExpectedShortfall (Real percentile) const |
gaussian-assumption Expected Shortfall at a given percentile | |
Real | gaussianShortfall (Real target) const |
gaussian-assumption Shortfall (observations below target) | |
Real | gaussianAverageShortfall (Real target) const |
gaussian-assumption Average Shortfall (averaged shortfallness) |
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returns the downside variance, defined as
, where |
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returns the downside deviation, defined as the square root of the downside variance. |
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returns the variance of observations below target
See Dembo, Freeman "The Rules Of Risk", Wiley (2001) |
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gaussian-assumption y-th percentile, defined as the value x such that
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gaussian-assumption Potential-Upside at a given percentile
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gaussian-assumption Value-At-Risk at a given percentile
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gaussian-assumption Expected Shortfall at a given percentile Assuming a gaussian distribution it returns the expected loss in case that the loss exceeded a VaR threshold,
that is the average of observations below the given percentile See Artzner, Delbaen, Eber and Heath, "Coherent measures of risk", Mathematical Finance 9 (1999) |
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