Risk analysis using QuantLib
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Risk analysis using QuantLib
 
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Hi everyone, Regards,Is there a standard way to do basic risk analysis/optimisation using QuantLib? I am thinking about exposing some risk metrics, e.g. VaR, StdDev of payout, etc. in say a year from the valuation date (or some defined date, or maturity of the instrument, etc.), so at least one could do basic mean-variance type of optimisation with VaR constraints in Excel (I don't want to optimize this stuff automatically, just expose appropriate metrics). Grzegorz ------------------------------------------------------------------------------ How ServiceNow helps IT people transform IT departments: 1. A cloud service to automate IT design, transition and operations 2. Dashboards that offer high-level views of enterprise services 3. A single system of record for all IT processes http://p.sf.net/sfu/servicenow-d2d-j _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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Hi,
did you look at: ql/math/statistics/* ----- Original Message ----- From: "Grześ Andruszkiewicz" <[hidden email]> To: [hidden email] Sent: Thursday, 6 June, 2013 12:09:47 PM Subject: [Quantlib-dev] Risk analysis using QuantLib Hi everyone, Is there a standard way to do basic risk analysis/optimisation using QuantLib? I am thinking about exposing some risk metrics, e.g. VaR, StdDev of payout, etc. in say a year from the valuation date (or some defined date, or maturity of the instrument, etc.), so at least one could do basic mean-variance type of optimisation with VaR constraints in Excel (I don't want to optimize this stuff automatically, just expose appropriate metrics). Regards, Grzegorz ------------------------------------------------------------------------------ How ServiceNow helps IT people transform IT departments: 1. A cloud service to automate IT design, transition and operations 2. Dashboards that offer high-level views of enterprise services 3. A single system of record for all IT processes http://p.sf.net/sfu/servicenow-d2d-j _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev ------------------------------------------------------------------------------ How ServiceNow helps IT people transform IT departments: 1. A cloud service to automate IT design, transition and operations 2. Dashboards that offer high-level views of enterprise services 3. A single system of record for all IT processes http://p.sf.net/sfu/servicenow-d2d-j _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: Risk analysis using QuantLib
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Yes, the stuff in ql/math/statistics all we have. It provides the
statistics functions (VaR etc) but leaves it to you to produce the data. Luigi On Thu, Jun 6, 2013 at 12:26 PM, <[hidden email]> wrote: > Hi, > did you look at: > ql/math/statistics/* > > ----- Original Message ----- > From: "Grześ Andruszkiewicz" <[hidden email]> > To: [hidden email] > Sent: Thursday, 6 June, 2013 12:09:47 PM > Subject: [Quantlib-dev] Risk analysis using QuantLib > > > > > Hi everyone, > > Is there a standard way to do basic risk analysis/optimisation using QuantLib? I am thinking about exposing some risk metrics, e.g. VaR, StdDev of payout, etc. in say a year from the valuation date (or some defined date, or maturity of the instrument, etc.), so at least one could do basic mean-variance type of optimisation with VaR constraints in Excel (I don't want to optimize this stuff automatically, just expose appropriate metrics). > > Regards, > Grzegorz > > ------------------------------------------------------------------------------ > How ServiceNow helps IT people transform IT departments: > 1. A cloud service to automate IT design, transition and operations > 2. Dashboards that offer high-level views of enterprise services > 3. A single system of record for all IT processes > http://p.sf.net/sfu/servicenow-d2d-j > _______________________________________________ > QuantLib-dev mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > ------------------------------------------------------------------------------ > How ServiceNow helps IT people transform IT departments: > 1. A cloud service to automate IT design, transition and operations > 2. Dashboards that offer high-level views of enterprise services > 3. A single system of record for all IT processes > http://p.sf.net/sfu/servicenow-d2d-j > _______________________________________________ > QuantLib-dev mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-dev ------------------------------------------------------------------------------ How ServiceNow helps IT people transform IT departments: 1. A cloud service to automate IT design, transition and operations 2. Dashboards that offer high-level views of enterprise services 3. A single system of record for all IT processes http://p.sf.net/sfu/servicenow-d2d-j _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: Risk analysis using QuantLib
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Thanks, I will look at it at my earliest convenience. On 7 June 2013 15:34, Luigi Ballabio <[hidden email]> wrote: Yes, the stuff in ql/math/statistics all we have. It provides the ------------------------------------------------------------------------------ How ServiceNow helps IT people transform IT departments: 1. A cloud service to automate IT design, transition and operations 2. Dashboards that offer high-level views of enterprise services 3. A single system of record for all IT processes http://p.sf.net/sfu/servicenow-d2d-j _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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