Dear Dabashis,
I also didn't received the riskstats.cpp file Javit mentioned.
But I guess it would be the file included in test-suite directory of the QuantLib code distribution.
I agree with Javit about starting the project.
As you may see, riskstats.cpp file consists of a lot of test procedures such like
calculating statistical moments, VaR, (expected) shortfall, and so on.
It would be very helpful for beginers as well as would give good guide lines for the future directions.
This kind of test-driven development methodology seems to be the best way for us, I think.
By the way, I don't know by which processes were defined those various pricing engines and the instrument classes.
As you know, QuantLib has been implemented cases by cases with a lot of contributors.
Liuigi and Ametrano can only answer the question about the QuantLib development processes.
But we can take useful discriptions from Luigi's "Implementing QuantLib" (
http://quantlib.org/docs.shtml )
I guess Luigi and other QuantLib members from StatPro might be quite familiar with our circumstances.
For StatPro (
http://www.statpro.com/ ) is a financial system cosulting company especially for risk management,
and QuantLib is originally started from the source codes they opened.
Best,
Charles.
--------- 원본 메일 ---------
보낸이: "Debashis Dutta" <dutt.debashis@gmail.com>
날짜: 2008년 9월 01일 월요일, 오전 06시 19분 14초 +0900
제목: Re: [Quantlib-users] VAR Methodology
받는이: "Cavit Hafizoglu" <ch5kd@virginia.edu>
함께받는이: ajain321@yahoo.com, javit <cavit@virginia.edu>, ordeeq@hanmail.net, quantlib-users@lists.sourceforge.net
편지내용 시작
Hi Javit & All Project Memers,
I have hot received your mail about the riskstats.cpp file you talked about. Please resend the same to me and other project members who have not received the same.
While in VaR, there are basically two approaches, parametric and non-parametric.Parametric VaR like VCV VaR requires variance covariance matrix, where codes can pay a lot making validation rule for making it positve semi definitive etc. Here many things we can play in code and add value to real practitioners as well as researchers.
While non-parametric VaR like Historical Simulation and Monte Carlo VaR does not requires parameters, HS requires data. While Basel II stipulates atleast 1 year data, the ideal is 3 to 5 years data for Historical Simulation as it seen empirically. But here code can not play much unless we use bootstrapped Historical Simulation VaR to handle data scarcity.
While I agree with Javit, Monte Carlo a little straight forward to implement and a good candidate as a VaR as it tackles path dependency, fat tails, non-linearity and optionality. But we need to fix the methodological issues at the beginning. We must have clarity regarding
1. Whether we shall choose intitally Monte Carl with Single risk factor or multiple risk factors
2, Which Variance Reduction Techniques
After we freeze these issues , we could move forward.
I think it is a good idea of Jevit we should share the instruments and then implement our solutions piece by piece.But I believe before actually kick start the project, a quick step by step approach regarding existing development life cycle defining various pricing engines, processes and the instrument classes to all project members could be a good beginning.
So I propose initial briefing to all project members about existing development process with example codes and other briefing regarding engines.The we fix methodologies and thereafter devolve a distributed process for developement.
Charles is also back on the project and he is also a good resource at it as he contributed to South Korean Calender in Quantlib version 0.9.6.
Wish all Project Members the best,
Kind Regards,
Debashis
On 31/08/2008, Cavit Hafizoglu < ch5kd@virginia.edu > wrote:
Dear project members,
I'm not sure if you recevied my e-mail about the riskstats.cpp file. In case, that is the file where some statistical functions are implemented. It would be helpful to read the source code for a beginning.
The next thing is to decide what to implement as a VaR methodology. I am in favor of Monte Carlo VaR which I think would be easier to implement, but I think we should discuss this further.
Quantlib has a very beatifully structured design. We have to get familiar with various pricing engines, processes and the instrument classes. Then, the next step is to discuss how to implement VaR. I would recommend reading source codes in the test-suite. Maybe, we should share the instruments and then implement our solutions piece by piece.
Let me know what you think.
Thank you,
Javit
On Thu, Aug 28, 2008 at 4:15 AM, Alok Jain < ajain321@yahoo.com > wrote:
That would be a great project. Include me if a project plan is in play. I can throw in my 2 cents.
--- On Wed, 8/27/08, Debashis Dutta < dutt.debashis@gmail.com > wrote:
From: Debashis Dutta < dutt.debashis@gmail.com >
Subject: Re: [Quantlib-users] VAR Methodology
To: "javit" < cavit@virginia.edu >
Cc: quantlib-users@lists.sourceforge.net
Date: Wednesday, August 27, 2008, 12:44 PM
Hi Cavit,
Please include me in the project for developing Quantlib in VaR calculation
I am very interested in it as I am a little attached to development of VaR Models , as I developed and empirically tested different VaR Models including POT model and back testing in Matlab as part of my doctoral dissertation as well as I am presently involved in developing and implementing Matlab-based VaR models in some banks in GCC region. So it would be an immense learning experience for me.But I need guidance for Quantlib development as I have never developed anything in Quantlib.
I suggest let us first make an implementation plan step wise for developing QuantLib in VaR calculation and then let us work together. We can also post our progress/queries time to time regarding developent for having advice/suggestions from our friends in Quantlib Fraternity.
So Let us start and Cheers!
Kind Regards,
Debashis
On 26/08/2008, javit < cavit@virginia.edu > wrote:
I'm very interested in developing QuantLib in VaR calculations. Please feel
free to contact me if you plan on any projects.
Thank you,
Cavit (Javit) Hafizoglu
Ferdinando Ametrano wrote:
>
> On Thu, Aug 14, 2008 at 3:11 PM, ssykowski < scott@athenainvsys.com > wrote:
>> We are evaluating different risk libraries for VaR. Can anyone point me
>> to
>> the details of the approach used by QuantLib.
>
> there is not a proper VAR model in QuantLib, only the ability for a
> statistic accumulator to calculate VAR and assorted tail risk measures
> for a given observed distribution, with and without Gaussian
> assumption
>
> ciao -- Nando
>
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