VaR (Value at Risk) calculation

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VaR (Value at Risk) calculation

filipa.andrade
Hi,

I am interested in calculating VaR using QuantLib in a project written in C#.
I found a class containing the method: valueAtRisk (Real percentile)
but could not (yet) understand how to use it and if it is the adequate
one. In C# SWIG I cannot find the class that implements this method.

I would appreciate some help in this matter.

Thanks in advance :)

Filipa Andrade

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