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VaR using Monte Carlo simulations

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nche

VaR using Monte Carlo simulations

Hi everyone.

I was wondering if anyone had implanted VaR calculation using the monte carlo method with Quant Lib? I saw a thread about a plan to implement it but couldn’t find out if it had been done.

If it’s not the case, I would be grateful if anyone could point me into the right direction. I am new to Quant Lib so I don’t really know where to start for a VaR implementation.

Regards,

PS: just to precise, I am using QLnet the C# version of QuantLib.

Nchekwube Wadike

c/ Pujades 158 bis, 1º1ª

08005 - Barcelona - Spain

Office +34 (933) 000 134

[hidden email]
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simone pilozzi

Re: VaR using Monte Carlo simulations

Hi,

where did you get QLnet?

The domain seems to have been sold by the owner....

http://www.qlnet.org/

I am interested as well in MC VaR but I am not aware of any implementation.

Regards

On 8 August 2011 20:47, Nchekwube Wadike <[hidden email]> wrote:

Hi everyone.

I was wondering if anyone had implanted VaR calculation using the monte carlo method with Quant Lib? I saw a thread about a plan to implement it but couldn’t find out if it had been done.

If it’s not the case, I would be grateful if anyone could point me into the right direction. I am new to Quant Lib so I don’t really know where to start for a VaR implementation.

Regards,

PS: just to precise, I am using QLnet the C# version of QuantLib.

Nchekwube Wadike

c/ Pujades 158 bis, 1º1ª

08005 - Barcelona - Spain

Office <a href="tel:%2B34%20%28933%29%20000%20134" target="_blank" value="+34933000134">+34 (933) 000 134

[hidden email]
http://www.otcfin.com

------------------------------------------------------------------------------
BlackBerry® DevCon Americas, Oct. 18-20, San Francisco, CA
The must-attend event for mobile developers. Connect with experts.
Get tools for creating Super Apps. See the latest technologies.
Sessions, hands-on labs, demos & much more. Register early & save!
http://p.sf.net/sfu/rim-blackberry-1
_______________________________________________
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[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

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nche

Re: VaR using Monte Carlo simulations

Hi,

It is on SourceForge now: http://sourceforge.net/projects/qlnet/ .

MC VaR is not implemented though because QuantLib focuses more on pricing (thanks Edouard Tallent) and finally I think Qlnet is overkill for what I need.

Regards,

Nchekwube

From: simone pilozzi [mailto:[hidden email]]
Sent: Wednesday, August 10, 2011 2:30 PM
To: Nchekwube Wadike
Cc: [hidden email]
Subject: Re: [Quantlib-users] VaR using Monte Carlo simulations

Hi,

where did you get QLnet?

The domain seems to have been sold by the owner....

http://www.qlnet.org/

I am interested as well in MC VaR but I am not aware of any implementation.

Regards

On 8 August 2011 20:47, Nchekwube Wadike <[hidden email]> wrote:

Hi everyone.

I was wondering if anyone had implanted VaR calculation using the monte carlo method with Quant Lib? I saw a thread about a plan to implement it but couldn’t find out if it had been done.

If it’s not the case, I would be grateful if anyone could point me into the right direction. I am new to Quant Lib so I don’t really know where to start for a VaR implementation.

Regards,

PS: just to precise, I am using QLnet the C# version of QuantLib.

Nchekwube Wadike