howt to implement VaR?

[tangray-2]

Hello,

I want to implement the VaR.Could someone please
point me to the relevant example or unit test to get me started,
 Any other comments or hints would of course be
greatly appreciated!

best regards
tangray

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[Luigi Ballabio]

On Fri, 2010-10-08 at 10:58 +0800, tangray wrote:
> I want to implement the VaR.Could someone please
> point me to the relevant example or unit test to get me started

The RiskStatistics class can calculate VaR given a series of
observations (see <ql/math/statistics/riskstatistics.hpp>.)
I'm afraid that's all the VaR-related code in the library.

Luigi


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