Posted by
japari on
Jun 06, 2013; 10:26am
URL: http://quantlib.414.s1.nabble.com/Risk-analysis-using-QuantLib-tp14343p14345.html
Hi,
did you look at:
ql/math/statistics/*
----- Original Message -----
From: "Grześ Andruszkiewicz" <
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To:
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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
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