Statistics Value at risk

Posted by jojogh on
URL: http://quantlib.414.s1.nabble.com/Statistics-Value-at-risk-tp15687.html

Does any one used Statistics Value at risk function in QuantLib? I try to use the simple 250 PnL sample to test this function. The confidence level is 0.99, so the value should be between the second one and the third one. If the second one is -0.04 and the third one is -0.05, so the value is -(-0.04+(-0.05))/2=0.045. But, the quantlib value is always smaller than 0.045. Is that wrong with the calculation logic? I can not figure it out why the value is different. Any one could help me figure it out?

Best regards

Alex

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