Posted by Luigi Ballabio on URL: http://quantlib.414.s1.nabble.com/Statistics-Value-at-risk-tp15687p15701.html
What are you getting instead? May you post some sample code that
reproduces the issue?
Luigi
On Wed, Aug 6, 2014 at 6:20 PM, Yuanhao Zhang <[hidden email]> wrote:
> 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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