VaR using Monte Carlo simulations

Posted by nche on Aug 08, 2011; 6:47pm
URL: http://quantlib.414.s1.nabble.com/VaR-using-Monte-Carlo-simulations-tp257.html

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 [phone]

[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
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users