Re: VaR using Monte Carlo simulations

Posted by simone pilozzi on Aug 10, 2011; 12:29pm
URL: http://quantlib.414.s1.nabble.com/VaR-using-Monte-Carlo-simulations-tp257p258.html

Hi,

where did you get QLnet? 

The domain seems to have been sold by the owner....

http://www.qlnet.org/

I am interested as well in MC VaR but  I am not aware of any implementation.

Regards 

On 8 August 2011 20:47, Nchekwube Wadike <[hidden email]> wrote:

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 <a href="tel:%2B34%20%28933%29%20000%20134" target="_blank" value="[phone]">[phone]

[hidden email]
http://www.otcfin.com

 

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