Hi,
It is on SourceForge now: http://sourceforge.net/projects/qlnet/ .
MC VaR is not implemented though because QuantLib focuses more on pricing (thanks Edouard Tallent) and finally I think Qlnet is overkill for what I need.
Regards,
Nchekwube
From: simone pilozzi [mailto:[hidden email]]
Sent: Wednesday, August 10, 2011 2:30 PM
To: Nchekwube Wadike
Cc: [hidden email]
Subject: Re: [Quantlib-users] VaR using Monte Carlo simulations
Hi,
where did you get QLnet?
The domain seems to have been sold by the owner....
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
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