VAR Calculations

Posted by Arva Williams-Clarke on Oct 08, 2003; 3:32am
URL: http://quantlib.414.s1.nabble.com/VAR-Calculations-tp2708.html

Hi
I am new to quatllib and VAR
I am trying to understand the VAR function in QuantlibXL i.e:
qlValueAtRisk(percentile,mean,variance)
This notation seems to be a little bit different
Mean of what?
How come variance instead of standard deviation?
Is there any reference book/paper I can use to get a better handle on
terminology etc. used in Quantlib VAR?
Thanks for your patience
Regards
Chris Clarke