VAR Methodology

Posted by ssykowski on Aug 14, 2008; 1:11pm
URL: http://quantlib.414.s1.nabble.com/VAR-Methodology-tp6588.html

We are evaluating different risk libraries for VaR. Can anyone point me to the details of the approach used by QuantLib.  My apologies in advance if this was obvious in the docs, and I missed it.