QuantLib_GenericRiskStatistics

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Version: 379981 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

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NAME

QuantLib::GenericRiskStatistics -

empirical-distribution risk measures

SYNOPSIS


#include <ql/math/statistics/riskstatistics.hpp>

Inherits S.

Public Types


typedef S::value_type value_type

Public Member Functions


Real semiVariance () const

Real semiDeviation () const

Real downsideVariance () const

Real downsideDeviation () const

Real regret (Real target) const

Real potentialUpside (Real percentile) const
potential upside (the reciprocal of VAR) at a given percentile
Real valueAtRisk (Real percentile) const
value-at-risk at a given percentile
Real expectedShortfall (Real percentile) const
expected shortfall at a given percentile
Real shortfall (Real target) const

Real averageShortfall (Real target) const

Detailed Description

template<class S> class QuantLib::GenericRiskStatistics< S >

empirical-distribution risk measures

This class wraps a somewhat generic statistic tool and adds a number of risk measures (e.g.: value-at-risk, expected shortfall, etc.) based on the data distribution as reported by the underlying statistic tool.

Possible enhancements

add historical annualized volatility

Examples:

DiscreteHedging.cpp.

Member Function Documentation

Real semiVariance () constreturns the variance of observations below the mean, [ ac{N}{N-1} mathrm{E}

)^2 ;|; x <

ngle ight]. ]

See Markowitz (1959).

Real semiDeviation () constreturns the semi deviation, defined as the square root of the semi variance.

Real downsideVariance () constreturns the variance of observations below 0.0, [ ac{N}{N-1} mathrm{E}

al downsideDeviation () const"returns the downside deviation, defined as the square root of the downside variance.

Real regret (Real target) constreturns the variance of observations below target, [ ac{N}{N-1} mathrm{E}

e Dembo and Freeman, 'The Rules Of Risk', Wiley (2001).

Real potentialUpside (Real centile) const

potential upside (the reciprocal of VAR) at a given percentile Precondition:

percentile must be in range [90-100%)

Real valueAtRisk (Real centile) const

value-at-risk at a given percentile Precondition:

percentile must be in range [90-100%)

Real expectedShortfall (Real centile) const

expected shortfall at a given percentile returns the expected loss in case that the loss exceeded a VaR threshold,

[ mathrm{E}

average of observations below the given percentile $ p $. Also know as conditional value-at-risk.

See Artzner, Delbaen, Eber and Heath, 'Coherent measures of risk', Mathematical Finance 9 (1999)

Precondition:

percentile must be in range [90-100%)

Real shortfall (Real target) constprobability of missing the given target, defined as [ mathrm{E}

ta ;|; (-infty,infty) ight] ] where [ Theta(x) =

al averageShortfall (Real target) const"averaged shortfallness, defined as [ mathrm{E}

nerated automatically by Doxygen for QuantLib from the source code.

NAME
SYNOPSIS
Public Types
Public Member Functions
Detailed Description
template<class S> class QuantLib::GenericRiskStatistics< S >
Member Function Documentation
Real semiVariance () constreturns the variance of observations below the mean, [ ac{N}{N-1} mathrm{E}
)^2 ;|; x <
ngle ight]. ]
Real semiDeviation () constreturns the semi deviation, defined as the square root of the semi variance.
Real downsideVariance () constreturns the variance of observations below 0.0, [ ac{N}{N-1} mathrm{E}
al downsideDeviation () const"returns the downside deviation, defined as the square root of the downside variance.
Real regret (Real target) constreturns the variance of observations below target, [ ac{N}{N-1} mathrm{E}
e Dembo and Freeman, 'The Rules Of Risk', Wiley (2001).
Real potentialUpside (Real centile) const
Real valueAtRisk (Real centile) const
Real expectedShortfall (Real centile) const
Real shortfall (Real target) constprobability of missing the given target, defined as [ mathrm{E}
ta ;|; (-infty,infty) ight] ] where [ Theta(x) =
al averageShortfall (Real target) const"averaged shortfallness, defined as [ mathrm{E}