VaR Class Reference

List of all members.

Public Member Functions
double	historical (double alpha)
double	monte_carlo (double alpha)
double	simple (Distribution &dist, double alpha)
double	copula (Distribution &dist, double alpha)
Protected Attributes
vector< TimeSeries > &	ts
const vector< double > &	weights
double *	covariance

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Member Function Documentation

double VaR::historical

(

double

alpha

)

double VaR::monte_carlo

(

double

alpha

)

double VaR::simple	(	Distribution &	dist,
		double	alpha
	)

double VaR::copula	(	Distribution &	dist,
		double	alpha
	)

---

Member Data Documentation

vector<TimeSeries>& VaR::ts [protected]

const vector<double>& VaR::weights [protected]

double* VaR::covariance [protected]

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The documentation for this class was generated from the following file:

• src/Risk/var.cpp