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GaussianStatistics Class Template Reference#include <ql/Math/gaussianstatistics.hpp>
Detailed Descriptiontemplate<class Stat>
Statistics tool for gaussian-assumption risk measures.
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Public Member Functions | |
GaussianStatistics (const Stat &s) | |
Gaussian risk measures | |
double | gaussianDownsideVariance () const |
double | gaussianDownsideDeviation () const |
double | gaussianRegret (double target) const |
double | gaussianPercentile (double percentile) const |
double | gaussianPotentialUpside (double percentile) const |
gaussian-assumption Potential-Upside at a given percentile | |
double | gaussianValueAtRisk (double percentile) const |
gaussian-assumption Value-At-Risk at a given percentile | |
double | gaussianExpectedShortfall (double percentile) const |
gaussian-assumption Expected Shortfall at a given percentile | |
double | gaussianShortfall (double target) const |
gaussian-assumption Shortfall (observations below target) | |
double | gaussianAverageShortfall (double target) const |
gaussian-assumption Average Shortfall (averaged shortfallness) |
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returns the downside variance, defined as
, where |
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returns the downside deviation, defined as the square root of the downside variance. |
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returns the variance of observations below target
See Dembo, Freeman "The Rules Of Risk", Wiley (2001) |
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gaussian-assumption y-th percentile, defined as the value x such that
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gaussian-assumption Potential-Upside at a given percentile
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gaussian-assumption Value-At-Risk at a given percentile
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gaussian-assumption Expected Shortfall at a given percentile
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