ql/Math/riskstatistics.hpp File Reference


Detailed Description

empirical-distribution risk measures

#include <ql/Math/functional.hpp>
#include <ql/Math/generalstatistics.hpp>
#include <ql/Math/gaussianstatistics.hpp>

Include dependency graph for riskstatistics.hpp:

Include dependency graph

Namespaces

namespace  QuantLib

Classes

class  GenericRiskStatistics
 empirical-distribution risk measures More...

Typedefs

typedef GaussianStatistics<
GenericRiskStatistics< GeneralStatistics > > 
RiskStatistics
 default risk measures tool

Typedef Documentation

typedef GaussianStatistics<GenericRiskStatistics<GeneralStatistics> > RiskStatistics
 

default risk measures tool

Tests:
the correctness of the returned values is tested by checking them against numerical calculations.


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