GenericGaussianStatistics Class Template Reference
#include <ql/math/statistics/gaussianstatistics.hpp>
Detailed Description
template<class Stat>
class QuantLib::GenericGaussianStatistics< Stat >
Statistics tool for gaussian-assumption risk measures.
This class wraps a somewhat generic statistic tool and adds a number of gaussian risk measures (e.g.: value-at-risk, expected shortfall, etc.) based on the mean and variance provided by the underlying statistic tool.
Public Types | |
typedef Stat::value_type | value_type |
Public Member Functions | |
GenericGaussianStatistics (const Stat &s) | |
Gaussian risk measures | |
Real | gaussianDownsideVariance () const |
Real | gaussianDownsideDeviation () const |
Real | gaussianRegret (Real target) const |
Real | gaussianPercentile (Real percentile) const |
Real | gaussianTopPercentile (Real percentile) const |
Real | gaussianPotentialUpside (Real percentile) const |
gaussian-assumption Potential-Upside at a given percentile | |
Real | gaussianValueAtRisk (Real percentile) const |
gaussian-assumption Value-At-Risk at a given percentile | |
Real | gaussianExpectedShortfall (Real percentile) const |
gaussian-assumption Expected Shortfall at a given percentile | |
Real | gaussianShortfall (Real target) const |
gaussian-assumption Shortfall (observations below target) | |
Real | gaussianAverageShortfall (Real target) const |
gaussian-assumption Average Shortfall (averaged shortfallness) |
Member Function Documentation
Real gaussianDownsideVariance | ( | ) | const |
returns the downside variance, defined as
, where = 0 if x > 0 and
=1 if x <0
Real gaussianDownsideDeviation | ( | ) | const |
returns the downside deviation, defined as the square root of the downside variance.
Real gaussianRegret | ( | Real | target | ) | const |
returns the variance of observations below target
See Dembo, Freeman "The Rules Of Risk", Wiley (2001)
Real gaussianPercentile | ( | Real | percentile | ) | const |
gaussian-assumption y-th percentile, defined as the value x such that
Real gaussianTopPercentile | ( | Real | percentile | ) | const |
- Precondition:
- percentile must be in range (0-100%) extremes excluded
Real gaussianPotentialUpside | ( | Real | percentile | ) | const |
gaussian-assumption Potential-Upside at a given percentile
- Precondition:
- percentile must be in range [90-100%)
Real gaussianValueAtRisk | ( | Real | percentile | ) | const |
gaussian-assumption Value-At-Risk at a given percentile
- Precondition:
- percentile must be in range [90-100%)
Real gaussianExpectedShortfall | ( | Real | percentile | ) | const |
gaussian-assumption Expected Shortfall at a given percentile
Assuming a gaussian distribution it returns the expected loss in case that the loss exceeded a VaR threshold,
that is the average of observations below the given percentile . Also know as conditional value-at-risk.
See Artzner, Delbaen, Eber and Heath, "Coherent measures of risk", Mathematical Finance 9 (1999)