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:
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Namespaces |
namespace | QuantLib |
Typedefs |
typedef GaussianStatistics<
GenericRiskStatistics< GeneralStatistics > > | RiskStatistics |
| default risk measures tool
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Typedef Documentation
typedef GaussianStatistics<GenericRiskStatistics<GeneralStatistics> > RiskStatistics |
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default risk measures tool
- Tests:
- the correctness of the returned values is tested by checking them against numerical calculations.
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