Re: [Quantlib-users] howt to implement VaR?

[Luigi B. <lui...@gm...>]

On Fri, 2010-10-08 at 10:58 +0800, tangray wrote:
> I want to implement the VaR.Could someone please
> point me to the relevant example or unit test to get me started

The RiskStatistics class can calculate VaR given a series of
observations (see <ql/math/statistics/riskstatistics.hpp>.)
I'm afraid that's all the VaR-related code in the library.

Luigi


-- 

The young man knows the rules, but the old man knows the exceptions. 
-- O. W. Holmes