[Quantlib-dev] Risk analysis using QuantLib

[Grześ A. <gan...@gm...>]

Hi everyone,

Is there a standard way to do basic risk analysis/optimisation using
QuantLib? I am thinking about exposing some risk metrics, e.g. VaR, StdDev
of payout, etc. in say a year from the valuation date (or some defined
date, or maturity of the instrument, etc.), so at least one could do basic
mean-variance type of optimisation with VaR constraints in Excel (I don't
want to optimize this stuff automatically, just expose appropriate metrics).

Regards,
Grzegorz