Re: [Quantlib-dev] Risk analysis using QuantLib

[<ja...@fr...>]

Hi, 
did you look at:
ql/math/statistics/*

----- Original Message -----
From: "Grześ Andruszkiewicz" <gan...@gm...>
To: qua...@li...
Sent: Thursday, 6 June, 2013 12:09:47 PM
Subject: [Quantlib-dev] Risk analysis using QuantLib




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 

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