Re: [Quantlib-dev] Risk analysis using QuantLib

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

Yes, the stuff in ql/math/statistics all we have.  It provides the
statistics functions (VaR etc) but leaves it to you to produce the
data.

Luigi


On Thu, Jun 6, 2013 at 12:26 PM,  <ja...@fr...> wrote:
> 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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