Re: [Quantlib-dev] Risk analysis using QuantLib

[Grześ A. <gan...@gm...>]

Thanks, I will look at it at my earliest convenience.


On 7 June 2013 15:34, Luigi Ballabio <lui...@gm...> wrote:

> 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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