deltagammavar.hpp File Reference

functions to compute delta or delta-gamma VaR numbers More...

#include <qle/math/covariancesalvage.hpp>
#include <ql/math/comparison.hpp>
#include <ql/math/array.hpp>
#include <ql/math/matrix.hpp>
#include <ql/math/matrixutilities/choleskydecomposition.hpp>
#include <ql/math/matrixutilities/pseudosqrt.hpp>
#include <ql/math/randomnumbers/rngtraits.hpp>
#include <boost/accumulators/accumulators.hpp>
#include <boost/accumulators/statistics/stats.hpp>
#include <boost/accumulators/statistics/tail_quantile.hpp>
#include <boost/foreach.hpp>

Go to the source code of this file.

Namespaces
namespace	QuantExt
namespace	QuantExt::detail

Functions
Real	deltaVar (const Matrix &omega, const Array &delta, const Real p, const CovarianceSalvage &sal=NoCovarianceSalvage())
	function that computes a delta VaR More...
Real	deltaGammaVarNormal (const Matrix &omega, const Array &delta, const Matrix &gamma, const Real p, const CovarianceSalvage &sal=NoCovarianceSalvage())
	function that computes a delta-gamma normal VaR More...
template<class RNG >
Real	deltaGammaVarMc (const Matrix &omega, const Array &delta, const Matrix &gamma, const Real p, const Size paths, const Size seed, const CovarianceSalvage &sal=NoCovarianceSalvage())
	function that computes a delta-gamma VaR using Monte Carlo (single quantile) More...
template<class RNG >
std::vector< Real >	deltaGammaVarMc (const Matrix &omega, const Array &delta, const Matrix &gamma, const std::vector< Real > &p, const Size paths, const Size seed, const CovarianceSalvage &sal=NoCovarianceSalvage())
	function that computes a delta-gamma VaR using Monte Carlo (multiple quantiles) More...
void	check (const Real p)
void	check (const Matrix &omega, const Array &delta)
void	check (const Matrix &omega, const Array &delta, const Matrix &gamma)
template<typename A >
Real	absMax (const A &a)
Real	deltaGammaVarCornishFisher (const Matrix &omega, const Array &delta, const Matrix &gamma, const Real p, const CovarianceSalvage &sal)
Real	deltaGammaVarSaddlepoint (const Matrix &omega, const Array &delta, const Matrix &gamma, const Real p, const CovarianceSalvage &sal)

Detailed Description

functions to compute delta or delta-gamma VaR numbers

Definition in file deltagammavar.hpp.