deltagammavar.cpp File Reference

#include <qle/math/deltagammavar.hpp>
#include <qle/math/trace.hpp>
#include <ql/math/comparison.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/matrixutilities/choleskydecomposition.hpp>
#include <ql/math/matrixutilities/symmetricschurdecomposition.hpp>
#include <ql/math/solvers1d/brent.hpp>

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Namespaces
namespace	QuantExt
namespace	QuantExt::detail

Functions
void	check (const Real p)
void	check (const Matrix &omega, const Array &delta)
void	check (const Matrix &omega, const Array &delta, const Matrix &gamma)
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...
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)