Uses of Class
com.quantfinlib.risk.StressTester.ReverseStress

Packages that use StressTester.ReverseStress

Package	Description
com.quantfinlib.risk	Risk measurement, decomposition, limits and model validation.

Uses of StressTester.ReverseStress in com.quantfinlib.risk

Methods in com.quantfinlib.risk that return StressTester.ReverseStress

Modifier and Type	Method	Description
static StressTester.ReverseStress	StressTester.reverseStress(double[] exposures, double[][] covariance, double targetLoss)	The most-probable factor move (under Gaussian factors with covariance Σ) that loses exactly targetLoss on a linear book — closed form, no search.