Uses of Record Class
com.quantfinlib.risk.VarEngine.VarResult

Packages that use VarEngine.VarResult

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

Uses of VarEngine.VarResult in com.quantfinlib.risk

Methods in com.quantfinlib.risk that return VarEngine.VarResult

Modifier and Type	Method	Description
static VarEngine.VarResult	VarEngine.filteredHistoricalVar(double[] exposures, double[][] factorReturns, double lambda, int burnIn, double confidence)	Filtered historical simulation (Hull and White 1998, J.
static VarEngine.VarResult	VarEngine.fullRevaluationVar(double[][] scenarios, VarEngine.ScenarioReval pricer, double confidence)	Full-revaluation VaR: every scenario repriced through the caller's pricer.
static VarEngine.VarResult	VarEngine.historicalVar(double[] exposures, double[][] factorReturns, double confidence)	Historical simulation: each row of factorReturns is one scenario replayed through the exposures.
static VarEngine.VarResult	VarEngine.monteCarloVar(double[] exposures, double[][] covariance, double confidence, int scenarios, long seed)