Uses of Package
com.quantfinlib.risk
Packages that use com.quantfinlib.risk
Package
Description
Market data transport, two lanes:
Professional report generation, all writers hand-rolled on the JDK:
ReportGenerator assembles portfolio,
performance, risk, allocation, trade, Monte Carlo and technical sections
into a Report, exported as HTML (with
inline SvgCharts equity/drawdown charts),
CSV, PDF, or XLSX.Risk: measurement, decomposition, credit/limits, and model validation.
Order entry, two lanes (mirroring
marketdata):-
Classes in com.quantfinlib.risk used by com.quantfinlib.marketdata
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Classes in com.quantfinlib.risk used by com.quantfinlib.reportClassDescriptionMulti-asset portfolio of positions with live price updates.Full risk report.
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Classes in com.quantfinlib.risk used by com.quantfinlib.riskClassDescriptionCounterparty credit exposure modeling with netting: Current exposure — max(0, net mark-to-market) per netting set. Potential future exposure — notional add-ons by tenor bucket (BIS current-exposure-method style FX factors: <1y 1%, 1–5y 5%, >5y 7.5%).A fitted POT tail model.The Basel backtesting traffic light over 250 days of 99% VaR exceptions: GREEN ≤ 4 (model fine), AMBER 5-9 (capital multiplier rises), RED ≥ 10 (model presumed wrong).The PLAT verdict for one desk over one window.Multi-asset portfolio of positions with live price updates.Full risk report.Pre-trade risk gate: validates every order against configured limits before it reaches the market — order size, notional, resulting position, price collar versus a reference mid, restricted symbols, and counterparty credit headroom.Pluggable risk metric over a periodic return series.Custom Risk Metrics Framework: registry of built-in and user-defined risk metrics, evaluated together over a return series.One settlement instruction pair: we pay one leg and receive the other.The reverse-stress answer: the most-probable shock vector and its distance.Revalues the book under one scenario's factor moves.VaR and ES from Gaussian Monte Carlo factor scenarios.
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Classes in com.quantfinlib.risk used by com.quantfinlib.tradingClassDescriptionPre-trade risk gate: validates every order against configured limits before it reaches the market — order size, notional, resulting position, price collar versus a reference mid, restricted symbols, and counterparty credit headroom.