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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
// $Id: RiskStatistics.i,v 1.13 2002/01/16 14:50:51 nando Exp $
#ifndef quantlib_risk_statistics_i
#define quantlib_risk_statistics_i
%include Vectors.i
%{
using QuantLib::RiskStatistics;
using QuantLib::Math::RiskMeasures;
%}
class RiskMeasures {
public:
RiskMeasures();
~RiskMeasures();
double potentialUpside(double percentile, double mean, double std) const ;
double valueAtRisk(double percentile, double mean, double std) const ;
double shortfall(double target, double mean, double std) const ;
double averageShortfall(double target, double mean, double std) const ;
};
class RiskStatistics {
public:
RiskStatistics();
virtual ~RiskStatistics();
// Accessors
/* Size */ int samples() const;
double weightSum() const;
double mean() const;
double variance() const;
double standardDeviation() const;
double errorEstimate() const;
double skewness() const;
double kurtosis() const;
double min() const;
double max() const;
double potentialUpside(double percentile) const;
double valueAtRisk(double percentile) const;
double expectedShortfall(double percentile) const;
double shortfall(double target) const;
double averageShortfall(double target) const;
// Modifiers
void add(double value, double weight = 1.0);
void reset();
};
%addmethods RiskStatistics {
void addSequence(DoubleVector values) {
self->addSequence(values.begin(), values.end());
}
void addWeightedSequence(DoubleVector values, DoubleVector weights) {
self->addSequence(values.begin(), values.end(), weights.begin());
}
}
#endif
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