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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.
*/
/*! \file riskstatistics.hpp
\brief Normal distribution risk analysis tool: VAR, (average) shortfall
\fullpath
ql/%riskstatistics.hpp
*/
// $Id: riskstatistics.hpp,v 1.7 2002/01/16 14:43:48 nando Exp $
#ifndef quantlib_risk_statistics_h
#define quantlib_risk_statistics_h
#include <ql/Math/statistics.hpp>
#include <ql/Math/riskmeasures.hpp>
namespace QuantLib {
//! Risk analysis tool
/*! It can accumulate a set of data and return risk quantities
as Value-At-Risk, Expected Shortfall,
Shortfall, Average Shortfall, plus statistic
quantitities as mean, variance, std. deviation, skewness, kurtosis.
*/
class RiskStatistics {
public:
//! \name Inspectors
//@{
// Statistics proxy methods
Size samples() const {return statistics_.samples(); }
double weightSum() const {return statistics_.weightSum(); }
double mean() const {return statistics_.mean(); }
double variance() const {return statistics_.variance(); }
double standardDeviation() const {
return statistics_.standardDeviation(); }
double errorEstimate() const {
return statistics_.errorEstimate(); }
double skewness() const {return statistics_.skewness(); }
double kurtosis() const {return statistics_.kurtosis(); }
double min() const {return statistics_.min(); }
double max() const {return statistics_.max(); }
// RiskMeasures proxy methods
//! returns the Potential-Up-Front at a given percentile
double potentialUpside(double percentile) const {
return riskMeasures_.potentialUpside(percentile,
statistics_.mean(),
statistics_.standardDeviation());
}
//! returns the Value-At-Risk at a given percentile
double valueAtRisk(double percentile) const {
return riskMeasures_.valueAtRisk(percentile,
statistics_.mean(),
statistics_.standardDeviation());
}
//! returns the Expected Shortfall at a given percentile
double expectedShortfall(double percentile) const {
return riskMeasures_.expectedShortfall(percentile,
statistics_.mean(),
statistics_.standardDeviation());
}
//! returns the Shortfall (observations below target)
double shortfall( double target ) const {
return riskMeasures_.shortfall(target,
statistics_.mean(),
statistics_.standardDeviation());
}
//! returns the Average Shortfall (averaged shortfallness)
double averageShortfall( double target ) const {
return riskMeasures_.averageShortfall(
target,
statistics_.mean(),
statistics_.standardDeviation());
}
//@}
//! \name Modifiers
//@{
void add(double value, double weight = 1.0);
template <class DataIterator>
void addSequence(DataIterator begin, DataIterator end) {
for (;begin!=end;++begin)
add(*begin);
}
//! adds a sequence of data to the set, each with its weight
template <class DataIterator, class WeightIterator>
void addSequence(DataIterator begin, DataIterator end,
WeightIterator wbegin) {
for (;begin!=end;++begin,++wbegin)
add(*begin, *wbegin);
}
void reset();
//@}
private:
Math::Statistics statistics_;
Math::RiskMeasures riskMeasures_;
};
// inline definitions
/*! \pre weights must be positive or null */
inline void RiskStatistics::add(double value, double weight) {
statistics_.add( value , weight );
}
inline void RiskStatistics::reset() {
statistics_.reset();
}
}
#endif
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