class |
AWeightedETGPostProcessor<OutputType> |
This class handles the confidence level and the Calc IF
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class |
ETGIndicesPostProcessor |
Computes the indices for a given PnL vector that contribute to the expected tail gain.
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class |
ETGPostProcessor |
Computes expected tail gain, the average of gains greater than the VaE of a given position.
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class |
IncrementalETGPostProcessor |
Computes incremental ETG, a measure of the change in the ETG of a parent portfolio should a
sub-portfolio be removed from it.
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class |
WeightedETGIndicesPostProcessor |
Computes the ETG index (or indices if we are interpolating) for a given PnL vector and confidence level.
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class |
WeightedETGPostProcessor |
Computes the weighted ETG for a given PnL vector and confidence level.
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