class |
AWeightedVaEPostProcessor<OutputType> |
This class handles the confidence level and the Calc IF
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class |
IncrementalVaEPostProcessor |
Computes incremental VaE, a measure of the change in the VaE of a parent portfolio should a
sub-portfolio be removed from it.
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class |
ParametricVaEPostProcessor |
Computes the parametric VaE for a given PnL vector and confidence level.
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class |
VaEIndicesPostProcessor |
Computes the VaR index (or indices if we are interpolating) for a given PnL vector and confidence level.
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class |
VaEPostProcessor |
Computes the VaE for a given PnL vector and confidence level.
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class |
WeightedVaEIndicesPostProcessor |
Computes the VaE index (or indices if we are interpolating) for a given PnL vector and confidence level.
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class |
WeightedVaEPostProcessor |
Computes the weighted VaE for a given PnL vector and confidence level.
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