class |
AWeightedVaRPostProcessor<OutputType> |
This class handles the confidence level and the Calc IF
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class |
IncrementalVaRPostProcessor |
Computes incremental VaR, a measure of the change in the VaR of a parent portfolio should a
sub-portfolio be removed from it.
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class |
ParametricVaRPostProcessor |
Computes the parametric VaR for a given PnL vector and confidence level.
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class |
ScalarVaRPostProcessor |
Computes the VaR for a given PnL vector and confidence level.
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class |
VaRIndicesPostProcessor |
Computes the VaR index (or indices if we are interpolating) for a given PnL vector and confidence level.
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class |
VaRPostProcessor |
Computes the VaR for a given PnL vector and confidence level.
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class |
WeightedVaRIndicesPostProcessor |
Computes the VaR index (or indices if we are interpolating) for a given PnL vector and confidence level.
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class |
WeightedVaRPostProcessor |
Computes the weighted VaR for a given PnL vector and confidence level.
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