class |
AWeightedESPostProcessor<OutputType> |
This class handles the confidence level and the Calc IF
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class |
ESIndicesPostProcessor |
Computes the indices for a given PnL vector that contribute to the expected shortfall.
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class |
ESPostProcessor |
Computes expected shortfall, the average of losses greater than the VaR of a given position.
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class |
IncrementalESPostProcessor |
Computes incremental ES, a measure of the change in the ES of a parent portfolio should a
sub-portfolio be removed from it.
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class |
WeightedESIndicesPostProcessor |
Computes the ES index (or indices if we are interpolating) for a given PnL vector and confidence level.
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class |
WeightedESPostProcessor |
Computes the weighted ES for a given PnL vector and confidence level.
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