Class HVaR

Namespace

Balsam.Portfolio

Assembly

Balsam.Backtester.dll

Calculates historical value at risk.

public class HVaR

Inheritance

object

HVaR

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Extension Methods

Excel.ExportToExcel(object)

Clipboard.CopyToClipboard(object)

Constructors

HVaR(BarSeriesCollection)

Initializes a new Historical VaR object using the specified data. The data must contain all symbols.

public HVaR(BarSeriesCollection data)

Parameters

data BarSeriesCollection

Properties

ConfidenceLevel

Gets/sets the confidence level.

public double ConfidenceLevel { get; set; }

Property Value

double

Methods

Calculate(DateTime, int, IEnumerable<Position>)

Returns a tuple containing VaR and ConditionalVaR.

public (double VaR, double CVaR) Calculate(DateTime date, int length, IEnumerable<Position> positions)

Parameters

date DateTime

length int

positions IEnumerable<Position>

Returns

(double VaR, double CVaR)