Class HistoricalVaR

Namespace

Balsam.Portfolio

Assembly

Balsam.Backtester.dll

A class which calculates historical Value-at-Risk.

public class HistoricalVaR : VaRBase

Inheritance

object

VaRBase

HistoricalVaR

Inherited Members

VaRBase.Message

VaRBase.LookBack

VaRBase.Significance

VaRBase.CurrentDate

VaRBase.Instruments

VaRBase.BaseCurrency

VaRBase.PriceServer

VaRBase.PriceSeries

VaRBase.FXServer

VaRBase.FXSeries

VaRBase.Calculate(IEnumerable<Position>)

VaRBase.Calculate(IEnumerable<IPortfolioHolding>)

VaRBase.OnMessage(MessageEventArgs)

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)

Properties

ConditionalVaR

Gets the conditional VaR (expected tail loss).

public double ConditionalVaR { get; }

Property Value

double

Methods

OnCalculate(IEnumerable<IPortfolioHolding>, List<DateTime>)

Performs the actual calculations.

protected override double OnCalculate(IEnumerable<IPortfolioHolding> positions, List<DateTime> dates)

Parameters

positions IEnumerable<IPortfolioHolding>

dates List<DateTime>

Returns

double