HistoricalSimulationVarCalculator Class Reference

Inheritance diagram for HistoricalSimulationVarCalculator:

Public Member Functions
	HistoricalSimulationVarCalculator (const std::vector< QuantLib::Real > &pnls)
QuantLib::Real	var (QuantLib::Real confidence, const bool isCall=true, const std::set< std::pair< std::string, QuantLib::Size >> &tradeIds={}) override