Reference manual - version orea_version
VaR Calculator. More...
#include <orea/engine/varcalculator.hpp>
Inheritance diagram for VarCalculator:Public Member Functions | |
| virtual QuantLib::Real | var (QuantLib::Real confidence, const bool isCall=true, const std::set< std::pair< std::string, QuantLib::Size >> &tradeIds={})=0 |
VaR Calculator.
