Philip,

 

For analytic Value -at-Risk calculations, see ql\math\statistics\riskstatistics.hpp. All downside risk measures are there.

 

For log-normally distributed returns, you can start by having a look at  \ql\processes\geometricbrownianprocess.hpp. But, before you have to be familiar with stochastic processes and their use in quantlib.

 

All the best.

----- Original Message -----

From: Philip Corriher

To: quantlib-users <at> lists.sf.net

Sent: Friday, July 11, 2008 7:59 PM

Subject: [Quantlib-users] VAR?

 

Hi,

I am a huge fan of you guys.

I am looking for a way to do a Value At Risk calculation as well as lognormally distributed returns etc.

Can you point me in the right direction on what tools to use?

Thanks!

Philip

 

 

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