4
votes
3answers
1k views

VaR implementation using quantlib?

I am thinking of writing a VaR framework for my existing system, using quantlib to do the bulk of the calculations. Despite several searches, I have not as yet come across a quantlib VaR ...
3
votes
2answers
744 views

Covariance for arbitrarily large portfolios

I am implementing a method in Java to calculate the variance, covariance, and value at risk for a portfolio, which should be flexible for use with any number of assets in a portfolio. I am struggling ...