Examples of com.opengamma.analytics.financial.var.VaRCalculationResult

      if (portfolioReturn < -var) {
        excesses.add(portfolioReturn);
      }
    }
    if (excesses.isEmpty()) {
      return new VaRCalculationResult(var, null);
    }
    return new VaRCalculationResult(-_meanCalculator.evaluate(excesses.toDoubleArray()), null);
  }

    final Set<String> stdDevCalculatorNames = constraints.getValues(ValuePropertyNames.STD_DEV_CALCULATOR);
    final Set<String> confidenceLevelNames = constraints.getValues(ValuePropertyNames.CONFIDENCE_LEVEL);
    final Set<String> horizonNames = constraints.getValues(ValuePropertyNames.HORIZON);
    final NormalVaRParameters parameters = getParameters(scheduleCalculatorNames, horizonNames, confidenceLevelNames);
    final NormalLinearVaRCalculator<DoubleTimeSeries<?>> varCalculator = getVaRCalculator(meanCalculatorNames, stdDevCalculatorNames);
    final VaRCalculationResult calcResult = varCalculator.evaluate(parameters, pnlSeries);
    final double var = calcResult.getVaRValue();
    final double stddev = calcResult.getStdDev();
    final Set<ComputedValue> results = new HashSet<ComputedValue>();
    if (computeVar) {
      results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.HISTORICAL_VAR, target.toSpecification(), constraints), var));
    }
    if (computeStddev) {

Examples of com.opengamma.analytics.financial.var.VaRCalculationResult

Related Classes of com.opengamma.analytics.financial.var.VaRCalculationResult