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Implement Risk Metrics: Value At Risk

Open wtindall1 opened this issue 1 year ago • 0 comments

Description

Implemented Value at risk in PortfolioStatistics Added ValueAtRisk indicator

Related Issue

Closes #6811

Motivation and Context

Value at risk was not supported

Requires Documentation Change

How Has This Been Tested?

Ran new and existing tests. Calculation validated against external data file - Python script can be found in #6811 .

Types of changes

  • [ ] Bug fix (non-breaking change which fixes an issue)
  • [ ] Refactor (non-breaking change which improves implementation)
  • [ ] Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • [x] New feature (non-breaking change which adds functionality)
  • [ ] Breaking change (fix or feature that would cause existing functionality to change)
  • [ ] Non-functional change (xml comments/documentation/etc)

Checklist:

  • [x] My code follows the code style of this project.
  • [x] I have read the CONTRIBUTING document.
  • [x] I have added tests to cover my changes.
  • [x] All new and existing tests passed.
  • [x] My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

wtindall1 avatar Feb 05 '24 21:02 wtindall1