SequenceStatistics

Overview

QuantLib statistics analysis of N-dimensional (sequence) data.

Function List

qlSequenceStatistics ()
qlSequenceStatistics2 ()
qlSequenceStatisticsAverageShortfall ()
qlSequenceStatisticsCorrelation ()
qlSequenceStatisticsCovariance ()
qlSequenceStatisticsDownsideDeviation ()
qlSequenceStatisticsDownsideVariance ()
qlSequenceStatisticsErrorEstimate ()
qlSequenceStatisticsGaussianAverageShortfall ()
qlSequenceStatisticsGaussianPercentile ()
qlSequenceStatisticsGaussianPotentialUpside ()
qlSequenceStatisticsGaussianShortfall ()
qlSequenceStatisticsGaussianValueAtRisk ()
qlSequenceStatisticsInc ()
qlSequenceStatisticsInc2 ()
qlSequenceStatisticsKurtosis ()
qlSequenceStatisticsMax ()
qlSequenceStatisticsMean ()
qlSequenceStatisticsMin ()
qlSequenceStatisticsPercentile ()
qlSequenceStatisticsPotentialUpside ()
qlSequenceStatisticsRegret ()
qlSequenceStatisticsSamples ()
qlSequenceStatisticsSemiDeviation ()
qlSequenceStatisticsSemiVariance ()
qlSequenceStatisticsShortfall ()
qlSequenceStatisticsSize ()
qlSequenceStatisticsSkewness ()
qlSequenceStatisticsStandardDeviation ()
qlSequenceStatisticsValueAtRisk ()
qlSequenceStatisticsVariance ()
qlSequenceStatisticsWeightSum ()

Function Documentation

qlSequenceStatistics

string returnValue
 
qlSequenceStatistics(
        string ObjectId
        long Dimension
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Statistics analysis of N-dimensional (sequence) data.

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
Dimension	sample dimensionality. Default value = 0.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSequenceStatistics2

string returnValue
 
qlSequenceStatistics2(
        string ObjectId
        long Dimension
        vector<vector<double> > Values
        vector<double> Weights
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Statistics analysis of N-dimensional (sequence) data.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of object to be created
Dimension	sample dimensionality. Default value = 0.
Values	Sampled values. If omitted, an empty statistics is created.
Weights	If omitted, all sampled values have the same weight. Default value = std::vector<QuantLib::Real>().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSequenceStatisticsAverageShortfall

vector<double> returnValue
 
qlSequenceStatisticsAverageShortfall(
        string ObjectId
        double Target
        any Trigger)

Description:

Returns the averaged shortfallness for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Target	the target.
Trigger	dependency tracking trigger

qlSequenceStatisticsCorrelation

vector<vector<double> > returnValue
 
qlSequenceStatisticsCorrelation(
        string ObjectId
        any Trigger)

Description:

Returns the correlation Matrix for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Trigger	dependency tracking trigger

qlSequenceStatisticsCovariance

vector<vector<double> > returnValue
 
qlSequenceStatisticsCovariance(
        string ObjectId
        any Trigger)

Description:

Returns the covariance Matrix for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Trigger	dependency tracking trigger

qlSequenceStatisticsDownsideDeviation

vector<double> returnValue
 
qlSequenceStatisticsDownsideDeviation(
        string ObjectId
        any Trigger)

Description:

Returns the square root of the downside variance for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Trigger	dependency tracking trigger

qlSequenceStatisticsDownsideVariance

vector<double> returnValue
 
qlSequenceStatisticsDownsideVariance(
        string ObjectId
        any Trigger)

Description:

Returns the variance of observations below zero for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Trigger	dependency tracking trigger

qlSequenceStatisticsErrorEstimate

vector<double> returnValue
 
qlSequenceStatisticsErrorEstimate(
        string ObjectId
        any Trigger)

Description:

Returns the error estimate on the mean value for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Trigger	dependency tracking trigger

qlSequenceStatisticsGaussianAverageShortfall

vector<double> returnValue
 
qlSequenceStatisticsGaussianAverageShortfall(
        string ObjectId
        double Target
        any Trigger)

Description:

Returns the averaged shortfallness for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Target	the target.
Trigger	dependency tracking trigger

qlSequenceStatisticsGaussianPercentile

vector<double> returnValue
 
qlSequenceStatisticsGaussianPercentile(
        string ObjectId
        double X
        any Trigger)

Description:

Returns the x-th percentile for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
X	Must be in the range (0,1].
Trigger	dependency tracking trigger

qlSequenceStatisticsGaussianPotentialUpside

vector<double> returnValue
 
qlSequenceStatisticsGaussianPotentialUpside(
        string ObjectId
        double Target
        any Trigger)

Description:

Returns the reciprocal of VAR at a given percentile for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Target	the percentile.
Trigger	dependency tracking trigger

qlSequenceStatisticsGaussianShortfall

vector<double> returnValue
 
qlSequenceStatisticsGaussianShortfall(
        string ObjectId
        double Target
        any Trigger)

Description:

Returns the probability of missing the given target for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Target	the target.
Trigger	dependency tracking trigger

qlSequenceStatisticsGaussianValueAtRisk

vector<double> returnValue
 
qlSequenceStatisticsGaussianValueAtRisk(
        string ObjectId
        double Target
        any Trigger)

Description:

Returns the value-at-risk at a given percentile for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Target	the percentile.
Trigger	dependency tracking trigger

qlSequenceStatisticsInc

string returnValue
 
qlSequenceStatisticsInc(
        string ObjectId
        long Dimension
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Statistics analysis of N-dimensional (sequence) data.

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
Dimension	sample dimensionality. Default value = 0.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSequenceStatisticsInc2

string returnValue
 
qlSequenceStatisticsInc2(
        string ObjectId
        long Dimension
        vector<vector<double> > Values
        vector<double> Weights
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Statistics analysis of N-dimensional (sequence) data.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of object to be created
Dimension	sample dimensionality. Default value = 0.
Values	Sampled values. If omitted, an empty statistics is created.
Weights	If omitted, all sampled values have the same weight. Default value = std::vector<QuantLib::Real>().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSequenceStatisticsKurtosis

vector<double> returnValue
 
qlSequenceStatisticsKurtosis(
        string ObjectId
        any Trigger)

Description:

Returns the excess kurtosis for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Trigger	dependency tracking trigger

qlSequenceStatisticsMax

vector<double> returnValue
 
qlSequenceStatisticsMax(
        string ObjectId
        any Trigger)

Description:

Returns the maximum sample value for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Trigger	dependency tracking trigger

qlSequenceStatisticsMean

vector<double> returnValue
 
qlSequenceStatisticsMean(
        string ObjectId
        any Trigger)

Description:

Returns the mean for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Trigger	dependency tracking trigger

qlSequenceStatisticsMin

vector<double> returnValue
 
qlSequenceStatisticsMin(
        string ObjectId
        any Trigger)

Description:

Returns the minimum sample value for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Trigger	dependency tracking trigger

qlSequenceStatisticsPercentile

vector<double> returnValue
 
qlSequenceStatisticsPercentile(
        string ObjectId
        double X
        any Trigger)

Description:

Returns the x-th percentile for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
X	Must be in the range (0,1].
Trigger	dependency tracking trigger

qlSequenceStatisticsPotentialUpside

vector<double> returnValue
 
qlSequenceStatisticsPotentialUpside(
        string ObjectId
        double Centile
        any Trigger)

Description:

Returns the reciprocal of VAR at a given percentile for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Centile	the centile.
Trigger	dependency tracking trigger

qlSequenceStatisticsRegret

vector<double> returnValue
 
qlSequenceStatisticsRegret(
        string ObjectId
        double Target
        any Trigger)

Description:

Returns the variance of observations below target for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Target	the target.
Trigger	dependency tracking trigger

qlSequenceStatisticsSamples

long returnValue
 
qlSequenceStatisticsSamples(
        string ObjectId
        any Trigger)

Description:

Returns the number of samples collected for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Trigger	dependency tracking trigger

qlSequenceStatisticsSemiDeviation

vector<double> returnValue
 
qlSequenceStatisticsSemiDeviation(
        string ObjectId
        any Trigger)

Description:

Returns the square root of the semivariance for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Trigger	dependency tracking trigger

qlSequenceStatisticsSemiVariance

vector<double> returnValue
 
qlSequenceStatisticsSemiVariance(
        string ObjectId
        any Trigger)

Description:

Returns the variance of observations below the mean for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Trigger	dependency tracking trigger

qlSequenceStatisticsShortfall

vector<double> returnValue
 
qlSequenceStatisticsShortfall(
        string ObjectId
        double Target
        any Trigger)

Description:

Returns the probability of missing the given target for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Target	the target.
Trigger	dependency tracking trigger

qlSequenceStatisticsSize

long returnValue
 
qlSequenceStatisticsSize(
        string ObjectId
        any Trigger)

Description:

Returns the size (sample dimensionality) for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Trigger	dependency tracking trigger

qlSequenceStatisticsSkewness

vector<double> returnValue
 
qlSequenceStatisticsSkewness(
        string ObjectId
        any Trigger)

Description:

Returns the skewness for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Trigger	dependency tracking trigger

qlSequenceStatisticsStandardDeviation

vector<double> returnValue
 
qlSequenceStatisticsStandardDeviation(
        string ObjectId
        any Trigger)

Description:

Returns the the standard deviation for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Trigger	dependency tracking trigger

qlSequenceStatisticsValueAtRisk

vector<double> returnValue
 
qlSequenceStatisticsValueAtRisk(
        string ObjectId
        double Target
        any Trigger)

Description:

Returns the value-at-risk at a given percentile for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Target	the percentile.
Trigger	dependency tracking trigger

qlSequenceStatisticsVariance

vector<double> returnValue
 
qlSequenceStatisticsVariance(
        string ObjectId
        any Trigger)

Description:

Returns the variance for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Trigger	dependency tracking trigger

qlSequenceStatisticsWeightSum

double returnValue
 
qlSequenceStatisticsWeightSum(
        string ObjectId
        any Trigger)

Description:

Returns the sum of data weights for the given SequenceStatistics object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::SequenceStatistics object
Trigger	dependency tracking trigger