Statistics

Overview

functions to construct and use Statistics objects.

Function List

qlGaussianAverageShortfall ()
qlGaussianDownsideDeviation ()
qlGaussianDownsideVariance ()
qlGaussianExpectedShortfall ()
qlGaussianPercentile ()
qlGaussianPotentialUpside ()
qlGaussianRegret ()
qlGaussianShortfall ()
qlGaussianTopPercentile ()
qlGaussianValueAtRisk ()
qlIncrementalStatistics ()
qlStatistics ()
qlStatisticsAverageShortfall ()
qlStatisticsDownsideDeviation ()
qlStatisticsDownsideVariance ()
qlStatisticsErrorEstimate ()
qlStatisticsExpectedShortfall ()
qlStatisticsGaussianAverageShortfall ()
qlStatisticsGaussianDownsideDeviation ()
qlStatisticsGaussianDownsideVariance ()
qlStatisticsGaussianExpectedShortfall ()
qlStatisticsGaussianPercentile ()
qlStatisticsGaussianPotentialUpside ()
qlStatisticsGaussianRegret ()
qlStatisticsGaussianShortfall ()
qlStatisticsGaussianTopPercentile ()
qlStatisticsGaussianValueAtRisk ()
qlStatisticsKurtosis ()
qlStatisticsMax ()
qlStatisticsMean ()
qlStatisticsMin ()
qlStatisticsPercentile ()
qlStatisticsPotentialUpside ()
qlStatisticsRegret ()
qlStatisticsSamples ()
qlStatisticsSemiDeviation ()
qlStatisticsSemiVariance ()
qlStatisticsShortfall ()
qlStatisticsSkewness ()
qlStatisticsStandardDeviation ()
qlStatisticsTopPercentile ()
qlStatisticsValueAtRisk ()
qlStatisticsVariance ()
qlStatisticsWeightSum ()

Function Documentation

qlGaussianAverageShortfall

double returnValue
 
qlGaussianAverageShortfall(
        double Target
        double Mean
        double StdDev
        any Trigger)

Description:

Returns the averaged shortfallness.

Supported Platforms:

Excel

Parameters

Target	the target.
Mean	The mean of the gaussian distribution. Default value = 0.0.
StdDev	The standard deviation of the gaussian distribution. Default value = 1.0.
Trigger	dependency tracking trigger

qlGaussianDownsideDeviation

double returnValue
 
qlGaussianDownsideDeviation(
        double Mean
        double StdDev
        any Trigger)

Description:

Returns the square root of the downside variance.

Supported Platforms:

Excel

Parameters

Mean	mean of the gaussian distribution. Default value = 0.0.
StdDev	standard deviation of the gaussian distribution. Default value = 1.0.
Trigger	dependency tracking trigger

qlGaussianDownsideVariance

double returnValue
 
qlGaussianDownsideVariance(
        double Mean
        double StdDev
        any Trigger)

Description:

Returns the variance of observations below zero.

Supported Platforms:

Excel

Parameters

Mean	the mean of the gaussian distribution. Default value = 0.0.
StdDev	standard deviation of the gaussian distribution. Default value = 1.0.
Trigger	dependency tracking trigger

qlGaussianExpectedShortfall

double returnValue
 
qlGaussianExpectedShortfall(
        double Target
        double Mean
        double StdDev
        any Trigger)

Description:

Returns the expected loss in case that the loss exceeded a VaR threshold.

Supported Platforms:

Excel

Parameters

Target	the percentile.
Mean	The mean of the gaussian distribution. Default value = 0.0.
StdDev	The standard deviation of the gaussian distribution. Default value = 1.0.
Trigger	dependency tracking trigger

qlGaussianPercentile

double returnValue
 
qlGaussianPercentile(
        double X
        double Mean
        double StdDev
        any Trigger)

Description:

Returns the x-th percentile.

Supported Platforms:

Excel

Parameters

X	the percentile.
Mean	mean of the gaussian distribution. Default value = 0.0.
StdDev	standard deviation of the gaussian distribution. Default value = 1.0.
Trigger	dependency tracking trigger

qlGaussianPotentialUpside

double returnValue
 
qlGaussianPotentialUpside(
        double Target
        double Mean
        double StdDev
        any Trigger)

Description:

Returns the reciprocal of VAR at a given percentile.

Supported Platforms:

Excel

Parameters

Target	the percentile.
Mean	The mean of the gaussian distribution. Default value = 0.0.
StdDev	The standard deviation of the gaussian distribution. Default value = 1.0.
Trigger	dependency tracking trigger

qlGaussianRegret

double returnValue
 
qlGaussianRegret(
        double Target
        double Mean
        double StdDev
        any Trigger)

Description:

Returns the variance of observations below target.

Supported Platforms:

Excel

Parameters

Target	the target.
Mean	mean of the gaussian distribution. Default value = 0.0.
StdDev	standard deviation of the gaussian distribution. Default value = 1.0.
Trigger	dependency tracking trigger

qlGaussianShortfall

double returnValue
 
qlGaussianShortfall(
        double Target
        double Mean
        double StdDev
        any Trigger)

Description:

Returns the probability of missing the given target.

Supported Platforms:

Excel

Parameters

Target	the target.
Mean	The mean of the gaussian distribution. Default value = 0.0.
StdDev	The standard deviation of the gaussian distribution. Default value = 1.0.
Trigger	dependency tracking trigger

qlGaussianTopPercentile

double returnValue
 
qlGaussianTopPercentile(
        double X
        double Mean
        double StdDev
        any Trigger)

Description:

Returns the x-th top percentile.

Supported Platforms:

Excel

Parameters

X	the percentile.
Mean	The mean of the gaussian distribution. Default value = 0.0.
StdDev	The standard deviation of the gaussian distribution. Default value = 1.0.
Trigger	dependency tracking trigger

qlGaussianValueAtRisk

double returnValue
 
qlGaussianValueAtRisk(
        double Target
        double Mean
        double StdDev
        any Trigger)

Description:

Returns the value-at-risk at a given percentile.

Supported Platforms:

Excel

Parameters

Target	the percentile.
Mean	The mean of the gaussian distribution. Default value = 0.0.
StdDev	The standard deviation of the gaussian distribution. Default value = 1.0.
Trigger	dependency tracking trigger

qlIncrementalStatistics

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

Description:

Statistics and risk measures tool.

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Values	Sampled values. If omitted, an empty statistics is created. Default value = std::vector<QuantLib::Real>().
Weights	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

qlStatistics

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

Description:

Statistics and risk measures tool.

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Values	Sampled values. If omitted, an empty statistics is created. Default value = std::vector<QuantLib::Real>().
Weights	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

qlStatisticsAverageShortfall

double returnValue
 
qlStatisticsAverageShortfall(
        string ObjectId
        double Target
        any Trigger)

Description:

Returns the averaged shortfallness for the given Statistics object.

Supported Platforms:

Excel

Parameters

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

qlStatisticsDownsideDeviation

double returnValue
 
qlStatisticsDownsideDeviation(
        string ObjectId
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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

qlStatisticsDownsideVariance

double returnValue
 
qlStatisticsDownsideVariance(
        string ObjectId
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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

qlStatisticsErrorEstimate

double returnValue
 
qlStatisticsErrorEstimate(
        string ObjectId
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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

qlStatisticsExpectedShortfall

double returnValue
 
qlStatisticsExpectedShortfall(
        string ObjectId
        double Centile
        any Trigger)

Description:

Returns the expected loss in case that the loss exceeded a VaR threshold for the given Statistics object.

Supported Platforms:

Excel

Parameters

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

qlStatisticsGaussianAverageShortfall

double returnValue
 
qlStatisticsGaussianAverageShortfall(
        string ObjectId
        double Target
        any Trigger)

Description:

Returns the averaged shortfallness for the given Statistics object.

Supported Platforms:

Excel

Parameters

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

qlStatisticsGaussianDownsideDeviation

double returnValue
 
qlStatisticsGaussianDownsideDeviation(
        string ObjectId
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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

qlStatisticsGaussianDownsideVariance

double returnValue
 
qlStatisticsGaussianDownsideVariance(
        string ObjectId
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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

qlStatisticsGaussianExpectedShortfall

double returnValue
 
qlStatisticsGaussianExpectedShortfall(
        string ObjectId
        double Target
        any Trigger)

Description:

Returns the expected loss in case that the loss exceeded a VaR threshold for the given Statistics object.

Supported Platforms:

Excel

Parameters

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

qlStatisticsGaussianPercentile

double returnValue
 
qlStatisticsGaussianPercentile(
        string ObjectId
        double X
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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

qlStatisticsGaussianPotentialUpside

double returnValue
 
qlStatisticsGaussianPotentialUpside(
        string ObjectId
        double Target
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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

qlStatisticsGaussianRegret

double returnValue
 
qlStatisticsGaussianRegret(
        string ObjectId
        double Target
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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

qlStatisticsGaussianShortfall

double returnValue
 
qlStatisticsGaussianShortfall(
        string ObjectId
        double Target
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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

qlStatisticsGaussianTopPercentile

double returnValue
 
qlStatisticsGaussianTopPercentile(
        string ObjectId
        double X
        any Trigger)

Description:

Returns the x-th top percentile for the given Statistics object.

Supported Platforms:

Excel

Parameters

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

qlStatisticsGaussianValueAtRisk

double returnValue
 
qlStatisticsGaussianValueAtRisk(
        string ObjectId
        double Target
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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

qlStatisticsKurtosis

double returnValue
 
qlStatisticsKurtosis(
        string ObjectId
        any Trigger)

Description:

Returns the excess kurtosis for the given Statistics object.

Supported Platforms:

Excel

Parameters

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

qlStatisticsMax

double returnValue
 
qlStatisticsMax(
        string ObjectId
        any Trigger)

Description:

Returns the maximum sample value for the given Statistics object.

Supported Platforms:

Excel

Parameters

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

qlStatisticsMean

double returnValue
 
qlStatisticsMean(
        string ObjectId
        any Trigger)

Description:

Returns the mean for the given Statistics object.

Supported Platforms:

Excel

Parameters

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

qlStatisticsMin

double returnValue
 
qlStatisticsMin(
        string ObjectId
        any Trigger)

Description:

Returns the minimum sample value for the given Statistics object.

Supported Platforms:

Excel

Parameters

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

qlStatisticsPercentile

double returnValue
 
qlStatisticsPercentile(
        string ObjectId
        double X
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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

qlStatisticsPotentialUpside

double returnValue
 
qlStatisticsPotentialUpside(
        string ObjectId
        double Centile
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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

qlStatisticsRegret

double returnValue
 
qlStatisticsRegret(
        string ObjectId
        double Target
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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

qlStatisticsSamples

long returnValue
 
qlStatisticsSamples(
        string ObjectId
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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

qlStatisticsSemiDeviation

double returnValue
 
qlStatisticsSemiDeviation(
        string ObjectId
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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

qlStatisticsSemiVariance

double returnValue
 
qlStatisticsSemiVariance(
        string ObjectId
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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

qlStatisticsShortfall

double returnValue
 
qlStatisticsShortfall(
        string ObjectId
        double Target
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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

qlStatisticsSkewness

double returnValue
 
qlStatisticsSkewness(
        string ObjectId
        any Trigger)

Description:

Returns the skewness for the given Statistics object.

Supported Platforms:

Excel

Parameters

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

qlStatisticsStandardDeviation

double returnValue
 
qlStatisticsStandardDeviation(
        string ObjectId
        any Trigger)

Description:

Returns the the standard deviation for the given Statistics object.

Supported Platforms:

Excel

Parameters

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

qlStatisticsTopPercentile

double returnValue
 
qlStatisticsTopPercentile(
        string ObjectId
        double X
        any Trigger)

Description:

Returns the x-th top percentile for the given Statistics object.

Supported Platforms:

Excel

Parameters

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

qlStatisticsValueAtRisk

double returnValue
 
qlStatisticsValueAtRisk(
        string ObjectId
        double Target
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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

qlStatisticsVariance

double returnValue
 
qlStatisticsVariance(
        string ObjectId
        any Trigger)

Description:

Returns the variance for the given Statistics object.

Supported Platforms:

Excel

Parameters

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

qlStatisticsWeightSum

double returnValue
 
qlStatisticsWeightSum(
        string ObjectId
        any Trigger)

Description:

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

Supported Platforms:

Excel

Parameters

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