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delta_normal_var

Function delta_normal_var 

Source
pub fn delta_normal_var(
    exposures: &[f64],
    covariance: &[Vec<f64>],
    confidence: f64,
) -> DeltaNormalVar
Expand description

Delta-normal VaR: exposures[i] is the currency P&L per unit return of asset i (delta x spot), covariance the per-horizon return covariance matrix.