Enum VarMethod 

pub enum VarMethod {
    Historical,
    Parametric,
    MonteCarlo {
        n_simulations: usize,
        seed: u64,
    },
    CornishFisher,
}

Method used to compute VaR.

Variants

Historical

Historical simulation from empirical return distribution.

Parametric

Parametric normal distribution (mean + z-score * sigma).

MonteCarlo

Monte Carlo simulation via Geometric Brownian Motion.

Fields

n_simulations: usize

Number of simulated paths.

seed: u64

Random seed for reproducibility.

CornishFisher

Cornish-Fisher expansion adjusted for skewness and excess kurtosis.

Trait Implementations

impl Clone for VarMethod

fn clone(&self) -> Self

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for VarMethod

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl PartialEq for VarMethod

fn eq(&self, other: &Self) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl StructuralPartialEq for VarMethod