Struct VarEngine 

pub struct VarEngine;

Stateless VaR calculation engine.

Implementations

impl VarEngine

pub fn historical_var( returns: &[f64], confidence: f64, portfolio_value: f64, ) -> VarResult

Historical VaR: sort returns, pick the loss at the (1-confidence) percentile.

pub fn parametric_var( mean: f64, std_dev: f64, confidence: f64, portfolio_value: f64, horizon_days: u32, ) -> VarResult

Parametric VaR using Cornish-Fisher z-scores scaled by horizon.

z values: 2.326 for 99%, 1.645 for 95%, 1.282 for 90%, linear interpolation otherwise.

pub fn monte_carlo_var( mean: f64, std_dev: f64, confidence: f64, portfolio_value: f64, simulations: usize, seed: u64, ) -> VarResult

Monte Carlo VaR using LCG random number generator and Box-Muller transform.

pub fn cvar_from_var(sorted_returns: &[f64], var_idx: usize) -> f64

Compute CVaR as the mean loss of the tail beyond the VaR index.

sorted_returns must be sorted ascending. Returns the average negated return below index var_idx (exclusive), which is the expected shortfall.

pub fn rolling_var( returns: &[f64], window: usize, confidence: f64, portfolio_value: f64, ) -> Vec<VarResult>

Rolling window VaR: slide a window of size window over returns.