tailrisk's Introduction

tailRisk

A C++ library for the calculation of various tail risk measures

Documentation

NB: Documentation still under development.

Implemented Risk Measures
Mathematical Documentation available here

Dependencies

Eigen (Data container and linear algebra calculation library)
Poco (For parsing JSON inputs and other utilities)
Stats (A C++ header-only library of statistical distribution functions.)

Example

The data directory contains sample datafiles with various sampled distributions

// Read in some data for a type 0 representation (discrete distribution)
int LossGrid = 1000;
int DataType = 0;
RandomVar L(LossGrid, DataType);
L.ReadFromJSON("../data/example5.json");
L.Print();

// Calculate various measures
double alpha = 0.8;
int threshold = 0;

std::cout << "Mean Value: " << L.Mean() << std::endl;
std::cout << "Median Value: " << L.Median() << std::endl;
std::cout << "STD Value: " << L.StandardDeviation() << std::endl;
std::cout << "Kurtosis: " << L.Kurtosis() << std::endl;
std::cout << "Skeweness: " << L.Skeweness() << std::endl;
std::cout << "Quantile @ " << alpha << ": " << L.Quantile(alpha) << std::endl;
std::cout << "Quantile Index @ " << alpha << ": " << L.Quantile_Index(alpha) << std::endl;
std::cout << "VaR @ " << alpha << ": " << L.VaR(alpha) << std::endl;
std::cout << "Expected Shortfall @ " << alpha << ": " << L.ExpectedShortFall(alpha) << std::endl;
std::cout << "Exceedance Probability: " << L.ExceedanceProbability(threshold) << std::endl;
std::cout << "Mean Excess: " << L.MeanExcess(threshold ) << std::endl;

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tailrisk's Issues

Configure cmake-single-platform.yml workflow

Run cmake -B /home/runner/work/tailRisk/tailRisk/build -DCMAKE_BUILD_TYPE=Release
cmake -B /home/runner/work/tailRisk/tailRisk/build -DCMAKE_BUILD_TYPE=Release
shell: /usr/bin/bash -e {0}
env:
BUILD_TYPE: Release
CMake Error: The source directory "/home/runner/work/tailRisk/tailRisk" does not appear to contain CMakeLists.txt.