updated var structure

examples/value_at_risk.jl

@@ -1,26 +1,20 @@
 using MarketRisk
 
-μ = 0.0462 * 1 / 250
-Σ = sqrt(0.1757 ^ 2 * 1 / 250)
+μ = 0.0462
+Σ = sqrt(0.1757 ^ 2)
+
+h = 1 / 250
+αs = [0.1, 0.01, 0.001]
+
 ν = 4.14
 
 N = Normal()
 T = TDist(ν)
 
-normal_var = ValueAtRisk(μ, Σ, N)
-student_var = ValueAtRisk(μ, Σ, T) 
-
-h = 1.
-αs = [0.1, 0.01, 0.001]
-
-nvars = Float64[]
-svars = Float64[]
+normal_var = ValueAtRisk(μ, Σ, h, αs, N)
+student_var = ValueAtRisk(μ, Σ, h, αs, T)
 
-for α in αs
- push!(nvars, compute(normal_var, h, α))
- push!(svars, compute(student_var, h, α))
-end
+compute(normal_var)
+compute(student_var)
 
 
-nvars
-svars

src/value_at_risk.jl

@@ -1,29 +1,30 @@
-struct ParametricValueAtRisk{V, M, D<:Distribution} <: MarketRiskMeasure
+struct ParametricValueAtRisk{V, M, H, A, D<:Distribution} <: MarketRiskMeasure
  μ::V
  Σ::M
+ h::H
+ α::A
  dist::D
 end
 
-function ValueAtRisk(μ, Σ, dist)
- return ParametricValueAtRisk(μ, Σ, dist)
+function ValueAtRisk(μ, Σ, h, α, dist)
+ return ParametricValueAtRisk(μ, Σ, h, α, dist)
 end
 
+# function ValueAtRisk(portfolio, dist)
+# return ParametricValueAtRisk
+# end
 
-function ValueAtRisk(portfolio, dist)
- return ParametricValueAtRisk
-end
-
-function compute(var::ParametricValueAtRisk{V, M, D}, h, alpha) where {V, M, D<:Normal}
- @unpack μ, Σ, dist = var 
+function compute(var::ParametricValueAtRisk{V, M, H, A, D}) where {V, M, H, A, D<:Normal}
+ @unpack μ, Σ, h, α, dist = var 
 
- sqrt(h) * quantile(dist, 1 - alpha) * Σ - h * μ
+ @. sqrt(h) * quantile(dist, 1 - α) * Σ - h * μ
 end
 
-function compute(var::ParametricValueAtRisk{V, M, D}, h, alpha) where {V, M, D<:TDist}
- @unpack μ, Σ, dist = var 
+function compute(var::ParametricValueAtRisk{V, M, H, A, D}) where {V, M, H, A, D<:TDist}
+ @unpack μ, Σ, h, α, dist = var 
  @unpack ν = dist
 
- sqrt((ν - 2) / ν) * sqrt(h) * quantile(dist, 1 - alpha) * Σ - h * μ
+ @. sqrt((ν - 2) / ν) * sqrt(h) * quantile(dist, 1 - α) * Σ - h * μ
 end