Docs / nablatensor-risk / com.nablatensor.risk

record

PnlVector

A sample of portfolio profit-and-loss — one value per historical day or per revaluation scenario. Positive is a gain; a loss is -pnl. This is the raw input to historical and expectedShortfall, and the realised series a VarBacktest scores a forecast against.

Record components

pnl
double[]

Methods

double[] pnl()
int size()
double mean()
double standardDeviation()
double[] sortedLosses()

Losses (-pnl) in ascending order.