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
Methods
double[] pnl()
int size()
double mean()
double standardDeviation()
double[] sortedLosses()
Losses (-pnl) in ascending order.