File: cqg_api/ptrisk/ptrisk.proto
Parameters for VAR Reports
Type: VarMethod
Description: The Value-At-Risk method to use
Default value is VAR_METHOD_PORTFOLIO
Type: double
Description: Width of the confidence interval, i.e. 0.95 for 95%
Default value is 0.95
Type: uint32
Description: how many days to look back to compute historical distributions and correlation matrices
Default value is 3 * 365 (3 calendar years)