File: cqg_api/ptrisk/ptrisk.proto
Aggregated simulation statistics produced by the VaR Monte-Carlo run. Contains a binned histogram of simulated portfolio PnL values and common summary statistics to aid diagnostics and reporting.
Type: double
Description: Binned histogram of simulated portfolio PnL. Each element represents the count (or weight) of PnL samples that fall into the corresponding bin. Bin count and edges are implementation-defined (currently the engine uses a fixed number of bins when computing statistics).
Type: double
Description: Mean (expected value) of the simulated portfolio PnL samples.
Type: double
Description: Sample standard deviation of the simulated portfolio PnL.
Type: double
Description: Minimum observed simulated portfolio PnL.
Type: double
Description: Maximum observed simulated portfolio PnL.