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Trying to work out an elegant interface for turning VaR functions into expected shortfall measures. At the moment it seems reasonable to use as_function to pass a VaR function with further arguments in ....
Would like something like
# Compute ES by averaging tail VaRs
compute_es(some_var_measure, arg1, arg2, conf=0.9, n=1000)
Then ES functions could inherit the same parameters as the corresponding VaR measure and be simplified to
Trying to work out an elegant interface for turning VaR functions into expected shortfall measures. At the moment it seems reasonable to use
as_function
to pass a VaR function with further arguments in...
.Would like something like
Then ES functions could inherit the same parameters as the corresponding VaR measure and be simplified to
Could be more suitable to use
partial
though?The text was updated successfully, but these errors were encountered: