Historical Value at Risk calculation

The following program can be used to calculate the historical VaR from an external CSV file.

Usage

java -jar HistoricalVar -c <computation-date> -d <historical-depth> -f <file> [-h] -p <percentile> [-v]

• -c, --computation-date : The ISO formatted date that will serve as base for the VaR calculation
• -d, --historical-depth : The number of days in the past that will be used for the computation
• -f, --file : Path to a CSV file containing PnL information
• -p, --percentile : The risk coefficient that you want to use to guarantee your return on investment (number between 0 and 100 included)
• -v, --verbose : Activates verbose mode
• -h, --help : Displays help for the command

Installation :

mvn clean install

Instructions :

Implement a program that will take as input the following parameters:

• Current date : String using ISO format (YYYY-MM-DD) modeling the current date (2019-01-01 in the example)
• Historical depth: Integer representing the number of days to use starting from the current date. All data in the file post current date and before (current date - historical depth) should be excluded from the computation.
• Percentile coefficient : Integer between 0 and 100
• Path to a CSV file (String) formatted as such :
  • No header row
  • First column: the date of the P&L (ISO format : YYYY-MM-DD)
  • Second column: the P&L amount (decimal number separated by a ‘.’)
  • File naming convention: “HISTORICAL_PnL_*.csv”
  • CSV separator : ‘;’
  • No specific order can be expected

Restrictions :

• Use Java 7 or 8
• Package in a standard maven project (src/{main|test}/{java|resource})
• Only “well-known” external libraries are allowed (apache (commons, log4j,…), joda, junit or mockito for instance)

Contributors

• Aurélien Duval (GitHub)