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initial commit for VarInput.py #1

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initial commit for VarInput.py #1

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@rkapl123 rkapl123 commented Jun 19, 2024 •
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As discussed, this is the contribution of a tool to simultaneously

  • calculate a variance covariance matrix /create the covariance.csv input file for analytic var calculation
  • and create the scenarios.csv input file for historical var calculation

regards,
Roland

rkapl123 added 3 commits June 20, 2024 01:30
@rkapl123
initial commit for VarInput.py
45487c4
@rkapl123
added option to configure files externally
7d87c3c 
fixed missing column headers in histmarketdata
@rkapl123
fixed reading of histmarketdata.txt (header None)
ae4d873 
added column check for insufficient report data
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