def value_at_risk(self, cutoff=0.05):
"""Value at risk (VaR) of a returns stream.
Args:
cutoff (float or array_like): Decimal representing the percentage cutoff for the
bottom percentile of returns."""
cutoff = np.broadcast_to(cutoff, (len(self.columns),))
return self.wrap_reduced(nb.value_at_risk_nb(self.to_2d_array(), cutoff))
def value_at_risk(self, cutoff=0.05, wrap_kwargs=None):
"""Value at risk (VaR) of a returns stream.
Args:
cutoff (float or array_like): Decimal representing the percentage cutoff for the
bottom percentile of returns."""
wrap_kwargs = merge_dicts(dict(name_or_index='value_at_risk'), wrap_kwargs)
return self.wrapper.wrap_reduced(nb.value_at_risk_nb(
self.to_2d_array(), cutoff
), **wrap_kwargs)
def value_at_risk(self,
cutoff: float = 0.05,
wrap_kwargs: tp.KwargsLike = None) -> tp.MaybeSeries:
"""Value at risk (VaR) of a returns stream.
Args:
cutoff (float): Decimal representing the percentage cutoff for the
bottom percentile of returns."""
result = nb.value_at_risk_nb(self.to_2d_array(), cutoff)
wrap_kwargs = merge_dicts(dict(name_or_index='value_at_risk'),
wrap_kwargs)
return self.wrapper.wrap_reduced(result, **wrap_kwargs)