IMsValueAtRiskTransform.LambdaEMWA

Syntax

LambdaEMWA: Double;

Description

The LambdaEMWA property determines the value of EMWA lambda.

Comments

The default value is 0.9.

The DistinguishLongShortPositions property is used only in the Delta-normal method, that is, IMsValueAtRiskTransform.MethodType = MsValueAtRiskMethodType.DeltaNormal.

Example

The property use is given in the example for IMsValueAtRiskTransform.DistinguishLongShortPositions.