Es

To obtain charts, make sure to add chart=True as the last parameter

Get underlying data

common.qa.es(data: pandas.core.frame.DataFrame, use_mean: bool = False, distribution: str = ‘normal’, percentile: Union[float, int] = 0.999, portfolio: bool = False) -> pandas.core.frame.DataFrame

Gets Expected Shortfall for specified stock dataframe

Parameters
----------
data: pd.DataFrame
    Data dataframe
use_mean: bool
    If one should use the data mean for calculation
distribution: str
    Type of distribution, options: laplace, student_t, normal
percentile: Union[float,int]
    VaR percentile
portfolio: bool
    If the data is a portfolio

Returns
-------
list
    list of ES
list
    list of historical ES

Getting charts

common.qa.es(data: pandas.core.frame.DataFrame, symbol: str = ‘’, use_mean: bool = False, distribution: str = ‘normal’, percentile: float = 0.999, portfolio: bool = False, chart=True) -> None

Displays expected shortfall

Parameters
----------
data: pd.DataFrame
    Data dataframe
use_mean:
    if one should use the data mean return
symbol: str
    name of the data
distribution: str
    choose distribution to use: logistic, laplace, normal
percentile: int
    es percentile
portfolio: bool
    If the data is a portfolio