[Returnanalytics-commits] r2586 - in pkg/PerformanceAnalytics/sandbox/Shubhankit: . Week5 Week5/Code

[noreply at r-forge.r-project.org]

Author: shubhanm
Date: 2013-07-17 11:40:59 +0200 (Wed, 17 Jul 2013)
New Revision: 2586

Added:
   pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/
   pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/Code/
   pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/Code/CDrawdown.R
Log:
Alternative Conditional Drawdown at Risk (Chekhlov, Uryasev and Zabarankin (2003))

Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/Code/CDrawdown.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/Code/CDrawdown.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/Code/CDrawdown.R	2013-07-17 09:40:59 UTC (rev 2586)
@@ -0,0 +1,33 @@
+CDrawdown <-
+  function (R,p=0.95, ...)
+  {
+    y = checkData(R, method = "xts")
+    columns = ncol(y)
+    rows = nrow(y)
+    columnnames = colnames(y)
+    rownames = rownames(y)
+    
+    for(column in 1:columns) {
+      x = y[,column]
+      drawdown = findDrawdowns(x)
+      threshold= ES(x,p)[1]
+      total = length(drawdown$return)
+      num = length(drawdown$return[drawdown$return>threshold])
+      cva1= (((num/total)-p)/(1-p))*threshold
+      cva2=sum(drawdown$return)/((1-p)*total)
+      z = c((cva1+cva2))
+      znames = c("Conditional Drawdown at Risk")
+      if(column == 1) {
+        resultingtable = data.frame(Value = z, row.names = znames)
+      }
+      else {
+        nextcolumn = data.frame(Value = z, row.names = znames)
+        resultingtable = cbind(resultingtable, nextcolumn)
+      }
+      
+    }
+    colnames(resultingtable) = columnnames
+    #ans = base::round(resultingtable, digits)
+    #ans
+    resultingtable
+  }
\ No newline at end of file