[Returnanalytics-commits] r3802 - pkg/Dowd/R

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

Author: dacharya
Date: 2015-07-13 13:35:13 +0200 (Mon, 13 Jul 2015)
New Revision: 3802

Modified:
   pkg/Dowd/R/LogtES.R
Log:
Minor mistakes in documentation.

Modified: pkg/Dowd/R/LogtES.R
===================================================================
--- pkg/Dowd/R/LogtES.R	2015-07-09 14:28:27 UTC (rev 3801)
+++ pkg/Dowd/R/LogtES.R	2015-07-13 11:35:13 UTC (rev 3802)
@@ -1,7 +1,7 @@
 #' ES for t distributed geometric returns
 #' 
 #' Estimates the ES of a portfolio assuming that geometric returns are 
-#' Student t distributed, for specified confidence level and holding period.
+#' Student-t distributed, for specified confidence level and holding period.
 #' 
 #' @param returns Vector of daily geometric return data
 #' @param mu Mean of daily geometric return data
@@ -105,9 +105,11 @@
     stop("Confidence level(s) must be greater than 0")
   }
   if (min(hp) <= 0){
-    stop("Confidence level(s) must be greater than 0")
+    stop("Holding Period(s) must be greater than 0")
   }
   # VaR estimation
+  cl.row <- dim(cl)[1]
+  cl.col <- dim(cl)[2]
   VaR <- investment - exp(((df - 2) / df) * sigma %*% sqrt(t(hp)) %*% qt(1 - cl, df)
                         + mu * t(hp) %*% matrix(1, cl.row, cl.col) + log(investment)) # VaR
   # ES estimation