[Returnanalytics-commits] r3829 - in pkg/Dowd: R man

noreply at r-forge.r-project.org noreply at r-forge.r-project.org
Fri Jul 17 16:35:42 CEST 2015


Author: dacharya
Date: 2015-07-17 16:35:42 +0200 (Fri, 17 Jul 2015)
New Revision: 3829

Added:
   pkg/Dowd/R/LogNormalESFigure.R
   pkg/Dowd/man/LogNormalESFigure.Rd
Log:
Function LogNormalESFigure added.

Added: pkg/Dowd/R/LogNormalESFigure.R
===================================================================
--- pkg/Dowd/R/LogNormalESFigure.R	                        (rev 0)
+++ pkg/Dowd/R/LogNormalESFigure.R	2015-07-17 14:35:42 UTC (rev 3829)
@@ -0,0 +1,159 @@
+#' Figure of lognormal VaR and ES and pdf against L/P
+#'
+#' Gives figure showing the VaR and ES and probability distribution function against L/P of a portfolio assuming geometric returns are normally distributed, for specified confidence level and holding period.
+#' 
+#' @param returns Vector of daily geometric return data
+#' @param mu Mean of daily geometric return data
+#' @param sigma Standard deviation of daily geometric return data
+#' @param investment Size of investment
+#' @param cl VaR confidence level and should be scalar
+#' @param hp VaR holding period in days and should be scalar
+#'  
+#'  @note The input arguments contain either return data or else mean and 
+#'  standard deviation data. Accordingly, number of input arguments is either 4 
+#'  or 5. In case there 4 input arguments, the mean and standard deviation of 
+#'  data is computed from return data. See examples for details.
+#'  
+#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
+#'
+#' @author Dinesh Acharya
+#' @examples
+#' 
+#'    # Plots lognormal VaR, ES and pdf against L/P data for given returns data
+#'    data <- runif(5, min = 0, max = .2)
+#'    LogNormalESFigure(returns = data, investment = 5, cl = .95, hp = 90)
+#'    
+#'    # Plots lognormal VaR, ES and pdf against L/P data with given parameters
+#'    LogNormalESFigure(mu = .012, sigma = .03, investment = 5, cl = .95, hp = 90)
+#'
+#'
+#' @export
+LogNormalESFigure <- function(...){
+  # Determine if there are four or five arguments and ensure that arguments are
+  # read as intended
+  if (nargs() < 4) {
+    stop("Too few arguments")
+  }
+  if (nargs() > 5) {
+    stop("Too many arguments")
+  }
+  args <- list(...)
+  if (nargs() == 5) {
+    mu <- args$mu
+    investment <- args$investment
+    cl <- args$cl
+    sigma <- args$sigma
+    hp <- args$hp
+  }
+  if (nargs() == 4) {
+    mu <- mean(args$returns)
+    investment <- args$investment
+    cl <- args$cl
+    sigma <- sd(args$returns)
+    hp <- args$hp
+  }
+  
+  # Check that inputs have correct dimensions
+  mu <- as.matrix(mu)
+  mu.row <- dim(mu)[1]
+  mu.col <- dim(mu)[2]
+  if (max(mu.row, mu.col) > 1) {
+    stop("Mean must be a scalar")
+  }
+  sigma <- as.matrix(sigma)
+  sigma.row <- dim(sigma)[1]
+  sigma.col <- dim(sigma)[2]
+  if (max(sigma.row, sigma.col) > 1) {
+    stop("Standard deviation must be a scalar")
+  }
+  cl <- as.matrix(cl)
+  cl.row <- dim(cl)[1]
+  cl.col <- dim(cl)[2]
+  if (min(cl.row, cl.col) > 1) {
+    stop("Confidence level must be a scalar or a vector")
+  }
+  hp <- as.matrix(hp)
+  hp.row <- dim(hp)[1]
+  hp.col <- dim(hp)[2]
+  if (min(hp.row, hp.col) > 1) {
+    stop("Holding period must be a scalar or a vector")
+  }
+  
+  # Check that cl and hp are read as row and column vectors respectively
+  if (cl.row > cl.col) {
+    cl <- t(cl)
+  }
+  if (hp.row > hp.col) {
+    hp <- t(hp)
+  }
+  
+  # Check that inputs obey sign and value restrictions
+  if (sigma < 0) {
+    stop("Standard deviation must be non-negative")
+  }
+  if (max(cl) >= 1){
+    stop("Confidence level(s) must be less than 1")
+  }
+  if (min(cl) <= 0){
+    stop("Confidence level(s) must be greater than 0")
+  }
+  if (min(hp) <= 0){
+    stop("Holding Period(s) must be greater than 0")
+  }
+  
+  # Message to indicate how matrix of results is to be interpreted, if cl and hp both vary and results are given in matrix form
+  if (max(cl.row, cl.col) > 1 & max(hp.row, hp.col) > 1) {
+    print('VaR results with confidence level varying across row and holding period down column')
+  }
+  
+  # VaR estimation
+  cl.row <- dim(cl)[1]
+  cl.col <- dim(cl)[2]
+  VaR <- investment - exp(sigma[1,1] * sqrt(hp) %*% qnorm(1 - cl, 0, 1)  + mu[1,1] * hp %*% matrix(1,cl.row,cl.col) + log(investment)) # VaR
+  
+  # ES Estimation
+  n <- 1000 # Number of slices into which tail is divided
+  cl0 <- cl # Initial confidence level
+  delta.cl <- (1 - cl) / n # Increment to confidence level as each slice is taken
+  term <- VaR
+  for (i in 1:(n-1)) {
+    cl <- cl0 + i * delta.cl # Revised cl
+    term <- term + investment - exp(sigma[1,1] * sqrt(hp) %*% qnorm(1 - cl, 0, 1)  + mu[1,1] * hp %*% matrix(1,cl.row,cl.col) + log(investment))
+  }
+  es <- term/n
+  
+  # Plotting
+  x.min <- mu - 5 * sigma
+  x.max <- investment
+  delta <- (x.max-x.min) / 100
+  x <- seq(x.min, x.max, delta)
+  p <- dlnorm(investment - x, mu, sigma)
+  plot(x, p, type = "l", xlim = c(x.min, x.max), ylim = c(0, max(p)*1.1), xlab = "Loss (+) / Profit (-)", ylab = "Probability", main = "Lognormal VaR")
+  
+  # VaR line
+  u <- c(VaR, VaR)
+  v <- c(0, .6*max(p))
+  lines(u, v, type = "l", col = "blue")
+  
+  # ES line
+  w <- c(es, es)
+  z <- c(0, .45*max(p))
+  
+  # Input Labels
+  cl.for.label <- 100*cl
+  text(1,.95*max(p), pos = 1, 'Input parameters', cex=.75, font = 2)
+  text(1, .875*max(p),pos = 1, paste('Daily mean geometric return = ', round(mu,2)), cex=.75)
+  text(1, .8*max(p),pos = 1, paste('St. dev. of daily geometric returns = ',round(sigma,2)), cex=.75)
+  text(1, .725*max(p),pos = 1, paste('Investment size = ', investment), cex=.75)
+  text(1, .65*max(p),pos = 1, paste('Holding period = ', hp,' day(s)'), cex=.75)
+  
+  # VaR label
+  text(VaR, .7*max(p),pos = 2, paste('VaR at ', cl.for.label,'% CL'), cex=.75)
+  text(VaR, .65 * max(p),pos = 2, paste('= ',VaR), cex=.75)
+  
+  # ES label
+  text(es, .55*max(p),pos = 2, 'ES =', cex=.75)
+  text(VaR, .65 * max(p),pos = 2, paste(es), cex=.75)
+  
+  
+}
\ No newline at end of file

Added: pkg/Dowd/man/LogNormalESFigure.Rd
===================================================================
--- pkg/Dowd/man/LogNormalESFigure.Rd	                        (rev 0)
+++ pkg/Dowd/man/LogNormalESFigure.Rd	2015-07-17 14:35:42 UTC (rev 3829)
@@ -0,0 +1,45 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/LogNormalESFigure.R
+\name{LogNormalESFigure}
+\alias{LogNormalESFigure}
+\title{Figure of lognormal VaR and ES and pdf against L/P}
+\usage{
+LogNormalESFigure(...)
+}
+\arguments{
+\item{returns}{Vector of daily geometric return data}
+
+\item{mu}{Mean of daily geometric return data}
+
+\item{sigma}{Standard deviation of daily geometric return data}
+
+\item{investment}{Size of investment}
+
+\item{cl}{VaR confidence level and should be scalar}
+
+\item{hp}{VaR holding period in days and should be scalar}
+}
+\description{
+Gives figure showing the VaR and ES and probability distribution function against L/P of a portfolio assuming geometric returns are normally distributed, for specified confidence level and holding period.
+}
+\note{
+The input arguments contain either return data or else mean and
+ standard deviation data. Accordingly, number of input arguments is either 4
+ or 5. In case there 4 input arguments, the mean and standard deviation of
+ data is computed from return data. See examples for details.
+}
+\examples{
+# Plots lognormal VaR, ES and pdf against L/P data for given returns data
+   data <- runif(5, min = 0, max = .2)
+   LogNormalESFigure(returns = data, investment = 5, cl = .95, hp = 90)
+
+   # Plots lognormal VaR, ES and pdf against L/P data with given parameters
+   LogNormalESFigure(mu = .012, sigma = .03, investment = 5, cl = .95, hp = 90)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+



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