[Returnanalytics-commits] r3830 - in pkg/Dowd: R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sun Jul 19 23:30:16 CEST 2015
Author: dacharya
Date: 2015-07-19 23:30:16 +0200 (Sun, 19 Jul 2015)
New Revision: 3830
Modified:
pkg/Dowd/R/LogNormalES.R
pkg/Dowd/R/LogNormalESDFPerc.R
pkg/Dowd/R/LogNormalESFigure.R
pkg/Dowd/R/LogNormalESPlot2DCL.R
pkg/Dowd/R/LogNormalESPlot2DHP.R
pkg/Dowd/R/LogNormalESPlot3D.R
pkg/Dowd/R/LogNormalVaR.R
pkg/Dowd/R/LogNormalVaRDFPerc.R
pkg/Dowd/R/LogNormalVaRETLPlot2DCL.R
pkg/Dowd/R/LogNormalVaRFigure.R
pkg/Dowd/R/LogNormalVaRPlot2DCL.R
pkg/Dowd/R/LogNormalVaRPlot2DHP.R
pkg/Dowd/R/LogNormalVaRPlot3D.R
pkg/Dowd/R/LogtES.R
pkg/Dowd/R/LogtESDFPerc.R
pkg/Dowd/R/LogtESPlot2DCL.R
pkg/Dowd/R/LogtESPlot2DHP.R
pkg/Dowd/R/LogtESPlot3D.R
pkg/Dowd/R/LogtVaR.R
pkg/Dowd/R/LogtVaRDFPerc.R
pkg/Dowd/R/LogtVaRPlot2DCL.R
pkg/Dowd/R/LogtVaRPlot2DHP.R
pkg/Dowd/R/LogtVaRPlot3D.R
pkg/Dowd/man/LogNormalES.Rd
pkg/Dowd/man/LogNormalESDFPerc.Rd
pkg/Dowd/man/LogNormalESFigure.Rd
pkg/Dowd/man/LogNormalESPlot2DCL.Rd
pkg/Dowd/man/LogNormalESPlot2DHP.Rd
pkg/Dowd/man/LogNormalESPlot3D.Rd
pkg/Dowd/man/LogNormalVaR.Rd
pkg/Dowd/man/LogNormalVaRDFPerc.Rd
pkg/Dowd/man/LogNormalVaRETLPlot2DCL.Rd
pkg/Dowd/man/LogNormalVaRFigure.Rd
pkg/Dowd/man/LogNormalVaRPlot2DCL.Rd
pkg/Dowd/man/LogNormalVaRPlot2DHP.Rd
pkg/Dowd/man/LogNormalVaRPlot3D.Rd
pkg/Dowd/man/LogtES.Rd
pkg/Dowd/man/LogtESDFPerc.Rd
pkg/Dowd/man/LogtESPlot2DCL.Rd
pkg/Dowd/man/LogtESPlot2DHP.Rd
pkg/Dowd/man/LogtESPlot3D.Rd
pkg/Dowd/man/LogtVaR.Rd
pkg/Dowd/man/LogtVaRDFPerc.Rd
pkg/Dowd/man/LogtVaRPlot2DCL.Rd
pkg/Dowd/man/LogtVaRPlot2DHP.Rd
pkg/Dowd/man/LogtVaRPlot3D.Rd
Log:
Documentation style for parameters changed.
Modified: pkg/Dowd/R/LogNormalES.R
===================================================================
--- pkg/Dowd/R/LogNormalES.R 2015-07-17 14:35:42 UTC (rev 3829)
+++ pkg/Dowd/R/LogNormalES.R 2015-07-19 21:30:16 UTC (rev 3830)
@@ -3,24 +3,30 @@
#' Estimates the ES of a portfolio assuming that 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
-#' @param hp VaR holding period in days
+#' @param ... 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.
+#'
+#' returns Vector of daily geometric return data
+#'
+#' mu Mean of daily geometric return data
+#'
+#' sigma Standard deviation of daily geometric return data
+#'
+#' investment Size of investment
+#'
+#' cl VaR confidence level
+#'
+#' hp VaR holding period in days
+#'
#' @return Matrix of ES whose dimension depends on dimension of hp and cl. If
#' cl and hp are both scalars, the matrix is 1 by 1. If cl is a vector and hp is
#' a scalar, the matrix is row matrix, if cl is a scalar and hp is a vector,
#' the matrix is column matrix and if both cl and hp are vectors, the matrix
#' has dimension length of cl * length of hp.
#'
-#' @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.
+#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
#' @author Dinesh Acharya
#' @examples
Modified: pkg/Dowd/R/LogNormalESDFPerc.R
===================================================================
--- pkg/Dowd/R/LogNormalESDFPerc.R 2015-07-17 14:35:42 UTC (rev 3829)
+++ pkg/Dowd/R/LogNormalESDFPerc.R 2015-07-19 21:30:16 UTC (rev 3830)
@@ -1,21 +1,33 @@
-#' Percentiles of ES distribution function for normally distributed geometric returns
+#' Percentiles of ES distribution function for normally distributed geometric
+#' returns
#'
-#' Estimates the percentiles of ES distribution for normally distributed geometric returns, for specified confidence level and holding period using the theory of order statistics.
+#' Estimates the percentiles of ES distribution for normally distributed
+#' geometric returns, for specified confidence level and holding period using
+#' the theory of order statistics.
#'
-#' @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 n Sample size
-#' @param investment Size of investment
-#' @param perc Desired percentile
-#' @param cl ES confidence level and must be a scalar
-#' @param hp ES holding period and must be a a scalar
-#' @return Percentiles of ES distribution function
-#' @note The input arguments contain either return data or else mean and
+#' @param ... The input arguments contain either return data or else mean and
#' standard deviation data. Accordingly, number of input arguments is either 5
-#' or 7. In case there 5 input arguments, the mean, standard deviation and number of
-#' samples is computed from return data. See examples for details.
+#' or 7. In case there 5 input arguments, the mean, standard deviation and
+#' number of samples is computed from return data. See examples for details.
+#'
+#' returns Vector of daily geometric return data
+#'
+#' mu Mean of daily geometric return data
#'
+#' sigma Standard deviation of daily geometric return data
+#'
+#' n Sample size
+#'
+#' investment Size of investment
+#'
+#' perc Desired percentile
+#'
+#' cl ES confidence level and must be a scalar
+#'
+#' hp ES holding period and must be a a scalar
+#'
+#' @return Percentiles of ES distribution function
+#'
#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
#' @author Dinesh Acharya
Modified: pkg/Dowd/R/LogNormalESFigure.R
===================================================================
--- pkg/Dowd/R/LogNormalESFigure.R 2015-07-17 14:35:42 UTC (rev 3829)
+++ pkg/Dowd/R/LogNormalESFigure.R 2015-07-19 21:30:16 UTC (rev 3830)
@@ -1,20 +1,27 @@
#' 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.
+#' 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
+#' @param ... 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.
+#' returns Vector of daily geometric return data
+#'
+#' mu Mean of daily geometric return data
+#'
+#' sigma Standard deviation of daily geometric return data
+#'
+#' investment Size of investment
+#'
+#' cl VaR confidence level and should be scalar
+#'
+#' hp VaR holding period in days and should be scalar
+#'
+#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
#' @author Dinesh Acharya
#' @examples
@@ -138,6 +145,7 @@
# ES line
w <- c(es, es)
z <- c(0, .45*max(p))
+ lines(w, z, type = "l", col = "blue")
# Input Labels
cl.for.label <- 100*cl
Modified: pkg/Dowd/R/LogNormalESPlot2DCL.R
===================================================================
--- pkg/Dowd/R/LogNormalESPlot2DCL.R 2015-07-17 14:35:42 UTC (rev 3829)
+++ pkg/Dowd/R/LogNormalESPlot2DCL.R 2015-07-19 21:30:16 UTC (rev 3830)
@@ -1,20 +1,26 @@
#' Plots log normal ES against confidence level
#'
-#' Plots the ES of a portfolio against confidence level assuming that geometric returns are
-#' normally distributed, for specified confidence level and holding period.
+#' Plots the ES of a portfolio against confidence level assuming that 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 ES confidence level and must be a vector
-#' @param hp ES holding period and must be a scalar
-#'
-#' @note The input arguments contain either return data or else mean and
+#' @param ... 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.
#'
+#' returns Vector of daily geometric return data
+#'
+#' mu Mean of daily geometric return data
+#'
+#' sigma Standard deviation of daily geometric return data
+#'
+#' investment Size of investment
+#'
+#' cl ES confidence level and must be a vector
+#'
+#' hp ES holding period and must be a scalar
+#'
#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
#' @author Dinesh Acharya
@@ -22,15 +28,18 @@
#'
#' # Plots ES against confidence level
#' data <- runif(5, min = 0, max = .2)
-#' LogNormalESPlot2DCL(returns = data, investment = 5, cl = seq(.9,.99,.01), hp = 60)
+#' LogNormalESPlot2DCL(returns = data, investment = 5,
+#' cl = seq(.9,.99,.01), hp = 60)
#'
#' # Plots ES against confidence level
-#' LogNormalESPlot2DCL(mu = .012, sigma = .03, investment = 5, cl = seq(.9,.99,.01), hp = 40)
+#' LogNormalESPlot2DCL(mu = .012, sigma = .03, investment = 5,
+#' cl = seq(.9,.99,.01), hp = 40)
#'
#'
#' @export
LogNormalESPlot2DCL <- function(...){
- # Determine if there are four or five arguments, and ensure that arguments are read as intended
+ # Determine if there are four or five arguments, and ensure that arguments are
+ # read as intended
if (nargs() < 4) {
stop("Too few arguments")
}
Modified: pkg/Dowd/R/LogNormalESPlot2DHP.R
===================================================================
--- pkg/Dowd/R/LogNormalESPlot2DHP.R 2015-07-17 14:35:42 UTC (rev 3829)
+++ pkg/Dowd/R/LogNormalESPlot2DHP.R 2015-07-19 21:30:16 UTC (rev 3830)
@@ -3,18 +3,23 @@
#' Plots the ES of a portfolio against holding period assuming that geometric returns are
#' normal 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 ES confidence level and must be a scalar
-#' @param hp ES holding period and must be a vector
-#'
-#' @note The input arguments contain either return data or else mean and
+#' @param ... 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.
#'
+#' returns Vector of daily geometric return data
+#'
+#' mu Mean of daily geometric return data
+#'
+#' sigma Standard deviation of daily geometric return data
+#'
+#' investment Size of investment
+#'
+#' cl ES confidence level and must be a scalar
+#'
+#' hp ES holding period and must be a vector
+#'
#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
#' @author Dinesh Acharya
Modified: pkg/Dowd/R/LogNormalESPlot3D.R
===================================================================
--- pkg/Dowd/R/LogNormalESPlot3D.R 2015-07-17 14:35:42 UTC (rev 3829)
+++ pkg/Dowd/R/LogNormalESPlot3D.R 2015-07-19 21:30:16 UTC (rev 3830)
@@ -4,17 +4,21 @@
#' 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 cl VaR confidence level and must be a vector
-#' @param hp VaR holding period and must be a vector
-#'
-#' @note The input arguments contain either return data or else mean and
+#' @param ... 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.
#'
+#' returns Vector of daily geometric return data
+#'
+#' mu Mean of daily geometric return data
+#'
+#' sigma Standard deviation of daily geometric return data
+#'
+#' cl VaR confidence level and must be a vector
+#'
+#' hp VaR holding period and must be a vector
+#'
#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
#' @author Dinesh Acharya
Modified: pkg/Dowd/R/LogNormalVaR.R
===================================================================
--- pkg/Dowd/R/LogNormalVaR.R 2015-07-17 14:35:42 UTC (rev 3829)
+++ pkg/Dowd/R/LogNormalVaR.R 2015-07-19 21:30:16 UTC (rev 3830)
@@ -3,23 +3,29 @@
#' Estimates the VaR of a portfolio assuming that 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
-#' @param hp VaR holding period in days
+#' @param ... 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.
+#'
+#' returns Vector of daily geometric return data
+#'
+#' mu Mean of daily geometric return data
+#'
+#' sigma Standard deviation of daily geometric return data
+#'
+#' investment Size of investment
+#'
+#' cl VaR confidence level
+#'
+#' hp VaR holding period in days
+#'
#' @return Matrix of VaR whose dimension depends on dimension of hp and cl. If
#' cl and hp are both scalars, the matrix is 1 by 1. If cl is a vector and hp is
#' a scalar, the matrix is row matrix, if cl is a scalar and hp is a vector,
#' the matrix is column matrix and if both cl and hp are vectors, the matrix
#' has dimension length of cl * length of hp.
#'
-#' @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
Modified: pkg/Dowd/R/LogNormalVaRDFPerc.R
===================================================================
--- pkg/Dowd/R/LogNormalVaRDFPerc.R 2015-07-17 14:35:42 UTC (rev 3829)
+++ pkg/Dowd/R/LogNormalVaRDFPerc.R 2015-07-19 21:30:16 UTC (rev 3830)
@@ -1,20 +1,30 @@
#' Percentiles of VaR distribution function for normally distributed geometric returns
#'
-#' Estimates the percentile of VaR distribution function for normally distributed geometric returns, using the theory of order statistics.
+#' Estimates the percentile of VaR distribution function for normally distributed
+#' geometric returns, using the theory of order statistics.
#'
-#' @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 n Sample size
-#' @param investment Size of investment
-#' @param perc Desired percentile
-#' @param cl VaR confidence level and must be a scalar
-#' @param hp VaR holding period and must be a a scalar
-#' @return Percentiles of VaR distribution function and is scalar
-#' @note The input arguments contain either return data or else mean and
+#' @param ... The input arguments contain either return data or else mean and
#' standard deviation data. Accordingly, number of input arguments is either 5
-#' or 7. In case there 5 input arguments, the mean, standard deviation and number of observations of
-#' data are computed from returns data. See examples for details.
+#' or 7. In case there 5 input arguments, the mean, standard deviation and number
+#' of observations of data are computed from returns data. See examples for details.
+#'
+#' returns Vector of daily geometric return data
+#'
+#' mu Mean of daily geometric return data
+#'
+#' sigma Standard deviation of daily geometric return data
+#'
+#' n Sample size
+#'
+#' investment Size of investment
+#'
+#' perc Desired percentile
+#'
+#' cl VaR confidence level and must be a scalar
+#'
+#' hp VaR holding period and must be a a scalar
+#'
+#' Percentiles of VaR distribution function and is scalar
#'
#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
Modified: pkg/Dowd/R/LogNormalVaRETLPlot2DCL.R
===================================================================
--- pkg/Dowd/R/LogNormalVaRETLPlot2DCL.R 2015-07-17 14:35:42 UTC (rev 3829)
+++ pkg/Dowd/R/LogNormalVaRETLPlot2DCL.R 2015-07-19 21:30:16 UTC (rev 3830)
@@ -4,18 +4,23 @@
#' 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 must be a vector
-#' @param hp VaR holding period and must be a scalar
-#'
-#' @note The input arguments contain either return data or else mean and
+#' @param ... 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 are 4 input arguments, the mean and standard deviation of
#' data is computed from return data. See examples for details.
#'
+#' returns Vector of daily geometric return data
+#'
+#' mu Mean of daily geometric return data
+#'
+#' sigma Standard deviation of daily geometric return data
+#'
+#' investment Size of investment
+#'
+#' cl VaR confidence level and must be a vector
+#'
+#' hp VaR holding period and must be a scalar
+#'
#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
#' @author Dinesh Acharya
Modified: pkg/Dowd/R/LogNormalVaRFigure.R
===================================================================
--- pkg/Dowd/R/LogNormalVaRFigure.R 2015-07-17 14:35:42 UTC (rev 3829)
+++ pkg/Dowd/R/LogNormalVaRFigure.R 2015-07-19 21:30:16 UTC (rev 3830)
@@ -1,19 +1,26 @@
#' Figure of lognormal VaR and pdf against L/P
#'
-#' Gives figure showing the VaR and probability distribution function against L/P of a portfolio assuming geometric returns are normally distributed, for specified confidence level and holding period.
+#' Gives figure showing the VaR 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
+#' @param ... 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.
#'
+#' returns Vector of daily geometric return data
+#'
+#' mu Mean of daily geometric return data
+#'
+#' sigma Standard deviation of daily geometric return data
+#'
+#' investment Size of investment
+#'
+#' cl VaR confidence level and should be scalar
+#'
+#' hp VaR holding period in days and should be scalar
+#'
#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
#' @author Dinesh Acharya
Modified: pkg/Dowd/R/LogNormalVaRPlot2DCL.R
===================================================================
--- pkg/Dowd/R/LogNormalVaRPlot2DCL.R 2015-07-17 14:35:42 UTC (rev 3829)
+++ pkg/Dowd/R/LogNormalVaRPlot2DCL.R 2015-07-19 21:30:16 UTC (rev 3830)
@@ -4,18 +4,23 @@
#' 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 must be a vector
-#' @param hp VaR holding period and must be a scalar
-#'
-#' @note The input arguments contain either return data or else mean and
+#' @param ... 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 are 4 input arguments, the mean and standard deviation of
#' data is computed from return data. See examples for details.
#'
+#' returns Vector of daily geometric return data
+#'
+#' mu Mean of daily geometric return data
+#'
+#' sigma Standard deviation of daily geometric return data
+#'
+#' investment Size of investment
+#'
+#' cl VaR confidence level and must be a vector
+#'
+#' hp VaR holding period and must be a scalar
+#'
#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
#' @author Dinesh Acharya
Modified: pkg/Dowd/R/LogNormalVaRPlot2DHP.R
===================================================================
--- pkg/Dowd/R/LogNormalVaRPlot2DHP.R 2015-07-17 14:35:42 UTC (rev 3829)
+++ pkg/Dowd/R/LogNormalVaRPlot2DHP.R 2015-07-19 21:30:16 UTC (rev 3830)
@@ -3,19 +3,24 @@
#' Plots the VaR of a portfolio against holding period assuming that geometric returns are
#' normal 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 must be a scalar
-#' @param hp VaR holding period and must be a vector
-#'
-#' @note The input arguments contain either return data or else mean and
+#' @param ... 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.
+#' returns Vector of daily geometric return data
+#'
+#' mu Mean of daily geometric return data
+#'
+#' sigma Standard deviation of daily geometric return data
+#'
+#' investment Size of investment
+#'
+#' cl VaR confidence level and must be a scalar
+#'
+#' hp VaR holding period and must be a vector
+#'
+#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
#' @author Dinesh Acharya
#' @examples
Modified: pkg/Dowd/R/LogNormalVaRPlot3D.R
===================================================================
--- pkg/Dowd/R/LogNormalVaRPlot3D.R 2015-07-17 14:35:42 UTC (rev 3829)
+++ pkg/Dowd/R/LogNormalVaRPlot3D.R 2015-07-19 21:30:16 UTC (rev 3830)
@@ -4,18 +4,23 @@
#' returns are normal 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 must be a vector
-#' @param hp VaR holding period and must be a vector
-#'
-#' @note The input arguments contain either return data or else mean and
+#' @param ... 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.
#'
+#' returns Vector of daily geometric return data
+#'
+#' mu Mean of daily geometric return data
+#'
+#' sigma Standard deviation of daily geometric return data
+#'
+#' investment Size of investment
+#'
+#' cl VaR confidence level and must be a vector
+#'
+#' hp VaR holding period and must be a vector
+#'
#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
#' @author Dinesh Acharya
Modified: pkg/Dowd/R/LogtES.R
===================================================================
--- pkg/Dowd/R/LogtES.R 2015-07-17 14:35:42 UTC (rev 3829)
+++ pkg/Dowd/R/LogtES.R 2015-07-19 21:30:16 UTC (rev 3830)
@@ -3,24 +3,31 @@
#' Estimates the ES of a portfolio assuming that geometric returns are
#' 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
-#' @param sigma Standard deviation of daily geometric return data
-#' @param investment Size of investment
-#' @param df Number of degrees of freedom in the t distribution
-#' @param cl VaR confidence level
-#' @param hp VaR holding period
+#' @param ... The input arguments contain either return data or else mean and
+#' standard deviation data. Accordingly, number of input arguments is either 5
+#' or 6. In case there 5 input arguments, the mean and standard deviation of
+#' data is computed from return data. See examples for details.
+#'
+#' returns Vector of daily geometric return data
+#'
+#' mu Mean of daily geometric return data
+#'
+#' sigma Standard deviation of daily geometric return data
+#'
+#' investment Size of investment
+#'
+#' df Number of degrees of freedom in the t distribution
+#'
+#' cl VaR confidence level
+#'
+#' hp VaR holding period
+#'
#' @return Matrix of ES whose dimension depends on dimension of hp and cl. If
#' cl and hp are both scalars, the matrix is 1 by 1. If cl is a vector and hp is
#' a scalar, the matrix is row matrix, if cl is a scalar and hp is a vector,
#' the matrix is column matrix and if both cl and hp are vectors, the matrix
#' has dimension length of cl * length of hp.
#'
-#' @note The input arguments contain either return data or else mean and
-#' standard deviation data. Accordingly, number of input arguments is either 5
-#' or 6. In case there 5 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
Modified: pkg/Dowd/R/LogtESDFPerc.R
===================================================================
--- pkg/Dowd/R/LogtESDFPerc.R 2015-07-17 14:35:42 UTC (rev 3829)
+++ pkg/Dowd/R/LogtESDFPerc.R 2015-07-19 21:30:16 UTC (rev 3830)
@@ -3,21 +3,31 @@
#' Plots the ES of a portfolio against confidence level assuming that geometric returns are
#' 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
-#' @param sigma Standard deviation of daily geometric return data
-#' @param n Sample size
-#' @param investment Size of investment
-#' @param perc Desired percentile
-#' @param df Number of degrees of freedom in the t distribution
-#' @param cl ES confidence level and must be a scalar
-#' @param hp ES holding period and must be a a scalar
-#' @return Percentiles of ES distribution function
-#' @note The input arguments contain either return data or else mean and
+#' @param ... The input arguments contain either return data or else mean and
#' standard deviation data. Accordingly, number of input arguments is either 6
#' or 8. In case there 6 input arguments, the mean and standard deviation of
#' data is computed from return data. See examples for details.
+#'
+#' returns Vector of daily geometric return data
+#'
+#' mu Mean of daily geometric return data
#'
+#' sigma Standard deviation of daily geometric return data
+#'
+#' n Sample size
+#'
+#' investment Size of investment
+#'
+#' perc Desired percentile
+#'
+#' df Number of degrees of freedom in the t distribution
+#'
+#' cl ES confidence level and must be a scalar
+#'
+#' hp ES holding period and must be a a scalar
+#'
+#' @return Percentiles of ES distribution function
+#'
#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
#' @author Dinesh Acharya
Modified: pkg/Dowd/R/LogtESPlot2DCL.R
===================================================================
--- pkg/Dowd/R/LogtESPlot2DCL.R 2015-07-17 14:35:42 UTC (rev 3829)
+++ pkg/Dowd/R/LogtESPlot2DCL.R 2015-07-19 21:30:16 UTC (rev 3830)
@@ -3,19 +3,25 @@
#' Plots the ES of a portfolio against confidence level assuming that geometric returns are
#' 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
-#' @param sigma Standard deviation of daily geometric return data
-#' @param investment Size of investment
-#' @param df Number of degrees of freedom in the t distribution
-#' @param cl ES confidence level and must be a vector
-#' @param hp ES holding period and must be a scalar
-#'
-#' @note The input arguments contain either return data or else mean and
+#' @param ... The input arguments contain either return data or else mean and
#' standard deviation data. Accordingly, number of input arguments is either 5
#' or 6. In case there 5 input arguments, the mean and standard deviation of
#' data is computed from return data. See examples for details.
#'
+#' returns Vector of daily geometric return data
+#'
+#' mu Mean of daily geometric return data
+#'
+#' sigma Standard deviation of daily geometric return data
+#'
+#' investment Size of investment
+#'
+#' df Number of degrees of freedom in the t distribution
+#'
+#' cl ES confidence level and must be a vector
+#'
+#' hp ES holding period and must be a scalar
+#'
#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
#' @author Dinesh Acharya
Modified: pkg/Dowd/R/LogtESPlot2DHP.R
===================================================================
--- pkg/Dowd/R/LogtESPlot2DHP.R 2015-07-17 14:35:42 UTC (rev 3829)
+++ pkg/Dowd/R/LogtESPlot2DHP.R 2015-07-19 21:30:16 UTC (rev 3830)
@@ -3,19 +3,25 @@
#' Plots the ES of a portfolio against holding period assuming that geometric returns are
#' 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
-#' @param sigma Standard deviation of daily geometric return data
-#' @param investment Size of investment
-#' @param df Number of degrees of freedom in the t distribution
-#' @param cl ES confidence level and must be a scalar
-#' @param hp ES holding period and must be a vector
-#'
-#' @note The input arguments contain either return data or else mean and
+#' @param ... The input arguments contain either return data or else mean and
#' standard deviation data. Accordingly, number of input arguments is either 5
#' or 6. In case there 5 input arguments, the mean and standard deviation of
#' data is computed from return data. See examples for details.
#'
+#' returns Vector of daily geometric return data
+#'
+#' mu Mean of daily geometric return data
+#'
+#' sigma Standard deviation of daily geometric return data
+#'
+#' investment Size of investment
+#'
+#' df Number of degrees of freedom in the t distribution
+#'
+#' cl ES confidence level and must be a scalar
+#'
+#' hp ES holding period and must be a vector
+#'
#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
#' @author Dinesh Acharya
@@ -28,7 +34,6 @@
#' # Computes v given mean and standard deviation of return data
#' LogtESPlot2DHP(mu = .012, sigma = .03, investment = 5, df = 6, cl = .99, hp = 40:80)
#'
-#'
#' @export
LogtESPlot2DHP <- function(...){
if (nargs() < 5) {
Modified: pkg/Dowd/R/LogtESPlot3D.R
===================================================================
--- pkg/Dowd/R/LogtESPlot3D.R 2015-07-17 14:35:42 UTC (rev 3829)
+++ pkg/Dowd/R/LogtESPlot3D.R 2015-07-19 21:30:16 UTC (rev 3830)
@@ -4,19 +4,25 @@
#' returns are 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
-#' @param sigma Standard deviation of daily geometric return data
-#' @param investment Size of investment
-#' @param df Number of degrees of freedom in the t distribution
-#' @param cl VaR confidence level and must be a vector
-#' @param hp VaR holding period and must be a vector
-#'
-#' @note The input arguments contain either return data or else mean and
+#' @param ... The input arguments contain either return data or else mean and
#' standard deviation data. Accordingly, number of input arguments is either 5
#' or 6. In case there 5 input arguments, the mean and standard deviation of
[TRUNCATED]
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svnlook diff /svnroot/returnanalytics -r 3830
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