[Returnanalytics-commits] r3683 - in pkg/Dowd: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sat Jun 20 12:44:55 CEST 2015
Author: dacharya
Date: 2015-06-20 12:44:55 +0200 (Sat, 20 Jun 2015)
New Revision: 3683
Modified:
pkg/Dowd/NAMESPACE
pkg/Dowd/R/ADTestStat.R
pkg/Dowd/R/AdjustedNormalESHotspots.R
pkg/Dowd/R/AdjustedNormalVaRHotspots.R
pkg/Dowd/R/AdjustedVarianceCovarianceVaR.R
pkg/Dowd/R/BinomialBacktest.R
pkg/Dowd/R/ChristoffersenBacktestForIndependence.R
pkg/Dowd/R/FrechetVaRPlot2DCl.R
pkg/Dowd/R/GParetoES.R
pkg/Dowd/R/GParetoMEFPlot.R
pkg/Dowd/R/GParetoMultipleMEFPlot.R
pkg/Dowd/R/GumbelES.R
pkg/Dowd/R/HSVaR.R
pkg/Dowd/R/JarqueBeraBacktest.R
pkg/Dowd/R/KSTestStat.R
pkg/Dowd/R/KuiperTestStat.R
pkg/Dowd/man/ADTestStat.Rd
pkg/Dowd/man/AdjustedNormalESHotspots.Rd
pkg/Dowd/man/AdjustedNormalVaRHotspots.Rd
pkg/Dowd/man/AdjustedVarianceCovarianceVaR.Rd
pkg/Dowd/man/BinomialBacktest.Rd
pkg/Dowd/man/FrechetVaRPlot2DCl.Rd
pkg/Dowd/man/GumbelES.Rd
pkg/Dowd/man/JarqueBeraBacktest.Rd
pkg/Dowd/man/KSTestStat.Rd
pkg/Dowd/man/KuiperTestStat.Rd
Log:
InsuranceVaR : source and document and other minor change in documentation in others.
Modified: pkg/Dowd/NAMESPACE
===================================================================
--- pkg/Dowd/NAMESPACE 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/NAMESPACE 2015-06-20 10:44:55 UTC (rev 3683)
@@ -41,6 +41,7 @@
export(HillEstimator)
export(HillPlot)
export(HillQuantileEstimator)
+export(InsuranceVaR)
export(JarqueBeraBacktest)
export(KSTestStat)
export(KuiperTestStat)
Modified: pkg/Dowd/R/ADTestStat.R
===================================================================
--- pkg/Dowd/R/ADTestStat.R 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/R/ADTestStat.R 2015-06-20 10:44:55 UTC (rev 3683)
@@ -7,9 +7,9 @@
#' which is equivalent to
#' \deqn{=-n-\frac{1}{n}\sum_{i=1}^n(2i-1)[\ln F(X_i)+\ln(1-F(X_{n+1-i}))]}
#'
-#' @param number.trials
-#' @param sample.size
-#' @param confidence.interval
+#' @param number.trials Number of trials
+#' @param sample.size Sample size
+#' @param confidence.interval Confidence Interval
#' @return Confidence Interval for AD test statistic
#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
Modified: pkg/Dowd/R/AdjustedNormalESHotspots.R
===================================================================
--- pkg/Dowd/R/AdjustedNormalESHotspots.R 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/R/AdjustedNormalESHotspots.R 2015-06-20 10:44:55 UTC (rev 3683)
@@ -12,7 +12,7 @@
#' @param cl Confidence level and is scalar
#' @param hp Holding period and is scalar
#'
-#' @references Dowd, K. Measurh ing Market Risk, Wiley, 2007.
+#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
#' @author Dinesh Acharya
#'
Modified: pkg/Dowd/R/AdjustedNormalVaRHotspots.R
===================================================================
--- pkg/Dowd/R/AdjustedNormalVaRHotspots.R 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/R/AdjustedNormalVaRHotspots.R 2015-06-20 10:44:55 UTC (rev 3683)
@@ -12,7 +12,7 @@
#' @param cl Confidence level and is scalar
#' @param hp Holding period and is scalar
#'
-#' @references Dowd, K. Measurh ing Market Risk, Wiley, 2007.
+#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
#' @author Dinesh Acharya
#'
Modified: pkg/Dowd/R/AdjustedVarianceCovarianceVaR.R
===================================================================
--- pkg/Dowd/R/AdjustedVarianceCovarianceVaR.R 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/R/AdjustedVarianceCovarianceVaR.R 2015-06-20 10:44:55 UTC (rev 3683)
@@ -10,7 +10,7 @@
#' @param cl Confidence level and is scalar or vector
#' @param hp Holding period and is scalar or vector
#'
-#' @references Dowd, K. Measurh ing Market Risk, Wiley, 2007.
+#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
#' @author Dinesh Acharya
#'
Modified: pkg/Dowd/R/BinomialBacktest.R
===================================================================
--- pkg/Dowd/R/BinomialBacktest.R 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/R/BinomialBacktest.R 2015-06-20 10:44:55 UTC (rev 3683)
@@ -21,7 +21,7 @@
#' @examples
#'
#' # Probability that the VaR model is correct for 3 failures, 100 number
-#' observations and 95% confidence level
+#' # observations and 95% confidence level
#' BinomialBacktest(55, 1000, 0.95)
#'
#' @export
Modified: pkg/Dowd/R/ChristoffersenBacktestForIndependence.R
===================================================================
--- pkg/Dowd/R/ChristoffersenBacktestForIndependence.R 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/R/ChristoffersenBacktestForIndependence.R 2015-06-20 10:44:55 UTC (rev 3683)
@@ -9,7 +9,6 @@
#' @return Probability that given the data set, the null hypothesis
#' (i.e. independence) is correct.
#'
-#'
#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
#' Christoffersen, P. Evaluating Interval Forecasts. International Economic
Modified: pkg/Dowd/R/FrechetVaRPlot2DCl.R
===================================================================
--- pkg/Dowd/R/FrechetVaRPlot2DCl.R 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/R/FrechetVaRPlot2DCl.R 2015-06-20 10:44:55 UTC (rev 3683)
@@ -1,12 +1,11 @@
-#' @title Plots Frechet Value at Risk against Cl
+#' Plots Frechet Value at Risk against Cl
#'
-#' @description Plots the VaR of a portfolio against confidence level assuming extreme losses
+#' Plots the VaR of a portfolio against confidence level assuming extreme losses
#' are Frechet distributed, for specified range of confidence level and a given
#' holding period.
#'
#' Note that the long-right-hand tail is fitted to losses, not profits.
#'
-#'
#' @param mu Location parameter for daily L/P
#' @param sigma Scale parameter for daily L/P
#' @param tail.index Tail index
Modified: pkg/Dowd/R/GParetoES.R
===================================================================
--- pkg/Dowd/R/GParetoES.R 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/R/GParetoES.R 2015-06-20 10:44:55 UTC (rev 3683)
@@ -1,6 +1,6 @@
-#' @title Expected Shortfall for Generalized Pareto
+#' Expected Shortfall for Generalized Pareto
#'
-#' @description Estimates the ES of a portfolio assuming losses are distributed as a generalised Pareto.
+#' Estimates the ES of a portfolio assuming losses are distributed as a generalised Pareto.
#'
#' @param Ra Vector of daily Profit/Loss data
#' @param beta Assumed scale parameter
Modified: pkg/Dowd/R/GParetoMEFPlot.R
===================================================================
--- pkg/Dowd/R/GParetoMEFPlot.R 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/R/GParetoMEFPlot.R 2015-06-20 10:44:55 UTC (rev 3683)
@@ -1,6 +1,6 @@
-#' @title Plot of Emperical and Generalised Pareto mean excess functions
+#' Plot of Emperical and Generalised Pareto mean excess functions
#'
-#' @description Plots of emperical mean excess function and Generalized mean excess function.
+#' Plots of emperical mean excess function and Generalized mean excess function.
#'
#' @param Ra Vector of daily Profit/Loss data
#' @param mu Location parameter
Modified: pkg/Dowd/R/GParetoMultipleMEFPlot.R
===================================================================
--- pkg/Dowd/R/GParetoMultipleMEFPlot.R 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/R/GParetoMultipleMEFPlot.R 2015-06-20 10:44:55 UTC (rev 3683)
@@ -1,6 +1,6 @@
-#' @title Plot of Emperical and 2 Generalised Pareto mean excess functions
+#' Plot of Emperical and 2 Generalised Pareto mean excess functions
#'
-#' @description Plots of emperical mean excess function and two generalized pareto mean excess functions which differ in their tail-index value.
+#' Plots of emperical mean excess function and two generalized pareto mean excess functions which differ in their tail-index value.
#'
#' @param Ra Vector of daily Profit/Loss data
#' @param mu Location parameter
Modified: pkg/Dowd/R/GumbelES.R
===================================================================
--- pkg/Dowd/R/GumbelES.R 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/R/GumbelES.R 2015-06-20 10:44:55 UTC (rev 3683)
@@ -15,7 +15,8 @@
#'
#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
#'
-#' National Institute of Standards and Technology, Dataplot Reference Manual. Volume 1: Commands. NIST: Washington, DC, 1997, p. 8-67.
+#' National Institute of Standards and Technology, Dataplot Reference Manual.
+#' Volume 1: Commands. NIST: Washington, DC, 1997, p. 8-67.
#'
#' @author Dinesh Acharya
#' @examples
Modified: pkg/Dowd/R/HSVaR.R
===================================================================
--- pkg/Dowd/R/HSVaR.R 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/R/HSVaR.R 2015-06-20 10:44:55 UTC (rev 3683)
@@ -94,7 +94,7 @@
if (upper.index!=lower.index){
# Weights attached to upper and lower VaRs
lower.weight <- (upper.index-index)/(upper.index-lower.index) # weight on upper.var
-
+ upper.weight <- (index-lower.index)/(upper.index-lower.index) # weight on upper_var
# Finally, the weighted, VaR as a linear interpolation of upper and lower VaRs
y <- lower.weight * lower.var + upper.weight * upper.var
Modified: pkg/Dowd/R/JarqueBeraBacktest.R
===================================================================
--- pkg/Dowd/R/JarqueBeraBacktest.R 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/R/JarqueBeraBacktest.R 2015-06-20 10:44:55 UTC (rev 3683)
@@ -21,7 +21,7 @@
#' @examples
#'
#' # JB test statistic for sample with 500 observations with sample
-#' skewness and kurtosis of -0.075 and 2.888
+#' # skewness and kurtosis of -0.075 and 2.888
#' JarqueBeraBacktest(-0.075,2.888,500)
#'
#' @export
Modified: pkg/Dowd/R/KSTestStat.R
===================================================================
--- pkg/Dowd/R/KSTestStat.R 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/R/KSTestStat.R 2015-06-20 10:44:55 UTC (rev 3683)
@@ -19,7 +19,7 @@
#' @examples
#'
#' # Plots the cdf for KS Test statistic and returns KS confidence interval
-#' for 100 trials with 1000 sample size and 0.95 confidence interval
+#' # for 100 trials with 1000 sample size and 0.95 confidence interval
#' KSTestStat(100, 1000, 0.95)
#'
#' @export
Modified: pkg/Dowd/R/KuiperTestStat.R
===================================================================
--- pkg/Dowd/R/KuiperTestStat.R 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/R/KuiperTestStat.R 2015-06-20 10:44:55 UTC (rev 3683)
@@ -18,16 +18,19 @@
#' @examples
#'
#' # Plots the cdf for Kuiper Test statistic and returns Kuiper confidence
-#' interval for 100 trials with 1000 sample size and 0.95 confidence
-#' interval.
+#' # interval for 100 trials with 1000 sample size and 0.95 confidence
+#' # interval.
#' KuiperTestStat(100, 1000, 0.95)
#'
#' @export
KuiperTestStat <- function(number.trials, sample.size, confidence.interval){
- if (confidence.interval>1){
+ if (confidence.interval >= 1) {
stop("Confidence Interval should be less than 1.")
}
+ if (confidence.interval <= 0) {
+ stop("Confidence Interval should be positive.")
+ }
# Read back input parameters
m <- number.trials
Modified: pkg/Dowd/man/ADTestStat.Rd
===================================================================
--- pkg/Dowd/man/ADTestStat.Rd 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/man/ADTestStat.Rd 2015-06-20 10:44:55 UTC (rev 3683)
@@ -8,11 +8,11 @@
ADTestStat(number.trials, sample.size, confidence.interval)
}
\arguments{
-\item{number.trials}{}
+\item{number.trials}{Number of trials}
-\item{sample.size}{}
+\item{sample.size}{Sample size}
-\item{confidence.interval}{}
+\item{confidence.interval}{Confidence Interval}
}
\value{
Confidence Interval for AD test statistic
@@ -26,7 +26,7 @@
}
\examples{
# Probability that the VaR model is correct for 3 failures, 100 number
- observations and 95\% confidence level
+ # observations and 95\% confidence level
ADTestStat(1000, 100, 0.95)
}
\author{
Modified: pkg/Dowd/man/AdjustedNormalESHotspots.Rd
===================================================================
--- pkg/Dowd/man/AdjustedNormalESHotspots.Rd 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/man/AdjustedNormalESHotspots.Rd 2015-06-20 10:44:55 UTC (rev 3683)
@@ -41,6 +41,6 @@
Dinesh Acharya
}
\references{
-Dowd, K. Measurh ing Market Risk, Wiley, 2007.
+Dowd, K. Measuring Market Risk, Wiley, 2007.
}
Modified: pkg/Dowd/man/AdjustedNormalVaRHotspots.Rd
===================================================================
--- pkg/Dowd/man/AdjustedNormalVaRHotspots.Rd 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/man/AdjustedNormalVaRHotspots.Rd 2015-06-20 10:44:55 UTC (rev 3683)
@@ -41,6 +41,6 @@
Dinesh Acharya
}
\references{
-Dowd, K. Measurh ing Market Risk, Wiley, 2007.
+Dowd, K. Measuring Market Risk, Wiley, 2007.
}
Modified: pkg/Dowd/man/AdjustedVarianceCovarianceVaR.Rd
===================================================================
--- pkg/Dowd/man/AdjustedVarianceCovarianceVaR.Rd 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/man/AdjustedVarianceCovarianceVaR.Rd 2015-06-20 10:44:55 UTC (rev 3683)
@@ -39,6 +39,6 @@
Dinesh Acharya
}
\references{
-Dowd, K. Measurh ing Market Risk, Wiley, 2007.
+Dowd, K. Measuring Market Risk, Wiley, 2007.
}
Modified: pkg/Dowd/man/BinomialBacktest.Rd
===================================================================
--- pkg/Dowd/man/BinomialBacktest.Rd 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/man/BinomialBacktest.Rd 2015-06-20 10:44:55 UTC (rev 3683)
@@ -26,7 +26,7 @@
}
\examples{
# Probability that the VaR model is correct for 3 failures, 100 number
- observations and 95\% confidence level
+ # observations and 95\% confidence level
BinomialBacktest(55, 1000, 0.95)
}
\author{
Modified: pkg/Dowd/man/FrechetVaRPlot2DCl.Rd
===================================================================
--- pkg/Dowd/man/FrechetVaRPlot2DCl.Rd 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/man/FrechetVaRPlot2DCl.Rd 2015-06-20 10:44:55 UTC (rev 3683)
@@ -23,7 +23,8 @@
Plots the VaR of a portfolio against confidence level assuming extreme losses
are Frechet distributed, for specified range of confidence level and a given
holding period.
-
+}
+\details{
Note that the long-right-hand tail is fitted to losses, not profits.
}
\examples{
Modified: pkg/Dowd/man/GumbelES.Rd
===================================================================
--- pkg/Dowd/man/GumbelES.Rd 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/man/GumbelES.Rd 2015-06-20 10:44:55 UTC (rev 3683)
@@ -37,6 +37,7 @@
\references{
Dowd, K. Measuring Market Risk, Wiley, 2007.
-National Institute of Standards and Technology, Dataplot Reference Manual. Volume 1: Commands. NIST: Washington, DC, 1997, p. 8-67.
+National Institute of Standards and Technology, Dataplot Reference Manual.
+Volume 1: Commands. NIST: Washington, DC, 1997, p. 8-67.
}
Modified: pkg/Dowd/man/JarqueBeraBacktest.Rd
===================================================================
--- pkg/Dowd/man/JarqueBeraBacktest.Rd 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/man/JarqueBeraBacktest.Rd 2015-06-20 10:44:55 UTC (rev 3683)
@@ -25,7 +25,7 @@
}
\examples{
# JB test statistic for sample with 500 observations with sample
- skewness and kurtosis of -0.075 and 2.888
+ # skewness and kurtosis of -0.075 and 2.888
JarqueBeraBacktest(-0.075,2.888,500)
}
\author{
Modified: pkg/Dowd/man/KSTestStat.Rd
===================================================================
--- pkg/Dowd/man/KSTestStat.Rd 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/man/KSTestStat.Rd 2015-06-20 10:44:55 UTC (rev 3683)
@@ -24,7 +24,7 @@
}
\examples{
# Plots the cdf for KS Test statistic and returns KS confidence interval
- for 100 trials with 1000 sample size and 0.95 confidence interval
+ # for 100 trials with 1000 sample size and 0.95 confidence interval
KSTestStat(100, 1000, 0.95)
}
\author{
Modified: pkg/Dowd/man/KuiperTestStat.Rd
===================================================================
--- pkg/Dowd/man/KuiperTestStat.Rd 2015-06-20 08:11:15 UTC (rev 3682)
+++ pkg/Dowd/man/KuiperTestStat.Rd 2015-06-20 10:44:55 UTC (rev 3683)
@@ -25,8 +25,8 @@
}
\examples{
# Plots the cdf for Kuiper Test statistic and returns Kuiper confidence
- interval for 100 trials with 1000 sample size and 0.95 confidence
- interval.
+ # interval for 100 trials with 1000 sample size and 0.95 confidence
+ # interval.
KuiperTestStat(100, 1000, 0.95)
}
\author{
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