[Returnanalytics-commits] r3702 - pkg/Dowd/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Jun 22 16:06:36 CEST 2015
Author: dacharya
Date: 2015-06-22 16:06:36 +0200 (Mon, 22 Jun 2015)
New Revision: 3702
Modified:
pkg/Dowd/man/ADTestStat.Rd
pkg/Dowd/man/AdjustedNormalESHotspots.Rd
pkg/Dowd/man/AdjustedNormalVaRHotspots.Rd
pkg/Dowd/man/AdjustedVarianceCovarianceES.Rd
pkg/Dowd/man/AdjustedVarianceCovarianceVaR.Rd
pkg/Dowd/man/BinomialBacktest.Rd
pkg/Dowd/man/BlancoIhleBacktest.Rd
pkg/Dowd/man/BootstrapES.Rd
pkg/Dowd/man/BootstrapESConfInterval.Rd
pkg/Dowd/man/BootstrapESFigure.Rd
pkg/Dowd/man/BootstrapVaR.Rd
pkg/Dowd/man/BootstrapVaRConfInterval.Rd
pkg/Dowd/man/BootstrapVaRFigure.Rd
pkg/Dowd/man/CdfOfSumUsingGaussianCopula.Rd
pkg/Dowd/man/CdfOfSumUsingGumbelCopula.Rd
pkg/Dowd/man/CdfOfSumUsingProductCopula.Rd
pkg/Dowd/man/ChristoffersenBacktestForIndependence.Rd
pkg/Dowd/man/ChristoffersenBacktestForUnconditionalCoverage.Rd
pkg/Dowd/man/CornishFisherES.Rd
pkg/Dowd/man/CornishFisherVaR.Rd
pkg/Dowd/man/FrechetES.Rd
pkg/Dowd/man/FrechetESPlot2DCl.Rd
pkg/Dowd/man/FrechetVaR.Rd
pkg/Dowd/man/FrechetVaRPlot2DCl.Rd
pkg/Dowd/man/GParetoES.Rd
pkg/Dowd/man/GParetoMEFPlot.Rd
pkg/Dowd/man/GParetoMultipleMEFPlot.Rd
pkg/Dowd/man/GParetoVaR.Rd
pkg/Dowd/man/GaussianCopulaVaR.Rd
pkg/Dowd/man/GumbelCopulaVaR.Rd
pkg/Dowd/man/GumbelES.Rd
pkg/Dowd/man/GumbelESPlot2DCl.Rd
pkg/Dowd/man/GumbelVaR.Rd
pkg/Dowd/man/GumbelVaRPlot2DCl.Rd
pkg/Dowd/man/HSES.Rd
pkg/Dowd/man/HSVaR.Rd
pkg/Dowd/man/HSVaRDFPerc.Rd
pkg/Dowd/man/HSVaRFigure.Rd
pkg/Dowd/man/HillEstimator.Rd
pkg/Dowd/man/HillPlot.Rd
pkg/Dowd/man/HillQuantileEstimator.Rd
pkg/Dowd/man/JarqueBeraBacktest.Rd
pkg/Dowd/man/KSTestStat.Rd
pkg/Dowd/man/KuiperTestStat.Rd
pkg/Dowd/man/LopezBacktest.Rd
pkg/Dowd/man/MEFPlot.Rd
pkg/Dowd/man/NormalQQPlot.Rd
pkg/Dowd/man/PickandsEstimator.Rd
pkg/Dowd/man/PickandsPlot.Rd
pkg/Dowd/man/ProductCopulaVaR.Rd
pkg/Dowd/man/TQQPlot.Rd
Log:
Correction of typo in documentation/parameter list.
Modified: pkg/Dowd/man/ADTestStat.Rd
===================================================================
--- pkg/Dowd/man/ADTestStat.Rd 2015-06-22 13:54:46 UTC (rev 3701)
+++ pkg/Dowd/man/ADTestStat.Rd 2015-06-22 14:06:36 UTC (rev 3702)
@@ -1,45 +1,45 @@
-% Generated by roxygen2 (4.1.1): do not edit by hand
-% Please edit documentation in R/ADTestStat.R
-\name{ADTestStat}
-\alias{ADTestStat}
-\title{Plots cumulative density for AD test and computes confidence
-interval for AD test stat.}
-\usage{
-ADTestStat(number.trials, sample.size, confidence.interval)
-}
-\arguments{
-\item{number.trials}{Number of trials}
-
-\item{sample.size}{Sample size}
-
-\item{confidence.interval}{Confidence Interval}
-}
-\value{
-Confidence Interval for AD test statistic
-}
-\description{
-Anderson-Darling(AD) test can be used to carry out distribution equality test and is
-similar to Kolmogorov-Smirnov test. AD test statistic is defined as:
-\deqn{A^2=n\int_{-\infty}^{\infty}\frac{[\hat{F}(x)-F(x)]^2}{F(x)[1-F(x)]}dF(x)}
-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}))]}
-}
-\examples{
-# Probability that the VaR model is correct for 3 failures, 100 number
- # observations and 95\% confidence level
- ADTestStat(1000, 100, 0.95)
-}
-\author{
-Dinesh Acharya
-}
-\references{
-Dowd, K. Measuring Market Risk, Wiley, 2007.
-
-Anderson, T.W. and Darling, D.A. Asymptotic Theory of Certain Goodness of
-Fit Criteria Based on Stochastic Processes, The Annals of Mathematical
-Statistics, 23(2), 1952, p. 193-212.
-
-Kvam, P.H. and Vidakovic, B. Nonparametric Statistics with Applications to
-Science and Engineering, Wiley, 2007.
-}
-
+% Generated by roxygen2 (4.1.0): do not edit by hand
+% Please edit documentation in R/ADTestStat.R
+\name{ADTestStat}
+\alias{ADTestStat}
+\title{Plots cumulative density for AD test and computes confidence
+interval for AD test stat.}
+\usage{
+ADTestStat(number.trials, sample.size, confidence.interval)
+}
+\arguments{
+\item{number.trials}{Number of trials}
+
+\item{sample.size}{Sample size}
+
+\item{confidence.interval}{Confidence Interval}
+}
+\value{
+Confidence Interval for AD test statistic
+}
+\description{
+Anderson-Darling(AD) test can be used to carry out distribution equality test and is
+similar to Kolmogorov-Smirnov test. AD test statistic is defined as:
+\deqn{A^2=n\int_{-\infty}^{\infty}\frac{[\hat{F}(x)-F(x)]^2}{F(x)[1-F(x)]}dF(x)}
+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}))]}
+}
+\examples{
+# Probability that the VaR model is correct for 3 failures, 100 number
+ # observations and 95\% confidence level
+ ADTestStat(1000, 100, 0.95)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+
+Anderson, T.W. and Darling, D.A. Asymptotic Theory of Certain Goodness of
+Fit Criteria Based on Stochastic Processes, The Annals of Mathematical
+Statistics, 23(2), 1952, p. 193-212.
+
+Kvam, P.H. and Vidakovic, B. Nonparametric Statistics with Applications to
+Science and Engineering, Wiley, 2007.
+}
+
Modified: pkg/Dowd/man/AdjustedNormalESHotspots.Rd
===================================================================
--- pkg/Dowd/man/AdjustedNormalESHotspots.Rd 2015-06-22 13:54:46 UTC (rev 3701)
+++ pkg/Dowd/man/AdjustedNormalESHotspots.Rd 2015-06-22 14:06:36 UTC (rev 3702)
@@ -1,46 +1,46 @@
-% Generated by roxygen2 (4.1.1): do not edit by hand
-% Please edit documentation in R/AdjustedNormalESHotspots.R
-\name{AdjustedNormalESHotspots}
-\alias{AdjustedNormalESHotspots}
-\title{Hotspots for ES adjusted by Cornish-Fisher correction}
-\usage{
-AdjustedNormalESHotspots(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
-}
-\arguments{
-\item{vc.matrix}{Variance covariance matrix for returns}
-
-\item{mu}{Vector of expected position returns}
-
-\item{skew}{Return skew}
-
-\item{positions}{Vector of positions}
-
-\item{cl}{Confidence level and is scalar}
-
-\item{hp}{Holding period and is scalar}
-
-\item{kurtisos}{Return kurtosis}
-}
-\description{
-Estimates the ES hotspots (or vector of incremental ESs) for a
-portfolio with portfolio return adjusted for non-normality by Cornish-Fisher
-corerction, for specified confidence level and holding period.
-}
-\examples{
-# Hotspots for ES for randomly generated portfolio
- vc.matrix <- matrix(rnorm(16),4,4)
- mu <- rnorm(4)
- skew <- .5
- kurtosis <- 1.2
- positions <- c(5,2,6,10)
- cl <- .95
- hp <- 280
- AdjustedNormalESHotsopts(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
-}
-\author{
-Dinesh Acharya
-}
-\references{
-Dowd, K. Measuring Market Risk, Wiley, 2007.
-}
-
+% Generated by roxygen2 (4.1.0): do not edit by hand
+% Please edit documentation in R/AdjustedNormalESHotspots.R
+\name{AdjustedNormalESHotspots}
+\alias{AdjustedNormalESHotspots}
+\title{Hotspots for ES adjusted by Cornish-Fisher correction}
+\usage{
+AdjustedNormalESHotspots(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
+}
+\arguments{
+\item{vc.matrix}{Variance covariance matrix for returns}
+
+\item{mu}{Vector of expected position returns}
+
+\item{skew}{Return skew}
+
+\item{kurtosis}{Return kurtosis}
+
+\item{positions}{Vector of positions}
+
+\item{cl}{Confidence level and is scalar}
+
+\item{hp}{Holding period and is scalar}
+}
+\description{
+Estimates the ES hotspots (or vector of incremental ESs) for a
+portfolio with portfolio return adjusted for non-normality by Cornish-Fisher
+corerction, for specified confidence level and holding period.
+}
+\examples{
+# Hotspots for ES for randomly generated portfolio
+ vc.matrix <- matrix(rnorm(16),4,4)
+ mu <- rnorm(4)
+ skew <- .5
+ kurtosis <- 1.2
+ positions <- c(5,2,6,10)
+ cl <- .95
+ hp <- 280
+ AdjustedNormalESHotsopts(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+
Modified: pkg/Dowd/man/AdjustedNormalVaRHotspots.Rd
===================================================================
--- pkg/Dowd/man/AdjustedNormalVaRHotspots.Rd 2015-06-22 13:54:46 UTC (rev 3701)
+++ pkg/Dowd/man/AdjustedNormalVaRHotspots.Rd 2015-06-22 14:06:36 UTC (rev 3702)
@@ -1,46 +1,46 @@
-% Generated by roxygen2 (4.1.1): do not edit by hand
-% Please edit documentation in R/AdjustedNormalVaRHotspots.R
-\name{AdjustedNormalVaRHotspots}
-\alias{AdjustedNormalVaRHotspots}
-\title{Hotspots for VaR adjusted by Cornish-Fisher correction}
-\usage{
-AdjustedNormalVaRHotspots(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
-}
-\arguments{
-\item{vc.matrix}{Variance covariance matrix for returns}
-
-\item{mu}{Vector of expected position returns}
-
-\item{skew}{Return skew}
-
-\item{positions}{Vector of positions}
-
-\item{cl}{Confidence level and is scalar}
-
-\item{hp}{Holding period and is scalar}
-
-\item{kurtisos}{Return kurtosis}
-}
-\description{
-Estimates the VaR hotspots (or vector of incremental VaRs) for a
-portfolio with portfolio return adjusted for non-normality by Cornish-Fisher
-corerction, for specified confidence level and holding period.
-}
-\examples{
-# Hotspots for ES for randomly generated portfolio
- vc.matrix <- matrix(rnorm(16),4,4)
- mu <- rnorm(4)
- skew <- .5
- kurtosis <- 1.2
- positions <- c(5,2,6,10)
- cl <- .95
- hp <- 280
- AdjustedNormalVaRHotspots(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
-}
-\author{
-Dinesh Acharya
-}
-\references{
-Dowd, K. Measuring Market Risk, Wiley, 2007.
-}
-
+% Generated by roxygen2 (4.1.0): do not edit by hand
+% Please edit documentation in R/AdjustedNormalVaRHotspots.R
+\name{AdjustedNormalVaRHotspots}
+\alias{AdjustedNormalVaRHotspots}
+\title{Hotspots for VaR adjusted by Cornish-Fisher correction}
+\usage{
+AdjustedNormalVaRHotspots(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
+}
+\arguments{
+\item{vc.matrix}{Variance covariance matrix for returns}
+
+\item{mu}{Vector of expected position returns}
+
+\item{skew}{Return skew}
+
+\item{kurtosis}{Return kurtosis}
+
+\item{positions}{Vector of positions}
+
+\item{cl}{Confidence level and is scalar}
+
+\item{hp}{Holding period and is scalar}
+}
+\description{
+Estimates the VaR hotspots (or vector of incremental VaRs) for a
+portfolio with portfolio return adjusted for non-normality by Cornish-Fisher
+corerction, for specified confidence level and holding period.
+}
+\examples{
+# Hotspots for ES for randomly generated portfolio
+ vc.matrix <- matrix(rnorm(16),4,4)
+ mu <- rnorm(4)
+ skew <- .5
+ kurtosis <- 1.2
+ positions <- c(5,2,6,10)
+ cl <- .95
+ hp <- 280
+ AdjustedNormalVaRHotspots(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+
Modified: pkg/Dowd/man/AdjustedVarianceCovarianceES.Rd
===================================================================
--- pkg/Dowd/man/AdjustedVarianceCovarianceES.Rd 2015-06-22 13:54:46 UTC (rev 3701)
+++ pkg/Dowd/man/AdjustedVarianceCovarianceES.Rd 2015-06-22 14:06:36 UTC (rev 3702)
@@ -1,45 +1,45 @@
-% Generated by roxygen2 (4.1.1): do not edit by hand
-% Please edit documentation in R/AdjustedVarianceCovarianceES.R
-\name{AdjustedVarianceCovarianceES}
-\alias{AdjustedVarianceCovarianceES}
-\title{Cornish-Fisher adjusted Variance-Covariance ES}
-\usage{
-AdjustedVarianceCovarianceES(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
-}
-\arguments{
-\item{vc.matrix}{Variance covariance matrix for returns}
-
-\item{mu}{Vector of expected position returns}
-
-\item{skew}{Return skew}
-
-\item{positions}{Vector of positions}
-
-\item{cl}{Confidence level and is scalar}
-
-\item{hp}{Holding period and is scalar}
-
-\item{kurtisos}{Return kurtosis}
-}
-\description{
-Function estimates the Variance-Covariance ES of a multi-asset
-portfolio using the Cornish - Fisher adjustment for portfolio return
-non-normality, for specified confidence level and holding period.
-}
-\examples{
-# Variance-covariance ES for randomly generated portfolio
- vc.matrix <- matrix(rnorm(16), 4, 4)
- skew <- .5
- kurtosis <- 1.2
- positions <- c(5, 2, 6, 10)
- cl <- .95
- hp <- 280
- AdjustedVarianceCovarianceES(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
-}
-\author{
-Dinesh Acharya
-}
-\references{
-Dowd, K. Measuring Market Risk, Wiley, 2007.
-}
-
+% Generated by roxygen2 (4.1.0): do not edit by hand
+% Please edit documentation in R/AdjustedVarianceCovarianceES.R
+\name{AdjustedVarianceCovarianceES}
+\alias{AdjustedVarianceCovarianceES}
+\title{Cornish-Fisher adjusted Variance-Covariance ES}
+\usage{
+AdjustedVarianceCovarianceES(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
+}
+\arguments{
+\item{vc.matrix}{Variance covariance matrix for returns}
+
+\item{mu}{Vector of expected position returns}
+
+\item{skew}{Return skew}
+
+\item{kurtosis}{Return kurtosis}
+
+\item{positions}{Vector of positions}
+
+\item{cl}{Confidence level and is scalar}
+
+\item{hp}{Holding period and is scalar}
+}
+\description{
+Function estimates the Variance-Covariance ES of a multi-asset
+portfolio using the Cornish - Fisher adjustment for portfolio return
+non-normality, for specified confidence level and holding period.
+}
+\examples{
+# Variance-covariance ES for randomly generated portfolio
+ vc.matrix <- matrix(rnorm(16), 4, 4)
+ skew <- .5
+ kurtosis <- 1.2
+ positions <- c(5, 2, 6, 10)
+ cl <- .95
+ hp <- 280
+ AdjustedVarianceCovarianceES(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+
Modified: pkg/Dowd/man/AdjustedVarianceCovarianceVaR.Rd
===================================================================
--- pkg/Dowd/man/AdjustedVarianceCovarianceVaR.Rd 2015-06-22 13:54:46 UTC (rev 3701)
+++ pkg/Dowd/man/AdjustedVarianceCovarianceVaR.Rd 2015-06-22 14:06:36 UTC (rev 3702)
@@ -1,44 +1,44 @@
-% Generated by roxygen2 (4.1.1): do not edit by hand
-% Please edit documentation in R/AdjustedVarianceCovarianceVaR.R
-\name{AdjustedVarianceCovarianceVaR}
-\alias{AdjustedVarianceCovarianceVaR}
-\title{Cornish-Fisher adjusted variance-covariance VaR}
-\usage{
-AdjustedVarianceCovarianceVaR(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
-}
-\arguments{
-\item{vc.matrix}{Assumed variance covariance matrix for returns}
-
-\item{mu}{Vector of expected position returns}
-
-\item{skew}{Portfolio return skewness}
-
-\item{positions}{Vector of positions}
-
-\item{cl}{Confidence level and is scalar or vector}
-
-\item{hp}{Holding period and is scalar or vector}
-
-\item{kurtisos}{Portfolio return kurtosis}
-}
-\description{
-Estimates the variance-covariance VaR of a multi-asset portfolio using the Cornish-Fisher adjustment for portfolio-return non-normality, for specified confidence level and holding period.
-}
-\examples{
-# Variance-covariance for randomly generated portfolio
- vc.matrix <- matrix(rnorm(16),4,4)
- return <- rnorm(4)
- skew <- .5
- kurtosis <- 1.2
- positions <- c(5,2,6,10)
- cl <- .95
- hp <- 280
- AdjustedNormalESHotsopts(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
-}
-\author{
-Dinesh Acharya
-}
-\references{
-Dowd, K. Measuring Market Risk, Wiley, 2007.
-}
-
+% Generated by roxygen2 (4.1.0): do not edit by hand
+% Please edit documentation in R/AdjustedVarianceCovarianceVaR.R
+\name{AdjustedVarianceCovarianceVaR}
+\alias{AdjustedVarianceCovarianceVaR}
+\title{Cornish-Fisher adjusted variance-covariance VaR}
+\usage{
+AdjustedVarianceCovarianceVaR(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
+}
+\arguments{
+\item{vc.matrix}{Assumed variance covariance matrix for returns}
+
+\item{mu}{Vector of expected position returns}
+
+\item{skew}{Portfolio return skewness}
+
+\item{kurtosis}{Portfolio return kurtosis}
+
+\item{positions}{Vector of positions}
+
+\item{cl}{Confidence level and is scalar or vector}
+
+\item{hp}{Holding period and is scalar or vector}
+}
+\description{
+Estimates the variance-covariance VaR of a multi-asset portfolio using the Cornish-Fisher adjustment for portfolio-return non-normality, for specified confidence level and holding period.
+}
+\examples{
+# Variance-covariance for randomly generated portfolio
+ vc.matrix <- matrix(rnorm(16),4,4)
+ return <- rnorm(4)
+ skew <- .5
+ kurtosis <- 1.2
+ positions <- c(5,2,6,10)
+ cl <- .95
+ hp <- 280
+ AdjustedNormalESHotsopts(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+
Modified: pkg/Dowd/man/BinomialBacktest.Rd
===================================================================
--- pkg/Dowd/man/BinomialBacktest.Rd 2015-06-22 13:54:46 UTC (rev 3701)
+++ pkg/Dowd/man/BinomialBacktest.Rd 2015-06-22 14:06:36 UTC (rev 3702)
@@ -1,41 +1,41 @@
-% Generated by roxygen2 (4.1.1): do not edit by hand
-% Please edit documentation in R/BinomialBacktest.R
-\name{BinomialBacktest}
-\alias{BinomialBacktest}
-\title{Carries out the binomial backtest for a VaR risk measurement model.}
-\usage{
-BinomialBacktest(x, n, cl)
-}
-\arguments{
-\item{x}{Number of failures}
-
-\item{n}{Number of observations}
-
-\item{cl}{Confidence level for VaR}
-}
-\value{
-Probability that the VaR model is correct
-}
-\description{
-The basic idea behind binomial backtest (also called basic frequency
-test) is to test whether the observed frequency of losses that exceed VaR is
-consistent with the frequency of tail losses predicted by the mode. Binomial
-Backtest carries out the binomial backtest for a VaR risk measurement model
-for specified VaR confidence level and for a one-sided alternative
-hypothesis (H1).
-}
-\examples{
-# Probability that the VaR model is correct for 3 failures, 100 number
- # observations and 95\% confidence level
- BinomialBacktest(55, 1000, 0.95)
-}
-\author{
-Dinesh Acharya
-}
-\references{
-Dowd, Kevin. Measuring Market Risk, Wiley, 2007.
-
-Kupiec, Paul. Techniques for verifying the accuracy of risk measurement
-models, Journal of Derivatives, Winter 1995, p. 79.
-}
-
+% Generated by roxygen2 (4.1.0): do not edit by hand
+% Please edit documentation in R/BinomialBacktest.R
+\name{BinomialBacktest}
+\alias{BinomialBacktest}
+\title{Carries out the binomial backtest for a VaR risk measurement model.}
+\usage{
+BinomialBacktest(x, n, cl)
+}
+\arguments{
+\item{x}{Number of failures}
+
+\item{n}{Number of observations}
+
+\item{cl}{Confidence level for VaR}
+}
+\value{
+Probability that the VaR model is correct
+}
+\description{
+The basic idea behind binomial backtest (also called basic frequency
+test) is to test whether the observed frequency of losses that exceed VaR is
+consistent with the frequency of tail losses predicted by the mode. Binomial
+Backtest carries out the binomial backtest for a VaR risk measurement model
+for specified VaR confidence level and for a one-sided alternative
+hypothesis (H1).
+}
+\examples{
+# Probability that the VaR model is correct for 3 failures, 100 number
+ # observations and 95\% confidence level
+ BinomialBacktest(55, 1000, 0.95)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, Kevin. Measuring Market Risk, Wiley, 2007.
+
+Kupiec, Paul. Techniques for verifying the accuracy of risk measurement
+models, Journal of Derivatives, Winter 1995, p. 79.
+}
+
Modified: pkg/Dowd/man/BlancoIhleBacktest.Rd
===================================================================
--- pkg/Dowd/man/BlancoIhleBacktest.Rd 2015-06-22 13:54:46 UTC (rev 3701)
+++ pkg/Dowd/man/BlancoIhleBacktest.Rd 2015-06-22 14:06:36 UTC (rev 3702)
@@ -1,42 +1,42 @@
-% Generated by roxygen2 (4.1.1): do not edit by hand
-% Please edit documentation in R/BlancoIhleBacktest.R
-\name{BlancoIhleBacktest}
-\alias{BlancoIhleBacktest}
-\title{Blanco-Ihle forecast evaluation backtest measure}
-\usage{
-BlancoIhleBacktest(Ra, Rb, Rc, cl)
-}
-\arguments{
-\item{Ra}{Vector of a portfolio profit and loss}
-
-\item{Rb}{Vector of corresponding VaR forecasts}
-
-\item{Rc}{Vector of corresponding Expected Tailed Loss forecasts}
-
-\item{cl}{VaR confidence interval}
-}
-\value{
-Something
-}
-\description{
-Derives the Blanco-Ihle forecast evaluation loss measure for a VaR
-risk measurement model.
-}
-\examples{
-# Has to be modified with appropriate data:
- # Christoffersen Backtest For Independence for given parameters
- a <- rnorm(1*100)
- b <- abs(rnorm(1*100))+2
- c <- abs(rnorm(1*100))+2
- BlancoIhleBacktest(a, b, c, 0.95)
-}
-\author{
-Dinesh Acharya
-}
-\references{
-Dowd, Kevin. Measuring Market Risk, Wiley, 2007.
-
-Blanco, C. and Ihle, G. How Good is Your Var? Using Backtesting to Assess
-System Performance. Financial Engineering News, 1999.
-}
-
+% Generated by roxygen2 (4.1.0): do not edit by hand
+% Please edit documentation in R/BlancoIhleBacktest.R
+\name{BlancoIhleBacktest}
+\alias{BlancoIhleBacktest}
+\title{Blanco-Ihle forecast evaluation backtest measure}
+\usage{
+BlancoIhleBacktest(Ra, Rb, Rc, cl)
+}
+\arguments{
+\item{Ra}{Vector of a portfolio profit and loss}
+
+\item{Rb}{Vector of corresponding VaR forecasts}
+
+\item{Rc}{Vector of corresponding Expected Tailed Loss forecasts}
+
+\item{cl}{VaR confidence interval}
+}
+\value{
+Something
+}
+\description{
+Derives the Blanco-Ihle forecast evaluation loss measure for a VaR
+risk measurement model.
+}
+\examples{
+# Has to be modified with appropriate data:
+ # Christoffersen Backtest For Independence for given parameters
+ a <- rnorm(1*100)
+ b <- abs(rnorm(1*100))+2
+ c <- abs(rnorm(1*100))+2
+ BlancoIhleBacktest(a, b, c, 0.95)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, Kevin. Measuring Market Risk, Wiley, 2007.
+
+Blanco, C. and Ihle, G. How Good is Your Var? Using Backtesting to Assess
+System Performance. Financial Engineering News, 1999.
+}
+
Modified: pkg/Dowd/man/BootstrapES.Rd
===================================================================
--- pkg/Dowd/man/BootstrapES.Rd 2015-06-22 13:54:46 UTC (rev 3701)
+++ pkg/Dowd/man/BootstrapES.Rd 2015-06-22 14:06:36 UTC (rev 3702)
@@ -1,32 +1,34 @@
-% Generated by roxygen2 (4.1.1): do not edit by hand
-% Please edit documentation in R/BootstrapES.R
-\name{BootstrapES}
-\alias{BootstrapES}
-\title{Bootstrapped ES for specified confidence level}
-\usage{
-BootstrapES(Ra, number.resamples, cl)
-}
-\arguments{
-\item{Ra}{Vector corresponding to profit and loss distribution}
-
-\item{number.resamples}{Number of samples to be taken in bootstrap procedure}
-}
-\value{
-cl Number corresponding to Expected Shortfall confidence level
-}
-\description{
-Estimates the bootstrapped ES for confidence level and holding period
-implied by data frequency.
-}
-\examples{
-# Estimates bootstrapped ES for given parameters
- a <- rnorm(100) # generate a random profit/loss vector
- BootstrapVaR(a, 50, 0.95)
-}
-\author{
-Dinesh Acharya
-}
-\references{
-Dowd, K. Measuring Market Risk, Wiley, 2007.
-}
-
+% Generated by roxygen2 (4.1.0): do not edit by hand
+% Please edit documentation in R/BootstrapES.R
+\name{BootstrapES}
+\alias{BootstrapES}
+\title{Bootstrapped ES for specified confidence level}
+\usage{
+BootstrapES(Ra, number.resamples, cl)
+}
+\arguments{
+\item{Ra}{Vector corresponding to profit and loss distribution}
+
+\item{number.resamples}{Number of samples to be taken in bootstrap procedure}
+
+\item{cl}{Number corresponding to Expected Shortfall confidence level}
+}
+\value{
+Bootstrapped Expected Shortfall
+}
+\description{
+Estimates the bootstrapped ES for confidence level and holding period
+implied by data frequency.
+}
+\examples{
+# Estimates bootstrapped ES for given parameters
+ a <- rnorm(100) # generate a random profit/loss vector
+ BootstrapVaR(a, 50, 0.95)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+
Modified: pkg/Dowd/man/BootstrapESConfInterval.Rd
===================================================================
--- pkg/Dowd/man/BootstrapESConfInterval.Rd 2015-06-22 13:54:46 UTC (rev 3701)
+++ pkg/Dowd/man/BootstrapESConfInterval.Rd 2015-06-22 14:06:36 UTC (rev 3702)
@@ -1,36 +1,36 @@
-% Generated by roxygen2 (4.1.1): do not edit by hand
-% Please edit documentation in R/BootstrapESConfInterval.R
-\name{BootstrapESConfInterval}
-\alias{BootstrapESConfInterval}
-\title{Bootstrapped ES Confidence Interval}
-\usage{
-BootstrapESConfInterval(Ra, number.resamples, cl)
-}
-\arguments{
-\item{Ra}{Vector corresponding to profit and loss distribution}
-
-\item{cl}{Number corresponding to Expected Shortfall confidence level}
-
-\item{number.resample}{Number of samples to be taken in bootstrap procedure}
-}
-\value{
-90% Confidence interval for bootstrapped ES
-}
-\description{
-Estimates the 90% confidence interval for bootstrapped ES, for confidence
-level and holding period implied by data frequency.
-}
-\examples{
-# To be modified with appropriate data.
- # Estimates 90\% confidence interval for bootstrapped ES for 95\%
- # confidence interval
- Ra <- rnorm(1000)
- BootstrapESConfInterval(Ra, 50, 0.95)
-}
-\author{
-Dinesh Acharya
-}
-\references{
-Dowd, K. Measuring Market Risk, Wiley, 2007.
-}
-
+% Generated by roxygen2 (4.1.0): do not edit by hand
+% Please edit documentation in R/BootstrapESConfInterval.R
+\name{BootstrapESConfInterval}
+\alias{BootstrapESConfInterval}
+\title{Bootstrapped ES Confidence Interval}
+\usage{
+BootstrapESConfInterval(Ra, number.resamples, cl)
+}
+\arguments{
+\item{Ra}{Vector corresponding to profit and loss distribution}
+
+\item{number.resamples}{Number of samples to be taken in bootstrap procedure}
+
+\item{cl}{Number corresponding to Expected Shortfall confidence level}
+}
+\value{
+90% Confidence interval for bootstrapped ES
+}
+\description{
+Estimates the 90% confidence interval for bootstrapped ES, for confidence
+level and holding period implied by data frequency.
+}
+\examples{
+# To be modified with appropriate data.
+ # Estimates 90\% confidence interval for bootstrapped ES for 95\%
+ # confidence interval
+ Ra <- rnorm(1000)
+ BootstrapESConfInterval(Ra, 50, 0.95)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+
Modified: pkg/Dowd/man/BootstrapESFigure.Rd
===================================================================
--- pkg/Dowd/man/BootstrapESFigure.Rd 2015-06-22 13:54:46 UTC (rev 3701)
+++ pkg/Dowd/man/BootstrapESFigure.Rd 2015-06-22 14:06:36 UTC (rev 3702)
@@ -1,33 +1,33 @@
-% Generated by roxygen2 (4.1.1): do not edit by hand
-% Please edit documentation in R/BootstrapESFigure.R
-\name{BootstrapESFigure}
-\alias{BootstrapESFigure}
-\title{Plots figure of bootstrapped ES}
-\usage{
-BootstrapESFigure(Ra, number.resamples, cl)
-}
-\arguments{
-\item{Ra}{Vector corresponding to profit and loss distribution}
-
-\item{cl}{Number corresponding to Expected Shortfall confidence level}
-
-\item{number.resample}{Number of samples to be taken in bootstrap procedure}
-}
-\description{
-Plots figure for the bootstrapped ES, for confidence
-level and holding period implied by data frequency.
-}
-\examples{
-# To be modified with appropriate data.
- # Estimates 90\% confidence interval for bootstrapped ES for 95\%
- # confidence interval
- Ra <- rnorm(1000)
- BootstrapESFigure(Ra, 500, 0.95)
-}
-\author{
-Dinesh Acharya
-}
-\references{
-Dowd, K. Measuring Market Risk, Wiley, 2007.
-}
-
+% Generated by roxygen2 (4.1.0): do not edit by hand
+% Please edit documentation in R/BootstrapESFigure.R
+\name{BootstrapESFigure}
+\alias{BootstrapESFigure}
+\title{Plots figure of bootstrapped ES}
+\usage{
+BootstrapESFigure(Ra, number.resamples, cl)
+}
+\arguments{
+\item{Ra}{Vector corresponding to profit and loss distribution}
+
+\item{number.resamples}{Number of samples to be taken in bootstrap procedure}
+
+\item{cl}{Number corresponding to Expected Shortfall confidence level}
+}
+\description{
+Plots figure for the bootstrapped ES, for confidence
+level and holding period implied by data frequency.
+}
+\examples{
+# To be modified with appropriate data.
+ # Estimates 90\% confidence interval for bootstrapped ES for 95\%
+ # confidence interval
+ Ra <- rnorm(1000)
+ BootstrapESFigure(Ra, 500, 0.95)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+
Modified: pkg/Dowd/man/BootstrapVaR.Rd
===================================================================
--- pkg/Dowd/man/BootstrapVaR.Rd 2015-06-22 13:54:46 UTC (rev 3701)
+++ pkg/Dowd/man/BootstrapVaR.Rd 2015-06-22 14:06:36 UTC (rev 3702)
@@ -1,32 +1,34 @@
-% Generated by roxygen2 (4.1.1): do not edit by hand
-% Please edit documentation in R/BootstrapVaR.R
-\name{BootstrapVaR}
-\alias{BootstrapVaR}
-\title{Bootstrapped VaR for specified confidence level}
-\usage{
-BootstrapVaR(Ra, number.resamples, cl)
-}
-\arguments{
-\item{Ra}{Vector corresponding to profit and loss distribution}
-
-\item{number.sample}{Number of samples to be taken in bootstrap procedure}
-}
-\value{
-cl Number corresponding to Value at Risk confidence level
-}
-\description{
-Estimates the bootstrapped VaR for confidence level and holding period
-implied by data frequency.
-}
-\examples{
-# Estimates bootstrapped VaR for given parameters
- a <- rnorm(100) # generate a random profit/loss vector
- BootstrapES(a, 50, 0.95)
-}
-\author{
-Dinesh Acharya
-}
-\references{
-Dowd, K. Measuring Market Risk, Wiley, 2007.
-}
-
+% Generated by roxygen2 (4.1.0): do not edit by hand
+% Please edit documentation in R/BootstrapVaR.R
+\name{BootstrapVaR}
+\alias{BootstrapVaR}
+\title{Bootstrapped VaR for specified confidence level}
+\usage{
+BootstrapVaR(Ra, number.resamples, cl)
+}
+\arguments{
+\item{Ra}{Vector corresponding to profit and loss distribution}
+
+\item{number.resamples}{Number of samples to be taken in bootstrap procedure}
+
+\item{cl}{Number corresponding to Value at Risk confidence level}
+}
+\value{
+Bootstrapped VaR
+}
+\description{
+Estimates the bootstrapped VaR for confidence level and holding period
+implied by data frequency.
+}
+\examples{
+# Estimates bootstrapped VaR for given parameters
+ a <- rnorm(100) # generate a random profit/loss vector
+ BootstrapES(a, 50, 0.95)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+
Modified: pkg/Dowd/man/BootstrapVaRConfInterval.Rd
===================================================================
--- pkg/Dowd/man/BootstrapVaRConfInterval.Rd 2015-06-22 13:54:46 UTC (rev 3701)
+++ pkg/Dowd/man/BootstrapVaRConfInterval.Rd 2015-06-22 14:06:36 UTC (rev 3702)
@@ -1,36 +1,36 @@
-% Generated by roxygen2 (4.1.1): do not edit by hand
-% Please edit documentation in R/BootstrapVaRConfInterval.R
-\name{BootstrapVaRConfInterval}
-\alias{BootstrapVaRConfInterval}
-\title{Bootstrapped VaR Confidence Interval}
-\usage{
-BootstrapVaRConfInterval(Ra, number.resamples, cl)
-}
-\arguments{
-\item{Ra}{Vector corresponding to profit and loss distribution}
-
-\item{cl}{Number corresponding to Value at Risk confidence level}
-
-\item{number.sample}{Number of samples to be taken in bootstrap procedure}
-}
-\value{
-90% Confidence interval for bootstrapped VaR
-}
-\description{
-Estimates the 90% confidence interval for bootstrapped VaR, for confidence
-level and holding period implied by data frequency.
-}
-\examples{
-# To be modified with appropriate data.
- # Estimates 90\% confidence interval for bootstrapped Var for 95\%
- # confidence interval
- Ra <- rnorm(1000)
- BootstrapVaRConfInterval(Ra, 500, 0.95)
-}
-\author{
-Dinesh Acharya
-}
-\references{
-Dowd, K. Measuring Market Risk, Wiley, 2007.
-}
-
+% Generated by roxygen2 (4.1.0): do not edit by hand
+% Please edit documentation in R/BootstrapVaRConfInterval.R
+\name{BootstrapVaRConfInterval}
+\alias{BootstrapVaRConfInterval}
+\title{Bootstrapped VaR Confidence Interval}
+\usage{
+BootstrapVaRConfInterval(Ra, number.resamples, cl)
+}
+\arguments{
+\item{Ra}{Vector corresponding to profit and loss distribution}
+
+\item{number.resamples}{Number of samples to be taken in bootstrap procedure}
+
+\item{cl}{Number corresponding to Value at Risk confidence level}
+}
+\value{
+90% Confidence interval for bootstrapped VaR
+}
+\description{
+Estimates the 90% confidence interval for bootstrapped VaR, for confidence
+level and holding period implied by data frequency.
+}
+\examples{
+# To be modified with appropriate data.
+ # Estimates 90\% confidence interval for bootstrapped Var for 95\%
+ # confidence interval
+ Ra <- rnorm(1000)
+ BootstrapVaRConfInterval(Ra, 500, 0.95)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+
Modified: pkg/Dowd/man/BootstrapVaRFigure.Rd
===================================================================
--- pkg/Dowd/man/BootstrapVaRFigure.Rd 2015-06-22 13:54:46 UTC (rev 3701)
+++ pkg/Dowd/man/BootstrapVaRFigure.Rd 2015-06-22 14:06:36 UTC (rev 3702)
@@ -1,33 +1,33 @@
-% Generated by roxygen2 (4.1.1): do not edit by hand
-% Please edit documentation in R/BootstrapVaRFigure.R
-\name{BootstrapVaRFigure}
-\alias{BootstrapVaRFigure}
-\title{Plots figure of bootstrapped VaR}
-\usage{
-BootstrapVaRFigure(Ra, number.resamples, cl)
-}
-\arguments{
-\item{Ra}{Vector corresponding to profit and loss distribution}
-
-\item{cl}{Number corresponding to Value at Risk confidence level}
-
-\item{number.sample}{Number of samples to be taken in bootstrap procedure}
-}
-\description{
-Plots figure for the bootstrapped VaR, for confidence
-level and holding period implied by data frequency.
-}
-\examples{
-# To be modified with appropriate data.
- # Estimates 90\% confidence interval for bootstrapped VaR for 95\%
- # confidence interval
- Ra <- rnorm(1000)
- BootstrapESFigure(Ra, 500, 0.95)
-}
-\author{
-Dinesh Acharya
-}
-\references{
-Dowd, K. Measuring Market Risk, Wiley, 2007.
-}
-
+% Generated by roxygen2 (4.1.0): do not edit by hand
+% Please edit documentation in R/BootstrapVaRFigure.R
+\name{BootstrapVaRFigure}
+\alias{BootstrapVaRFigure}
+\title{Plots figure of bootstrapped VaR}
+\usage{
+BootstrapVaRFigure(Ra, number.resamples, cl)
+}
+\arguments{
+\item{Ra}{Vector corresponding to profit and loss distribution}
+
+\item{number.resamples}{Number of samples to be taken in bootstrap procedure}
+
+\item{cl}{Number corresponding to Value at Risk confidence level}
+}
+\description{
+Plots figure for the bootstrapped VaR, for confidence
+level and holding period implied by data frequency.
+}
+\examples{
+# To be modified with appropriate data.
+ # Estimates 90\% confidence interval for bootstrapped VaR for 95\%
+ # confidence interval
+ Ra <- rnorm(1000)
+ BootstrapESFigure(Ra, 500, 0.95)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+
Modified: pkg/Dowd/man/CdfOfSumUsingGaussianCopula.Rd
===================================================================
--- pkg/Dowd/man/CdfOfSumUsingGaussianCopula.Rd 2015-06-22 13:54:46 UTC (rev 3701)
+++ pkg/Dowd/man/CdfOfSumUsingGaussianCopula.Rd 2015-06-22 14:06:36 UTC (rev 3702)
@@ -1,49 +1,49 @@
-% Generated by roxygen2 (4.1.1): do not edit by hand
-% Please edit documentation in R/CdfOfSumUsingGaussianCopula.R
-\name{CdfOfSumUsingGaussianCopula}
-\alias{CdfOfSumUsingGaussianCopula}
-\title{Derives prob ( X + Y < quantile) using Gumbel copula}
-\usage{
-CdfOfSumUsingGaussianCopula(quantile, mu1, mu2, sigma1, sigma2, rho,
- number.steps.in.copula)
-}
-\arguments{
-\item{quantile}{Portfolio quantile (or negative of Var, if X, Y are position P/Ls)}
-
-\item{mu1}{Mean of Profit/Loss on first position}
-
-\item{mu2}{Mean of Profit/Loss on second position}
-
-\item{sigma1}{Standard Deviation of Profit/Loss on first position}
-
-\item{sigma2}{Standard Deviation of Profit/Loss on second position}
-
[TRUNCATED]
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svnlook diff /svnroot/returnanalytics -r 3702
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