[Returnanalytics-commits] r3900 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-08-03 22:13:13 +0200 (Mon, 03 Aug 2015)
New Revision: 3900

Added:
   pkg/Dowd/man/DBPensionVaR.Rd
Log:
Function DBPensionVaR added.

Added: pkg/Dowd/man/DBPensionVaR.Rd
===================================================================
--- pkg/Dowd/man/DBPensionVaR.Rd	                        (rev 0)
+++ pkg/Dowd/man/DBPensionVaR.Rd	2015-08-03 20:13:13 UTC (rev 3900)
@@ -0,0 +1,38 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/DBPensionVaR.R
+\name{DBPensionVaR}
+\alias{DBPensionVaR}
+\title{Monte Carlo VaR for DB pension}
+\usage{
+DBPensionVaR(mu, sigma, p, life.expectancy, number.trials, cl)
+}
+\arguments{
+\item{mu}{Expected rate of return on pension-fund assets}
+
+\item{sigma}{Volatility of rate of return of pension-fund assets}
+
+\item{p}{Probability of unemployment in any period}
+
+\item{life.expectancy}{Life expectancy}
+
+\item{number.trials}{Number of trials}
+
+\item{cl}{VaR confidence level}
+}
+\value{
+VaR for DB pension
+}
+\description{
+Generates Monte Carlo VaR for DB pension in Chapter 6.7.
+}
+\examples{
+# Estimates the price of an American Put
+   DBPensionVaR(.06, .2, .05, 80, 100, .95)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, Kevin. Measuring Market Risk, Wiley, 2007.
+}
+