[Returnanalytics-commits] r3902 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-08-03 22:14:19 +0200 (Mon, 03 Aug 2015)
New Revision: 3902

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

Added: pkg/Dowd/man/DCPensionVaR.Rd
===================================================================
--- pkg/Dowd/man/DCPensionVaR.Rd	                        (rev 0)
+++ pkg/Dowd/man/DCPensionVaR.Rd	2015-08-03 20:14:19 UTC (rev 3902)
@@ -0,0 +1,38 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/DCPensionVaR.R
+\name{DCPensionVaR}
+\alias{DCPensionVaR}
+\title{Monte Carlo VaR for DC pension}
+\usage{
+DCPensionVaR(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 DC pension
+}
+\description{
+Generates Monte Carlo VaR for DC pension in Chapter 6.7.
+}
+\examples{
+# Estimates the price of an American Put
+   DCPensionVaR(.06, .2, .05, 80, 100, .95)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, Kevin. Measuring Market Risk, Wiley, 2007.
+}
+