[Returnanalytics-commits] r3907 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-08-05 07:21:45 +0200 (Wed, 05 Aug 2015)
New Revision: 3907

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

Added: pkg/Dowd/man/AmericanPutESSim.Rd
===================================================================
--- pkg/Dowd/man/AmericanPutESSim.Rd	                        (rev 0)
+++ pkg/Dowd/man/AmericanPutESSim.Rd	2015-08-05 05:21:45 UTC (rev 3907)
@@ -0,0 +1,62 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/AmericanPutESSim.R
+\name{AmericanPutESSim}
+\alias{AmericanPutESSim}
+\title{Estimates ES of American vanilla put using binomial option valuation tree and Monte Carlo
+Simulation}
+\usage{
+AmericanPutESSim(amountInvested, stockPrice, strike, r, mu, sigma, maturity,
+  numberTrials, numberSteps, cl, hp)
+}
+\arguments{
+\item{amountInvested}{Total amount paid for the Put Option and is positive
+(negative) if the option position is long (short)}
+
+\item{stockPrice}{Stock price of underlying stock}
+
+\item{strike}{Strike price of the option}
+
+\item{r}{Risk-free rate}
+
+\item{mu}{Expected rate of return on the underlying asset and is in
+annualised term}
+
+\item{sigma}{Volatility of the underlying stock and is in annualised
+term}
+
+\item{maturity}{The term to maturity of the option in days}
+
+\item{numberTrials}{The number of interations in the Monte Carlo simulation
+exercise}
+
+\item{numberSteps}{The number of steps over the holding period at each
+of which early exercise is checked and is at least 2}
+
+\item{cl}{Confidence level for which VaR is computed and is scalar}
+
+\item{hp}{Holding period of the option in days and is scalar}
+}
+\value{
+Monte Carlo Simulation VaR estimate and the bounds of the 95%
+confidence interval for the VaR, based on an order-statistics analysis
+of the P/L distribution
+}
+\description{
+Estimates ES of American Put Option using binomial tree to price the option
+valuation tree and Monte Carlo simulation with a binomial option valuation
+tree nested within the MCS. Historical method to compute the VaR.
+}
+\examples{
+# Market Risk of American Put with given parameters.
+   AmericanPutESSim(0.20, 27.2, 25, .16, .2, .05, 60, 30, 20, .95, 30)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, Kevin. Measuring Market Risk, Wiley, 2007.
+
+Lyuu, Yuh-Dauh. Financial Engineering & Computation: Principles,
+Mathematics, Algorithms, Cambridge University Press, 2002.
+}
+