[Returnanalytics-commits] r3911 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-08-05 07:23:25 +0200 (Wed, 05 Aug 2015)
New Revision: 3911

Added:
   pkg/Dowd/man/tESPlot2DHP.Rd
Log:
Function tESPlot2DHP added

Added: pkg/Dowd/man/tESPlot2DHP.Rd
===================================================================
--- pkg/Dowd/man/tESPlot2DHP.Rd	                        (rev 0)
+++ pkg/Dowd/man/tESPlot2DHP.Rd	2015-08-05 05:23:25 UTC (rev 3911)
@@ -0,0 +1,47 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/tESPlot2DHP.R
+\name{tESPlot2DHP}
+\alias{tESPlot2DHP}
+\title{Plots t ES against holding period}
+\usage{
+tESPlot2DHP(...)
+}
+\arguments{
+\item{...}{The input arguments contain either return data or else mean and
+ standard deviation data. Accordingly, number of input arguments is either 4
+ or 5. In case there 4 input arguments, the mean and standard deviation of
+ data is computed from return data. See examples for details.
+
+ returns Vector of daily P/L data
+
+ mu Mean of daily P/L data
+
+ sigma Standard deviation of daily P/L data
+
+ df Number of degrees of freedom in the t distribution
+
+ cl ES confidence level and must be a scalar
+
+ hp ES holding period and must be a vector}
+}
+\description{
+Plots the ES of a portfolio against holding period assuming that L/P is t distributed, for specified confidence level and holding periods.
+}
+\examples{
+# Computes ES given geometric return data
+   data <- runif(5, min = 0, max = .2)
+   tESPlot2DHP(returns = data, df = 6, cl = .95, hp = 60:90)
+
+   # Computes v given mean and standard deviation of return data
+   tESPlot2DHP(mu = .012, sigma = .03, df = 6, cl = .99, hp = 40:80)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+
+Evans, M., Hastings, M. and Peacock, B. Statistical Distributions, 3rd
+edition, New York: John Wiley, ch. 38,39.
+}
+