[Returnanalytics-commits] r3921 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-08-07 10:04:27 +0200 (Fri, 07 Aug 2015)
New Revision: 3921

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

Added: pkg/Dowd/man/tVaRFigure.Rd
===================================================================
--- pkg/Dowd/man/tVaRFigure.Rd	                        (rev 0)
+++ pkg/Dowd/man/tVaRFigure.Rd	2015-08-07 08:04:27 UTC (rev 3921)
@@ -0,0 +1,46 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/tVaRFigure.R
+\name{tVaRFigure}
+\alias{tVaRFigure}
+\title{Figure of t- VaR and pdf against L/P}
+\usage{
+tVaRFigure(...)
+}
+\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 geometric return data
+
+ mu Mean of daily geometric return data
+
+ sigma Standard deviation of daily geometric return data
+
+ df Number of degrees of freedom
+
+ cl VaR confidence level and should be scalar
+
+ hp VaR holding period in days and should be scalar}
+}
+\description{
+Gives figure showing the VaR and probability distribution function against L/P
+ of a portfolio assuming P/L are normally distributed, for specified
+ confidence level and holding period.
+}
+\examples{
+# Plots normal VaR and pdf against L/P data for given returns data
+   data <- runif(5, min = 0, max = .2)
+   tVaRFigure(returns = data, df = 7, cl = .95, hp = 90)
+
+   # Plots normal VaR and pdf against L/P data with given parameters
+   tVaRFigure(mu = .012, sigma = .03, df=7, cl = .95, hp = 90)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+